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Rating Action:

Moody's downgrades Greek structured finance transactions

15 Jul 2010

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
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Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.