Madrid, July 16, 2019 -- Moody's Investors Service has today taken the following rating actions
on the ratings of the mortgage covered bonds across three Greek covered
bond programmes:
- Upgraded to Baa1 from Baa2, the covered bonds issued by
Eurobank Ergasias S.A. (CR assessment B1 (cr)), under
its Mortgage Covered Bonds 1 programme.
- Upgraded to Baa3 from Ba1, the covered bonds issued by
Eurobank Ergasias S.A., under its Mortgage Covered
Bonds 2 programme.
- Upgraded to Baa1 from Baa3, the covered bonds issued by
National Bank of Greece S.A. (CR assessment B1 (cr)),
under its Mortgage Covered Bonds 2 programme.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF482045
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
The rating actions on the covered bond ratings follow the rating actions
on Eurobank Ergasias S.A. and National Bank of Greece S.A.
CR assessments.
The ratings of Eurobank Ergasias S.A. - Mortgage
Covered Bonds 1 are now constrained by the country ceiling, while
the ratings of Eurobank Ergasias S.A. - Mortgage
Covered Bonds 2 are now constrained by the timely payment indicator (TPI)
of "Very Improbable".
The ratings of National Bank of Greece S. A. - Mortgage
Covered Bonds 2, are now constrained by both country ceiling and
TPI of "Probable".
Please refer to "Moody's changes the deposit rating outlook to positive
on three Greek banks" July 16, 2019: https://www.moodys.com/research/viewresearchdoc.aspx?docid=PR_404812.
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 probability that the issuer will
cease making payments under the covered bonds (a CB anchor event),
and (2) the stressed losses on the cover pool assets following a CB anchor
event.
The CB anchor for the programmes is the CR assessment plus one notch.
The cover pool losses are an estimate of the losses Moody's currently
models following a CB anchor event. Moody's splits cover
pool losses 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 is derived from the collateral score, which measures
losses resulting directly from the cover pool assets' credit quality.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF482045
for details on cover pool losses, collateral risk, market
risk, collateral score and TPI Leeway for the affected credit ratings.
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 "Covered Bonds Sector Update",
published quarterly.
TPI FRAMEWORK: Moody's assigns a "timely payment indicator" (TPI),
which measures the likelihood of timely payments to covered bondholders
following a CB anchor event. The TPI framework limits the covered
bond rating to a certain number of notches above the CB anchor.
RATING METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating Covered Bonds" published in February 2019. Please see
the Rating Methodologies page on www.moodys.com for a copy
of this methodology.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The CB anchor is the main determinant of a covered bond programme's rating
robustness. A change in the level of the CB anchor could lead to
an upgrade or downgrade of the covered bonds. The TPI Leeway measures
the number of notches by which Moody's might lower the CB anchor before
the rating agency downgrades the covered bonds because of TPI framework
constraints.
A multiple-notch downgrade of the covered bonds might occur in
certain circumstances, such as (1) a country ceiling or sovereign
downgrade capping a covered bond rating or negatively affecting the CB
Anchor and the TPI; (2) a multiple-notch downgrade of the
CB Anchor; or (3) a material reduction of the value of the cover
pool.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Miguel Lopez Patron
AVP-Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Jose de Leon
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
