Frankfurt am Main, November 11, 2011 -- Moody's Investors Service has today placed on review for downgrade
the notes in Greek structured finance transactions rated from Ba1(sf)
to B3(sf), representing 9 tranches of 6 asset-backed securities
(ABS) transactions and 19 tranches of 8 residential mortgage-backed
securities (RMBS) transactions and one tranche in one collateral loan
obligation (CLO) transaction. Today's rating action reflects
the increased risk of a disorderly default of Greece on its debt,
which would increase the likelihood of high severity events that would
have a material impact on both probability of default and also loss given
default on structured finance transactions.
As part of its review, Moody' would reassess the highest achievable
rating for Greek structured finance transactions.
Affected ratings are listed at the end of this press release.
RATINGS RATIONALE
Today's rating action has been prompted by recent events in Greece,
which have increased the risk of a disorderly default (please see Moody's
Issuer Comment "Greek government survives confidence vote,
but risks are undiminished," published on 7 November 2011).
In its previous announcement on Greek structured finance transactions
on 10 June and 29 July 2011, Moody's indicated that the highest
achievable rating for Greek structured finance transactions of Ba1(sf)
would not be further affected if Greek government debt were restructured
in an orderly way, for example with the necessary steps taken to
support the Greek banking system, to ensure the continued functioning
of the Greek state and to support implementation of the structural changes
needed to achieve a resumption of growth. As part of its review,
Moody' will reassess the highest achievable rating for Greek structured
finance transactions.
However, last week's events in Greece heightened uncertainty
around the implementation of the country's economic and fiscal reform
programme, which is a precondition of the European Union (EU) rescue
package approved on 27 October. Even if a coalition government
were to approve the EU rescue package, the outcome of elections,
which are likely to take place in early 2012, is uncertain.
In consequence, uncertainty around the ability of Greece to then
implement the economic and fiscal reforms that are required under the
rescue package, and therefore to continue to obtain the official
funding which is conditional upon implementation of those reforms,
has risen still further.
While Moody's has already taken into account certain high severity
scenarios in rating Greek structured finance transactions (such as a severe
macroeconomic decline hurting asset performance and deterioration in domestic
banking sector credit worthiness increasing operational risk), the
risk of disorderly default has risen. The review will assess how
far the heightened political uncertainty and social unrest have increased
the risk of disorderly default scenarios in which the functioning of the
banking system and the state is materially impaired, and in which
the economy experiences a further sharp contraction, and the implications
for structured finance transactions. It will also assess the likelihood
Moody's credit analysis should assume for a scenario in which Greece
exits from the euro, which would carry severe implications for structured
transactions.
Key modelling assumptions, sensitivities, cash flow analysis
and stress scenarios unchanged and will be updated in the light of the
review's conclusions.
PRINCIPAL METHODOLOGIES
The principal methodologies used in rating ABS transactions were Moody's
Approach to Rating Consumer Loan ABS Transactions published in July 2011
and Moody's Approach to Rating CDOs of SMEs in Europe published in February
2007. The principal methodology used in rating RMBS transactions
was Moody's Approach to Rating RMBS in Europe, Middle East,
and Africa, published in October 2009. The principal methodology
used in rating CLO transactions was Moody's Approach to Rating Corporate
Collateralized Synthetic Obligations published in September 2009.
Please see the Credit Policy page on www.moodys.com for
a copy of these methodologies.
LIST OF AFFECTED SECURITIES BY ASSET CLASS
ABS
Issuer: ANAPTYXI 2006-1 PLC
....EUR1750M A Certificate, Ba3 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to Ba3 (sf)
....EUR150M B Certificate, Ba3 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to Ba3 (sf)
....EUR125M C Certificate, B1 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to B1 (sf)
....EUR225M D Certificate, B3 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to B3 (sf)
Issuer: DANEION 2007-1 PLC
....EUR1587.5M Class A Certificate,
Ba1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Confirmed at Ba1 (sf)
Issuer: IRIDA PLC
....EUR261.1M A Certificate,
B2 (sf) Placed Under Review for Possible Downgrade; previously on
Sep 28, 2011 Downgraded to B2 (sf)
Issuer: KATANALOTIKA PLC
....EUR1109.6M A Certificate,
B2 (sf) Placed Under Review for Possible Downgrade; previously on
Sep 28, 2011 Downgraded to B2 (sf)
Issuer: Misthosis Funding Plc
....EUR363.9M A Certificate,
Ba1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Downgraded to Ba1 (sf)
Issuer: Synergatis Plc
....EUR1414.5M A Certificate,
Ba1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Downgraded to Ba1 (sf)
RMBS
Issuer: Estia Mortgage Finance II PLC
....EUR1137.5M A Notes, Ba3 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to Ba3 (sf)
Issuer: Grifonas Finance No. 1 Plc
....EUR897.7M A Certificate,
B1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Downgraded to B1 (sf)
....EUR23.8M B Certificate, B2
(sf) Placed Under Review for Possible Downgrade; previously on Jun
10, 2011 Downgraded to B2 (sf)
Issuer: KION Mortgage Finance No. 2 Plc
....EUR522.405M A Certificate,
Ba2 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Downgraded to Ba2 (sf)
Issuer: KION Mortgage Finance Plc
....EUR553.8M A Certificate,
Ba1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Confirmed at Ba1 (sf)
....EUR28.2M B Certificate, B1
(sf) Placed Under Review for Possible Downgrade; previously on Jun
10, 2011 Downgraded to B1 (sf)
....EUR18M C Certificate, B2 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to B2 (sf)
Issuer: Themeleion Mortgage Finance PLC
....EUR693.5M A Notes, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Confirmed at Ba1 (sf)
....EUR32M B Notes, Ba3 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to Ba3 (sf)
....EUR24.5M C Notes, B3 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to B3 (sf)
Issuer: Themeleion II Mortgage Finance Plc
....EUR690M A Certificate, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Confirmed at Ba1 (sf)
....EUR37.5M B Certificate, Ba3
(sf) Placed Under Review for Possible Downgrade; previously on Jun
10, 2011 Downgraded to Ba3 (sf)
....EUR22.5M C Certificate, B3
(sf) Placed Under Review for Possible Downgrade; previously on Jun
10, 2011 Confirmed at B3 (sf)
Issuer: Themeleion III Mortgage Finance Plc S.r.I.
....EUR900M A Certificate, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 10,
2011 Confirmed at Ba1 (sf)
....EUR40M M Certificate, Ba2 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to Ba2 (sf)
....EUR20M B Certificate, B1 (sf) Placed
Under Review for Possible Downgrade; previously on Jun 10,
2011 Downgraded to B1 (sf)
Issuer: Themeleion IV Mortgage Finance Plc
....EUR1352.9M A Certificate,
Ba1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Confirmed at Ba1 (sf)
....EUR155.5M B Certificate,
B1 (sf) Placed Under Review for Possible Downgrade; previously on
Jun 10, 2011 Downgraded to B1 (sf)
....EUR46.6M C Certificate, B3
(sf) Placed Under Review for Possible Downgrade; previously on Jun
10, 2011 Confirmed at B3 (sf)
CLO
Issuer: EPIHIRO PLC
....EUR1623M Euro 1,623,000,000
Class A Asset Backed Floating Rate Notes due January 2035 Notes,
B2 (sf) Placed Under Review for Possible Downgrade; previously on
Sep 28, 2011 Downgraded to B2 (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 the rating 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 credit satisfactory for the purposes of
issuing this review.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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 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.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
Sebastian Hoepfner
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
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 Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's reviews for downgrade Greek structured finance transactions
