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I AGREE
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.
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 assigning
a credit rating.
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
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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
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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.
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