Downgrades Continue for Greek ABS Deals

Moody's Investors Service downgraded the ratings of the senior notes in three Greek ABS deals originated by Piraeus Bank to 'Ba1sf' from 'Baa2sf'.

The downgrades follow the transfer of the issuer accounts from Citibank to Piraeus Bank on April 15. The issuer had previously transferred the issuer accounts to Citibank as part of recent amendments to these transactions.

Moody's said that the transfer of the issuer accounts back to the originator created a high linkage between the ratings of the notes in the three ABS transactions and those of Piraeus Bank. As such, the transactions now have a similar probability of default as the bank.

However, the notes' ratings are two notches above the bank's rating, as they reflect a lower expected loss on the notes on the back of the large amount of credit enhancement (40% to 45%) that supports the senior notes in the three transactions.