Approximately EUR 17.2 billion of debt securities affected
London, 15 July 2010 -- Moody's Investors Service today concluded the rating review of 25 Greek
structured finance transactions, which resulted in downgrades on
33 ratings and the confirmation of three ratings. Moody's
maintains ratings on review for downgrade on 12 tranches pending the implementation
of restructuring proposed by the deal sponsors.
Senior note ratings of the relevant transactions have been downgraded
to A2, A3 or Baa1 depending on the level of credit enhancement and
strength of operational risk mitigants. Junior and mezzanine notes
have all been lowered to non-investment grade levels.
The rating actions were prompted by Moody's expectations of significant
pool performance deterioration due to the stressed economic environment
in Greece as well as increased operational risk due to the weakened financial
strength of Greek banks that act as key counterparties in the structured
finance deals (through their roles as servicers, cash managers,
account banks, paying agents and swap counterparties), reflected
in the recent downgrades of Greek bank ratings on 15 June 2010.
KEY FACTORS CONSIDERED IN THE REVIEW
Credit Impact of Asset Pool Performance
The review of the transactions focused on the available credit enhancement
against expected asset pool performance in a variety of loss scenarios.
In order for tranches backed by Greek assets to maintain ratings that
are higher than the Greek government's Ba1 rating, the credit enhancement
available to the notes must be sufficient to withstand severe collateral
losses in stressed scenarios, including those related to a potential
government and banking crisis. In these worst case scenarios,
Moody's considers loss assumptions of 25 to 30 percent (depending on LTV)
for RMBS, 40 percent for consumer loan ABS, 45 to 50 percent
for SME ABS and 50 percent for CDO transactions. These stress levels
are consistent with single-A rating ranges. For tranches
rated below the Greek government rating, Moody's has revised
upward the base case losses of the pool in light of likely deterioration
of the pool performance in the context of tight austerity measures that
will affect borrowers' payment ability.
Operational Risk and Liquidity
Following the recent downgrades of Greek banks, operational risk
exposure and liquidity are central considerations in the ultimate rating
levels achievable by Greek structured finance transactions, as described
in the press release issued on 23 June 2010: "Moody's updates
review parameters for Greek structured finance transactions."
During the review, Moody's considered the impact of the weakened
financial strength of the Greek banks on the operational aspects of each
transaction. Specifically, the focus was on the identity
of the various counterparties (both Greek and non-Greek banks)
that hold key roles in each transaction (as servicer, cash manager,
account bank, paying agent or swap counterparty). Moody's
assessed whether structured finance notes are exposed to the risk of a
payment disruption in case one of the key transaction parties fails to
perform their roles. Particular consideration has been given to
the likely ability of structural features to mitigate operational risk
and the degree of linkage between the structured finance ratings and the
relevant counterparty's ratings.
A full list of the affected transactions and specific rating decision
rationale are provided below.
RATING ACTIONS ON RMBS TRANSACTIONS
Moody's took rating action on 21 classes of notes issued in eight
out of the nine outstanding Greek RMBS transactions. One senior
note has been confirmed at A3, while all other senior notes in the
remaining seven transactions have been downgraded by one or two notches
to Baa1. All the outstanding mezzanine and junior notes have been
downgraded several notches to non-investment-grade ratings.
All notes affected by today's action are no longer on review for
possible downgrade. One transaction was not affected by today's
action but remains on review for possible downgrade pending the implementation
of a restructuring.
Estia Mortgage Finance II Plc is a residential mortgage loan securitisation
originated by Piraeus Bank S.A. (Ba1/NP) in July 2007.
This transaction could be exposed to the risk of payment disruptions in
case of servicer default as there are no structural mitigants to operational
risk and there is no liquidity facility in place. The resulting
degree of linkage to Piraeus Bank S.A. performing the servicing
role in this transaction is the main driver for the downgrade of the senior
note to Baa1. In consideration of the stressed economic environment
in Greece Moody's has also revised the expected loss assumption
for this portfolio to 4.20% of current portfolio balance
(expected loss assumption at closing was 1.80% of original
pool balance).
