Moody’s on Thursday cut to Ba2 grade covered bonds issued by Bank of Cyprus out of a Cypriot cover pool, after having maintained them on review for downgrade when it lowered other Cypriot covered bonds because it was waiting for further information from the issuer.

The downgrade of the covered bonds, from Baa3 to Ba2, comes after the rating agency on 14 March cut Bank of Cyprus from Ba2 to B1, on negative outlook. Moody’s on 29 March lowered the ratings of covered bonds issued by Marfin Popular Bank, those backed separately by Cypriot and Greek residential mortgages, and Bank of Cyprus covered bonds backed by Greek residential mortgages. (Click here for more.)

At the time, the rating agency said that it had maintained on review for downgrade the Baa3 rating of Bank of Cyprus’s Cypriot loan-backed covered bonds because it was waiting for further information from the issuer on its plans for the programme.

The Covered Bond Report was unable to find out by the time of going to press whether Moody’s received this information and to what extent it informed Thursday’s rating action.

The combination of a Timely Payment Indicator (TPI) of “very improbable” and the revised issuer rating indicates a maximum covered bond rating in the Ba range, according to Moody’s.

The cover pool losses Moody’s uses in its analysis of the BoC Cypriot programme are 49.0%, according to the rating agency, with market risk of 37.2% and collateral risk of 11.8%. The collateral score for the programme is 17.7%.