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Rating Action:

Moody's rates Fideicomiso Financiero ICBC Personales XI , a securitization of personal loans in Argentina

 The document has been translated in other languages

25 Feb 2014

ARS 192,797,604 of debt securities rated

Buenos Aires City, February 25, 2014 -- Moody's Latin America Agente de Calificación de Riesgo (Moody's) rates Fideicomiso Financiero ICBC Personales XI, a transaction that will be issued by TMF Trust (Argentina) S.A. - acting solely in its capacity as Issuer and Trustee.

As of today, the securities for this transaction have not yet been placed in the market. Also, the transaction is pending approval from the Comisión Nacional de Valores in Argentina. If any assumption or factor Moody's considers when assigning the ratings change before closing, the ratings may also change.

- ARS 144,598,203 in Class A Floating Rate Debt Securities of "Fideicomiso Financiero ICBC Personales XI", rated Aaa.ar (sf) (Argentine National Scale) and Ba3 (sf) (Global Scale, Local Currency)

- ARS 28,919,641 in Class B Floating Rate Debt Securities of "Fideicomiso Financiero ICBC Personales XI", rated Aaa.ar (sf) (Argentine National Scale) and Ba3 (sf) (Global Scale, Local Currency)

- ARS 19,279,760 in Certificates of "Fideicomiso Financiero ICBC Personales XI", rated Ba1.ar (sf) (Argentine National Scale) and Caa1 (sf) (Global Scale, Local Currency)

RATINGS RATIONALE

The rated securities are payable from the cash flow coming from the assets of the trust, which is an amortizing pool of 11,779 eligible personal loans denominated in Argentine pesos, with a fixed interest rate, originated by the Industrial and Commercial Bank of China (Argentina) S.A."ICBC (Argentina)", in an aggregate amount of ARS 192,797,604.

These personal loans are granted to ICBC (Argentina) clients. The monthly loan installment is deducted directly from the borrower's bank account.

Overall credit enhancement is comprised of 25% of subordination for the Class A Floating Rate Debt Securities and 10% for the Class B Floating Rate Debt Securities. In addition the transaction has various reserve funds and excess spread.

Factors that would lead to an upgrade or downgrade of the rating

Factors that may lead to a downgrade of the ratings include an increase in delinquency levels beyond the level Moody's assumed when rating this transaction.

Factors that may lead to an upgrade of the ratings include the building of credit enhancement over time due to the turbo sequential payment structure, when compared with the level of projected losses in the securitized pool.

Loss and Cash Flow Analysis

Moody's considered the credit enhancement provided in this transaction through the initial subordination levels for each rated class, as well as the historical performance of ICBC (Argentina)'s portfolio. In addition, Moody's considered factors common to consumer loans securitizations such as delinquencies, prepayments and losses; as well as specific factors related to the Argentine market, such as the probability of an increase in losses if there are changes in the macroeconomic scenario in Argentina. These factors were incorporated in a cash flow model in order to determine the expected loss for the rated securities.

In assigning the rating to this transaction, Moody's assumed a lognormal distribution for defaults on the main pool with a mean of 9% and a coefficient of variation of 60%. Also, Moody's assumed a lognormal distribution for prepayments with a mean of 20% and a coefficient of variation of 70%. These assumptions are derived from the historical performance to date of ICBC (Argentina)'s pools. Servicer default was modeled by simulating the default of the ICBC (Argentina) as the servicer consistent with its current rating of Ba3/Aaa.ar. In the scenarios where the servicer defaults, Moody's assumed that the defaults on the pool would increase by 20 percentage points.

The model results showed 0.01% expected loss for the Class A Floating Rate Debt Securities, 1.98% for the Class B Floating Rate Debt Securities and 10.45% for the Certificates.

Finally, Moody's also evaluated the back-up servicing arrangements in the transaction. If ICBC (Argentina) is removed as servicer, TMF Trust Company (Argentina) S.A. will be appointed as the back-up servicer.

Stress Scenarios

Moody's ran several stress scenarios, including increases in the default rate assumptions. If default rates were increased 3% from the base case scenario for the pool (i.e., mean of 12% and a coefficient of variation of 60%), the ratings of the Class B Floating Rate debt securities and the Certificates would likely be downgraded to B2 (sf) and Caa2 (sf) respectively. The ratings of the Class A Floating Rate Debt Securities would likely be unchanged.

The principal methodology used in this rating was "Moody's Approach to Rating Consumer Loan ABS Transactions" published in May 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

For more information on this transaction, please refer to the Pre Sale Report to be published in moodys.com.

Moody's National Scale Credit Ratings (NSRs) are intended as relative measures of creditworthiness among debt issues and issuers within a country, enabling market participants to better differentiate relative risks. NSRs differ from Moody's global scale credit ratings in that they are not globally comparable with the full universe of Moody's rated entities, but only with NSRs for other rated debt issues and issuers within the same country. NSRs are designated by a ".nn" country modifier signifying the relevant country, as in ".mx" for Mexico. For further information on Moody's approach to national scale credit ratings, please refer to Moody's Credit rating Methodology published in October 2012 entitled "Mapping Moody's National Scale Ratings to Global Scale Ratings.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF358048

Moody's describes its loss and cash flow analysis in the section "Ratings Rationale" of this press release.

Moody's describes the stress scenarios it has considered for this rating action in the section "Ratings Rationale" of this press release.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Martin Fernandez Romero
Vice President - Senior Analyst
Structured Finance Group
Moody´s Latin America Agente de Calificación de Riesgo
Ing. Butty 240
16th Floor
Buenos Aires City C1001AFB
Argentina
JOURNALISTS: (800) 666 -3506
SUBSCRIBERS: (5411) 5129 2600

Maria Ines Muller
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody´s Latin America Agente de Calificación de Riesgo
Ing. Butty 240
16th Floor
Buenos Aires City C1001AFB
Argentina
JOURNALISTS: (800) 666 -3506
SUBSCRIBERS: (5411) 5129 2600

Moody's rates Fideicomiso Financiero ICBC Personales XI , a securitization of personal loans in Argentina
No Related Data.
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