Grifonas Finance No. 1 Plc is a residential mortgage loan securitisation
originated by the Consignment Deposits and Loan Fund (CDLF) in August
2006. CDLF is a special financial organisation that operates as
a legal entity of public law under the supervision of the Greek Minister
of Economy and Finance. All the borrowers in the pool are Greek
civil servants that, notwithstanding their protected life-time
employment, are still exposed to the effects of Greece's austerity
package. As a result, Moody's has revised the expected
loss assumption for this portfolio to 2.80% of current portfolio
balance (expected loss assumption at closing was 0.85% of
original pool balance). The combination of the relatively low credit
enhancement available to all classes of notes, as well as the reliance
on different government agencies for the servicing of the mortgage loans,
has resulted in the downgrade of the senior note to Baa1 and in 4-notch
downgrades in both the mezzanine and junior notes.
Katoikia I Mortgage Finance Plc is a residential mortgage loan securitisation
originated by Bank of Cyprus (A3/P-2) in May 2009. In this
transaction, Bank of Cyprus performs the role of servicer,
collection account bank and swap counterparty. Moody's has
received confirmation that all remedies have already been put in place
following the trigger breaches prompted by the recent downgrade of Bank
Cyprus from A2/P-1 to A3/P-2. In particular,
the commingling reserve has been fully funded in an amount equal to 1.4%
of the original note balance, the set-off reserves have been
fully funded and the swap collateral amount has been posted in line with
the documents requirement. Moody's has revised the expected
loss assumption for this portfolio to 4.20% of the current
portfolio balance (expected loss assumption at closing was 2.05%
of original pool balance). In consideration of the current available
credit enhancement in the structure and the current rating of the servicer,
Moody's views the rating of the notes to be commensurate with an
A3 rating, which has been confirmed.
Themeleion I Mortgage Finance Plc ,Themeleion II Mortgage Finance,
Themeleion III Mortgage Finance and Themeleion IV Mortgage Finance are
residential mortgage loan securitisations originated by EFG Eurobank Ergasias
S.A. (Ba1/NP) in July 2004, June 2005, June
2006, and June 2007, respectively. Following the breach
of the Liquidity Downgrade trigger, liquidity facility has been
funded with EUR 4.04 million for Themeleion II on 12 July 2010
from available funds (these were not sufficient to replenish the reserve
fund to its target balance, which resulted in an EUR 2.8
million Reserve Fund draw). Similarly, liquidity facilities
are also expected to be funded for Themeleion I and III on 27th September
and 2nd August 2010 respectively. However, these transactions
could be exposed to the risk of payment disruptions in case of servicer
default as there are no structural mitigants to operational risk that
allow the cash manager to make payments if servicer reports are not received
in time. The resulting degree of linkage to EFG Eurobank Ergasias
S.A. performing the servicing role is the main driver of
the downgrade of the senior notes to Baa1. In consideration of
the stressed economic environment in Greece, Moody's has also
revised the expected loss assumptions to 4.20% of the current
pool balance in Themeleion I, II and IV and to 4.80%
in Themeleion III (expected loss assumption at closing was 1.55%
in Themeleion I and II and 1.70% in Themeleion III and IV).
Mezzanine and junior notes have been downgraded several notches due to
lack of sufficient enhancement needed to withstand both extreme and expected
loss scenarios.
Kion Mortgage Finance plc is a residential mortgage loan securitisation
originated by Millenium Bank S.A. (unrated subsidiary of
Banco Comercial Portuguese rated A3/P-2) in December 2006.
