Approximately EUR 29.7bn of debt securities affected
London, 27 April 2010 -- Moody's Investors Service has today taken negative rating actions on 30
structured finance transactions backed by Greek assets. The rating
actions were prompted by Moody's downgrade on 22 April of the Greek
government's sovereign debt rating to A3 from A2 and its placement
on review for further possible downgrade. Today's rating
actions affect EUR6.9 billion of tranches from 11 RMBS deals,
EUR19.8 billion of tranches from 16 ABS deals and EUR3.0
billion from three CLOs. A full list of the affected transactions
is below.
RMBS: Moody's has taken rating actions on all senior classes of
notes. Nine classes have been downgraded by one or two notches
and maintained on review for possible downgrade, two classes have
been placed on review for possible downgrade. Seven mezzanine classes
rated above the Greek government's rating have been downgraded to A3 and
maintained on review for possible downgrade.
ABS: Moody's has taken rating actions on ten deals backed by loans
or leases to small and medium enterprises (SMEs), four deals backed
by consumer assets and two deals linked to the Greek government.
Eight senior classes have been downgraded by one notch and maintained
on review for possible downgrade and a further eight senior classes were
placed on review for possible downgrade.
CLOs: Moody's has taken rating actions on three senior classes
of notes. One has been downgraded by one notch and maintained on
review for possible downgrade and two have been placed on review for possible
downgrade.
Moody's had recently taken negative rating actions on 24 of these
30 affected transactions (see press release dated 31 March entitled "Moody's
concludes review of sovereign impact on Greek structured finance transactions").
In line with these previous rating actions, Moody's has reviewed
Greek structured finance transactions considering an extreme worst-case
economic scenario in the context of the evolving sovereign situation and
the current economic and financial environment. In its analysis,
Moody's viewed the likelihood of this economic worst-case scenario
to be equivalent to Greece's systemic support indicator (SSI),
which is currently positioned one notch above the national government's
debt rating of A3 on review for further possible downgrade. Moody's
notes that a possible further downgrade of the government's sovereign
rating would lead to further downward adjustments in the country's SSI.
Therefore, all structured finance ratings above the Greek government's
rating remain on review for possible downgrade.
Moody's further notes that some of the affected structured finance transactions
rely on the performance of National Bank of Greece, EFG Eurobank
Ergasias SA, Alpha Bank AE and Piraeus Bank, or their subsidiaries,
as servicers, swap counterparties and/or collection account banks,
among other roles. In its normal monitoring of these structured
finance ratings, Moody's will closely follow the steps taken by
the banks within each transaction to remedy the impact of the recent Greek
bank rating actions, as described in the press releases dated 23
April and 31 March.
RMBS Transactions
Moody's has reviewed 11 RMBS transactions assuming worst-case scenario
losses in the range of 30% to 40%. As detailed in
the previous press release on 31 March, the appropriate stress scenario
was determined considering the portfolio characteristics at closing.
ABS Transactions
Moody's has reviewed 16 of 17 ABS transactions with Moody's ratings outstanding
-- ten deals backed by loans or leases to SMEs, four
transactions backed by consumer assets and two transactions linked to
the Greek government. So far, Moody's not taken any
action on Karta 2005-1, a credit card transaction which is
highly cash collateralised (the Class A notes were recently fully repaid).
Moody's considered extreme loss scenarios in the 55% to 60%
range for SME loans and up to 50% for consumer portfolios,
corresponding to extreme macro-economic conditions.
Today's rating actions has affected three SME transactions (Anaptyxi
2006-1, Anaptyxi SME II 2009- 1 and Andromeda Leasing
I), which were previously excluded from the March review,
as their ratings already partly incorporate an extreme scenario of stressed
sovereign situation.
Two ABS deals with ratings highly linked to the Greek government ratings
(Ariadne SA and Titlos plc) have been downgraded to A3 and maintained
on review for possible downgrade. The ratings of the notes issued
by Ariadne secured notes are based on the effective guarantee of the Greek
government rather than the lottery receivables backing the notes.
Moody's also notes that the increase in the relative value of the EUR10
million liquidity reserve to 4.8% from 1.5%
of the outstanding notes, due to amortisation, was not sufficient
to support higher ratings than Greek government bonds. Moody's
rating of the notes issued by Titlos plc is fully linked to the rating
of the Greek government. This transaction, represents the
securitisation of a swap agreement (the Hellenic Swap) originally entered
into between the National Bank of Greece, S.A. (NBG)
and the Greek government. The issuer relies on payments by the
Greek government under the Hellenic Swap in order to pay amounts falling
due under the notes. The issuer is also a party to two swaps (the
NBG Swaps) entered into with NBG for the purpose or matching payments
under the Hellenic Swap to payments of interest and amortising principal
required under the notes. On 23 April 2010, Moody's
downgraded NBG's debt and deposit ratings to A3/P-2 from
A2/P-1. Since the NBG Swaps fully comply with Moody's criteria
for de-linking hedge counterparty risks from structured finance
transactions, NBG's downgrade has not affected the rating
of the notes. However, NBG has now breached a rating trigger
in the NBG Swaps and, depending on the market value of the swaps,
will be required to post collateral to Titlos plc within 30 business days.
By contrast, the Hellenic Swap does not comply with Moody's
de-linkage criteria and contains no requirement for collateral
to be posted by the Greek government.
CLO Transactions
Moody's reviewed three replenishable CLOs with underlying portfolios consisting
of bond and term loans advanced mainly to medium and large corporates
located in Greece by Alpha Bank, National Bank of Greece and Piraeus
Bank. Moody's considered loss scenarios in the 50% to 60%
range. The rated tranches of these transactions have credit enhancement
in the 30% to 55% range. The impact of this review
is (i) the Eterika Class A tranche has been downgraded to A2 from A1;
and (ii) all transactions have been placed on review for further possible
downgrade.
