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TEXT-Fitch keeps 4 Greek covered bonds on watch negative
July 25, 2012 / 1:52 PM / 5 years ago

TEXT-Fitch keeps 4 Greek covered bonds on watch negative

 July 25 - Fitch Ratings has maintained four Greek mortgage covered bonds'
'B-' ratings on Rating Watch Negative (RWN). The rating action follows the
over-collateralisation (OC) withdrawal notification received from four issuers.

Alpha Bank (Alpha,'CCC'/'C'), EFG Eurobank (EFG,'CCC'/'C'),
National Bank of Greece (NBG,'CCC'/'C'; with regards to its Programme
II) and Piraeus Bank (Piraeus,'CCC'/'C') are in the process of
amending their programme documentation in order to remove the contractual OC
commitments currently in place and subsequently reduce OC to the minimum level
required by the Greek covered bond law (5.26%).

Following the revision of Greece's Country Ceiling from 'AAA' to 'B-' in May
2012, all Greek covered bond ratings are now capped by the Country Ceiling. The
D-Factor of the four covered bond programmes remains at 11.5% with their rating
on a probability of default (PD) basis now equalised with the Long-Term IDR of
the four issuing banks ('CCC'). Based on the new reduced OC of 5.26%, a
one-notch uplift for recoveries can be assigned in accordance with Fitch's
methodology. As such, the resulting covered bond ratings for Alpha, EFG, NBG
Programme II and Piraeus are 'B-' and are based on an asset percentage of 95%
(equivalent to an OC of 5.26%).

A one-notch downgrade of the Long-Term IDR of the issuer would result in an
equivalent downgrade of the corresponding covered bonds.

The four covered bond programmes have been maintained on RWN as a result of the
uncertainty surrounding the political situation in Greece as well as Fitch's
upcoming revision of the Greek mortgage loss criteria over the next few weeks.
While Fitch has considered the expected impact of the upcoming criteria update,
the agency does not expect to resolve the RWN before it completes a full rating
review of the four affected programmes.

Additional information is available at The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Applicable criteria, 'Covered Bonds Rating Criteria', dated 30 May 2012,
'Covered Bonds Counterparty Criteria', dated 13 March 2012, 'EMEA Residential
Mortgage Loss Criteria' dated 7 June 2012 and 'EMEA Criteria Addendum - Greece -
Mortgage Loss and Cash Flow Assumptions' dated 11 August 2011 are available at

Applicable Criteria and Related Research:
Covered Bonds Rating Criteria
Covered Bond Counterparty Criteria
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Greece - Mortgage Loss and Cash Flow Assumptions -

 (New York Ratings Team)

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