The originator has made a restructuring proposal that should allow the
cash manager to make payments even if servicer reports are not received
on time. Moody's believes that the implementation of the
restructuring proposals could substantially mitigate the operational risk
in this transaction once the Liquidity Facility Agreement is in place
and therefore be consistent with an A3 rating. A Contingent Liquidity
Event has occurred following the downgrade of Banco Comercial Portugues'
short-term rating below P-1 on July 13 2010. Senior
notes will remain on review for possible downgrade until the restructuring
is completed and the Liquidity Facility Agreement in place. Moody's
has also revised the expected loss assumptions for this portfolio to 4.80%
of the current pool balance (expected loss assumption at closing was 1.60%
of original pool balance). Mezzanine and junior notes have been
downgraded several notches due to lack of sufficient enhancement needed
to withstand both extreme and expected loss scenarios.
Kion Mortgage Finance No.2 plc is a residential mortgage loan securitisation
originated by Millenium Bank S.A. in July 2008. The
originator has proposed a restructuring that includes the funding of a
dedicated liquidity ledger, as well as a mechanism that should allow
the cash manager to make payments even if servicer reports are not received
on time. Moody's believes that the implementation of these
restructuring proposals could substantially mitigate the operational risk
in this transaction and has therefore taken no action on the senior notes.
This class of notes will remain on review for possible downgrade until
the restructuring is completed.
RATING ACTIONS ON ABS and CLO TRANSACTIONS
There are 16 Greek ABS and two CLO transactions outstanding rated by Moody's.
The ratings of two ABS transactions were confirmed, while the ratings
of eight ABS transactions were downgraded, among which ratings of
six remain under review for downgrade. Six of these ABS transactions
were not affected by today's actions, but three of these remain
under review for downgrade.
On the two outstanding Moody's-rated CLOs, one was
downgraded to A2 and one downgraded to A3. Both remain on review
for possible downgrade pending the implementation of restructuring in
one case and early termination in the other.
In total, following today's rating action, eleven ABS
and CLO transactions have ratings still under review for downgrade pending
the implementation of the restructuring or early termination proposed
by the various sponsors.
Consumer ABS
Daneion 2007-1 Plc is a consumer loan securitisation originated
by EFG Eurobank (Ba1/NP) in December 2007. The senior rated notes
currently benefit from a 42.5% credit enhancement and a
swap provided by UBS (Aa3/P-1) covering the interest rate risk.
The originator has informed Moody's of a restructuring of the transaction
that introduces structural mitigants to operational risk. The A2
rating on the senior notes reflect the combination of the high credit
enhancement and the proposed structural mitigants. The rating of
the notes remains under review for possible downgrade. Moody's
expects to conclude the review once the proposed structural changes have
been implemented.
Katanalotika Plc is a consumer loan securitisation originated by Alpha
Bank (Ba1/NP) in December 2008. Alpha Bank is proposing to restructure
the transaction by introducing mitigants to operational risk and increasing
the credit enhancement. In addition, the restructuring contemplates
a re-instatement of the asset replenishment period for three years
and the removal of the swap in the structure. The A3 rating on
the notes reflects the combination of the proposed credit enhancement
increase and structural changes. The rating of the notes remains
under review for possible downgrade. Moody's expects to conclude
the review once the proposed changes have been implemented.
Praxis I Finance PLC and Praxis II Finance PLC are securitisations of
consumer loans and credit card receivables respectively, originated
by Piraeus Bank (Ba1/NP) and completed in April and August 2009.
Both transactions benefit from the same structural mitigants in relation
to operational risk with a third party cash manager who would able to
make payments in absence of receiving information from a servicer.
Piraeus Bank is proposing to restructure the transactions by including
a dedicated liquidity reserve covering six months of senior costs and
interest on the notes. The sponsor is also proposing to increase
the credit enhancement in Praxis I, which currently stands at 37%.
Praxis II notes currently benefit from a 44% credit enhancement.
Piraeus also contemplates reinstating the asset replenishment on both
transactions and removing the borrower notification triggers. As
a result of the current structures and the proposed restructurings,
Moody's has not taken any rating action today on the notes issued
out Praxis I Finance PLC and Praxis II Finance PLC, which remain
at A3 and A2 respectively, both under review for possible downgrade.
Moody's expects to conclude the review once the proposed changes
have been implemented.
