(Repeat for additional subscribers)
May 30 (The following statement was released by the rating agency)
Fitch Ratings has placed National Bank of Greece S.A.'s (NBG, B-/Stable/B;
Viability Rating: b-) Programme I mortgage covered bonds' 'B+' rating on Rating Watch Positive
The rating action follows the upgrade of Greece's Sovereign Long-term Issuer
Default Rating (IDR) to 'B' and the increase of the Country Ceiling to 'BB' (see
'Fitch Upgrades Greece to 'B'; Outlook Stable' dated 23 May 2014 at
www.fitchratings.com). Fitch has placed the rating of NBG Programme I, currently
at the 'B+' Structured Finance (SF) rating cap, on RWP as it is reviewing this
cap. Depending upon the outcome of the review, the covered bonds could be
upgraded to a maximum rating of 'BB', provided that the programme's asset
percentage (AP) is lower than the breakeven AP for that rating level.
The potential upgrade up to 'BB' also takes into account the IDR uplift that
Fitch has assigned to NBG Programme I due to the issuer's large size in the
domestic market and its interconnectedness with the country (see 'Fitch Revises
Outlook on Greek CVBs; Maintains Cypriot CVB on RWN on Criteria Amendments'
dated 1 April 2014 at www.fitchratings.com).
KEY RATING DRIVERS
In line with Fitch's 'Criteria for Sovereign Risk in Developed Markets for
Structured Finance and Covered Bonds', SF and covered bond ratings are
constrained at the lower of the Country Ceiling and the SF rating cap. The
Country Ceiling has been increased and Fitch is reviewing the SF rating cap
based upon the updated macroeconomic outlook.
The Programme I mortgage covered bonds' rating is based on NBG's IDR of 'B-', an
IDR uplift of '1', an unchanged Discontinuity Cap (D-Cap) of '0' (full
discontinuity risk) and the 55% AP that Fitch takes into account in its analysis
and published by the issuer in the investor report. This level of AP provides
more protection than the 75% breakeven AP for a 'B+' rating, and would allow the
covered bonds to achieve a three-notch uplift based on the recovery prospects on
the covered bonds assumed to be in default being in excess of 91%.
Further changes to Greece's Country Ceiling or SF rating cap may result in
corresponding changes to NBG Programme I's rating.
NBG Programme I's rating would be vulnerable to downgrade if any of the
following occurred: (i) NBG's IDR was downgraded by two or more notches; (ii)
the programme AP went above Fitch's 'B+' breakeven AP of 75%.