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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
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
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 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 firstname.lastname@example.org.
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.
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
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
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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