Karta 2005-1 PLC, a credit card receivables securitization
from EFG Eurobank (Ba1/NP) is also not affected by today's rating
action given the remaining Baa2 rated tranche is being repaid today.
CLO, SME and Lease ABS
Anaptyxi 2006-1 plc is a securitisation of SME loans originated
by EFG Eurobank in November 2006. The transaction is revolving
until November 2011. The securitised portfolio can include up to
75% of revolving loans which have no contractual payment rate and
may be terminated upon the potential occurrence of certain events,
including the default of Eurobank. As reflected by the recent downgrade
of EFG Eurobank to Ba1 in June 2010, the probability of occurrence
of termination of the revolving loans has increased, which results
in a higher refinancing risk for the obligors of the revolving loans.
Moody's has thus increased the default probability assumption of
those obligors. Moody's also tested the ratings of the most
senior notes by assuming severe portfolio losses of 45% to 50%,
which would occur in extreme scenarios. In addition, the
transaction does not benefit from the structural mitigants to allow for
timely payment of interest upon a servicer default as the cash manager
would not be able to make payment in absence of information received by
the servicer. As a result of this analysis, Moody's
downgrades the rating of the various notes of the transaction from A2
to Baa2, Baa3 to Ba1, Ba1 to Ba2 and Ba3 to B1.
Andromeda Lease is a lease receivables securitisation originated by Eurobank
Leasing S.A, the leasing arm of EFG Eurobank and Anaptyxi
SME I is a securitisation of SME loans originated by EFG Eurobank.
Both transactions share similar structures and EFG Eurobank has made similar
restructuring proposals for both. These proposals consist of an
increase in credit enhancement as well as structural mitigants.
However, both transactions contemplate keeping EFG Eurobank as swap
counterparty and removing replacement triggers in the swap documentation.
The A3 rating of Andromeda Lease and Anaptyxi SME I remain on review for
downgrade pending the review and implementation of proposed changes.
Gaia Lease Plc is a securitisation of leasing receivables originated by
Piraeus Leasing (a fully-owned subsidiary of Piraeus Bank,
rated Ba1/NP). The transaction closed in August 2009. The
senior rated notes benefit from a 59% credit enhancement.
The transaction includes a third party cash manager who would able to
make payment on the notes in absence of receiving information from the
servicer. The reserve fund includes a liquidity ledger which covers
more than six months of senior costs and interest on the notes.
However, this reserve fund is still deposited in an account held
by Piraeus Bank. In addition, Moody's has been informed
by Piraeus Bank of its intention to unwind the transaction within the
next two or three interest payment dates, no later than January
2011. Moody's considered the current structure of the transaction
as well as the short remaining exposure and concluded to downgrade the
notes to A3 from A1. Moody's maintains the rating under review
for downgrade, pending the implementation of the unwind.
Should the unwind not occur, the rating of the notes may come under
pressure.
Axia II Finance plc is a CLO of loans to mainly medium and large corporates
domiciled in Greece originated by Piraeus Bank in May 2009. The
rated notes benefit from a 54% credit enhancement, inclusive
of a 5% reserve fund deposited with Piraeus Bank. Moody's
has been advised by Piraeus Bank of its intention to unwind the transaction
within the next two interest payment dates, no later than October
2010. Moody's took into account the short term of the exposure
when reviewing the transaction and decided to downgrade the notes from
A1 to A3 and maintain the rating on review for downgrade pending the implementation
of the early unwind.
Axia Finance Plc and Axia III Finance Plc are two SME loan securitizations
originated by Piraeus Bank in November 2008 and August 2009, respectively.
Piraeus Bank is proposing to restructure both transactions by increasing
credit enhancement. Structural enhancements are also contemplated
in the Axia Finance Plc transaction in order to mitigate operational risk
in a similar manner as they have been implemented at closing of the Axia
III Finance Plc transaction. However, the restructuring proposal
also includes elements that may weaken the transaction, such as
the reinstatement of the revolving period for eighteen months to two years
and the removal of borrower notification triggers which had been implemented
to mitigate commingling risk. This last amendment may particularly
affect the Axia III Finance Plc deal, which includes a significant
portion of short-term loans that can repay quickly, resulting
in a potentially significant exposure to commingling risk. In addition,
the sponsor proposes to keep Piraeus Bank as swap counterparty in the
Axia Finance Plc transaction and to remove the replacement triggers.
