Moody's Raises Five Greek Mortgage Bond Program Ratings (NBG)
http://www.streetinsider.com/Credit+Ratings/...ngs+(NBG)/8958981.html
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Moody\'s Investors Servicehas upgraded to B3 from Caa2 the ratings of the mortgage covered bonds issued by Alpha Bank A.E. (Alpha Bank, under its Direct Issuance Global Covered Bond Programme), Eurobank Ergasias S.A. (Eurobank, under both of its programmes) and National Bank of Greece S.A. (NYSE: NBG).
RATINGS RATIONALE
Today's rating actions reflect Moody's decision to raise the Greek country ceiling to B3 from Caa2, following the upgrade of Greece's government bond rating to Caa3 from C, and upgrades of the deposit ratings of Alpha Bank and NBG.
For further information on the rating action on Greece, please refer "Moody's upgrades Greece's government bond rating to Caa3 from C; stable outlook" published on 29 November 2013. For further information on the rating actions on the deposit ratings, please refer to "Moody's takes positive rating actions on five Greek banks" published on 6 December 2013.
KEY RATING ASSUMPTIONS/FACTORS
Moody's determines covered bond ratings using a two-step process: an expected loss analysis and a "timely payment indicator" (TPI) framework analysis.
-- EXPECTED LOSS
Moody's uses its Covered Bond Model (COBOL) to determine a rating based on the expected loss on the bond. COBOL determines expected loss as (1) a function of the issuer's probability of default (measured by the issuer's rating); and (2) the stressed losses on the cover pool assets following issuer default.
The cover pool losses are an estimate of the losses Moody's currently models if the relevant issuer defaults. Moody's splits the cover pool between market risk and collateral risk. Market risk measures losses stemming from refinancing risk and risks related to interest-rate and currency mismatches (these losses may also include certain legal risks). Collateral risk measures losses resulting directly from the cover pool assets' credit quality. Moody's derives collateral risk from the collateral score.
The cover pool losses of Alpha Bank Direct Issuance Global Covered Bond Programme are 27.6%, with market risk of 18.3% and collateral risk of 9.3%. The collateral score for this programme is currently 13.9%. The over-collateralisation (OC) in this cover pool is 14.9%, of which Alpha Bank provides 5.3% on a "committed" basis. The minimum OC level that is consistent with the B3 rating target is 0%, of which the issuer should provide 0% in a "committed" form. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
The cover pool losses of Eurobank Ergasias S.A. Mortgage Covered Bonds are 27.6%, with market risk of 18.1% and collateral risk of 9.4%. The collateral score for this programme is currently 14.1%. The OC in this cover pool is 14.5%, of which Eurobank provides 5.3% on a "committed" basis. The minimum OC level that is consistent with the B3 rating target is 0%, of which the issuer should provide 0% in a "committed" form. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
The cover pool losses of Eurobank Ergasias S.A. Mortgage Covered Bonds II are 44.3%, with market risk of 27.3% and collateral risk of 17.0%. The collateral score for this programme is currently 25.4%. The OC in this cover pool is 21.6%, of which Eurobank provides 5.3% on a "committed" basis. The minimum OC level that is consistent with the B3 rating target is 0%, of which the issuer should provide 0% in a "committed" form. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
The cover pool losses of National Bank of Greece S.A. Global Covered Bond Programme are 47.1%, with market risk of 33.6% and collateral risk of 13.5%. The collateral score for this programme is currently 20.2%. The OC in this cover pool is 93.4%, of which NBG provides 81.8% on a "committed" basis. The minimum OC level that is consistent with the B3 rating target is 0%, of which the issuer should provide 0% in a "committed" form. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
The cover pool losses of National Bank of Greece S. A. Covered Bond Programme II are 28.8%, with market risk of 16.8% and collateral risk of 12.0%. The collateral score for this programme is currently 17.9%. The OC in this cover pool is 12.3%, of which NBG provides 5.3% on a "committed" basis. The minimum OC level that is consistent with the B3 rating target is 0%, of which the issuer should provide 0% in a "committed" form. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
For further details on cover pool losses, collateral risk, market risk, collateral score and TPI Leeway across covered bond programmes rated by Moody's please refer to "Moody's EMEA Covered Bonds Monitoring Overview", published quarterly. All numbers in this section are based on the most recent Performance Overviews (based on data as of 30 September 2013 and 30 June 2013 for National Bank of Greece S. A. Covered Bond Programme II , respectively).
-- TPI FRAMEWORK
Moody's assigns a TPI, which indicates the likelihood that the issuer will make timely payments to covered bondholders if the issuer defaults. The TPI framework limits the covered bond rating to a certain number of notches above the issuer's rating.
The TPI Moody's assigns to the covered bonds issued by NBG under its first programme remains at Very Improbable. The TPIs assigned to the other programmes remain at Improbable.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The issuer's credit strength is the main determinant of a covered bond rating's robustness. The TPI Leeway measures the number of notches by which Moody's might downgrade the issuer's rating before the rating agency downgrades the covered bonds because of TPI framework constraints.
The TPI Leeway for these programmes is limited, and thus any downgrade of the issuer ratings may lead to a downgrade of the covered bonds.
A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances, such as (1) a sovereign downgrade negatively affecting both the issuer's senior unsecured rating and the TPI; (2) a multiple-notch downgrade of the issuer; or (3) a material reduction of the value of the cover pool.
RATING METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach to Rating Covered Bonds", published in July 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.
Please note that on 19 September 2013, Moody's released a Request for Comment, requesting market feedback in which it proposes an adjustment to the anchor point it uses in its covered bond analysis. If the revised Credit Rating Methodology is implemented as proposed, the Credit Ratings of the covered bonds may be affected. Please refer to Moody's Request for Comment, titled "Approach to Determining the Issuer Anchor Point for Covered Bonds" for further details regarding the implications of the proposed Credit Rating Methodology changes on Moody's Credit Ratings https://www.moodys.com/research/...t-for-Covered-Bonds--PBS_SF342448.
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