OREANDA-NEWS. Fitch Ratings has upgraded 18 tranches of seven Greek RMBS originated by Piraeus Bank S.A. (Piraeus, RD/RD, VR: f), Consignment Deposit & Loans Fund and Eurobank Ergasias S.A. Fitch has also taken rating actions on one credit-linked Greek ABS tranche and four covered bonds programmes issued by Alpha Bank AE (Alpha, RD/RD, Viability Rating (VR): f), National Bank of Greece S.A. (NBG, RD/RD, VR: f), and Piraeus.

The rating actions follow the upgrade of the Greek sovereign's Issuer Default Rating (IDR) to 'CCC' and revision of the Country Ceiling to 'B-' (see 'Fitch Upgrades Greece to 'CCC'' dated 18 August 2015 at www.fitchratings.com).

A full list of rating actions can be found on www.fitchratings.com or by clicking the link above.

KEY RATING DRIVERS
Higher SF Cap
As a result of the sovereign IDR upgrade and Country Ceiling revision, Fitch has revised the SF rating cap to 'B-sf'. This led to the upgrade of 18 RMBS tranches to 'B-sf', currently the highest achievable rating for Greek SF transactions. The Outlook assigned to the tranches rated 'B-sf' is Stable.

Linked Rating
Aeolos S.A. is a Greek ABS transaction guaranteed by the Greek government and backed by receivables from Greek airspace route charges. Fitch upgraded the notes to 'CCCsf' to reflect the strong cash flows and link to the sovereign IDR. The terms of the notes include a provision for noteholders to call an event of default if the sovereign defaults. This option was not exercised when the Greek sovereign defaulted in 2012 and Fitch expects this will also be the case in the current circumstances.

Reduced Country Ceiling and Bank IDRs
The covered bond rating actions are driven by the revised Country Ceiling.

The levels of protection committed by Piraeus and NBG for its Programme I (66.7% and 25% over-collateralisation (OC), respectively) are sufficient to achieve outstanding recovery prospects given default of the issuer (91%-100%), which according to Fitch's rating definitions, are commensurate with the 'B-' rating. As a result Fitch has upgraded the ratings of the Piraeus and NBG Programme I covered bonds to 'B-' from 'CCC'. The Outlook assigned to both programmes is Stable.

The covered bonds issued by Alpha and NBG under its Programme II have been upgraded to 'CCC+' from 'CCC' based on the superior recovery prospects given default of the issuer (71%-90%) achieved with the OC that Fitch relies upon (5.3% minimum legal and 25% commitment, respectively).

Unpublished Discontinuity Caps
As the Greek covered bonds issuers' IDRs remain at 'RD', reflecting an uncured payment default on obligations other than the covered bonds, Fitch maintains its view that the IDR is not a starting point for its covered bonds credit risk assessment. As a result, Fitch's Discontinuity Cap and IDR uplift analysis, which generally determines the maximum rating notch uplift from the IDR of the issuing entities to the covered bond rating on a probability of default basis, remain unpublished.

RATING SENSITIVITIES
Further changes in the sovereign rating or the Country Ceiling will affect the rating of the highest rated SF tranches and covered bond programmes.

The ratings of the covered bond programmes are also sensitive to changes to Greek banks' IDRs.

The ratings of NBG and Piraeus' covered bonds would be vulnerable to downgrades if the asset percentage considered in Fitch's analysis increases above the breakeven levels of 92.5% (for NBG Programme I), 86% (NBG Programme II) and 75% (Piraeus).

In the event of an extended or permanent interest payment shortfall or, after expiry of the applicable extension, a material principal shortfall, Fitch would likely downgrade the rating of the covered bonds to 'RD' or 'D'.

DUE DILIGENCE USAGE (only applicable to the RMBS and ABS transactions)
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
No new data was used in this rating action.

MODELS
No models were used in this rating action.