News Column

Fitch Takes Various Rating Actions on 'A+' Rated Peruvian DPRs; Outlook Stable

June 6, 2014

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has upgraded the ratings assigned to CCR Inc.MT-100 Payment Rights Master Trust (Banco de Credito del Peru) and Continental DPR Finance Company (BBVA-Banco Continental), and affirmed the ratings assigned to SBP DPR Finance Company (Scotiabank Peru S.A.A.) as follows:

CCR Inc.MT-100 Payment Rights Master Trust (Banco de Credito del Peru) (BCP DPR)

--Series 2006-A notes to 'A+' from 'A';

--Series 2008-A notes to 'A+' from 'A';

--Series 2008-B notes to 'A+' from 'A';

--Series 2010-B notes to 'A+' from 'A';

--Series 2010-C notes to 'A+' from 'A';

--Series 2010-D notes to 'A+' from 'A';

--Series 2012-A notes to 'A+' from 'A';

--Series 2012-B notes to 'A+' from 'A';

--Series 2012-C notes to 'A+' from 'A'.

Continental DPR Finance Company (BBVA-Banco Continental) (BBVA Continental DPR)

--Series 2008-A notes to 'A+' from 'A';

--Series 2010-A Loans to 'A+' from 'A';

--Series 2012-A notes to 'A+' from 'A';

--Series 2012-B notes to 'A+' from 'A';

--Series 2012-C notes to 'A+' from 'A';

--Series 2012-D notes to 'A+' from 'A'.

SBP DPR Finance Company (Scotiabank Peru S.A.A.) (Scotiabank Peru DPR)

--Series 2010-A notes at 'A+';

--Series 2010-B notes at 'A+';

--Series 2010-C loans at 'A+';

--Series 2010-D loans at 'A+';

--Series 2012-A loans at 'A+'.

The Rating Outlook is Stable.

The transactions are backed by collections generated from future and existing diversified payment rights (DPRs) originated by Banco de Credito del Peru (BCP), BBVA Banco Continental (BBVA Continental), and Scotiabank Peru S.A.A (SBP), respectively. DPRs refer to electronic payment orders intended for payment to third-party beneficiaries mostly related to export and worker remittances and foreign direct investment.

KEY RATING DRIVERS

BCP DPR

The rating actions to BCP DPR reflect (i) the upgrade to BCP's Issuer Default Rating (IDRs) and Viability Rating (VR); (ii) the strong performance of the transaction; (iii) the level of future flow debt relative to total bank liabilities; and (iv) the stability of the Peruvian sovereign.

On May 27, 2014, Fitch upgraded BCP's local currency (LC) Issuer Default Rating (IDR) and Viability Rating (VR) to 'A-' and 'a-', respectively. Fitch also assigns BCP a going concern assessment (GCA) score of 'GC1' based on its position as the largest bank in the Peruvian system. The 'GC1' score allows for the maximum differential between the transaction rating and BCP's LC IDR; however, Fitch limits the rating differential for higher rated investment grade entities.

Total DPR flows continue to be robust. Fitch's monthly debt service coverage ratio (DSCR), which considers average monthly DPR flows through designated depository banks (DDBs) in 2013 and maximum debt service for the life of the transaction, averaged 129.8x in 2013.

As of April 2014, the outstanding balance of the program is $815.9 million, representing approximately 2.3% of total bank liabilities.

BBVA Continental DPR

The rating actions to BBVA Continental DPR reflect (i) the upgrade to BBVA Continental's IDRs and VR; (ii) the future flow program's strong performance; (iii) the level of future flow debt relative to total bank liabilities; and (iv) the stability of the Peruvian sovereign.

On May 27, 2014, Fitch upgraded BBVA Continental's LC IDR and VR to 'A-' and 'a-', respectively. Fitch also assigns BBVA Continental a GCA score of 'GC1' based on its position as the second largest bank in the Peruvian system. The 'GC1' score allows for the maximum differential between the transaction rating and BBVA Continental's LC IDR; however, Fitch limits the rating differential for higher rated investment grade entities.

Total DPR flows increased almost 10% in 2013. Fitch's quarterly DSCR, which includes average quarterly DDB flows in 2013 and maximum quarterly debt service, averaged 80.9x in 2013.

As of April 2014, the outstanding balance of the program is $442.5 million, about 2.4% of total bank liabilities.

Scotiabank Peru DPR

The rating action on Scotiabank Peru DPR reflects (i) the strength of Scotiabank Peru's credit quality (ii) the strong performance of the future flow securitization; (iii) the level of future flow debt relative to total bank liabilities; and (iv) the stability of the Peruvian sovereign.

Fitch currently rates the bank's foreign currency (FC) and LC IDRs 'A-'/'A+' and its VR 'bbb+'. While the GCA score of 'GC1' assigned to Scotiabank Peru could allow for the transaction to be rated higher than the LC IDR assigned to the bank, Fitch limits this rating differential for higher rated investment grade entities. When considering the notching differential for entities with significant parental support, Fitch considers the VR of the bank. The transaction's structural characteristics allow for the DPR program to be rated two notches higher than Scotiabank Peru's 'A-' FC IDR.

Total DPR flows grew more than 14% due to Scotiabank Peru's successful expansion of its export client base. Fitch's quarterly DSCR, which considers average quarterly DDB flows in 2013 and maximum quarterly debt service, averaged 106.0x in 2013.

As of April 2014, the outstanding balance of the program is $248 million or about 1.8% of bank liabilities.

RATING SENSITIVITIES

The transactions are sensitive to changes in the credit quality of the sponsor banks, the performance of the DPR business lines, and changes in the sovereign environment. DPR flows through Peru's three largest banks are highly linked to Peru's economic activity, which depends greatly on commodity exports, namely those related to mining.

TRANSACTION SUMMARIES

Eligible remittances for BCP DPR include U.S. dollar-denominated MT-100 series payments flowing through all correspondent banks and electronic or other messages instructing BCP to make payments to third parties. BCP's Miami, FL agency also receives payment orders via the Fedwire system. While these flows are included in the definition of the trust's collateral, they are not included in the DPR flows used in the DSCR calculation.

Collateral for BBVA Continental DPR is defined as U.S. dollar payment order, including MT-100 or MT-200 category messages, as well as electronic or other messages processed through the Fedwire system.

Collateral for Scotiabank Peru DPR specifically includes MT-100 payments flowing through all correspondent banks and electronic or other payment orders instructing Scotiabank Peru to make payments to third parties.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Future Flow Securitization Rating Criteria' (June 18, 2013);

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'DPR Securitizations from Lima to Istanbul' (Feb. 6, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

DPR Securitizations from Lima to Istanbul (A Comparative Perspective)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=700111

Future Flow Securitization Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=711077

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=833437

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Primary Analyst

Gregory Lane

Associate Director

+1 312-606-2304

Fitch Ratings, Inc.

70 W. Madison

Chicago, IL 60602

or

Secondary Analyst

Cinthya Ortega

Director

+1 312-606-2373

or

Committee Chairperson

Greg Kabance

Manager Director

+1 312-368-2052

or

Media Relations, New York

Elizabeth Fogerty, +1 212-908-0526

elizabeth.fogerty@fitchratings.com

Source: Fitch Ratings


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