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21 Oct 2010
ARS 80,000,000 of debt securities rated
Buenos Aires, October 21, 2010 -- Moody's Latin America (Moody's) has rated the debt securities and certificates
of Fideicomiso Financiero Supervielle Créditos Banex XL issued
by Equity Trust Company (Argentina) S.A.- acting
solely in its capacity as Issuer and Trustee.
- ARS 33,600,000 in Class A Fixed Rate Debt Securities
of "Fideicomiso Financiero Supervielle Créditos Banex XL",
rated Aaa.ar (sf) (Argentine National Scale) and Ba1 (sf) (Global
Scale, Local Currency)
- ARS 34,400,000 in Floating Rate Debt Securities of
"Fideicomiso Financiero Supervielle Créditos Banex XL", rated
Aaa.ar (sf) (Argentine National Scale) and Ba1 (sf) (Global Scale,
- ARS 8,000,000 in Class C Fixed Rate Debt Securities
of "Fideicomiso Financiero Supervielle Créditos Banex XL",
rated Baa3.ar (sf) (Argentine National Scale) and B3 (sf) (Global
Scale, Local Currency)
- ARS 4,000,000 in Certificates of "Fideicomiso Financiero
Supervielle Créditos Banex XL", rated Caa2.ar (sf)
(Argentine National Scale) and Caa3 (sf) (Global Scale, Local Currency)
The rated securities are payable from the cash flow coming from the assets
of the trust, which is an amortizing pool of approximately 21,815
eligible personal loans denominated in Argentine pesos, with a fixed
interest rate, originated by Banco Supervielle, in an aggregate
amount of ARS 80,001,138.
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 12.25%. The Floating Rate Debt Securities will
bear a BADLAR interest rate plus 374 basis points. The Floating
Rate Debt Securities' interest rate will never be higher than 21%
or lower than 12%. The Class C Fixed Rate Securities will
bear a fixed interest rate of 20%.
Overall credit enhancement is comprised of subordination: 58%
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, 5.55%
expected loss for Class C Fixed Rate Debt Securities and 17.72%
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
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 Company (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.
Moody's did not receive or take into account a third party due diligence
report on the underlying assets or financial instruments in this transaction.
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.
Martin Fernandez Romero
Vice President - Senior Analyst
Structured Finance Group
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Latin America, Calificadora de Riesgo
Moody's rates Supervielle Créditos Banex XL, a personal loan securitization in Argentina
Cerrito 1186, 11th fl
Buenos Aires C1010AAX
No Related Data.
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