Fitch puts Alpha bonds on positive watch

Fitch Ratings said it placed Alpha Bank SA's covered bonds' BBB- rating on rating watch positive.

The placement follows the publication of the agency's revised covered bonds rating criteria published on Monday, the agency said. The RWP indicates the possibility of an upgrade or affirmation, and Fitch said it will resolve it within six months upon receiving updated information on the underlying portfolio.

“Fitch has recalibrated and reduced the applicable refinancing spread levels (RSLs) for Greek residential mortgages to 300 bp in a B scenario (from 400 bp previously), keeping them unchanged at BBB+ (the maximum achievable rating for Greek covered bonds). Fitch applies the RSLs in its covered bond analysis when simulating the sale of the cover assets once the recourse to the cover pool has been enforced upon issuer default. The reduction in the RSLs could result in a lower breakeven overcollateralization (OC) for the covered bond rating, leading to a potential upgrade,” the agency said in a press release.

In the case of Alpha, the bonds are rated BBB- reflecting five notches above the bank's B issuer rating, out of a maximum achievable uplift of 10 notches. “This is based on an unchanged resolution uplift of two notches, an unchanged payment continuity uplift (PCU) of six notches and a recovery uplift of three notches (which would be capped at two notches if the timely payment rating level was in the investment-grade category),” Fitch said.

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