This would result in a potential unhedged interest rate risk should Piraeus
Bank default under its swap obligations. As a result of this analysis,
Moody's has downgraded to A3 from A2 the notes issued by Axia Finance
Plc and from A1 to A3 issued by Axia III Finance Plc. The ratings
of the notes remain under review for downgrade. Moody's expects
to conclude the review once the proposed changes have been implemented.
Moody's noted that the proposed credit enhancement increase may
not be sufficient to mitigate increased commingling risk for Axia Finance
III plc and interest rate risk in Axia Finance plc and respectively.
Irida PLC is a securitisation of leasing receivables originated by Alpha
Leasing, a fully-owned subsidiary of Alpha Bank, closed
in December 2009. The senior notes benefit from a credit enhancement
of 49%. The transaction includes a third-party cash
manager who would able to make payment on the notes in absence of receiving
information from the servicer. The reserve fund includes a liquidity
ledger that currently covers forty months of senior costs and interest
on the notes based on current interest rate levels. Alpha Bank
is contemplating some restructuring of the transaction such as a reinstatement
of the revolving period until July 2012 and the removal of the borrower
notification trigger. Moody's considered the current structure
of the transaction to be commensurate with a A2 rating on the notes.
Moody's will consider the proposed changes when being implemented
but expects marginal impact on the notes' rating.
Epihiro plc is a CLO of loans to mainly medium and large corporates domiciled
in Greece; the transaction was originated by Alpha Bank in May 2009.
The rated notes benefit from a credit enhancement of 52.7%,
which includes a reserve fund of 2% deposited with a third-party
non-Greek bank. Alpha Bank proposes to restructure the transaction
to allow for the appointment of a back-up servicer, as well
as enabling the non-Greek cash manager to make coupon payments
on rated notes based on estimates in the absence of information from the
servicer. The restructuring also envisages some changes in the
portfolio composition and the reinstatement of a three-year replenishment
period from restructuring date. Moody's has downgraded the
notes from A1 to A2 considering the existing and proposed mitigants to
operational risk in the transaction; this rating remain on review
pending implementation of the restructuring.
Misthosis Funding Plc is a leasing securitization originated by Cyprus
Leasing in September 2009. Cyprus Leasing is a fully owned subsidiary
of Bank of Cyprus (A3/P-2). The senior notes benefit from
a credit enhancement of 51%. The transaction includes a
third-party cash manager who is able to make payment on the notes
in absence of receiving information from the servicer. The reserve
fund includes a liquidity ledger that covers six months of senior costs
and interest on the notes. The reserve fund is currently held at
Bank of Cyprus. Moody's has received confirmation that the
account is in the process of being moved to a P-1 rated bank following
the downgrade of Bank of Cyprus from A2/P-1 to A3/P-2 on
5 July 2010, as per the transaction document. Given the various
mitigants in place, Moody's views the rating of the notes
to be commensurate with an A2 rating, which has been confirmed.
Synergatis is an SME loan securitisation originated by Marfin Egnatia
Bank (Baa3/P-3) that closed in August 2009. Marfin Egnatia
Bank is 98% held by Marfin Popular Bank (Baa2/P-2),
based in Cyprus. The senior notes benefit from a credit enhancement
of 44%, which is due to increase to 46% through excess
spread capture over the coming quarters. The transaction includes
a third-party cash manager who is able to make payment on the notes
in absence of receiving information from the servicer. The reserve
fund includes a liquidity ledger that covers at least six months of senior
costs and interest on the notes. The reserve fund is currently
held at Marfin Popular Bank. Given the various mitigants in place,
Moody's consider the rating of the notes to be commensurate with
an A3 rating, which has been confirmed.
