Ba1(sf) remains the highest rating level for Greek structured finance transactions
Paris, June 10, 2011 -- Moody's Investors Service has today downgraded 10 tranches of 5
asset-backed security (ABS) transactions, 14 tranches of
8 residential mortgage-backed security (RMBS) transactions and
confirmed the ratings of 2 ABS and 7 tranches of 5 RMBS transactions,
backed by Greek assets and serviced by Greek entities. At the same
time, Moody's downgraded to Ba1(sf) from Baa1(sf) the senior
note ratings of two Greek ABS transactions serviced by Cypriot entities.
Moody's maintained on review for downgrade its rating on one ABS
and one CLO transaction. The highest rating achievable for a Greek
structured finance transaction remains Ba1(sf).
The ratings are positioned such that an orderly restructuring of Greek
government debt would likely have no further impact on the Greek structured
finance ratings, with the exception of the highly linked transactions
noted below.
RATINGS RATIONALE
Today's rating actions follow Moody's downgrade to Caa1 from
B1 of the Greek government debt rating on 1 June 2011 and, to a
lesser extent, the ratings of Greek banks that act as key transaction
parties to B3 from Ba3 on 3 June 2011.
On 13 May 2011, Moody's downgraded to Ba1(sf) all Greek structured
finance transactions serviced by Greek entities, as a result of
the increased likelihood of high severity events that will weaken structured
finance transactions.
These events include: (i) a severe macroeconomic decline that will
hurt asset performance; and (ii) deterioration in the creditworthiness
of a sovereign or local bank, which will increase the operational
risk of a disruption in the performance of banks acting as key transaction
parties. Regardless of the structural features or the amount of
credit enhancement in place, structured finance transactions are
not immune to the risk of these high severity events.
Following the downgrade of the Greek government debt rating, Moody's
considers that such high severity events now have an increased likelihood
of occurring. This occurrence could affect the structured finance
transactions serviced by Greek banks, as well as those directly
serviced by Cypriot entities operating in Greece, which are backed
by Greek assets. As a result, Moody's has today downgraded
the ratings of the notes of the two Cypriot ABS deals.
Moody's reviewed each structured finance rating by comparing the
level of available credit enhancement with the pool losses that could
occur under such high severity events. The loss levels assumed
are: 20% for RMBS; 40% for consumer ABS;
and 45% for SME/leases transactions.
We maintained at Ba1(sf) notes with credit enhancement levels above these
thresholds, while downgrading others with lower credit enhancement
depending on the gap between their credit enhancement level and the relevant
threshold. For example, in the case of two RMBS transactions,
we confirmed at Ba1(sf) the senior notes from Themeleion I Mortgage Finance
Plc, with 23.7% credit enhancement; whereas we
downgraded to B1(sf) from Ba1(sf) the senior notes issued by Grifonas
Finance No. 1 Plc, with 10.3% credit enhancement.
We downgraded by two to three notches, to Ba3(sf) or B1(sf),
transactions with high linkage to the credit quality of servicers (e.g.
where the issuer accounts are held in Greek banks). These rating
actions followed our downgrade of the banks to B3 from Ba3, depending
on the level of credit enhancement.
Finally, Moody's has maintained on review for possible downgrade
the Ba1(sf) ratings of two transactions originated by Alpha Bank S.A.
(B3, Non-Prime), Katanalotika Plc and Epihiro Plc.
The review follows the announcement by the originator that it is considering
amendments that will weaken the transaction structures. Were they
enacted, these amendments would create a high linkage between the
bank rating and that of the transactions and would likely result in a
further downgrade of these two transactions.
The orderly restructuring of Greek government debt would likely have no
further impact on the Greek structured finance ratings, with the
exception of the highly linked transaction noted above. Any downgrade
to the bank ratings may also lead to further downgrades of highly linked
structured finance transactions. Notes rated in the Ba(sf) category
could potentially suffer a temporary payment disruption, but would
benefit from sufficient credit enhancement to support the likely further
asset performance deterioration.
