Moody’s yesterday placed its Baa3 rating of mortgage covered bonds issued by Banca Monte dei Paschi di Siena on review for downgrade yesterday (Tuesday), after last Thursday having done likewise with the Italian bank’s B1 rating.

The issuer rating action came alongside reviews for downgrade of several other banks which, like MPS, failed in the European Central Bank’s Comprehensive Assessment and still had capital shortfalls at the release of the results.

“The review on Banca Monte Dei Paschi di Siena’s ratings was triggered by the bank’s net shortfall of Eu2.1bn,” the rating agency said on Thursday. “Moody’s believes that MPS will be challenged to cover the shortfall within the timeframe requested by the ECB without further government support.”

The programme has a Timely Payment Indicator (TPI) of “probable”, while the covered bond anchor under Moody’s methodology is the senior unsecured rating plus zero notches.

Moody’s said that the TPI leeway of the programme is “limited” and hence any downgrade of the covered bond anchor could lead to a downgrade of the OBGs.