LIST OF RATING ACTIONS
Issuer: ANAPTYXI 2006-1 PLC
....EUR1750M A Certificate, Downgraded
to Baa2; previously on Apr 27, 2010 A2 Placed Under Review
for Possible Downgrade
....EUR150M B Certificate, Downgraded
to Ba1; previously on Jun 30, 2009 Downgraded to Baa3
....EUR125M C Certificate, Downgraded
to Ba2; previously on Jun 30, 2009 Downgraded to Ba1
....EUR225M D Certificate, Downgraded
to B1; previously on Jun 30, 2009 Downgraded to Ba3
Issuer: Andromeda Leasing I PLC
....EUR504M A Certificate, Downgraded
to A3 and Remains On Review for Possible Downgrade; previously on
May 12, 2010 Downgraded to A2 and Remained On Review for Possible
Downgrade
Issuer: Axia Finance PLC
....EUR1408.75M A Certificate,
Downgraded to A3 and Remains On Review for Possible Downgrade; previously
on Apr 27, 2010 A2 Placed Under Review for Possible Downgrade
Issuer: Axia II Finance PLC
....EUR459M Class A Asset Backed Floating
Rate Notes due 2031 Notes, Downgraded to A3 and Remains On Review
for Possible Downgrade; previously on May 12, 2010 Downgraded
to A1 and Remained On Review for Possible Downgrade
Issuer: Axia III Finance Plc
....EUR1670.1M A Certificate,
Downgraded to A3 and Remains On Review for Possible Downgrade; previously
on Apr 27, 2010 Downgraded to A1 and Placed Under Review for Possible
Downgrade
Issuer: DANEION 2007-1 PLC
....EUR1587.5M Class A Certificate,
Downgraded to A2 and Remains On Review for Possible Downgrade; previously
on Apr 27, 2010 Downgraded to Aa3 and Placed Under Review for Possible
Downgrade
Issuer: EPIHIRO PLC (Athena Project)
....EUR1623M Euro 1,623,000,000
Class A Asset Backed Floating Rate Notes due January 2035 Notes,
Downgraded to A2 and Remains On Review for Possible Downgrade; previously
on May 12, 2010 Downgraded to A1 and Remained On Review for Possible
Downgrade
Issuer: Estia Mortgage Finance II PLC
....EUR1137.5M A Notes, Downgraded
to Baa1; previously on May 12, 2010 Downgraded to A3 and Remained
On Review for Possible Downgrade
Issuer: Gaia Lease Plc
....EUR272.6M A Notes, Downgraded
to A3 and Remains On Review for Possible Downgrade; previously on
May 12, 2010 Downgraded to A1 and Remained On Review for Possible
Downgrade
Issuer: Grifonas Finance No. 1 Plc
....EUR897.7M A Certificate,
Downgraded to Baa1; previously on May 12, 2010 Downgraded to
A3 and Remained On Review for Possible Downgrade
....EUR23.8M B Certificate, Downgraded
to Ba2; previously on May 12, 2010 Downgraded to Baa1 and Remained
On Review for Possible Downgrade
....EUR28.5M C Certificate, Downgraded
to B1; previously on May 12, 2010 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Issuer: IRIDA PLC
....EUR261.1M A Certificate,
Downgraded to A2; previously on May 12, 2010 Downgraded to
A1 and Remained On Review for Possible Downgrade
Issuer: KATANALOTIKA PLC
....EUR1109.6M A Certificate,
Downgraded to A3 and Remains On Review for Possible Downgrade; previously
on Apr 27, 2010 A1 Placed Under Review for Possible Downgrade
Issuer: KION Mortgage Finance Plc
....EUR553.8M A Certificate,
Downgraded to A3 and Remains On Review for Possible Downgrade; previously
on May 12, 2010 Downgraded to A2 and Remained On Review for Possible
Downgrade
....EUR28.2M B Certificate, Downgraded
to Ba1; previously on May 12, 2010 Downgraded to Baa1 and Remained
On Review for Possible Downgrade
....EUR18M C Certificate, Downgraded
to Ba3; previously on May 12, 2010 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade
Issuer: Misthosis Funding Plc
....EUR363.9M A Certificate,
Confirmed at A2; previously on May 12, 2010 Downgraded to A2