LIST OF RATING ACTIONS
RMBS
Issuer: Estia Mortgage Finance II PLC
....EUR1137.5M A Notes, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to Aa3
Issuer: Grifonas Finance No. 1 Plc
....EUR897.7M A Certificate,
Aa3 Placed Under Review for Possible Downgrade; previously on Mar
31, 2010 Downgraded to Aa3
....EUR23.8M B Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to A2
Issuer: KATOIKIA I MORTGAGE FINANCE PLC
....EUR886.6M A Notes, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to Aa3
Issuer: KION Mortgage Finance Plc
....EUR553.8M A Certificate,
Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa2
....EUR28.2M B Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Dec 7, 2006 Definitive Rating Assigned A2
Issuer: KION Mortgage Finance No. 2 Plc
....EUR522.405M A Certificate,
Downgraded to A1 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa3
Issuer: Themeleion Mortgage Finance PLC
....EUR693.5M A Notes, Aa2 Placed
Under Review for Possible Downgrade; previously on Mar 31,
2010 Downgraded to Aa2
....EUR32M B Notes, Downgraded to A3
and Placed Under Review for Possible Downgrade; previously on Jun
14, 2004 Definitive Rating Assigned A2
Issuer: Themeleion II Mortgage Finance Plc
....EUR690M A Certificate, Downgraded
to Aa3 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to Aa2
....EUR37.5M B Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Jun 21, 2005 Definitive Rating Assigned A2
Issuer: Themeleion III Mortgage Finance Plc S.r.I.
....EUR900M A Certificate, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to Aa2
....EUR20M B Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Jun 26, 2006 Definitive Rating Assigned A2
....EUR40M M Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to A2
Issuer: Themeleion IV Mortgage Finance Plc
....EUR1352.9M A Certificate,
Downgraded to A1 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa2
....EUR155.5M B Certificate,
Downgraded to A3 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to A2
Issuer: Themeleion V Mortgage Finance Plc
....EUR957.8M A Certificate,
Downgraded to A1 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa3
Issuer: Themeleion VI Mortgage Finance Plc
....EUR1560.9M A Certificate,
Downgraded to A1 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa3
ABS
Issuer: ANAPTYXI 2006-1 PLC
....EUR1750M A Certificate, A2 Placed
Under Review for Possible Downgrade; previously on Jun 30,
2009 Downgraded to A2
Issuer: Anaptyxi SME I
....EUR1750M A Certificate, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on Mar 31, 2010 Downgraded to Aa3
Issuer: Anaptyxi SME II 2009-1 PLC
....EUR1815M A Certificate, A1 Placed
Under Review for Possible Downgrade; previously on Feb 23,
2009 Assigned A1
Issuer: Andromeda Leasing I PLC
....EUR504M A Certificate, Downgraded
to Aa3 and Placed Under Review for Possible Downgrade; previously
on Jan 26, 2009 Assigned Aa2
Issuer: Ariadne S.A. Secured Notes
....EUR650M A Notes, Downgraded to A3
and Placed Under Review for Possible Downgrade; previously on Dec
23, 2009 Downgraded to A2
Issuer: Axia Finance PLC
....EUR1408.75M A Certificate,
A2 Placed Under Review for Possible Downgrade; previously on Mar
31, 2010 Downgraded to A2
Issuer: Axia III Finance Plc
....EUR1670.1M A Certificate,
Downgraded to A1 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa3
Issuer: DANEION 2007-1 PLC
....EUR1587.5M Class A Certificate,
Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa2
Issuer: Gaia Lease Plc
....EUR272.6M A Notes, Aa1 Placed
Under Review for Possible Downgrade; previously on Mar 31,
2010 Downgraded to Aa1
Issuer: IRIDA PLC
....EUR261.1M A Certificate,
Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa2
Issuer: KATANALOTIKA PLC
....EUR1109.6M A Certificate,
A1 Placed Under Review for Possible Downgrade; previously on Mar
31, 2010 Downgraded to A1
Issuer: Misthosis Funding Plc
....EUR363.9M A Certificate,
Aa2 Placed Under Review for Possible Downgrade; previously on Mar
31, 2010 Downgraded to Aa2
Issuer: PRAXIS I FINANCE PLC
....EUR493M A Certificate, Aa3 Placed
Under Review for Possible Downgrade; previously on Mar 31,
2010 Downgraded to Aa3
Issuer: Praxis II Finance Plc
....EUR379.2M A Certificate,
Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on Mar 31, 2010 Downgraded to Aa2
Issuer: Synergatis Plc
....EUR1414.5M A Certificate,
Aa3 Placed Under Review for Possible Downgrade; previously on Mar
31, 2010 Downgraded to Aa3
Issuer: Titlos plc
....EUR5100M A Certificate, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on Dec 23, 2009 Downgraded to A2
CLO
Issuer: Axia II Finance PLC
....EUR459M Class A Asset Backed Floating
Rate Notes due 2031 Notes, Aa1 Placed Under Review for Possible
Downgrade; previously on Mar 31, 2010 Downgraded to Aa1
Issuer: EPIHIRO PLC
....EUR1623M Class A Asset Backed Floating
Rate Notes due January 2035 Notes, Aa1 Placed Under Review for Possible
Downgrade; previously on Mar 31, 2010 Downgraded to Aa1
Issuer: Eterika Plc
....EUR975M Class A Notes, Downgraded
to A2 and Placed Under Review for Possible Downgrade; previously
on Sep 11, 2009 Confirmed at A1
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.
Paris
Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Carole Bernard
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes actions on Greek structured finance transactions following Greece rating downgrade
