DNT 46.1 million of debt affect
Paris, January 25, 2011 -- Moody's has today downgraded and placed on review for possible downgrade
the ratings of notes of the two Tunisian RMBS. Moody's provides
the detailed list of today's rating actions at the end of this press release.
RATINGS RATIONALE
Today's rating actions are driven by the social instability due to the
unexpected regime change in Tunisia leading to significant uncertainties
on the institutional environment. Moody's downgraded the ratings
of Tunisian's government bonds from Baa2 to Baa3 and changed the outlook
from stable to negative on January ,19 2011 and also downgraded
the ratings of "BIAT" (Banque Internationale Arabe de Tunisie),the
originator in the transactions, from Baa2 to Baa3 on watch for downgrade.
The recent political and social events also challenge the operational
risk in the two transactions. Additionally, Moody's
expects the political uncertainties to hurt the economic growth and consequently
the assets' performance of the transaction.
ASSET POOL PERFORMANCE
With the cumulative losses ratio of 30 bps for FCC Biat Credimmo 1 and
65 bps for FCC BIAT Credimmo 2, the transactions performance remains
in line with Moody's initial expectations . The performance
has always been stable with a level of 30+ arrears steady at below
3%. However, the recent political events in Tunisia
may challenge the economic environment and economic growth will suffer
from the likely contraction of touristic activities. This will
in turn probably lead to a deterioration of the RMBS asset performance.
OPERATIONAL RISKS AND LIQUIDITY
Moody's considered the operational risk in the transactions taking into
account Moody's approaches for servicing and cash management.Thus
today's rating actions reflects the weakened financial strength of BIAT,
which acts in various roles in the transactions, including servicer,
cash manager and management company. In its analysis, Moody's
assessed the linkage of the notes to the servicer's ability to service
the pools and to its credit quality. The current operational risk
mitigants in place (servicer replacement and notification trigger at loss
of Baa3 and monthly sweep to the issuer account) were not strong enough
to maintain the Aaa.tn (sf) rating on senior notes.
In particular, the transactions could be exposed to operational
risk if there was a cash manager default as no other entity would be able
to pay the noteholders, regardless of the cash available to the
transactions (the reserve funds provide sufficient liquidity to cover
for 12 (FCC BIAT Credimmo 1) and 8 (FCC BIAT Credimmo 2) months of interest
payments under the notes assuming a stressed TMM at roughly 6.3%
and no principal amortization).
Some contractual provisions are also limited in the current environment.
Despite the provision to transfer the issuer bank account of FCC BIAT
Credimmo 2 at loss of P-2, this role will necessarily remain
within a P-3 rated entity given that no Tunisian bank has currently
a short-term rating above P-3 following Moody's downgrade
of all Tunisian banks on January 21, 2011. This emphasizes
the weak resilience of the two transactions to a systemic crisis that
questions BIAT's ability to perform each of its roles.
DETAILED RATING ACTIONS
FCC BIAT-CREDIMMO 1
TND 5 Million Class P1 Downgraded from Aaa.tn (sf) to Aa2.tn
(sf) and Placed Under Review for Possible Downgrade
TND 5 Million Class P1Assigned A3 (sf) and Placed Under Review for Possible
Downgrade
TND 10 Million Class P2 Downgraded from Aaa.tn (sf) to Aa2.tn
(sf) and Placed Under Review for Possible Downgrade
TND 10 Million Class P2 Assigned A3 (sf) and Placed Under Review for Possible
Downgrade
TND 2.5 Million Class S A3.tn (sf) Placed Under Review for
Possible Downgrade
TND 2.5 Million Class S Assigned Baa3 (sf) Placed Under Review
for Possible Downgrade
FCC BIAT-CREDIMMO 2
TND 10.1 Million Class P1 Downgraded from Aaa.tn (sf) to
Aa2.tn (sf) and Placed Under Review for Possible Downgrade
TND 10.1 Million Class P1 Assigned A3 (sf) and Placed Under Review
for Possible Downgrade
TND 10.5 Million Class P2 Downgraded from Aaa.tn (sf) to
Aa2.tn (sf) and Placed Under Review for Possible Downgrade
TND 10.5 Million Class P2 Assigned A3 (sf) and Placed Under Review
for Possible Downgrade
TND 4 Million Class P3 Downgraded from Aaa.tn (sf) to Aa2.tn
(sf) and Placed Under Review for Possible Downgrade
TND 4 Million Class P3 Assigned A3 (sf) and Placed Under Review for Possible
Downgrade
TND 4 Million Class S A3.tn (sf) Placed Under Review for Possible
Downgrade
TND 4 Million Class S Assigned Baa3 (sf) Placed Under Review for Possible
Downgrade
Moody's will continue to monitor the situation in Tunisia and its
potential impact on these transactions . The rating of all notes
remain on review for possible downgrade. During the review,
Moody's will focus on the exposure to BIAT and the efficiency of
the structural features in place in a context of the evolving and uncertain
political and economic environment.
The principal methodologies used in this action were : The Lognormal
Method Applied to ABS Analysis published in September 2000, Moody's
Methodology for Rating RMBS in Europe, Middle East and Africa (EMEA)
published in October 2008, Moody's Approach to Rating RMBS
in Emerging Securitisation Markets -- EMEA published in June 2007
and Cash Flow Analysis in EMEA RMBS: Testing Structural Features
with the MARCO Model published in January 2006.
Other methodologies and factors that may have been considered in the process
of rating these Notes can also be found on Moody's website.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
Moody's National Scale Ratings (NSRs) are intended as relative measures
of creditworthiness among debt issues and issuers within a country,
enabling market participants to better differentiate relative risks.
NSRs differ from Moody's global scale ratings in that they are not globally
comparable with the full universe of Moody's rated entities, but
only with NSRs for other rated debt issues and issuers within the same
country. NSRs are designated by a ".nn" country
modifier signifying the relevant country, as in ".tn"
for Tunisia. For further information on Moody's approach to national
scale ratings, please refer to Moody's Rating Implementation Guidance
published in August 2010 entitled "Mapping Moody's National Scale
Ratings to Global Scale Ratings."
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Paris
Elise Lemaire
Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service has today downgraded and placed on review for possible downgrade the ratings of notes of the two Tunisian RMBS.