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I AGREE
21 Apr 2011
EUR 21.9 Billion of debt securities affected
Paris, April 21, 2011 -- Moody's assigns provisional ratings to French RMBS Class A Bonds to be
issued and affirms ratings to existing Class A Bonds issued by CIF ASSETS
2001-1, a compartment of the Fonds Commun de Titrisation
CIF ASSETS.
Issuer: CIF ASSETS 2001-1
EUR 1,834,820,836.0 Class A to be issued Notes,
Assigned (P)Aaa (sf)
EUR 17,223,087,338.6 Class A existing Notes,
Affirmed Aaa (sf)
EUR 2,851,800,000.00 Class B Notes, Withdrawn
(sf) previously on Oct 25, 2001 Affirmed at A2 (sf)
RATINGS RATIONALE
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 2.1% and the MILAN Aaa required
credit enhancement of 11.1% serve as input parameters for
Moody's cash flow 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 (16.85%), unsecured
loans benefiting from a guarantee (18.4%) or not (EDF-GDF
loans, 0.76%), and loans to non-resident
borrowers (2.4%). The increased expected loss reflects
the growth of Moody's cumulative defaults assumption (from 4.7%
to 6%) 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 this rating 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.
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 on class A and ultimate payment of principal at par
on or before the rated final legal maturity date. 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 rating on Class B is withdrawn for business reasons:
Moody's Investors Service has withdrawn the credit rating for its
own business reasons. Please refer to Moody's Investors Service
Withdrawal Policy, which can be found on our website, www.moodys.com.
The portfolio consists of French prime residential home loans backed by
first economic lien mortgages or equivalent third-party eligible
guarantees.
This rating action relates to the tap issuance of EUR 2,073 Million
of new Units that are fungible with existing ones. The total outstanding
debt issued by CIF ASSETS 2001-1 will amount to EUR 22,148
million. The portfolio is serviced by 12 current regional lenders
of the CIF group. 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 38.65% of the pool and to the basis risk
related to the floating rate loans that represent 54.7%
and guarantees a 1.6% margin. The transaction is
not revolving. The structure benefits from a non-amortising
cash reserve, that will be fully funded at closing to 3.95%
of the outstanding balance of the notes, a principal to pay interest
mechanism and accelerated amortisation trigger.
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 6.3%,
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 2.1%. 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 2.1% to 6.3%.
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.
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.
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, 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
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
Elise Lemaire
Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Milan
Michelangelo Margaria
VP - Senior Credit Officer
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 provisional ratings to French RMBS Class A Bonds to be issued and affirms ratings to existing Class A Bonds issued by CIF ASSETS 2001-1, a compartment of the Fonds Commun de Titrisation CIF ASSETS.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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