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23 Feb 2009
Approximately 1.8billion of Notes rated
London, 23 February 2009 -- Moody's Investors Service has assigned the following definitive rating
to one class of Notes issued by Anaptyxi SME II 2009-1 PLC (the
- A1 to the Euro 1,815,000,000 Class A Asset
Backed Floating Rate Notes due 2034
This transaction is the first Greek securitisation of receivables arising
from a portfolio comprising 100% Allilohreos loans originated by
EFG Eurobank Ergasias S.A. ("Eurobank EFG" rated A1/P-1)
to SME borrowers and governed under Greek law, and the second transaction
from Eurobank EFG containing such assets. The Allilohreos loan
agreement has no prescribed maturity and may be subject to termination
unilaterally (either in whole or in part) by either party at any time.
Subject to an aggregate drawdown not exceeding a limit initially set by
Eurobank EFG on each Allilohreos agreement, each accountholder may
execute a drawdown in any of, or all, three following types
of usage: (i) overdraft utilisation, (ii) term deal utilisation
and (iii) term loan utilisation. On the Closing Date, Eurobank
EFG assigned to the Issuer the right to receive the Current Termination
Amounts (the "CTA"), this being equal to the aggregate
amount owed by the accountholder under each Allilohreos agreement across
all types of usage if the Allilohreos agreement were to be terminated.
The repayment maturity will depend on the type of usage by the accountholder,
with overdrafts having no prescribed maturity, term deals having
maturities of up to twelve months and term loans having maturities of
up to twelve years. Given the complete flexibility for accountholders
to utilise all or part of their credit limit in any combination of the
three types of usage, Moody's considers that there is little
visibility as to the repayment profile on the assets during the life of
the transaction. Moody's has taken this into account during
its rating process.
In addition, given that the Allilohreos loans are designed to mostly
cover the working capital of the SME borrower, Moody's believes
that the borrowers may face difficulties in refinancing should termination
of the Allilohreos loans were to occur suddenly. This risk could
be particularly significant if, at the time of termination,
Eurobank EFG's credit strength and its ability to offer refinancing to
the borrowers were to significantly weaken or if Eurobank EFG were to
become insolvent. In addition, amounts outstanding under
the Allilohreos loans may become due and payable immediately upon termination
of the loans and the borrower could be suddenly obliged to make a full
payment under a loan while it was unexpected under the terms of the loan.
Given the lack of legal certainty on this point, Moody's believes
that it is likely that the Allilohreos loans may terminate automatically
by operation of law upon the default of Eurobank EFG. This could
potentially cause a payment shock for the borrowers, resulting in
a sharp increase in defaults on the pool. The magnitude of the
payment shock may be dependant on the ability of a substitute servicer
(if any) to restructure the loans following default of Eurobank EFG and
during the recovery process. Moody's has incorporated the
significant degree of uncertainty in the evolution of the performance
of the portfolio and believes that there is, amongst other things,
considerable linkage between the rating on the Notes and the rating of
Eurobank EFG. Moody's will also monitor and may review the default
assumption on the borrowers outside of a servicer default scenario if
portfolio performances and expectations for Greece economic environment
in the short to medium term were to deteriorate. Moody's
believes that the degree of risks highlighted above is commensurate with
the rating assigned on the Notes.
The transaction is structured to emulate the cashflow arrangements of
Master Trust structures utilised in credit card securitisation transactions
in the United Kingdom. As such, Eurobank EFG will retain
a significant interest in the portfolio in the form of a "Seller's
piece" (minimum level set at 7.0%) structured by way
of a Deferred Purchase Price mechanism. Upon occurrence of an early
amortisation event, the scheduled five-year Revolving Period
will end and the transaction will enter into an amortisation period whereby
principal will be repaid on the 2009-1 Loan Notes (and hence the
rated Notes) using a fixed investor percentage set at the start of the
early amortisation period. Early amortisation would take place
if, amongst other things, the following collateral tests are
not satisfied for 3 consecutive months: (i) the proportion of overdraft
utilisation exceeds 70% of aggregate CTA, (ii) the proportion
of term deal utilisation falls below 25% of aggregate CTA,
(iii) the number of accountholder falls below 3,000, (iv)
the largest exposure to one accountholder exceeds 1 % of aggregate
CTA and (v) the maximum exposure to accountholders belonging to the same
group exceeds 2.5% of aggregate CTA. In addition,
the rated Notes benefit from 45% credit enhancement in the form
of subordination of an unrated Class of Notes.
The rating addresses the expected loss posed to investors by the legal
final maturity. In Moody's opinion the structure allows for timely
payment of interest and ultimate payment of principal at par on or before
the rated final legal maturity date. Moody's ratings address only
the credit risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
The principal methodology used in rating the transaction was "Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa", June2007, which can be found at www.moodys.com
in the Credit Policy & Methodologies directory, in the Ratings
Methodologies subdirectory. Other methodologies and factors that
have been considered in the process of rating this issue can also be found
in the Credit Policy & Methodologies directory. In addition,
please refer to the New Issue Report for this transaction.
Date of previous rating action: no previous rating action.
For further information and in order to receive the New Issue Report,
please visit www.moodys.com or contact Moody's Client Desk
in London at +44-20-7772 5454.
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns rating to Notes issued by Anaptyxi SME II 2009-1 PLC
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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