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Questions Obbligazioni Bancarie Garantite - OBG
I. STRUCTURE OF THE ISSUER
1. Who is the issuer?
  • Universal credit institution
(1) Comments: Covered bond issuers have to fulfil stricter requirements than those applicable to other credit institutions.
2. Does the bondholder have recourse to the credit institution?
  • Yes, direct
3. Who owns the cover assets?
  • SPE which guarantees the covered bonds
4. Is the issuer the originator of the assets?
  • Yes
(2) Comments: Although it is not mandatory by law, Italian covered bonds are generally issued on assets originated within the issuer's banking group.
II. FRAMEWORK
1. Are the bonds governed by a special covered bond Legislation?
  • Yes
2. What is the legal framework for bankruptcy of the issuer of covered bonds?
  • Specific legal framework superseding the general insolvency law
III. COVER ASSETS
1. What types of assets may be included in cover pools?
  • Exposures to public sector entities
  • Mortgage loans (Mortgage loans for the purpose of this question are taken to include guaranteed real-estate loans.)
  • Group originated Senior MBS
  • Senior MBS issued by third parties
2. What is the geographical scope for public sector assets?
  • EEA
  • CH
3. What is the geographical scope for mortgage assets?
  • EEA
  • CH
4. Are regular covered bond specific disclosure requirements to the public mandatory?
  • No
IV. VALUATION OF THE MORTGAGE COVER POOL & LTV CRITERIA
1. LTV is calculated using which valuation?[4]
  • Market value
2. Are there any special LTV limits used solely for calculating collateralisation rates for the cover pool (if yes, specify)?
  • Residential      
    80%
  • Commercial      
    60%
3. Do bondholders get the benefit of that portion of the loan which exceeds the LTV cap?
  • Yes
4a. Is there an LTV cap which makes the entire loan ineligible to be put in the cover pool (if yes, specify)?
  • Residential      
  • Commercial      
(3) Comments: 80% for residential loans and 60% for commercial loans.
4b. Is there an LTV cap which would require a loan to be removed from the cover pool?
  • No
5. Is there any additional LTV limit on a portfolio basis?
  • No
V. ASSET-LIABILITY GUIDELINES
. Exposure to market risk
1. Is exposure to market risk (e.g. interest rate, currency risks) required to be mitigated by law or contract?
  • Yes
2. What is the primary method for the mitigation of market risk?
  • Use of derivative hedge instruments
3. If the answer to the above question on market risk mitigation is “Use of derivative hedge instruments”, please specify whether those instruments are entered into:
  • By the time of issue of covered bonds or entry of asset in the cover pool
4. What type of coverage test is applied?
  • Nominal cover
  • Present value cover
5. What is the frequency of coverage calculations?
  • Other
(4) Comments: Every six months.
6. What types of stress scenarios are applied?
  • Not relevant
7. What is the frequency of stress test calculations?
  • Not relevant
. Exposure to liquidity risk
8. Is exposure to liquidity risk required to be mitigated by law or contract?
  • No
9. What is the primary method for the mitigation of liquidity risk on interest payments?
  • “Natural” matching (matching without the use of off-balance sheet instruments) and stress testing (Natural matching is taken to include replacing CBs with new issues, as well as substitute assets.)
10. What is the primary method for the mitigation of liquidity risk on principal payments?
  • Natural matching (matching without the use of off-balance sheet instruments) and stress testing
11. Is there any grace period in case of a breach of liquidity risk mitigants?
  • No
12. What is the consequence of not fixing a breach of liquidity risk mitigants?
  • Other regulatory or rule-based action
(5) Comments: The asset monitor will report to the Bank of Italy and action will be taken.
. Monitoring of exposures to market and liquidity risk
13. Who monitors the maintenance of coverage tests?
  • Trustee/cover pool monitor
14. Are there any regular public reporting requirements for market and liquidity risk?
  • No
. Overcollateralisation
15. Is mandatory minimum overcollateralisation required?
  • By legislation/regulation
(6) Comments: Legislation establishes that assets must "at
least" equal liabilities both on the nominal and NPV basis.
16. What is the level of minimum mandatory overcollateralisation?
17. If mandatory overcollateralisation is required, are the amounts above the minimum OC level protected?
  • Yes
18. Is there any grace period in case of a breach of the coverage test?
  • No
19. What is the consequence of not fixing a breach of the coverage test?
  • Other regulatory or rule-based actions
(7) Comments: The asset monitor will report to the Bank of Italy and action will be taken.
VI. COVER POOL MONITOR & BANKING SUPERVISION
1. Is a special license required for the issuing of covered bonds?
  • No, but with additional requirements
2. Are there special reporting duties of the covered bond issuer to the supervision authority concerning covered bonds and the cover pool, which go beyond the regular banking supervision?
  • Reporting on demand for special occasions
3. What is the role of the banking supervision regarding covered bonds?
  • To check whether eligibility criteria are fulfilled and documented
4. Is there a special role of banking supervision in crisis regarding covered bonds?
  • Safeguarding ongoing management of the cover pool directly or via a special administrator
  • Involvement in transfer of cover assets and covered bonds to another credit institution
5. Is there a cover pool monitor independent from the issuer?
  • Yes
6. If there is an independent cover pool monitor, what are its duties?
  • Performing audits of the cover pool
  • Verification of coverage tests
VII. SEGREGATION OF ASSETS & BANKRUPTCY REMOTENESS OF COVERED BONDS
1. Do covered bonds automatically accelerate when the credit institution goes insolvent?
  • No
2. What is the cover pool?
  • All assets transferred to SPE
3. How are the covered bondholders protected against claims from other creditors in case of insolvency of the issuer?
  • Preferential claim by law
4. Is there recourse to the credit institution’s insolvency estate upon a cover pool default?
  • Yes, senior to unsecured creditors
5. Are there provisions that require derivatives to continue in case of insolvency of the credit institution?
  • Yes
6. If derivatives are permitted in the cover pool, what is their ranking?
  • Pari passu to covered bond holders
VIII. RISK WEIGHTING & COMPLIANCE WITH EUROPEAN LEGISLATION
1. Does the covered bond fulfil the criteria of UCITS 52(4)?
  • Yes
2. Does the covered bond legislation completely fall within the criteria of the Annex VI, Part 1, Paragraph 68 (a) to (f) of the Capital Requirements Directive (CRD)?
  • Yes
3. Are listed covered bonds eligible in repo transactions with the national central bank?
  • Yes
4. Are there any special investment regulations regarding covered bonds?
  • No
IX. ADDITIONAL INFORMATION
1. Link to National Association representing covered bond interests
2. Link to national regulators and supervisors
3. Fact Book Country Chapter
  • Chapter
 
4. Hypostat Country Chapter
  • Chapter
 

Comments for your selection

  • 1: Covered bond issuers have to fulfil stricter requirements than those applicable to other credit institutions.
  • 2: Although it is not mandatory by law, Italian covered bonds are generally issued on assets originated within the issuer's banking group.
  • 3: 80% for residential loans and 60% for commercial loans.
  • 4: Every six months.
  • 5: The asset monitor will report to the Bank of Italy and action will be taken.
  • 6: Legislation establishes that assets must "at least" equal liabilities both on the nominal and NPV basis.
  • 7: The asset monitor will report to the Bank of Italy and action will be taken.