Agenția Moody’s a acordat ratingul Baa2, categoria „investment grade” (recomandat pentru investiții) pentru prima emisiune de obligațiuni ipotecare în valoare de 200 mil. euro din cadrul Programului anunțat de bancă.
Ratingul obligațiunilor ipotecare ce urmează să fie emise de Alpha Bank România este cu o treaptă peste ratingul suveran al României (Baa3), reflectând calitatea foarte bună a creditelor din portofoliul băncii.
Obligațiunile emise în cadrul Programului sunt garantate cu un portofoliu de creanțe decurgând din contractele de credit ipotecar/de investiții imobiliare aflate în derulare, fără ca emisiunea de obligațiuni ipotecare să atragă modificări în privința termenilor contractuali agreați anterior cu clienții băncii sau a garanțiilor aferente contractelor de credit.
Alpha Bank Romania a anunțat lansarea Programului de obligațiuni ipotecare în valoare de 1 miliard euro. Acesta este primul program de obligațiuni ipotecare din România. Alpha Bank intenționează să listeze obligațiunile emise în cadrul Programului atât pe Bursa din Luxemburg, cât și pe Bursa de Valori București.
Moody’s Investors Service („Moody’s”) has assigned a provisional (P)Baa2 long-term rating to the mortgage covered bonds to be issued by Alpha Bank Romania S.A. (the issuer, deposits Ba2 stable; baseline credit assessment b1; counterparty risk (CR) assessment Ba1(cr)).
A covered bond benefits from (1) the issuer’s promise to pay interest and principal on the bonds; and (2) following a CB anchor event, the economic benefit of a collateral pool (the cover pool). The rating therefore reflects the following factors:
(1) The credit strength of Alpha Bank Romania S.A. (deposits Ba2 stable; baseline credit assessment b1; counterparty risk (CR) assessment Ba1(cr) and a CB anchor of CR assessment plus 1 notch).
(2) Following a CB anchor event the value of the cover pool. The stressed level of losses on the cover pool assets following a CB anchor event (cover pool losses) for this transaction is 45.6%.
Moody’s considered the following factors in its analysis of the cover pool’s value:
a) The credit quality of the assets backing the covered bonds. The mortgage covered bonds are backed by Romanian residential mortgage loans. The collateral score for the cover pool is 16.9%.
b) The legal framework. Notable aspects of the Romanian covered bond legislation include:
– limits on the types of asset that can be included in the cover pool;
– asset coverage requirements, including that the net present value of the assets is at least equal to the netpresent value of the liabilities under defined stresses, and a rolling 180-day liquidity coverage test;
– provision for a dedicated cover pool administrator to take control of the cover pool following a CB anchor event. While not clear in all respects and subject to certain limitations, the administrator has powers to transfer the cover pool’s assets and liabilities to another issuer, to sell some or all of the assets in the cover pool, and to enter into liquidity loans; and – the role of the National Bank of Romania. Its duties under the law include approving covered bond issuances, approving the cover pool monitor and in certain scenarios, appointing a cover pool administrator.
c) The exposure to market risk, which is 34.2% for this cover pool.
d) The over-collateralisation (OC) in the cover pool is 18.6%, of which Alpha Bank Romania S.A. provides 2.0% on a „committed” basis (see Key Rating Assumptions/Factors, below).
The TPI assigned to this transaction is Improbable. Moody’s TPI framework does not constrain the rating.
Moody’s issues provisional ratings in advance of the final sale of securities and these ratings only represent Moody’s preliminary opinion. Upon a conclusive review of the transaction and associated documentation Moody’s will endeavour to assign a definitive rating to the covered bonds.
KEY RATING ASSUMPTIONS/FACTORS
Moody’s determines covered bond ratings using a two-step process: an expected loss analysis and a 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 this programme is CR assessment plus 1 notch. The CR assessment reflects an issuer’s ability to avoid defaulting on certain senior bank operating obligations and contractual commitments, including covered bonds. Moody’s may use a CB anchor of CR assessment plus one notch in the European Union or otherwise where an operational resolution regime is particularly likely to ensure continuity of covered bond payments.
The cover pool losses for the issuer’s mortgage covered bonds are 45.6%. This is an estimate of the losses Moody’s currently models following a CB anchor event. Moody’s splits cover pool losses between market risk of 34.2% and collateral risk of 11.3%. 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 measures losses resulting directly from cover pool assets’ credit quality. Moody’s derives collateral risk from the collateral score, which for this programme is currently 16.9%.
The over-collateralisation in the cover pool is 18.6%, of which the issuer provides 2.0% on a „committed” basis. Under Moody’s COBOL model, the minimum OC consistent with the (P)Baa2 rating is 0.5% (numbers in present value terms). These numbers show that Moody’s is not relying on „uncommitted” OC in its expected loss analysis.
All numbers in this section are based on Moody’s most recent modelling (based on data, as per 30 September 2018).
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.
For Alpha Bank Romania S.A. – Mortgage Covered Bonds, Moody’s has assigned a TPI of Improbable. Factors that would lead to an upgrade or downgrade of the rating:
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.
Reflecting some uncertainty as to whether OC in excess of what is needed to pass the statutory tests will be available to covered bondholders, the TPI Leeway for this programme is Limited or None. This implies that Moody’s might downgrade the covered bonds because of a TPI cap if it lowers the CB anchor, all other variables being equal.
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.
The principal methodology used in this rating 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.
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.
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