and Remained On Review for Possible Downgrade
Issuer: Synergatis Plc
....EUR1414.5M A Certificate,
Confirmed at A3; previously on May 12, 2010 Downgraded to A3
and Remained On Review for Possible Downgrade
Issuer: Themeleion Mortgage Finance PLC
....EUR693.5M A Notes, Downgraded
to Baa1; previously on May 12, 2010 Downgraded to A1 and Remained
On Review for Possible Downgrade
....EUR32M B Notes, Downgraded to Ba1;
previously on May 12, 2010 Downgraded to Baa1 and Remained On Review
for Possible Downgrade
....EUR24.5M C Notes, Downgraded
to B2; previously on May 12, 2010 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Issuer: Themeleion II Mortgage Finance Plc
....EUR690M A Certificate, Downgraded
to Baa1; previously on May 12, 2010 Downgraded to A2 and Remained
On Review for Possible Downgrade
....EUR37.5M B Certificate, Downgraded
to Ba1; previously on May 12, 2010 Downgraded to Baa1 and Remained
On Review for Possible Downgrade
....EUR22.5M C Certificate, Downgraded
to B3; previously on May 12, 2010 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Issuer: Themeleion III Mortgage Finance Plc S.r.I.
....EUR900M A Certificate, Downgraded
to Baa1; previously on May 12, 2010 Downgraded to A3 and Remained
On Review for Possible Downgrade
....EUR40M M Certificate, Downgraded
to Ba1; previously on May 12, 2010 Downgraded to Baa1 and Remained
On Review for Possible Downgrade
....EUR20M B Certificate, Downgraded
to Ba2; previously on May 12, 2010 Downgraded to Baa1 and Remained
On Review for Possible Downgrade
....EUR40M C Certificate, Downgraded
to B3; previously on May 12, 2010 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Issuer: Themeleion IV Mortgage Finance Plc
....EUR1352.9M A Certificate,
Downgraded to Baa1; previously on May 12, 2010 Downgraded to
A3 and Remained On Review for Possible Downgrade
....EUR155.5M B Certificate,
Downgraded to Ba2; previously on May 12, 2010 Downgraded to
Baa1 and Remained On Review for Possible Downgrade
....EUR46.6M C Certificate, Downgraded
to B3; previously on May 12, 2010 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade
Moody's will continue to monitor the transactions. The principal
methodologies used in rating and monitoring these transactions are:
- Moody's Methodology for Rating Greek RMBS (October 2009)
- Cash Flow Analysis in EMEA RMBS: Testing Structural Features
with the MARCO Model (Moody's Analyser of Residential Cash Flows) (January
2006)
- Moody's Approach to Rating Granular SME Transactions in Europe,
Middle East and Africa (June 2007)
- Refining the ABS SME Approach: Moody's Probability of Default
Assumptions in the Rating Analysis of Granular Small and Mid-Sized
Enterprise Portfolios in EMEA (March 2009)
- The Lognormal Method Applied to ABS Analysis, (July 2000)
- Revising Default/Loss Assumptions Over the Life of an ABS/RMBS
Transaction (December 2008)
- Moody's Approach to Rating Credit Card Receivables-Backed
Securities, (April 2007)
- Moody's Approach to Rating CDOs of SME in Europe, (February
2007)
- Moody's Approach to Rating Corporate Collateralised Synthetic
Obligations, (September 2009)
- Moody's Approach to Rating Corporate Collateralised Synthetic
Obligations, (August 2009)
All principal methodologies are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in this Rating Methodologies sub-directory. 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.
For further information, please visit our website directly or contact
Moody's Client Service Desk (+44 20) 7772 5454.
London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades Greek structured finance transactions
