(Repeat for additional subscribers)
June 12 (The following statement was released by the rating agency)
Fitch Ratings says there is no impact on National Bank of Greece S.A.'s
(B-/Stable/b-) EUR5.6bn mortgage covered bonds' 'B'/Positive rating following recent amendments
to the programme documentation.
NBG is the first Greek issuer to switch the amortisation profile of the covered
bonds to conditional pass-through (CPT) from a simple pass-through. In
accordance with the amended documents, the covered bond holders now have the
option to be reimbursed before the extended maturity date (December 2051), via
the sale of the cover assets, if NBG is unable to honour its payment
obligations. Bondholders who opt for an asset sale will have no claim against
the remaining assets securing other series, even if the sale proceeds are not
sufficient to entirely redeem the relevant series.
However, in Fitch's view there is no need for a stressed liquidation of the
cover assets under CPT programmes. This is because the pass-through redemption
schedule ensures timely repayment by the extended final maturity date in the
event of an issuer default in its obligations to repay at the original maturity
date. Therefore in its analysis the agency has relied upon the pass-through
amortisation of the covered bonds.
Fitch is maintaining its Discontinuity Cap (D-cap) of '3' (moderate high
discontinuity risk) owing to potential systemic challenges associated with
regard to the alternative management component. Fitch believes that the CPT
amortisation structure of the covered bonds still prevents the need for a
stressed liquidation of the cover assets to ensure timely payments on the
covered bonds and this is reflected in the minimal discontinuity risk assessment
of the liquidity gaps and systemic risk component of the D-cap.
In its analysis, Fitch relies on the maximum level of asset percentage (AP) of
95% allowed by the Greek covered bond law (equivalent to 5.26%
overcollateralisation). This level of AP still provides at least 51% of
recoveries on the bonds assumed to be in default in a 'B' rating scenario and
allows a one-notch uplift above the 'B-' rating on a probability of default
Fitch's breakeven AP for the rating will be affected, among others, by the
profile of the cover assets relative to outstanding covered bonds, which can
change, even in the absence of new issuances. Therefore it cannot be assumed to
remain stable over time.