Reuters logo
Fitch Places 5 Greek Covered Bond Programmes on Rating Watch Negative
February 12, 2015 / 1:32 PM / 3 years ago

Fitch Places 5 Greek Covered Bond Programmes on Rating Watch Negative

(The following statement was released by the rating agency) MILAN/LONDON, February 12 (Fitch) Fitch Ratings has placed the mortgage covered bonds issued by Alpha Bank AE (Alpha, B-/RWN/B, Viability Rating (VR): b-/RWN), Eurobank Ergasias S.A. (B-/RWN/B, VR: b-/RWN), National Bank of Greece S.A. (NBG, B-/RWN/B; VR: b-/RWN) and Piraeus Bank S.A. (Piraeus, B-/RWN/B, VR: b-/RWN) on Rating Watch Negative (RWN). A full list of rating actions is available at the end of this rating action commentary. The rating action follows the RWN placed on the Greek banks' Issuer Default Ratings (IDR) (see "Fitch Places Greek Banks' IDRs on Rating Watch Negative" dated 10 February 2015 at www.fitchratings.com). The RWN on the Greek covered bond programmes will be resolved upon the resolution of the RWN on the banks' IDRs. KEY RATING DRIVERS The RWN on Alpha, Eurobank, NBG and Piraeus's outstanding covered bonds directly reflects the RWN on the banks' IDR as the current ratings of the bonds do not include any buffer against a downgrade of the IDRs. The 'B+' rating of Alpha and Eurobank's covered bonds is based on the issuers' 'B-' IDRs, an IDR uplift of 1, a Discontinuity Cap (D-Cap) of 0 (full discontinuity) and the 95% legal maximum AP that Fitch takes into account in its analysis, which allows a one-notch uplift on a recovery basis from the 'B' tested rating on a probability of default (PD) basis. The 95% legal maximum AP is also the breakeven AP for the 'B+' rating of both programmes. The 'BB-' rating of NBG Programme I is based on NBG's IDR of 'B-', an IDR uplift of 1, a D-Cap of 0 and the 70% committed AP disclosed in the programme investor report (as of December 2014). This level of AP is adequate to achieve recoveries of at least 71% should the covered bonds default, allowing a two-notch uplift to 'BB-' from the 'B' tested rating on a PD basis. The breakeven AP for the 'BB-' rating is 78%. The 'B+' ratings of Piraeus and NBG Programme II is based on the issuers' 'B-' IDRs, an IDR uplift of 1, a D-Cap of 3 (moderate high) and the AP that Fitch relies upon (61.3% for Piraeus and 80% for NBG Programme II) disclosed in the programmes' investor reports dated January 2015 and December 2014, respectively. Those levels of AP, which are below the Fitch breakeven AP for the 'B+' rating of 95%, allows a one-notch uplift on a recovery basis being recovery prospects on the covered bonds assumed to be in default in excess of 51% for a 'B+' rating. RATING SENSITIVITIES The rating of the covered bonds issued by Alpha, Eurobank, NBG (Programme I and II) and Piraeus are sensitive to downward movements on the respective IDRs. The 'B+' rating of Alpha, Eurobank, NBG Programme II and Piraeus covered bonds are also vulnerable to downgrade if (i) the Country Ceiling (CC) is revised below 'B+'; or (ii) the number of notches represented by the IDR uplift and the D-Cap moves to 0. The 'BB-' rating of NBG Programme I is vulnerable to downgrade if (i) the CC is revised below 'BB-', (ii) the number of notches represented by the IDR uplift and the D-Cap is reduced to 0; or (iii) the programme AP goes above the 78% breakeven AP for the 'BB-' rating. The Fitch breakeven OC for the covered bond rating will be affected, amongst others, by the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuance. Therefore the breakeven OC to maintain the covered bond rating cannot be assumed to remain stable over time. The rating actions are as follows: Alpha: 'B+' covered bonds rating placed on RWN Eurobank: 'B+' covered bond ratings placed on RWN NBG Programme I: 'BB-' covered bonds rating placed on RWN NBG Programme II: 'B+' covered bond rating placed on RWN Piraeus: 'B+' covered bond rating placed on RWN from RWE Contact: Primary Analyst Diana Ilaria Leone, CFA Director +39 02 87 90 87 219 Fitch Italia S.P.A. Via Morigi, 6 - Ingresso Via Privata Maria Teresa 8 20123 Milan Secondary Analyst Roberto Del Ragno Analyst +39 02 87 90 87 206 Committee Chairperson Federica Fabrizi Senior Director +39 02 87 90 87 232 Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com. Additional information is available on www.fitchratings.com Applicable criteria, 'Covered Bonds Rating Criteria', dated 8 August 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds', dated 14 May 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum', dated 14 May 2014, 'Covered Bond Rating Criteria - Mortgage Liquidity and Refinance Stress Addendum' dated 4 February 2014, 'EMEA Residential Mortgage Loss Criteria', dated 28 May 2014, 'EMEA RMBS Master Rating Criteria', dated 28 May 2014 and 'Criteria Addendum: Greece - Residential Mortgage Loss and Cash Flow Assumptions' dated 5 June 2014 and 'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' dated 19 December 2014 are available at www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum here Covered Bonds Rating Criteria – Mortgage Liquidity and Refinancing Stress Addendum here EMEA Residential Mortgage Loss Criteria here EMEA RMBS Master Rating Criteria here Criteria Addendum: Greece - Residential Mortgage Loss and Cash Flow Assumptions here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Our Standards:The Thomson Reuters Trust Principles.
0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below