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Global Credit Research - 09 Sep 2010
Greek RMBS&ABS Indices -- June 2010
Frankfurt am Main, September 09, 2010 -- Greek RMBS&ABS Indices -- June 2010
According to the new indices published by Moody's Investors Service,
the Greek residential mortgage-backed securities (RMBS) and asset-backed
securities (ABS) market recorded a stable performance trend over the past
year, despite the severe deterioration of the greater economy and
the sharp increase in country and banking sector risk.
In June 2010, RMBS transactions showed a 90-days plus delinquency
trend of 0.9%, which compares with 1.1%
in June 2009. The cumulative defaults trend has remained constantly
between 0.4% and 0.5% since August 2008.
The Moody's annualised total redemption rate (TRR) trend increased to
8.1% in June from 7.3% in June 2009.
As most Greek ABS transactions were issued during the course of the past
two years, only limited historical performance data is available
for this market. The 90-days plus delinquency trend for
the ABS SME/leases market recorded 1.5% in June 2010.
While Synergatis and Anaptyxi 2006-1 recorded delinquencies of
2.9% and above, all other ABS SME and lease transactions
recorded 1.0% and lower delinquencies. The index
has declined over the past year as new transactions with low delinquencies
were added to the index. The cumulative defaults trend was 0.5%
in June 2010, while the defaults in those transactions in the index
range from 0% to 2.5%. Moody's annualised
TRR trend has declined constantly over the past year, reaching 34.2%
The ABS consumer loan transactions have had a stable performance over
the past year, with the 60+ days delinquencies of Daneion 2007-1
remaining within its historical range of 14%, while the other
two transactions, Katanalotika and Praxis 1, recorded 1.9%
and 7.0%, respectively. The cumulative defaults
of the Daneion and Katanalotika transactions reached 5.5%
and 4.2%, respectively, while Praxis 1 recorded
1.8% of cumulative defaults in June 2010. The Moody's
annualised TRR in the three consumer ABS transactions ranged from 25%
to 31% in June 2010.
The reserve funds of the Themeleion 2 and 3 transactions were below their
target levels at their most recent interest payment dates. However,
this deviation was for purely structural reasons. Upon the loss
of P-1 rating by Eurobank EFG, the target balances of the
reserve funds have increased to 3% of the original balance of the
transactions, and the available amounts were drawn to finance the
Greece has been particularly affected by a loss of market confidence in
its ability to sustain the high levels of government indebtedness.
As a response, EU countries and the IMF have put together EUR110
billion in an emergency financial aid plan. The receipt of these
funds is contingent on the Greek government committing to an austerity
programme designed to cut the public deficit from 13.6%
in 2009 to 8.1% in 2010 and to below 3.0%
by 2014. Cutbacks of this scale are expected to have a large impact
on personal disposable income as tax collection will increase and benefits
will decrease. Civil servant employment and wages will be particularly
affected, but as the recession is expected to continue into at least
2011, employees of all segments are expected to be negatively impacted.
GDP is expected to contract by 4.0% in 2010 and a further
2.6% in 2011.
House prices have only fallen 5.7% so far from the peak
reached in Q4 2008, but the outlook for house price movements is
highly uncertain given the government's crackdown on tax evasion,
the scale of its fiscal austerity programme, and the magnitude and
duration of the recession.
Although consumer indebtedness according to official statistics is moderate
when compared to other EU countries, household spending habits have
been formed in a relatively low tax environment (especially considering
the extent of tax evasion that is present in the economy). Households
with consumer debt may face a significant shock to disposable income as
taxation increases and tax enforcement improves.
All transactions have been reviewed in light of the increased country
and banking sector risk, highlighted by the downgrade of the Government
of Greece's sovereign rating and the downgrade of a number of Greek
financial institutions. Most of the transactions have been downgraded
and a number remain on review as Moody's assesses the restructuring
proposals in these deals. The impact of the austerity plan in Greece
and expectations for economic performance will impact the performance
of consumer pools, and if this performance falls outside of Moody's
expected ranges, it could cause further negative rating actions.
Moody's is aware of a new Greek law which became effective on 1st
September 2010 which enables over-indebted borrowers to seek debt
relief in front of a court. Moody's will assess the potential
impact of the new legislation on existing and new transactions and discuss
our views in upcoming publications.
Moody's outlook for the Greek RMBS & ABS markets is negative (see
the report "EMEA ABS, CMBS & RMBS Asset Performance Outlooks,
July 2010).In total, 11 RMBS transactions (nine outstanding)
and 13 ABS transactions (12 outstanding) launched and rated by Moody's
since 2004 have been included in the index. Another two credit
card transactions, one of which was fully redeemed in July,
and two transactions linked to the Greek government have been rated but
are not included into the index, as their performance metrics are
not comparable to other ABS and RMBS transactions.
As of June 2010, the total outstanding pool balance in the Greek
RMBS market was EUR5.1billion, compared to EUR8.4billion
one year previously, which constitutes a year-on-year
decrease of 39.4%. The decrease is mainly due to
the redemption of Themeleion 5 and 6 transactions. Currently,
the balance of the Moody's rated Greek RMBS market is at its mid
2007 levels. While seven of the nine currently outstanding Greek
RMBS transactions closed in 2007 and earlier, there are only two
ABS transactions, namely Anaptyxi 2006-1 and Daneion 2007-1,
which closed in 2006 and 2007, respectively. Three ABS transactions
closed in 2008 and eight in 2009. The balance of the Greek consumer
ABS increased from EUR5.029 billion at the beginning of 2009 to
EUR5.067 billion in June 2010. In the same period,
the balance of SME and leasing ABS increased to EUR17.3 billion
from EUR11.1 billion.
Moody's indices are published mid-month and can be found on www.moodys.com
in the Structured Finance sub-directory under the Research &
Ratings tab, under the Structured Indices sub-category of
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
Moody's Introduces Greek RMBS And ABS Performance Indices
An der Welle 5
Frankfurt am Main 60322
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