Press Release

DBRS Morningstar Confirms BBB (low) Ratings on Piraeus Bank SA Global Covered Bonds Programme (GCB - Mortgages - CPT)

Covered Bonds
August 27, 2021

DBRS Ratings GmbH (DBRS Morningstar) confirmed its BBB (low) ratings on the Greek Covered Bonds (GCB or the Greek legislative covered bonds) issued under the EUR 10,000,000,000 Piraeus Bank SA Global Covered Bonds Programme (the Programme).

There are five series currently outstanding under the Programme, totalling a nominal amount of EUR 3 billion.

DBRS Morningstar based its ratings on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) reflective of the likelihood that the source of payments will switch from the Reference Entity (RE) to the cover pool (CP). Piraeus Bank SA (Piraeus) is the Issuer and RE for the Programme. DBRS Morningstar does not currently classify Greece as a jurisdiction for which covered bonds (CB) are a particularly important financing tool. Piraeus is subject to the European Union’s Bank Recovery and Resolution Directive. The CP is composed of residential mortgage loans. DBRS Morningstar considers it likely that this form of lending would be part of the activity of a going-concern entity possibly resulting from the resolution of the RE.
-- A Legal and Structuring Framework (LSF) Assessment of “Very Strong” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of B, being the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of BB (high).
-- A one-notch uplift for good recovery prospects.
-- A level of overcollateralisation (OC) of 28.8% to which DBRS Morningstar gives credit, being the minimum observed OC level during the past 12 months adjusted by a scaling factor of 0.93. The Issuer contractually commits to maintain a minimum 25% OC level in the nominal value test.

DBRS Morningstar analysed the transaction using its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets and interest rate stresses. In accordance with DBRS Morningstar’s “Rating and Monitoring Covered Bonds” methodology, DBRS Morningstar did not consider any forced asset liquidation for this transaction, given the conditional pass-through structure, and DBRS Morningstar has assumed several prepayment scenarios.

Everything else being equal, a one-notch downgrade of the CBAP would lead to a one-notch downgrade of the LSF-L, resulting in a one-notch downgrade of the CB rating.

In addition, everything else being equal, the CB rating would be downgraded if any of the following occurred: (1) the CPCA is downgraded below B (low); (2) the LSF Assessment associated with the Programme is downgraded; or (3) the quality of the CP and the level of OC are no longer sufficient to support a one-notch uplift for good recovery prospects.

Citibank N.A./London Branch (Citibank London) acts as Transaction Bank and holds the Commingling Reserve in a dedicated ledger of the Transaction Account. The DBRS Morningstar private ratings on Citibank London comply with the threshold for the Account Bank, given the rating assigned to the GCB, as described in DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” and “Rating and Monitoring Covered Bonds” methodologies.

The total outstanding amount of GCB is currently EUR 3 billion while the aggregate balance of loans (as at June 2021) in the CP was EUR 4.4 billion of first-lien residential mortgage loans, resulting in a total OC of 48.0%.

As at June 2021, the CP comprised 107,681 residential mortgage loans originated by Piraeus. The weighted-average (WA) current loan-to-value ratio of the mortgages was 48.6% and the WA seasoning was 147.3 months. The assets securing the loans in the CP are located predominantly in the regions of Attica (40.7% by outstanding loan amount), Thessaloniki (11.8%), and Macedonia (9.2%).

The CP comprises 99.6% floating-rate mortgage loans, indexed to different plain vanilla bases, which reset at different dates. This compares with 100% of the liabilities paying a floating rate linked mostly to three-month Euribor plus a spread. The resulting interest and basis risks are not hedged.

DBRS Morningstar has analysed the CP using its European RMBS Insight Model and “European RMBS Insight: Greek Addendum” methodology.

DBRS Morningstar flagged 2.7% of the loans by amounts outstanding as “restructured” for the purposes of the European RMBS Insight Model. In DBRS Morningstar’s CPCA scenario, that is “B”, the distressed sale discount reduced to 33% from 50% and the recovery lag reduced to 60 months from 120 months based on the historical data. DBRS Morningstar calculated the resulting expected loss in a B (low) scenario at 14.3% and in a BBB (low) scenario at 22.1%.

All CP assets and GCB are denominated in euros. As such, investors are not currently exposed to any foreign-exchange risk.

The “Very Strong” LSF Assessment associated with the Programme reflects DBRS Morningstar’s view of
(1) The Greek CB legal framework giving CB holders first priority right on the CP, in combination with a residual commingling risk that DBRS Morningstar considers mitigated by giving limited credit to the amounts standing to the credit of the collection account held with Piraeus and the daily sweep;
(2) The contractually sanctioned six-month liquidity coverage rule, which ensures that, at any time, a dedicated ledger of the Transaction Account (held with Citibank London or an eligible institution) is credited with sufficient cash to cover six months of interest and senior costs;
(3) The conditional pass-through nature of the structure whereby the series that have not been repaid on their expected maturity date become pass-through with (A) the maturity extended to a date which, in DBRS Morningstar’s stressed simulations, allows all loans in the CP to amortise fully and related recoveries to be collected and (B) proceeds from the CP allocated pro rata and pari passu to the series of GCB that are pass-through; and
(4) The role of the Central Bank of Greece in the supervision of the Greek CBs.

For more information, please refer to the DBRS Morningstar commentary “Greek Covered Bonds: Legal and Structuring Framework Review” on

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that payment holidays and delinquencies may continue to increase in the coming months for many CPs, some meaningfully. The ratings are based on additional analysis as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar assumed loans previously restructured were in arrears and that there was a moderate decline in residential property prices.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 18 June 2021. For details, see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 14 June 2021, DBRS Morningstar updated its 5 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated covered bonds in Europe. For more details, please see: and

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at

On 9 October 2023, DBRS Morningstar amended the above press release to consider the absence of third-party assessment at the time of the initial credit ratings.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating and Monitoring Covered Bonds” (10 June 2021).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at:

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include investor reports and loan-by-loan data on the CP as of June 2021 provided by the Issuer.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

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

The last rating action on this transaction took place on 28 August 2020, when DBRS Morningstar confirmed its BBB (low) ratings on the GCBs.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

The lead analyst responsibilities have been transferred to Tomas Rodriguez Vigil.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Tomas Rodriguez Vigil, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 27 August 2018

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The rating methodologies used in the analysis of this transaction can be found at:

-- Rating and Monitoring Covered Bonds (10 June 2021),
-- Rating and Monitoring Covered Bonds Addendum: Market Value Spreads (10 June 2021),
-- Global Methodology for Rating Banks and Banking Organisations (19 July 2021),
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
-- European RMBS Insight Methodology (3 June 2021) and European RMBS Insight Model v5.2.0.0,
-- European RMBS Insight: Greek Addendum (15 March 2021),
-- Operational Risk Assessment for European Structured Finance Originators (30 September 2020),
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020),
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),
-- Global Methodology for Rating Sovereign Governments (9 July 2021),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at [email protected].