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Rating Action:

Moody's rates Supervielle Créditos 73, a securitization of personal loans in Argentina

 The document has been translated in other languages

Global Credit Research - 18 Oct 2013

Approximately ARS 200,000,000 of debt securities rated

Buenos Aires City, October 18, 2013 -- Moody's Latin America Calificadora de Riesgo rates Supervielle Créditos 73, a transaction that will be issued by Equity 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. If any assumption or factor Moody's considers when assigning the ratings change before closing, the ratings may also change.

- ARS 192,000,000 in Floating Rate Debt Securities of "Fideicomiso Financiero Supervielle Créditos 73", rated Aaa.ar (sf) (Argentine National Scale) and Ba3 (sf) (Global Scale, Local Currency)

- ARS 8,000,000 in Certificates of "Fideicomiso Financiero Supervielle Créditos 73", rated Baa1.ar (sf) (Argentine National Scale) and B3 (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 approximately 28,255 eligible personal loans denominated in Argentine pesos, with a fixed interest rate, originated by Banco Supervielle, in an aggregate amount of ARS 200,001,648.58

These personal loans are granted to pensioners that receive their monthly pensions from ANSES (Argentina's National Governmental Agency of Social Security - Administración Nacional de la Seguridad Social). The pool is also constituted by loans granted to government employees of the Province of San Luis. Banco Supervielle is the payment agent entity and automatically deducts the monthly loan installment directly from the employee's paycheck and pensioner's payment.

Overall credit enhancement is comprised of 4% of subordination for the Class A Floating Rate Debt Securities. In addition the transaction has various reserve funds and excess spread.

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 Supervielle'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. Finally, Moody's also evaluated the back-up servicing arrangements in the transaction.

In assigning the rating to this transaction, Moody's assumed a lognormal distribution for defaults on the main pool with a mean of 2.5% and a coefficient of variation of 50%. Also, Moody's assumed a lognormal distribution for prepayments with a mean of 25% and a coefficient of variation of 70%. These assumptions are derived from the historical performance to date of the Supervielle's pools. Servicer default was modeled by simulating the default of the Banco Supervielle as the servicer consistent with its current rating of B2/Aa3.ar. In the scenarios where the servicer defaults, Moody's assumed that the defaults on the pool would increase by 20 percentage points and a month of collections will be lost, given that the trust account is in Banco Supervielle.

The model results showed 1.53% expected loss for the Floating Rate Debt Securities and 11.65% for the Certificates.

Moody's ran several stress scenarios, including increases in the default rate assumptions. If default rates were increased four percentage points from the base case scenario for the pool (i.e., mean of 6.5% and a coefficient of variation of 50%), the ratings of Class A Floating Rate debt securities would likely be downgraded to B1 (sf), and the ratings of the Certificates would likely be downgraded to Ca (sf).

Moody's also considered the risk that a disruption in the flow of payments from ANSES or the Government of San Luis to pensioners and employees respectively, could severely affect the performance of the pool. Moody's believes that the ratings assigned are consistent with this risk.

Finally, Moody's also evaluated the back-up servicing arrangements in the transaction. If Banco Supervielle is removed as servicer, Equity Trust S.A. will be appointed as the back-up servicer.

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 Credit Ratings to Global Scale Credit Ratings".

REGULATORY DISCLOSURES

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_SF341471

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.

Rodrigo Conde
Analyst
Structured Finance Group
Moody's Latin America
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
Ing. Butty 240
16th Floor
Buenos Aires City C1001AFB
Argentina
JOURNALISTS: (800) 666 -3506
SUBSCRIBERS: (5411) 5129 2600

Moody's rates Supervielle Créditos 73, a securitization of personal loans in Argentina
No Related Data.

 

© 2014 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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