DBRS Assigns Provisional Rating to Pillar Finance Designated Activity Company

DBRS Ratings Limited (DBRS) assigned the following provisional rating to the notes to be issued by Pillar Finance Designated Activity Company (Pillar) (the Issuer):

-- EUR 1,044,000,000 Class A Notes at BB (low) (sf)

The rating on the Class A Notes addresses the ultimate repayment of interest and principal.

The rating can be finalised upon the receipt of an execution version of the governing transaction documents. To the extent that the final documents differ from the documents that were provided at the time of this rating action, DBRS may assign a different final rating to the notes.

The notes are backed by a EUR 2.0 billion portfolio by gross book value consisting of restructured loans and denounced and non-denounced Greek non-performing loans originated by Eurobank Ergasias S.A. (Eurobank or the Originator). The vast majority of the loan portfolio is composed of secured residential mortgage loans disbursed to private individuals (87.0% of real estate value by residential assets, 5.2 % of real estate by mixed commercial properties and the remaining 6.4% of real estate by land). The receivables are sold by Eurobank to Pillar. The servicer for the loans is Eurobank Financial Planning Services S.A. (FPS or the Special Servicer).

The entire portfolio is secured, and 59.9% of the loans benefit from a first-ranking lien. The secured loans included in the portfolio are backed by properties homogeneously distributed across Greece, with concentrations in the metropolitan area of Athens (46.6% by real estate value).

DBRS assumed positive indexation of 1.5% per annum.

The ratings are based on DBRS’s analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of the Special Servicer, the available liquidity to fund interest shortfalls and special-purpose vehicle expenses and the transaction’s legal and structural features. DBRS’s BB (low) (sf) rating stresses assume a haircut over the estimated collections as per the Special Servicers’ business plan for the portfolio. DBRS’ analysis of the business plan is based upon the validity of the Law 4605/3029 (New Katseli Law).

DBRS analysed the transaction structure using Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating European Non-Performing Loans Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include the Originator and the Special Servicer.

DBRS did not rely upon third-party due diligence to conduct its analysis. DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with
the rating process.

This rating concerns a newly issued financial instrument.

This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared with the parameters used to determine the rating (the Base Case):

Recovery Rates Used: DBRS determined a Cumulative Base Case Recovery Amount at the BB (low) (sf) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A Notes to CCC (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to below CCC (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Alessio Pignataro, Senior Vice President, Global Structured Finance
Initial Rating Date: 30 May 2019
Rating Committee Chair: Christian Aufsatz, Managing Director, Global Structured Finance

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Registered and incorporated under the laws of England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- European RMBS Insight Methodology
-- European RMBS Insight: Greek Addendum
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.