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National Bank Of Greece I And II Covered Bond Program Ratings Raised Following Greece Upgrade


  • On April 23, 2021, we raised our long-term sovereign credit ratings on Greece to 'BB' from 'BB-' and affirmed our 'B' short-term ratings. The outlook is positive.
  • Following this upgrade and the application of our sovereign risk criteria, we have raised to 'A-' from 'BBB+' our ratings on the mortgage covered bonds issued by National Bank of Greece under its covered bond programs I and II.
  • Both programs have conditional pass-through payment obligation structures, which mitigate asset and liability mismatch risk. As a result, our ratings on the covered bonds are delinked from the issuer's jurisdiction-supported rating level, and we do not assign an outlook.

MADRID (S&P Global Ratings) April 30, 2021--S&P Global Ratings today raised to 'A-' from 'BBB+' its credit ratings on the mortgage covered bonds issued by National Bank of Greece S.A. (NBG) under its covered bond program I and II.

Today's upgrade follows our April 23, 2021, upgrade of Greece (see "Greece Upgraded To 'BB' On Improved Governance Effectiveness; Outlook Positive") and the application of our sovereign risk criteria (see "Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions," published on Jan. 30, 2019). Under these criteria, conditional pass-through programs can achieve up to six notches above the rating on the sovereign. Ratings below the cap typically result from considerations of relative creditworthiness, credit stability, the sovereign rating and outlook, and the application of other criteria. Greek covered bonds do not currently qualify for the maximum rating differential and can be rated up to five notches above the sovereign rating, provided that the program has sufficient overcollateralization to withstand a sovereign default simulation, which is the case in both programs. Given our current long-term sovereign rating on Greece of 'BB', the mortgage covered bonds can achieve a maximum rating of 'A-'.

Environmental, social, and governance (ESG) factors--governance in particular--were a primary driver of the rating action on the Greek sovereign. Because the ratings on the NBG covered bond programs are linked to those on the Greek sovereign, governance is also a primary driver of today's rating actions.

Asset-liability mismatch risk is mitigated in the program because, if the issuer enters bankruptcy and certain additional trigger events occur, the initially scheduled principal bullet payment obligations on the covered bonds switch to pass-through mode. Under our covered bonds criteria, this allows us to delink the rating on the covered bonds from the issuer's jurisdictional-supported rating (see "Covered Bonds Criteria," published on Dec. 9, 2014). In this case, we determine the maximum potential rating according to our covered bonds criteria by assessing whether the available credit enhancement is sufficient to pass our stress scenarios at the different rating levels. The committed credit enhancement in both programs is above the overcollateralization level required by the programs to achieve the 'A-' rating.

The assigned ratings on the program are not constrained by counterparty, legal, or administrative and operational risks. We do not assign rating outlooks for programs when we believe the program's creditworthiness does not depend on that of the issuing bank.

Environmental, social, and governance (ESG) factors for this credit rating change:
  • Governance factors.
Potential effects of COVID-19

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research here: As the situation evolves, we will update our assumptions and estimates accordingly.

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Primary Credit Analyst:Marta Escutia, Madrid + 34 91 788 7225;
Secondary Contact:Adriano Rossi, Milan + 390272111251;

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