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Rating Action:

Moody's rates Supervielle Créditos Banex 44, a personal loan securitization in Argentina

 The document has been translated in other languages

23 Mar 2011

ARS 100,000,000 of debt securities rated

Buenos Aires, March 23, 2011 -- Moody's Latin America (Moody's) has rated the debt securities and certificates of Fideicomiso Financiero Supervielle Créditos Banex 44 issued by Deutsche Bank Argentina S.A.- acting solely in its capacity as Issuer and Trustee.

- ARS 31,000,000 in Class A Fixed Rate Debt Securities of "Fideicomiso Financiero Supervielle Créditos Banex 44", rated Aaa.ar (sf) (Argentine National Scale) and Ba1 (sf) (Global Scale, Local Currency)

- ARS 54,000,000 in Floating Rate Debt Securities of "Fideicomiso Financiero Supervielle Créditos Banex 44", rated Aaa.ar (sf) (Argentine National Scale) and Ba1 (sf) (Global Scale, Local Currency)

- ARS 10,000,000 in Class C Fixed Rate Debt Securities of "Fideicomiso Financiero Supervielle Créditos Banex 44", rated A2.ar (sf) (Argentine National Scale) and B3 (sf) (Global Scale, Local Currency)

- ARS 5,000,000 in Certificates of "Fideicomiso Financiero Supervielle Créditos Banex 44", 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 approximately 22,602 eligible personal loans denominated in Argentine pesos, with a fixed interest rate, originated by Banco Supervielle, in an aggregate amount of ARS 100,002,022.

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.

The Class A Fixed Rate Debt Securities will bear a fixed interest rate of 12.75%. The Floating Rate Debt Securities will bear a BADLAR interest rate plus a spread of 358 bp. The Floating Rate Debt Securities' interest rate will never be higher than 21% or lower than 13%. The Class C Fixed Rate Securities will bear a fixed interest rate of 21%.

Overall credit enhancement is comprised of subordination: 69% for the Class A Fixed Rate Debt Securities, 15% for the Floating Rate Securities and 5% for the Class C Fixed Rate 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 that takes into account all the relevant features of the transaction's assets and liabilities. Monte Carlo simulations were run, which determines the expected loss for the rated securities.

In assigning the rating to this transaction, Moody's assumed a triangular distribution for defaults on the main pool centered around a most likely scenario of 10%, a minimum of 5% and a maximum of 20%. Also, Moody's assumed a triangular distribution for prepayments centered around a most likely scenario of 20%, a minimum of 15% and a maximum of 35%. These assumptions are derived from the historical performance to date of the Banex's pools.

The model results showed 0.00% expected loss for Class A Fixed Rate Debt Securities and Floating Rate Debt Securities, 1.54% expected loss for Class C Fixed Rate Debt Securities and 16.03% for the Certificates.

Moody's ran several stress scenarios, including increases in the default rate assumptions. If default rates were increased 10% from the base case scenario for the pool (i.e., most likely scenario of 20%, a minimum of 15% and a maximum of 30%), the ratings of the Classes A and Floating Rate would be unchanged. The ratings for Class C Fixed Rate debt securities would be likely downgraded to Ca (sf) and to C (sf) for the Certificates.

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, Deutsche Bank Argentina S.A. will be appointed as the back-up servicer.

The main source of uncertainty for this transaction is the regulatory and legal framework for the automatic deduction loans in Argentina.

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

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings and public 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 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.

Buenos Aires
Martin Fernandez Romero
Vice President - Senior Analyst
Structured Finance Group
Moody's Latin America, Calificadora de Riesgo
JOURNALISTS: (800) 666 -3506
SUBSCRIBERS: (5411) 4816-2332

New York
Maria Muller
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Latin America, Calificadora de Riesgo
Cerrito 1186, 11th fl
Buenos Aires C1010AAX
Argentina
JOURNALISTS: (800) 666 -3506
SUBSCRIBERS: (5411) 4816-2332

Moody's rates Supervielle Créditos Banex 44, a personal loan securitization in Argentina
No Related Data.
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​
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