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Rating Action:

Moody's takes negative rating actions on two Greek covered bond programmes

23 Dec 2009

Marfin and National Bank of Greece covered bonds affected.

London, 23 December 2009 -- Moody's Investors Service has today taken the following rating actions on the covered bonds issued by Marfin and National Bank of Greece:

- Mortgage covered bonds issued by Marfin Egnatia Bank SA (Marfin) downgraded to Aa2 from Aa1; previously on 12 June 2009 downgraded to Aa1 from Aaa.

- Mortgage covered bonds issued by National Bank of Greece SA (NBG): Aaa rating placed on review for possible downgrade; rating initially assigned on 1 December 2008.

In addition, the Timely Payment Indicators (TPIs) for Marfin and NBG were lowered to Improbable from Probable.

Today's actions on these covered bonds were triggered by Moody's downgrade of the sovereign rating of Greece to A2 from A1. The action on the sovereign rating was due to the weakening economic and fiscal environment in Greece (for more details on the rationale behind Moody's action on the Greek sovereign rating, please see the press release dated 22 December 2009). The downgrade of the sovereign rating has affected the Greek covered bonds through its impact on:

(i) the TPIs for the covered bonds of Marfin and NBG. The TPIs for Marfin and NBG have been lowered following the downgrade of the sovereign as Moody's believes that the ability and willingness of the government and financial institutions in Greece to support any covered bonds following an issuer default weakens as the credit strength of the sovereign declines; and

(ii) indirectly, Moody's expected loss analysis on the covered bonds of NBG. The downgrade of the sovereign was one of the drivers behind the downgrade of NBG to A1 from Aa3. (for more information on the rating actions on the Greek banks, please see Moody's press release of 22 December 2009 entitled "Moody's downgrades several Greek banks"). This has a negative impact on the covered bonds as the credit strength of the issuer is incorporated in Moody's expected loss analysis on the covered bonds.

1) TIMELY PAYMENT INDICATORS

The TPI assesses the likelihood that timely payment will be made to covered bondholders following an issuer default and limits the covered bond rating to a certain number of notches above the issuer rating.

The issuer's rating for the purposes of Marfin's programme is A3 due to the revolving credit facility provided by Marfin Popular Bank Public Co (A3/P-1) to Marfin Egnatia Bank S.A. (for more information on the structure of this programme, please see the New Issue Report of 18 November 2008). Under Moody's TPI framework, based on its current issuer rating, the TPI of Improbable caps the covered bond ratings of Marfin at Aa2.

The rating for NBG is A1. In the case of NBG, the issuer's rating is sufficiently high that the lower TPI of Improbable does not cap the covered bond ratings to a level below Aaa. Moody's notes that the TPI framework acts as a cap to a covered bond rating and not as an assurance that such cap can be attained. Over the course of our review we will assess the feasibility of assigning a Aaa to these covered bonds.

The TPI assigned to the covered bonds issued by the only other Greek covered bond issuer, Alpha Bank plc, remains unchanged at Probable. This is due to the 10-year extension period enjoyed by the covered bonds of Alpha.

For most transactions, the most important determinant of the TPI is the level and impact of refinancing risk, which arises where long-dated cover pool assets need to be sold or refinanced to fund repayment of shorter-dated covered bonds. The availability of liquidity to support this process is key and the credit strength of the sovereign is taken into consideration when determining whether this liquidity will be available should an issuer default.

Mitigation of refinancing risk may depend on whether individual issuers can expect to receive support for their cover pools following insolvency, either from other financial institutions or from the government. The ability of the government to provide such support, either directly or through support for financial institutions that could act as potential purchasers of the cover pool, will weaken as the sovereign's credit strength declines. Moody's Sovereign Rating Group observes that, as government finances become more stretched, in the absence of significant economic and fiscal reforms in Greece, the interests of the government's creditors and those of other stakeholders would likely come into conflict with increasing frequency. Given the nature of the political economy in Greece, it is not clear that any such tensions would be resolved to the benefit of debt stakeholders (for more details on Moody's views on Greece solvency, please see Moody's report entitled "Investor Fears of Liquidity Crisis in Greece are Overdone" published in December 2009). Moody's notes that in Greece, where the covered bond market is still developing, the reliance on covered bonds as a funding tool is limited, only a few covered bond issuers exist and limited issuance has been made in the public markets.

2) EXPECT LOSS METHODOLOGY

The senior unsecured rating of NBG was yesterday downgraded to A1 from Aa3 due to a weakening of the bank's stand-alone financial strength together with Moody's reassessment of the country's ability to support its banking system. The credit strength of the issuer is incorporated in Moody's expected loss analysis on the covered bonds. As a result, given the lower issuer rating, all else being equal, the current level of over-collateralisation is no longer consistent with an expected loss on the covered bonds of Aaa -- hence today's decision to place this rating on review for possible downgrade. During the course of its review, Moody's expects to receive information from NBG as to whether any additional credit support will be provided to the programme and in what amount.

The principal methodologies used in rating these transactions were "Moody's Rating Approach to European Covered Bonds" published in June 2005, "Timely Payment in Covered Bonds following Sponsor Bank Default", published in March 2008, and "Assessing Swaps as Hedges in the Covered Bond Market", published in September 2008. All can be found on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

The rating assigned by Moody's addresses the expected loss posed to investors. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Madrid
Juan Pablo Soriano
Managing Director
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Massimo Catizone
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes negative rating actions on two Greek covered bond programmes
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