Alpha Bank covered bonds were upgraded from BB- to BB+ by Fitch on Thursday, with the rating agency changing its initially planned action upon receipt of additional information from the Greek issuer, which has lifted its committed OC level from 25% to 27%. Fitch also put Bank of Cyprus on RWP.

Alpha’s was one of four Greek programmes put on Rating Watch Positive (RWP) on 22 August following an improvement in Greece’s country ceiling, and on 18 October Fitch concluded its rating action on the other three in question, comprising National Bank of Greece and Piraeus covered bonds. It did so after publishing asset assumptions for Greek residential mortgage loans and refinancing spread levels up to the BBB- country ceiling.

Upgrading Alpha’s covered bonds a week later, Fitch noted that the rating action was different than the original rating committee outcome, with the issuer having appealed and provided additional information to the rating agency.

Fitch and Alpha declined to comment further on the reason why the rating action was different than the original rating committee outcome.

According to Fitch, Alpha will start maintaining committed overcollateralisation (OC) of 27% from the calculation period ending on 31 October (Wednesday), which will be included in the November investor report. This is a change from that previously committed to by Alpha, of 25%, which was in line with the level of other Greek programmes and also that required by the European Central Bank for CBPP3-eligibility.

Fitch said the relied-upon OC provides more protection than the BB+ breakeven OC of 26.5% and is sufficient to withstand stresses at the B+ tested rating on a probability of default (PD) basis. It assigned full recovery uplift of three notches, as the relied-upon OC offsets the credit loss at the covered bonds’ rating, it added.

On Friday Fitch put Bank of Cyprus mortgage covered bonds’ BBB+ rating on Rating Watch Positive. The move follows an upgrade of Cyprus to BBB- and an increase in the country ceiling to A. Fitch said it will review and set asset and cashflow assumptions for the analysis of Cypriot residential mortgage loans up to the revised country ceiling.