Moody's Investors Service took negative rating actions on 30 structured finance transactions backed by Greek assets.
The rating actions were prompted by Moody's downgrade on April 22 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 €6.9 billion ($9.11 billion) of tranches from 11 RMBS deals, €19.8 billion of tranches from 16 ABS deals and €3 billion from three CLOs.
Moody's has taken rating actions on all senior classes of notes in RMBS transactions backed by Greek assets. 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.
Moody's has taken rating actions on ten deals backed by loans or leases to small and medium Greek enterprises (SMEs), four deals backed by Greek 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.
Moody's has taken rating actions on three senior classes of CLO 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. 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.
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.
