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Moody's Downgrades €19.7B of Greek Structured Finance

Moody's Investors Service downgraded 24 structured finance transactions backed by pools of Greek assets.

The downgrades were prompted by increased credit risk of the Greek sovereign and affect € 6.906 billion ($9.3 billion) of tranches from 11 RMBS deals, €10.710 billion of tranches from 11 ABS deals and €2.082 billion of tranches from two CLOs.

In RMBS, Moody's downgraded Aaa senior classes two or three notches and downgraded mezzanine classes rated above the Greek government's ''A2' rating to 'A2'.

In ABS, Moody's downgraded seven deals backed by loans or leases to small and medium enterprises and four backed by consumer assets. 'Aaa' classes were downgraded one to three notches and 'Aa2' and 'A1' classes from two of these 11 transactions were downgraded one to two notches.

In CLOs, Moody's downgraded two 'Aaa' classes to 'Aa1'.

These downgrades incorporate Moody's view on the impact of increasing country risk in Greece. The ratings were reviewed with consideration of an extreme worst-case economic scenario developed from macro-economic factors that can impact structured finance transactions. As well, the availability of liquidity support and the impact of operational risk were analyzed.

Moody's notes that some of the structured finance transactions affected today 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.

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