New York, June 22, 2010 -- Moody's Investors Service has assigned global foreign currency ratings
of Baa2 to the Series 2010-A, Series 2010-B,
Series 2010-C and 2010-D Floating Rate Notes ("the
New Notes") to be issued by CCR Inc. MT-100 Payment
Rights Master Trust (the trust).
The trust currently has six series outstanding. Four of the previously
rated series (Series 2005-A, 2006-A, 2007-A
and 2007-B, "guaranteed series"), have
the benefit of insurance policies provided by Ambac Assurance Corporation
(Caa2 Insurance Financial Strength Rating). The New Notes have
been offered to investors in exchange of the previously issued guaranteed
series and are backed by existing and future U.S. dollar
cash flows generated by the electronic remittance business of Banco de
Crédito del Perú, S.A. (BCP).
The trust was established in 2001 by BCP, which is the originator
of and the servicer of the remittances.
Moody's also notes that the issuance of the additional series, in
and of itself and at this time, did not result in the downgrade
or withdrawal of its Baa2 foreign currency rating currently assigned to
the Series 2005-A, Series 2006-A, and Series
2008-A issued by the trust. Moody's understands that
the Series 2007-A and Series 2007-B notes will be exchanged
in full and that after the exchange is completed there will be not outstanding
notes under Series 2007-A and 2007-B. Moody's
believes that the issuance of the New Notes does not have an adverse effect
on the credit quality of the outstanding rated securities. Moody's
did not express an opinion as to whether these changes could have other,
non credit-related effects.
RATING RATIONALE
When rating financial future flow transactions backed by diversified payment
rights, Moody's considers the characteristics and historical remittance
collections backing the transaction as well as the structural mechanisms
incorporated which mitigate various risks such as originator risk and
sovereign risk, among others. Moody's also focuses
on the credit strength of the originating bank and its ability to generate
the flows in the future. The Baa2 rating assigned to the Series
2010-A, Series 2010-B, Series 2010- C
and 2010-D Floating Rate Notes is based primarily on the following
factors:
• the financial and operational strength of BCP and its prominent
position in the Peruvian banking system;
• the historical volumes generated by BCP's electronic remittance
business;
• the nature of the underlying future receipts - that is,
the generation of the receipts through electronic means and the off-shore
cash settlement process;
• the high ratio of remittance cash flows to maximum scheduled debt
service (92x monthly debt service coverage ratio on a pro forma basis),
based on strong cash flows generated by commercial and personal payments
to non-financial institution beneficiaries in Perú;
• the participation and strength of BCP's network of non-affiliated
correspondent banks, including those five (designated depositary
banks) which have signed acknowledgments committing to pay all amounts
otherwise owing to BCP in respect of US dollar-denominated remittances
to the trustee,
• structural and legal protections incorporated in the transaction,
including required minimum debt service coverage ratios, which,
if not met, can trigger the early amortization of the notes,
and
• the true sale of the receivables to the trust.
V SCORE AND PARAMETER SENSITIVITIES
The V Score that Moody's has assigned to the notes indicates a Low/Medium
uncertainty about critical assumptions, in line with the V scores
of the financial future flow sector. 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.
The factors contributing to a Low/Medium V Score are low performance variability,
low market value sensitivity, low analytical and transaction complexity
and low/medium ongoing disclosure of securitization performance.
The V Score also indicates Medium assessments for the quality of historical
data and legal and regulatory uncertainty, in line with the sector,
as Latin American originators are subject to local regulations in their
jurisdiction and there's a degree of uncertainty if unforeseen regulatory
or legal changes are imposed. V Scores are intended to rank transactions
by the potential for significant rating changes owing to uncertainty around
the assumptions due to data quality, historical performance,
the level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings.
When analyzing the transaction's cash flows and applying parameter
sensitivities, Moody's used assumptions of 25%,
50% and 75% reductions of Proforma Debt Service Coverage
ratios of 92 times (the Proforma Debt Service Coverage ratio takes into
consideration the most recent 12 months of collections and compares it
with the highest monthly debt service payment during the life of the notes).
Under these stressed scenarios Moody's concluded that the transaction's
rating would not change from the Baa2 rating currently assigned to the
new issuance of notes. These parameter sensitivities take into
consideration a decrease of the flows caused by leveraging of the program,
and not by volatility resulting from any sudden deterioration of the banks'
remittance business or bank's event risk stemming from BCP's
possible diminished credit quality.
Parameter Sensitivity results for this transaction are not modeled indicated
ratings, but rather, qualitative assessments that have been
determined by a committee. The analysis assumes that the deal has
not aged. It is not intended to measure how the rating of the security
might migrate over time, but rather, how the initial rating
of the security might have differed if key rating input parameters were
varied.
BANCO DE CREDITO DEL PERU, S.A.
Banco de Crédito del Perú (BCP), established in 1889,
is by far the largest bank in Peru in terms of assets. With US$
18.3 billion in assets and $1.7 billion in equity
as of December 31, 2009, BCP holds the largest market shares
in loans (35%), deposits (37.4%) and mutual
funds (42% of wealth under management) and has a significant presence
across the range of customer segments.
PRINCIPAL METHODOLOGY
The principal methodology used in rating the Series under the CCR Inc.
MT-100 Payment Rights Master Trust was "Moody's Approach to Rating
Diversified Payment Right Securitisations", published in March 2009
and "V-Scores and Parameter Sensitivities in the Latin American
Cross-Border Future Flows Sector", published May 11,
2009, and 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 structure finance credit, ratings and methodologies
available to all registered users of our website, at www.moodys.com/SFQuick
Check.
RATING SUMMARY
The complete rating action is as follows:
Issuer: CCR Inc. MT-100 Payment Rights Master Trust
USD 128,073,520 Series 2010-A Floating Rate Notes Due
2012, rated Baa2
USD 63,035,754 Series 2010-B Floating Rate Notes Due
2016, rated Baa2
USD 350,000,000 Series 2010-C Floating Rate Notes Due
2017, rated Baa2
USD 150,000,000 Series 2010-D Floating Rate Notes Due
2014, rated Baa2
More detail regarding the transaction will be available on Moody's website,
http://www.moodys.com. Please use Search,
found in the upper right hand corner of the home page, to locate
the issuer and associated research.
New York
Maria Muller
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Victoria Moreno
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns Baa2 ratings to new series issued by Banco de Crédito del Perú's electronic remittance program
