OREANDA-NEWS. September 07, 2015. Fitch Ratings has assigned Mediobanca S.p.A's (BBB+/Stable/bbb+) Tier 2 subordinated floating-rate debt (IT0005127508) a rating of 'BBB'. The amount of the issue is up to EUR500m.

The notes mature in 2025 and pay a floating annual coupon linked to Euribor with a minimum coupon of 3%. The subordinated notes will be listed on the Italian Stock Exchange.

The notes qualify as Tier 2 capital under Capital Requirements Directive (CRD) IV. They contain contractual loss absorption features, which will be triggered after the bank becomes non-viable, with no equity conversion. The terms of the notes include a reference to noteholders consenting to be bound by Italian bail-in power.

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 likely result in their exclusion, in whole, as Tier 2 capital of Mediobanca.

KEY RATING DRIVERS
The notes are rated one notch below Mediobanca's Viability Rating (VR) of 'bbb+', in accordance with Fitch's criteria "'Global Banks Rating Criteria", to reflect one notch for loss severity and zero notches for non-performance risk.

The one notch for loss severity reflects the below-average recovery prospects for the notes. Fitch has applied zero notches for incremental non-performance risk, as the write-down of the notes will only occur once the point of non-viability is reached and there is no coupon flexibility prior to non-viability.

RATING SENSITIVITIES
The subordinated debt 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 or non-performance risk.