Moody’s put SNS Bank covered bonds on review for downgrade yesterday (Thursday) after having put the issuer on negative review because of concerns about its exposure to commercial real estate and capital ratios.

SNS Bank’s Baa2 rating was put on review for downgrade in Wednesday. (See coverage here.)

Any downgrade of SNS Bank could result in a downgrade of the covered bonds from Aa2 under Moody’s Timely Payment Indicator (TPI) framework, with the programme having a TPI of “probable”.

Moody’s estimates cover pool losses of 20.4% in the event that SNS Bank defaults, split between market risk of 16.5% and collateral risk of 3.9%, the latter being derived from a collateral score of 5.9%.

While overcollateralisation in the cover pool is 45.8%, according to Moody’s, OC of 26.6% is provided on a “committed” basis, compared with an Aa2 rating target level of 14.5%.