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Rating Action:

Moody's assigns definitive ratings to Consumer ABS notes issued by Compartment Noria 2009-A

28 Feb 2011

EUR 1,050 Million of debt securities rated

Paris, February 28, 2011 -- Moody's Investors Service has today assigned definitive rating to Consumer ABS notes issued by Compartment Noria 2009-A:

....EUR925.05M A Note, Assigned Aaa (sf)

....EUR124.95M B Note, Assigned Baa3 (sf)

RATINGS RATIONALE

The securitised portfolio consists of, as at December 2010, approx. EUR 970 million of unsecured consumer loans and debt consolidation loans extended to individuals resident in France and EUR75 million of cash equivalent. The consumer loans are granted to finance the acquisition of consumer goods and services with no specific purpose (vehicle loans, equipment loans and personal loans). The debt consolidation loans aggregate several loans and aim at rescheduling the overall consumer debt of a borrower. The loans were originated and will be serviced by BNP PARIBAS Personal Finance (NR), 100% owned by BNP PARIBAS (Aa2/P-1).

This transaction benefits from several credit strengths, such as no portfolio concentrations relative to the consumers in the transaction, with the largest borrower representing 0.02% of the portfolio and 10 largest borrowers 0.2%, as well as certain structural features such as the appointment of a back up servicer upon loss of Baa2 rating by BNP PARIBAS. In addition exposure to commingling risk is well mitigated (daily sweep to the specially dedicated accounts, redirection of payments to the issuer account at loss of Baa2 rating by BNP PARIBAS and a commingling reserve dynamically sized upon rating triggers covering prepayments paid by cheque and available upon insolvency of the servicer).

Moody's however notes that the transaction features a number of credit weaknesses, such as a lengthy revolving period with limited replenishment criteria which could lead to a change in the overall portfolio product mix. In addition, there is potential exposure to negative carry, which is mitigated by a partial amortization of the Class A notes and a swap compliant with Moody's criteria. The transaction also has three types of different amortization scenario's which add some complexity to the transaction, as well as some reliance on the originator/servicer BNPPF to perform a multitude of roles in the transaction. These characteristics were considered in Moody's analysis and ratings.

The rating on the notes takes into account among other factors, on (i) an evaluation of the underlying portfolio of loans; (ii) historical performance information; (iii) the swap agreements; (iv) the credit enhancement provided by the excess spread and the 7% reserve fund; (v) the liquidity support available in the transaction, by way of principal to pay interest, and the reserve fund; (vi) the provisions for the appointment of a back-up servicer; and (vii) the legal and structural integrity of the transaction.

The V Score for this transaction is Low/Medium, which is comparable to the score assigned for the EMEA Italian Consumer loan sector. Moody's notes that Quality of Historical Data for the Issuer/Sponsor/Originator is Low/Medium due to the lengthy historical information made available. Market Value Sensitivity is Low/Medium, above the sector as a portion of the portfolio is backed real estate. Back-up Servicer Arrangement is Low/Medium as better than the Moody's operational risks guidelines suggest. For more information, the V-Score has been assigned accordingly to the report "V Scores and Parameter Sensitivities in the Global Consumer Loan ABS Sectors", published in May 2009.

In its quantitative assessment, Moody's assumed an initial mean default rate of 5.3% and a subsequent portfolios mean of 8% with a coefficient of variation of 45% and a recovery rate of 35% as the main input parameters for Moody's cash-flow model ABSROM. In its base case scenario, Moody's also assumed a constant prepayment rate of 20% and a sinus-shape timing of defaults, considering a 6 months default definition.

The principal methodology used in this rating was The Lognormal Method Applied to ABS Analysis, published in July 2000.

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.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.

Moody's used ABSROM to model the cash flows and determine the loss for each tranche. In the cash flow model, once all of the asset-side modelling assumptions are input, the model produces a series of default scenarios that are weighted considering the probabilities of the lognormal distribution assumed for the portfolio defaults. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss expected in each default scenario for each tranche.

Moody's Parameter Sensitivities: Moody's principal portfolio model inputs are Moody's cumulative default rate assumption and the recovery rate. Moody's tested various scenarios derived from different combinations of mean default rate (i.e. adding a stress on the expected average portfolio quality) and recovery rate. For example, Moody's tested for the initial mean default rate: 5.3% as base case ranging to 6.0% and for the recovery rate: 35% as base case ranging to 25%. The model sensitivity output indicated that Class A model output would vary from Aaa to Aa3 in these scenarios (all other factors being constant). Moody's Parameter Sensitivities provide a quantitative / model-indicated calculation of the number of rating notches that a Moody's-rated structured finance security may vary if certain input parameters would change. 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 the two parameters within a given sector that have the greatest rating impact were varied.

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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.

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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
Virginie Marraud des Grottes
Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive ratings to Consumer ABS notes issued by Compartment Noria 2009-A
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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