Moody’s placed on review for downgrade mortgage covered bonds issued by Italy’s Banca Monte dei Paschi di Siena on Friday, after lowering the issuer’s rating the day before.

The bank’s obbligazioni bancarie garantite issues are rated Aa1 by Moody’s, and the issuer Baa1.

The rating agency has assigned a Timely Payment Indicator of “probable” to the covered bonds, which means that any downgrade of the issuer will trigger a lowering of the covered bonds, all else being equal.

Moody’s assesses cover pool losses for this programme at 25.5%, based on market risk of 20.6% and collateral risk of 4.9%. Collateral risk is derived from the collateral score, which is 7.4% for this programme.