Fitch Upgrades Greek Covered Bonds After Banks and Sovereign Upgrade

Mon May 20, 2013 12:31pm EDT

(The following statement was released by the rating agency) LONDON, May 20 (Fitch) Fitch Ratings has upgraded National Bank of Greece's (NBG, 'B-'/Stable/'B'), Piraeus Bank's (Piraeus, 'B-'/Stable/'B'), Alpha Bank's (Alpha, 'B-'/Stable/'B') and Eurobank Ergasias' (Eurobank, 'B-'/Stable/'B') Greek mortgage covered bonds and assigned a Negative Outlook as follows: Alpha covered bonds, EUR3.75bn: upgraded to 'B' from 'CCC+'; Outlook Negative Eurobank covered bonds, EUR2.45bn: upgraded to 'B' from 'CCC+'; Outlook Negative NBG covered bonds (Programme I), EUR0.846bn: upgraded to 'B' from 'B-'; Outlook Negative NBG covered bonds (Programme II), EUR8.4bn: upgraded to 'B' from 'CCC+'; Outlook Negative Piraeus covered bonds, EUR1.25bn: upgraded to 'B' from 'CCC+'; Outlook Negative KEY RATING DRIVERS The rating action follows the upgrade of the Greek sovereign and the respective issuers to 'B-' from 'CCC', reflecting Fitch's view on the rebalancing of the Greek economy and the banks' recapitalisation; the ratings of Greek covered bond programmes remain capped at the Country Ceiling, which has been upgraded to 'B' from 'B-' (see "Fitch Upgrades Greece to 'B-', Outlook Stable" dated 14 May 2013 and "Fitch Upgrades Greek Banks After Recapitalisation and Sovereign Upgrade" dated 16 May 2013 on www.fitchratings.com). The Negative Outlook on all Greek covered bonds programmes reflects the deteriorating asset performance and the adverse operating environment for Greek banks. The rating of NBG programme I covered bonds is based on NBG's Long-Term Issuer Default Rating (IDR) of 'B-', an unchanged Discontinuity Cap (D-Cap) of 0 (full discontinuity risk) and the asset percentage (AP) of 53% which Fitch takes into account in its analysis, and corresponds to the figure published in NBG's monthly investor report. The rating of Alpha's, Eurobank's, NBG's Programme II and Piraeus' covered bonds is based on the issuers' Long-Term IDR, an unchanged D-Cap of 3 (moderate high discontinuity risk) and the minimum level of over-collateralisation (OC) required by the Greek covered bond law (5.26%, equivalent to 95% AP) that Fitch relies upon. The level of protection on all programmes allows at least 51% recoveries on bonds assumed to default in a stress scenario, justifying the one notch uplift of the covered bonds' rating above the respective IDRs. In its stressed recovery analysis, Fitch has used updated refinancing spread assumptions taking into account the recent levelling off of Greek RMBS and government debt spreads. RATING SENSITIVITIES The ratings of all Greek covered bond programmes would be vulnerable to a downgrade if the Country Ceiling for Greece was revised downwards by one or more notches. The ratings of Alpha, Eurobank, NBG Programme II and Piraeus covered bonds would be vulnerable to a downgrade if the banks' Long-Term IDR was downgraded by one or more notches. The rating of NBG Programme I would be vulnerable to downgrade if NBG's Long-Term IDR was downgraded to 'CCC' or below. Contact: Primary Analyst Despoina Pilidou Analyst +44 20 3530 1466 Fitch Ratings Limited 30 North Colonnade London E14 5GN Secondary Analyst Natasha Ahmed Director +44 20 3530 1301 Committee Chairperson Federica Fabrizi Senior Director +39 02 8790 87232 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 10 September 2012, 'Counterparty Criteria for Structured Finance and Covered Bonds', dated 13 May 2013, 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum', dated 13 May 2013, ' EMEA RMBS Criteria Addendum - Greece - Mortgage and Cashflow Assumptions ', dated 08 August 2012, 'EMEA Residential Mortgage Loss Criteria', dated 7 June 2012 and 'Covered Bonds Rating Criteria - Mortgage Liquidity & Refinance Stress Addendum', dated 14 November 2012 are available at www.fitchratings.com. Applicable Criteria and Related Research: EMEA RMBS Criteria Addendum – Greece - Mortgage and Cashflow Assumptions here EMEA Residential Mortgage Loss Criteria here Covered Bonds Rating Criteria - Amended here Covered Bonds Rating Criteria - Mortgage Liquidity & Refinance Stress Addendum here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum 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.

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