OREANDA-NEWS. Fitch Ratings has assigned Credito Valtellinese's (Creval, BB/Stable/bb) planned issue of subordinated Tier 2 debt an expected 'BB-(EXP)' rating.

The final rating is contingent upon the receipt of final documents conforming to information already received.

The amount and the maturity structure of the issue will be subject to market conditions. The notes will be gone-concern securities, qualifying as Tier 2 capital under Basel III, contain contractual loss absorption features, which will be triggered only at the point of non-viability of the bank, and do not have an equity conversion feature.

The notes can be redeemed in whole but not in part, at their principal amount together with interest accrued upon the occurrence of a change in the regulatory classification of the notes that would be likely to result in their exclusion, in whole or in part, as Creval's Tier 2 capital.

The notes will be listed on the Luxemburg Stock Exchange.

KEY RATING DRIVERS

The notes are rated one notch below Creval's Viability Rating (VR) of 'bb', in accordance with Fitch's criteria. We apply one notch for loss severity to reflect the below-average recovery prospects for the notes in case of non-viability event given their subordination status. We apply zero notches for non-performance risk since the securities qualify as gone-concern instruments and the write-down of the notes will only occur once the point of non-viability is reached while there is no coupon flexibility prior to non-viability.

RATING SENSITIVITIES

The subordinated debt's rating is sensitive to the same factors that may affect the bank's VR.

The notes' rating is also sensitive to a change in notching should Fitch change its assessment of loss severity.