...Performing Obligations: Capital controls and restrictions on banking activities imposed by the Greek government have not affected Greek covered bonds (CVB). The 2015 Legislative Act establishes, among other things, exemptions for payments related to securities and asset- backed securities issued directly or indirectly by a Greek bank, including coupon and principal payments. Timely payments on the CVB have been made since then and the Greek banks have continued to maintain the liquidity reserves against potential interest shortfalls. Recovery-Based Ratings: Fitch rates Greek CVB on the basis of recovery prospects on the bonds assuming a default of the issuer. This is because the banks' Issuer Default Ratings (IDRs) and Viability Ratings (VRs) are on `RD' and `f', respectively. Fitch considers the available protection to investors, mainly in the form of over-collateralisation (OC), and assesses whether it is sufficient to compensate for credit and interest-rate risk at the respective instrument...
