Moody’s shines a light on Italian covereds

Italy flag Adobe Stock
By Bill Thornhill
15 Jul 2020

Italy’s €178bn covered bond market comprises a wide variety of structural nuances that are likely to prove critical to understanding underlying risks, especially when it comes to the way swaps are used and the methodology for asset coverage (ACT) and amortisation tests (AMT), said Moody’s this week.

The overall credit quality of most Italian covered bonds is strong, reflecting the fact that deals are secured on residential loans with an average loan-to-value of about 50%. However, transactions contain “many structural differences” due to the widespread use of contractual provisions, said Moody’s.

These variations ...

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