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Rating Action:

Moody's Assigns Definitive Ratings To French Mortgage Backed Units Issued By BPI Master Mortgage 2003

01 Jun 2010

EUR 2.22 Billion of debt securities affected

Paris, June 01, 2010 -- Moody's Investors Service assigns definitive ratings to two classes of Notes issued by BPI Master Mortgage 2003, a compartment of the Fonds Commun de Créances BPI Master Mortgage:

Aaa to the EUR 2,012.5 Million Class A due May 2060

A2 to the EUR 212.4 Million Class B due May 2060

The rating on Class B only addresses expected loss by the final legal maturity.

This rating action relates to the tap issuance of EUR 206.3 of new Units that are fungible with existing ones. The total outstanding debt issued by BPI Master Mortgage 2003 now amounts to EUR 2,224.9 million.

The portfolio consists of French prime residential home loans backed by first economic lien mortgages or equivalent third-party eligible guarantees originated and serviced by Banque Patrimoine et Immobilier ("BPI") a sister company of Caisse Centrale de Crédit Immobilier de France ("3CIF"). It is expected that the class A Notes will be refinanced through the issuance of French Covered Bonds (Obligations Foncières) by CIF Euromortgage, the Société de Crédit Foncier set up by 3CIF.

The expected portfolio loss of 2.0% and the MILAN Aaa required credit enhancement of 10.5% serve as input parameters for Moody's cash flow model and tranching model, which is based on a probabilistic lognormal distribution as described in the report "The Lognormal Method Applied to ABS Analysis", published in September 2000. These figures are relatively higher than those of the other French RMBS transactions. In particular the MILAN figure reflects the increasing loan-to value ratio, the growing proportion of buy to let (28.4%), the presence of unsecured loans benefiting from a guarantee (28.13%) and loans originated without meeting the client (roughly 30%) or to non-residents (14.31%).

Also for this tap issue Moody's addresses the lack of an external third party standard agreed-upon procedure by applying an additional 5% penalty in the MILAN model. The increased expected loss assumption is driven by a higher cumulative default assumption (3.3% to 5.7%) resulting from the deteriorating performance of the pool.

The transaction is not revolving. The structure benefits from a non-amortising cash reserve that is fully funded at closing to 4.5% of the outstanding balance of the notes, principal to pay interest mechanism and accelerated amortisation trigger. The structure also benefits from a swap provided by Caisse Centrale du Credit Immobilier de France (3CIF) to mitigate the interest rate risk relating to the fixed rate loans (57.3%) and to mitigate the basis risk related to the floating rate loans (42.7%).

The V Score for this transaction is Low/Medium, which is in line with the V score assigned for the French RMBS sector. The V-Score has been assigned accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009. V Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes.

Moody's initially analyzed and will monitor this transaction using the rating methodology for French RMBS transactions as described in the reports " Moody's Approach to Rating French RMBS", published in October 2005 and "Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model", published in January 2006 and which 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 this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. 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.

The definitive ratings address the expected loss posed to investors by the legal final maturity. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal on Bonds A only at par on or before the legal final maturity date. The Class B rating only addresses expected loss by the final legal maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on the yield to investors.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com. A copy of Moody's report for this transaction will shortly be available by either contacting our Client Service Desk in London (+44-20-7772 5454) or visiting our website at www.moodys.com. For additional information on Moody's France or Moody's Europe, visit our websites at www.moodys.fr or www.moodyseurope.com.

London
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Elise Lemaire
Associate Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Assigns Definitive Ratings To French Mortgage Backed Units Issued By BPI Master Mortgage 2003
No Related Data.
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