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Rating Action:

Moody's downgrades Greek structured finance ratings

06 Jun 2012

Highest rating for Greek structured finance securities is now Caa2(sf)

London, 06 June 2012 -- Moody's Investors Service has today downgraded to Caa2(sf) the ratings of the most senior securities in 9 Greek structured finance (SF) transactions and to Caa3(sf) the ratings of subordinated securities in 6 transactions. Moody's also placed all the Caa2(sf) and Caa3(sf) ratings of Greek SF securities under review for further downgrade.

Today's rating actions follow Moody's lowering of its Greek country ceiling to Caa2 to reflect the heightened risk of a euro area exit (see "Greek country ceiling reflects heightened risk of euro area exit" published on 1 June 2012). As a result of today's rating actions, the highest rating for outstanding Greek SF securities is now Caa2(sf), down from B2(sf) previously. The detailed list of today's rating actions is included at the bottom of the following section.

RATINGS RATIONALE

--Highest rating

Today's downgrades reflect Moody's lowering of its assessment of the highest rating that can be assigned for debt obligations issued by domestic Greek issuers, or where cash-flows used to repay debt obligations are sourced from domestic Greek assets, to Caa2. This level reflects the increasing risk of an exit by the country from the euro area, and the near-automatic effect of currency redenomination on default of those obligations. Therefore, the maximum achievable rating applies to all forms of ratings in Greece, including structured finance ratings.

Transactions backed by Greek local assets are significantly exposed to a scenario where Greece exits the euro area. This holds true regardless of the jurisdiction in which the debt obligations are issued and the law governing such debt obligations. Although most structured finance securities benefit from diversification of revenue sources and are issued by non-Greek issuers under UK law: 1) collateral assets are governed under Greek law and are therefore all exposed to redenomination risk and 2) underlying obligors are all similarly affected by macroeconomic distress.

Structured finance transactions also rely on Greek banks to provide servicing functions and other financial roles (such as account banks, swap counterparties, and cash managers) and are therefore vulnerable to the kind of banking sector distress that would be generated by Greece exiting the euro area.

--Subordination

Today's downgrades also reflect the affected securities' position in the issuer's debt capital structure. Moody's rates the senior notes in Greek SF transactions to the highest rating of Caa2(sf) as these benefit from credit enhancement including subordination from more junior notes. Conversely, Moody's downgraded to Caa3(sf) all subordinated notes in Greek SF transactions to reflect the high severity it expects these notes to suffer under distressed scenarios, as all available cash-flows would first be allocated to the much larger senior notes.

-- Rating Review

Moody's rating review for the affected securities will consider the outcome of the 17 June Greek parliamentary elections, as these will be a key driver of the probabilities (and speed) of euro area exit. Following these elections, it is possible that the risk of euro exit will increase further. If that were to occur, the Caa2 maximum rating we would assign to securities issued in Greece or backed by Greek assets would fall further.

-- Sensitivity analysis

No cash flow analysis was conducted as Moody's lowering of its country ceiling for Greek debt and subordination considerations were the main drivers of today's downgrade. Moody's stress scenarios include a higher probability assigned to an exit of the country from the euro area and redenomination risk. Further increases in the likelihood of these events, a further deterioration in Greek transaction counterparty creditworthiness would be credit negative events.

-- Rating Methodologies

The rating considerations described in this press release complement the methodologies applicable to each specific transaction asset class.

The principal methodology used in rating Synergatis Plc was Moody's Approach to Rating CDOs of SMEs in Europe, published in February 2007. The principal methodology used in rating Epihiro PLC was Moody's Approach to Rating Corporate Collateralized Synthetic Obligations, published in September 2009. The principal methodology used in rating Estia Mortgage Finance II PLC, Grifonas Finance No. 1 Plc, KION Mortgage Finance Plc, Themeleion Mortgage Finance PLC, Themeleion II Mortgage Finance Plc, Themeleion III Mortgage Finance Plc S.r.I., and Themeleion IV Mortgage Finance Plc was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa, published in October 2009. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

List of affected securities:

Issuer: EPIHIRO PLC

....EUR1623M Class A Asset Backed Floating Rate Notes due January 2035, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

Issuer: Estia Mortgage Finance II PLC

....EUR1137.5M A Notes, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

Issuer: Grifonas Finance No. 1 Plc

....EUR897.7M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR23.8M B Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

....EUR28.5M C Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jun 10, 2011 Downgraded to Caa1 (sf)

Issuer: KION Mortgage Finance Plc

....EUR553.8M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

....EUR28.2M B Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR18M C Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

Issuer: Synergatis Plc

....EUR1414.5M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

Issuer: Themeleion Mortgage Finance PLC

....EUR693.5M A Notes, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

....EUR32M B Notes, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR24.5M C Notes, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

Issuer: Themeleion II Mortgage Finance Plc

....EUR690M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

....EUR37.5M B Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR22.5M C Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

Issuer: Themeleion III Mortgage Finance Plc S.r.I.

....EUR900M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

....EUR40M M Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR20M B Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B3 (sf)

....EUR40M C Certificate, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 10, 2011 Downgraded to Caa3 (sf)

Issuer: Themeleion IV Mortgage Finance Plc

....EUR1352.9M A Certificate, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to B2 (sf)

....EUR155.5M B Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

....EUR46.6M C Certificate, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Jan 19, 2012 Downgraded to Caa1 (sf)

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.

The ratings have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare each of the ratings are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings 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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entities or their related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 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.

Ariel Weil
Vice President - Senior Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annick Poulain
MD - Structured Finance
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 downgrades Greek structured finance ratings
No Related Data.
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