BRL544.8 million of senior shares and BRL43.2 million of mezzanine shares rated
Sao Paulo, February 08, 2011 -- Moody's America Latina (Moody's) has assigned definitive ratings of Aaa.br
(sf) (Brazilian National Scale) and Baa3 (sf) (Global Scale, Local
Currency) to the Senior Shares, and Ba1.br (sf) (Brazilian
National Scale) and B2 (sf) (Global Scale, Local Currency) to the
Mezzanine Shares issued by Chemical VI - FIDC Indústria
Petroquímica ("Chemical VI - FIDC"), a securitized
transaction backed by a pool of trade receivables originated by Braskem
Issuer: Chemical VI - FIDC Indústria Petroquimica
Senior Shares - Aaa.br (sf) (National Scale) & Baa3
(sf) (Global Scale, Local Currency)
Mezzanine Shares -- Ba1.br (sf) (National Scale)
& B2 (sf) (Global Scale, Local Currency)
The ratings are based on the following factors, among others:
- Overcollateralization ratio (O/C) ranging from a minimum of 110%
to a maximum of 115% for the benefit of the Senior Shares outstanding,
and 102.041% for the Mezzanine Shares, to mitigate
losses, dilution and potential interest rate mismatches;
- The eligibility parameters of the trade receivables acquired
by the issuer, which include concentration limits by client,
delinquency by client, and maximum term of the trade receivables;
- Maximum individual concentration limit of 3% for all obligors;
- The ability of Banco Bradesco S.A. (A1 Long-term
Bank Deposit Rating in the Global Local Currency Scale & Aaa.br
in the Brazilian National Scale) to act as master and back-up servicer
for the transaction; and
- The legal structure of the transaction, including the bankruptcy
remoteness of the issuer.
The originators of the securitized receivables are Braskem S.A.,
Quattor Participacoes S.A., Quattor Petroquímica
S.A. and Rio Polímeros S.A. (Braskem
Group). Braskem S.A. is a large Brazilian manufacturer
of petrochemical products rated Aa2.br (Brazilian National Scale)
and Ba1 (Global Local, Currency Scale).
The transfer of receivables from the originators to the issuer is structured
as a true sale and a definitive assignment of the contracts as set forth
in the assignment of transferred credits under the Brazilian civil code.
Chemical VI - FIDC has a tenor of 48 months. The senior
and subordinated mezzanine shares will be amortized in 6 equal monthly
installments following the revolving period of 42 months.
During the 42 month revolving period, the senior and mezzanine shares
will receive seven semi-annual payments of interest, and
following the revolving period, will receive monthly interest payments
together with the scheduled principal amortizations of senior and subordinated
In order to rate the transaction, Moody´s received pool performance
data audited by KPMG covering the time period July 2007 through June 2010
from Braskem. Key data reviewed by Moody´s included dilutions,
delinquencies, losses, receivable turnover and volume of eligible
receivables. For Moody´s modeling assumptions, Moody´s
has assumed 0.22% monthly dilutions, 0,25%
monthly losses on outstanding balance and an average turnover of 35 days.
The main uncertainties of the transaction relate to the loss levels and
dilution levels of the securitized pool. Although Moody´s
analyzed the historical performance data of previous transactions and
historical performance data of trade receivables originated by Braskem
Group, the actual performance of the securitized pool may be affected,
among others, by the economic activity in the petrochemical industry.
Moody's parameter sensitivities provide a quantitative/model-indicated
calculation of how the rating of a Moody's-rated structured
finance security may vary if certain input parameters used in the initial
rating process differed. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information presented
in the parameter sensitivity analysis. The results generated by
rating models are one of many inputs to the rating process. Ratings
are determined collectively through the exercise of judgment by rating
committees, which evaluate many quantitative and qualitative factors.
Moody's key ratings-model assumptions for this transaction
are Braskem's rating, loss rate and dilution rate.
If Braskem´s rating is downgraded to Ba3 from Ba1 and the loss rate
and dilution rate are doubled, the transaction ratings would remain
The principal methodology used in rating the certificates was Moody´s
Approach to Rating Trade Receivables Backed Transactions published in
Moody's Investors Service received and took into account a third
party due diligence report prepared by KPMG on the underlying assets or
financial instruments in this transaction and the due diligence report
had a positive impact on the rating.
Information source(s) used to prepare the credit rating are the following:
parties involved in the ratings and public information.
Moody's Investors Service considers the quality of information available
on the certificates satisfactory for the purposes of assigning a credit
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.
Vice President - Senior Analyst
Structured Finance Group
Moody's America Latina Ltda.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's America Latina Ltda.
Moody's assigns definitive ratings to Chemical VI - FIDC Indústria Petroquímica senior and mezzanine shares, a Brazilian trade receivables securitization
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