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Fitch Rates NBG II's EUR750m Covered Bonds 'B'; Outlook Positive
October 19, 2017 / 2:39 PM / in 2 months

Fitch Rates NBG II's EUR750m Covered Bonds 'B'; Outlook Positive

(The following statement was released by the rating agency) MILAN/LONDON, October 19 (Fitch) Fitch Ratings has assigned National Bank of Greece S.A.'s (NBG, RD/RD/ccc) Series 7 EUR750 million mortgage covered bonds due October 2020 a 'B' rating with Positive Outlook. The covered bonds are issued under NBG's covered bond programme II (NBG II). All previous outstanding bonds totalling EUR700 million were cancelled on 9 October 2017. KEY RATING DRIVERS The rating of the covered bonds is capped by Greece's 'B' Country Ceiling. The Positive Outlook reflects that on Greece and the strong protection offered via the 25% minimum contractual over-collateralisation (OC), which the agency views as sufficient to sustain stresses above the 'B' rating and which provides more protection than the 5.3% 'B' breakeven OC. NBG II benefits from a one-notch recovery uplift from the 'B-' rating floor that is represented by NBG's 'ccc' Viability Rating as adjusted by the Issuer Default Rating (IDR) uplift of two notches. In a scenario of defaulting covered bonds, Fitch would expect at least good recovery prospects as the cover pool comprise Greek residential loans secured by mortgages. The IDR uplift of two notches reflects that NBG's Long-Term IDR is not support-driven (institutional or by the sovereign) as well as a low risk of under-collateralisation at the point of resolution. This is based on Fitch's assessment on the Greek legal framework, the presence of an asset monitor, asset eligibility criteria and minimum legal and contractual levels of OC, as applicable. Fitch has assigned an eight-notch payment continuity uplift (PCU) to the programme, although this is not currently a driver of the rating. NGB II covered bonds envisage a conditional pass-through feature implying the covered bonds can amortise in line with the cover assets upon the extension of their principal maturity date. Moreover, the programme includes a liquidity reserve that covers at least three-month interest due on the covered bonds and senior expenses. RATING SENSITIVITIES Changes in Greece's Country Ceiling could affect the rating of National Bank of Greece covered bond programme II. In particular and all else being equal, an upgrade of the Country Ceiling will lead to an upgrade of the covered bonds programme as long as the relied-upon overcollateralisation of the programme is enough to compensate for the stresses that are commensurate with the Country Ceiling level. Contact: Primary Analyst Alessandro Bosello Analyst +39 02 879 087 278 Fitch Italia S.p.A. Via Morigi 6, 20123 Milan Secondary Analyst Roberto Del Ragno Director +39 02 879 087 206 Committee Chairperson Juan David Garcia Senior Director +34 917 025 774 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Covered Bonds Rating Criteria (pub. 26 Oct 2016) here Exposure Draft: European RMBS Rating Criteria (pub. 15 Sep 2017) here Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Bank Rating Criteria (pub. 25 Nov 2016) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Country Risk Rating Criteria (pub. 18 Sep 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy 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 WEB SITE AT 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. 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. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. 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Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. 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