PREVIOUS RATING ACTIONS AND PRINCIPAL METHODOLOGIES
For more detail on our rating approach, see the applicable principal
methodologies for each asset class listed in the index of methodologies
under the research and ratings tab on Moodys.com.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
LIST OF AFFECTED SECURITIES
ABS TRANSACTIONS
Issuer: ANAPTYXI 2006-1 PLC
....EUR1750M A Certificate, Downgraded
to Ba3 (sf); previously on May 13, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
....EUR150M B Certificate, Downgraded
to Ba3 (sf); previously on May 13, 2011 Ba2 (sf) Placed Under
Review for Possible Downgrade
....EUR125M C Certificate, Downgraded
to B1 (sf); previously on May 13, 2011 Ba3 (sf) Placed Under
Review for Possible Downgrade
....EUR225M D Certificate, Downgraded
to B3 (sf); previously on May 13, 2011 B2 (sf) Placed Under
Review for Possible Downgrade
Issuer: Axia Finance PLC
....EUR1408.75M A Certificate,
Downgraded to B1 (sf); previously on May 13, 2011 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Axia III Finance Plc
....EUR1670.1M A Certificate,
Downgraded to B1 (sf); previously on May 13, 2011 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: DANEION 2007-1 PLC
....EUR1587.5M Class A Certificate,
Confirmed at Ba1 (sf); previously on May 13, 2011 Downgraded
to Ba1 (sf) and Placed Under Review for Possible Downgrade
Issuer: IRIDA PLC
....EUR261.1M A Certificate,
Confirmed at Ba1 (sf); previously on May 13, 2011 Downgraded
to Ba1 (sf) and Placed Under Review for Possible Downgrade
Issuer: Misthosis Funding Plc
....EUR363.9M A Certificate,
Downgraded to Ba1 (sf); previously on May 13, 2011 Baa1 (sf)
Placed Under Review for Possible Downgrade
Issuer: PRAXIS I FINANCE PLC
....EUR493M A Certificate, Downgraded
to Ba3 (sf); previously on May 13, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
Issuer: Praxis II Finance Plc
....EUR379.2M A Certificate,
Downgraded to Ba3 (sf); previously on May 13, 2011 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Synergatis Plc
....EUR1414.5M A Certificate,
Downgraded to Ba1 (sf); previously on May 13, 2011 Baa1 (sf)
Placed Under Review for Possible Downgrade
RMBS TRANSACTIONS
Issuer: Estia Mortgage Finance II PLC
....EUR1137.5M A Notes, Downgraded
to Ba3 (sf); previously on May 13, 2011 Downgraded to Ba1 (sf)
and Placed Under Review for Possible Downgrade
Issuer: Grifonas Finance No. 1 Plc
....EUR897.7M A Certificate,
Downgraded to B1 (sf); previously on May 13, 2011 Ba1 (sf)
Placed Under Review for Possible Downgrade
....EUR23.8M B Certificate, Downgraded
to B2 (sf); previously on May 13, 2011 Ba2 (sf) Placed Under
Review for Possible Downgrade
....EUR28.5M C Certificate, Downgraded
to Caa1 (sf); previously on May 13, 2011 B1 (sf) Placed Under
Review for Possible Downgrade
Issuer: KION Mortgage Finance No. 2 Plc
....EUR522.405M A Certificate,
Downgraded to Ba2 (sf); previously on May 13, 2011 Downgraded
to Ba1 (sf) and Placed Under Review for Possible Downgrade
Issuer: KION Mortgage Finance Plc
....EUR28.2M B Certificate, Downgraded
to B1 (sf); previously on May 13, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
....EUR18M C Certificate, Downgraded
to B2 (sf); previously on May 13, 2011 Ba3 (sf) Placed Under
Review for Possible Downgrade
....EUR553.8M A Certificate,
Confirmed at Ba1 (sf); previously on May 13, 2011 Downgraded
to Ba1 (sf) and Placed Under Review for Possible Downgrade
Issuer: Themeleion II Mortgage Finance Plc
....EUR37.5M B Certificate, Downgraded
to Ba3 (sf); previously on May 13, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
....EUR690M A Certificate, Confirmed
at Ba1 (sf); previously on May 13, 2011 Downgraded to Ba1 (sf)
and Placed Under Review for Possible Downgrade
....EUR22.5M C Certificate, Confirmed
at B3 (sf); previously on May 13, 2011 B3 (sf) Placed Under
Review for Possible Downgrade
Issuer: Themeleion III Mortgage Finance Plc S.r.I.
....EUR40M M Certificate, Downgraded
to Ba2 (sf); previously on May 13, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
....EUR20M B Certificate, Downgraded
to B1 (sf); previously on May 13, 2011 Ba2 (sf) Placed Under
Review for Possible Downgrade
....EUR40M C Certificate, Downgraded
to Caa3 (sf); previously on May 13, 2011 B3 (sf) Placed Under
Review for Possible Downgrade
....EUR900M A Certificate, Confirmed
at Ba1 (sf); previously on May 13, 2011 Downgraded to Ba1 (sf)
and Placed Under Review for Possible Downgrade
Issuer: Themeleion IV Mortgage Finance Plc
....EUR155.5M B Certificate,
Downgraded to B1 (sf); previously on May 13, 2011 Ba2 (sf)
Placed Under Review for Possible Downgrade
....EUR1352.9M A Certificate,
Confirmed at Ba1 (sf); previously on May 13, 2011 Downgraded
to Ba1 (sf) and Placed Under Review for Possible Downgrade
....EUR46.6M C Certificate, Confirmed
at B3 (sf); previously on May 13, 2011 B3 (sf) Placed Under
Review for Possible Downgrade
Issuer: Themeleion Mortgage Finance PLC
....EUR32M B Notes, Downgraded to Ba3
(sf); previously on May 13, 2011 Ba1 (sf) Placed Under Review
for Possible Downgrade
....EUR24.5M C Notes, Downgraded
to B3 (sf); previously on May 13, 2011 B2 (sf) Placed Under
Review for Possible Downgrade
....EUR693.5M A Notes, Confirmed
at Ba1 (sf); previously on May 13, 2011 Downgraded to Ba1 (sf)
and Placed Under Review for Possible Downgrade
REGULATORY DISCLOSURES
The ratings have been disclosed to the rated entities or their designated
agents and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purpose of maintaining
a credit rating.
The lead analyst and rating office for each of the transactions affected
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page, and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Katherine Frey
MD - EMEA Structured Fin
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's concludes review of Greek structured finance transactions
