London, 29 September 2015 -- Moody's Investors Service has today confirmed the ratings of 19 tranches
in eight Greek structured finance transactions.
This follows Moody's decision to confirm the sovereign rating of Greece
at its current level on the 25th September 2015
(http://www.moodys.com/viewresearchdoc.aspx?docid=PR_335001).
The ratings of these 19 tranches have been previously placed on review
for downgrade on the 3rd July 2015
(http://www.moodys.com/viewresearchdoc.aspx?docid=PR_329302).
A detailed list of today's rating actions is included towards the end
of this press release before the regulatory disclosure section.
RATINGS RATIONALE
GREECE'S GOVERNMENT BOND RATING IS CONFIRMED AT Caa3
Today's rating actions reflect Moody's confirmation of Greece's government
bond rating at Caa3 and outlook change to stable.
The key drivers behind the above confirmation are the approval of the
third bailout programme, and the emergence of a political configuration
that is slightly more supportive than its predecessors for the implementation
of reforms which the programme will require.
The local- and foreign-currency bond ceilings remain at
Caa2. The local- and foreign-currency bank deposit
ceilings remain at Caa3. In Moody's view, the current level
of ceilings appropriately reflects losses expected on bank deposits given
deposit withdrawal limitations and capital controls put in place late
June 2015 that Moody's expects will only be gradually removed.
-- ALL NOTES PREVIOUSLY ON REVIEW FOR DOWNGRADE ARE CONFIRMED
As a result of Greece's government bond rating confirmation at Caa3
with a stable outlook, all notes previously on review for downgrade
are confirmed. The maximum achievable rating for outstanding Greek
structured finance securities remains at Caa2(sf).
--METHODOLOGIES
The principal methodology used in rating Estia Mortgage Finance II PLC,
Grifonas Finance No. 1 Plc, KION Mortgage Finance Plc,
Themeleion II Mortgage Finance Plc, Themeleion III Mortgage Finance
Plc and Themeleion IV Mortgage Finance Plc was "Moody's Approach to Rating
RMBS Using the MILAN Framework", published in January 2015.
The principal methodology used in rating EPIHIRO PLC was "Moody's Global
Approach to Rating Collateralized Loan Obligations", published in
September 2015. The principal methodology used in rating Titlos
plc was "Moody's Approach to Rating Repackaged Securities", published
in June 2015. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
are (1) a decreased probability of high-loss scenarios owing to
a downgrade of the country ceiling; (2) improvement in the notes'
available CE; and (3) improvement in the credit quality of the transaction
counterparties.
LIST OF AFFECTED RATINGS
Issuer: EPIHIRO PLC
....EUR1623M Class A Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Downgraded to Caa3
(sf) and Placed Under Review for Possible Downgrade
Issuer: Estia Mortgage Finance II PLC
....EUR1137.5M A Notes, Confirmed
at Caa2 (sf); previously on Jul 3, 2015 Downgraded to Caa2
(sf) and Placed Under Review for Possible Downgrade
Issuer: Grifonas Finance No. 1 Plc
....EUR897.7M A Notes, Confirmed
at Caa2 (sf); previously on Jul 3, 2015 Downgraded to Caa2
(sf) and Placed Under Review for Possible Downgrade
....EUR23.8M B Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Downgraded to Caa3
(sf) and Placed Under Review for Possible Downgrade
....EUR28.5M C Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Caa3 (sf) Placed Under
Review for Possible Downgrade
Issuer: KION Mortgage Finance Plc
....EUR553.8M A Notes, Confirmed
at Caa2 (sf); previously on Jul 3, 2015 Downgraded to Caa2
(sf) and Placed Under Review for Possible Downgrade
....EUR28.2M B Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Downgraded to Caa3
(sf) and Placed Under Review for Possible Downgrade
....EUR18M C Notes, Confirmed at Caa3
(sf); previously on Jul 3, 2015 Caa3 (sf) Placed Under Review
for Possible Downgrade
Issuer: Themeleion II Mortgage Finance Plc
....EUR690M A Notes, Confirmed at Caa2
(sf); previously on Jul 3, 2015 Downgraded to Caa2 (sf) and
Placed Under Review for Possible Downgrade
....EUR37.5M B Notes, Confirmed
at Caa2 (sf); previously on Jul 3, 2015 Downgraded to Caa2
(sf) and Placed Under Review for Possible Downgrade
....EUR22.5M C Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Downgraded to Caa3
(sf) and Placed Under Review for Possible Downgrade
Issuer: Themeleion III Mortgage Finance Plc
....EUR900M A Notes, Confirmed at Caa2
(sf); previously on Jul 3, 2015 Downgraded to Caa2 (sf) and
Placed Under Review for Possible Downgrade
....EUR20M B Notes, Confirmed at Caa3
(sf); previously on Jul 3, 2015 Downgraded to Caa3 (sf) and
Placed Under Review for Possible Downgrade
....EUR40M C Notes, Confirmed at Caa3
(sf); previously on Jul 3, 2015 Caa3 (sf) Placed Under Review
for Possible Downgrade
....EUR40M M Notes, Confirmed at Caa2
(sf); previously on Jul 3, 2015 Downgraded to Caa2 (sf) and
Placed Under Review for Possible Downgrade
Issuer: Themeleion IV Mortgage Finance Plc
....EUR1352.9M A Notes, Confirmed
at Caa2 (sf); previously on Jul 3, 2015 Downgraded to Caa2
(sf) and Placed Under Review for Possible Downgrade
....EUR155.5M B Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Caa3 (sf) Placed Under
Review for Possible Downgrade
....EUR46.6M C Notes, Confirmed
at Caa3 (sf); previously on Jul 3, 2015 Caa3 (sf) Placed Under
Review for Possible Downgrade
Issuer: Titlos plc
....EUR5100M A Notes, Confirmed at Caa3
(sf); previously on Jul 3, 2015 Downgraded to Caa3 (sf) and
Placed Under Review for Possible Downgrade
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Christophe Larpin
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Mehdi Ababou
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's confirms the ratings of 19 tranches in 8 Greek structured finance transactions