EUR 21.8 Billion of debt securities affected
Paris, October 29, 2010 -- Issuer: CIF ASSETS 2001-1
EUR3,498,340,462.75 Class A newly issued Notes,
due April 23, 2060, Assigned Aaa (sf)
EUR198,900,000 Class B newly issued Notes, due April
23, 2060, Assigned A2 (sf)
EUR 15,415,781,299.5 Class A existing Notes,
due April 23, 2060, Affirmed Aaa (sf)
EUR 2,652,900,000 Class B existing Notes, due
April 23, 2060, Affirmed A2 (sf)
The newly issued notes are fungible with the existing ones; this
is the reason why, only the combined balances of Class A notes and
Class B notes are considered into Moody's reports.
The rating on Class B only addresses expected loss by the final legal
The ratings take into account the credit quality of the underlying mortgage
loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement
and the portfolio expected loss, as well as the transaction structure
and any legal considerations as assessed in Moody's cash flow analysis.
The expected portfolio loss of 1.6% and the MILAN Aaa required
credit enhancement of 11.1% serve as input parameters for
Moody's cash flow model and tranching model, which is based on a
probabilistic lognormal distribution as described in the report "The Lognormal
Method Applied to ABS Analysis", published in September 2000.
These figures which are relatively higher than those of the other French
RMBS transactions reflect the relatively high loan-to value ratio,
the growing proportion of buy to let (16.35%), unsecured
loans benefiting from a guarantee (17.75%) or not (EDF-GDF
loans, 0.71%), and loans to non-resident
borrowers (2.22%). The increased expected loss reflects
the growth of Moody's cumulative defaults assumption (from 4.2%
to 4.7%) which is mainly driven by the deteriorated performance
experienced during 2009 by the entire book and the trend towards higher
default level of the most recent vintages.
The principal methodologies used in rating the Notes were The Lognormal
Method Applied to ABS Analysis published in September 2000, Moody's
Approach to Rating French RMBS published in October 2005 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.
The portfolio consists of French prime residential home loans backed by
first economic lien mortgages or equivalent third-party eligible
guarantees which are well --known products by Moody's.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a negative
impact on the rating.
This rating action relates to the tap issuance of EUR 3,735 Million
of new Units that are fungible with existing ones. The total outstanding
debt issued by CIF ASSETS 2001-1 now amounts to EUR 21,803
million. The portfolio consists of French prime residential home
loans backed by first economic lien mortgages or equivalent third-party
eligible guarantees originated and serviced by 12 current regional lenders
of the CIF group. For the first time, around 10.25%
of the pool will be originated by Banque Patrimoine et Immobilier ("BPI").
This corresponds to the eligible portion of the collateral backing the
FCC BPI Master Mortgage 2003 transaction, whose notes have been
repaid as of the closing date of the CIF assets 2001-1 transaction.
The transaction is arranged, originated and serviced by the CIF
group which also provides the swap through the Caisse Centrale du Credit
Immobilier de France (3CIF)entity the swap mitigates the interest rate
risk relating to the fixed rate loans which represent 43% of the
pool and to the basis risk related to the floating rate loans that represent
57% and guarantees a 1.6% margin. The transaction
is not revolving. The structure benefits from a non-amortising
cash reserve, that is fully funded at closing to 3.85%
of the outstanding balance of the notes, principal to pay interest
mechanism and accelerated amortisation trigger.
The ratings address the expected loss posed to investors by the legal
final maturity. In Moody's opinion the structure allows for
timely payment of interest and ultimate payment of principal at par on
or before the rated final legal maturity date on Class A and ultimate
payment of interest and principal at par on or before the rated final
legal maturity date on Class B. Moody's ratings address only
the credit risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
The V Score for this transaction is Low/Medium, which is in line
with the V score assigned for the French RMBS sector. The key driver
for this score is the fact that it is a standard French RMBS structure
for which we have over 10 years of historical performance data.
The primary source of uncertainty surrounding our assumptions is the current
macroeconomic environment, in which property values might be falling
and unemployment might continue to rise.
The V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009. 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.
If the portfolio expected loss was increased to 4.8%,
the model output indicates that Class A would still achieve Aaa assuming
that MILAN Aaa Credit Enhancement increases up to 13.3%
and all other factors remain equal. If the MILAN Aaa Credit Enhancement
would be stressed by 1.4 times to 15.6%, the
model output for the class A notes would be Aa1, assuming an expected
loss of up to 2.4%.. If the MILAN Aaa Credit
Enhancement would be stressed by 1.6 times to 17.8%,
the model output for the class A notes would be Aa1 using expected loss
range from 1.6% to 4.8%.
If either the expected loss or the MILAN Aaa Credit Enhancement were increased,
the model output indicates that Class B would not achieve anymore A2 (without
timely payment of interest) and would range from Baa1 to B2 depending
on the stress assumed for the two parameters.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and 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.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
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, public information, 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.
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.
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.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. In addition Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered of our website, at www.moodys.com/SFQuickCheck.
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.
Structured Finance Group
Moody's France SAS
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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
Moody's assigns definitive ratings to French RMBS Bonds issued and affirms ratings to existing Bonds issued by CIF ASSETS 2001-1, a compartment of the Fonds Commun de Titrisation CIF ASSETS
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