Transaction Update: National Bank of Greece S.A. Covered Bond Program

Potential mismatches between the assets and liabilities are structurally mitigated by the extendible feature of the notes, allowing us to delink the covered bond rating from the long-term issuer credit rating (ICR). The contractual credit enhancement exceeds the credit enhancement required at a 'BBB+' rating level. The cover pool comprises highly seasoned residential loans. Although improving, macroeconomic conditions in Greece remain weak and the operating environment is challenging. This is reflected in the cap of five notches above the rating on the sovereign and in the base foreclosure frequencies of residential mortgages in our credit analysis. The foreclosure process of properties backing mortgage loans in Greece is lengthy and subject to various legal and operational challenges. We have considered these

...+ Potential mismatches between the assets and liabilities are structurally mitigated by the extendible feature of the notes, allowing us to delink the covered bond rating from the long-term issuer credit rating (ICR). + The contractual credit enhancement exceeds the credit enhancement required at a '###+' rating level. + The cover pool comprises highly seasoned residential loans....

Transaction Update Report