Market Comment - research.natixis.com

Tuesday, 30 November 2010
Market Comment
FOCUS
News and secondary market
Issuance volumes:
€2.39bn, with €2bn placed
News
Secondary market: Very thin volumes last week
Slight UK and Dutch AAA spread widening
Primary market:
Holmes Master Issuer 2010-IV (Obvion)
Citadel 2010-I: 1 (F. Van Lanschot Bankiers)
Penarth MI 2010-B2 (Lloyds & BOS)
Pipeline:
1 UK Auto ABS (Carlyle Finance)
1 German Auto ABS (Toyota Kreditbank)
2 Spanish CLOs (Banco Pastor/La Caixa)
Rating Actions:
Last week proved to fairly subdued despite the Irish government's
announcement on Sunday, 21 November, that it would seek aid from the
European Union and the International Monetary Fund to deal with its budget
deficit. We expected the markets to be cheered by this fresh move to settle
the Irish debt crisis, but it proved not to be the case. The €85bn aid package
was announced two days ago, but does not appear to have eased market
jitters. Market operators continue to fear contagion of the Irish crisis to other
eurozone countries with yawning budget deficits. This unexpected market
reaction leaves us perplexed as to general spread trends for the coming
days.
42 downgrades/rating watch changes
70 upgrades/rating watch changes
Secondary market spreads
Rating
RMBS
UK
Spain
Netherlands
Italy
Portugal
Ireland
German Auto Loans
Italian Lease
Spread Spread Spread
WAL
26/11/10 W-1
W-4
AAA
BBB
AAA
BBB
AAA
BBB
AAA
BBB
AAA
BBB
AAA
AAA
AAA
139
618
318
1 808
135
403
136
727
324
1 218
656
76
252
141
618
322
1 790
137
421
143
727
319
1 248
661
75
249
138
503
314
1 788
135
522
159
713
314
1 164
523
70
243
W/W-4
change
2,9 5,0 7,0 7,2 2,5 4,5 3,5 8,1 8,2 10,0 8,6 1,0 1,2 2
114
4
20
0
-119
-23
14
10
53
133
7
9
In the RMBS market, BNP Paribas announced a tender offer on A classes
belonging to the FTA/FTH UCI 8 to 15 issues, as well as on the A2 class
notes of FTA UCI 16 and 17 issues. UCI is a Spanish originator co-owned by
BNP Paribas and Santander. It is a mortgage lender specialising in
borrowers with limited equity. As part of the tender (dubbed a "Dutch"
tender), security holders offer BNP Paribas a buyback price. The French
bank will subsequently be able to buy back the security or securities at the
lowest price(s). Results of the tender are expected to be announced on 6
December.
Securities backing the Hermes 5 transaction are set to be recalled at the
next payment date in January 2011. The deal is an RMBS that was closed in
2002, with assets originated by SNS Bank in Holland.
Interestingly, the A1 and A2 tranches of the Dutch RMBS Citadel 2010-I,
closed and retained in July 2010, were placed with (the A1 notes) and
offered to (the A2 notes) the market at margins of between 15bp and 20bp
wider than their issue level. More detailed analysis of the transaction can be
found in the FOCUS section on page 3.
Sources: Markit, Natixis
Secondary market
Index
Market Comment
p.1
News and secondary market
p.1
Primary market
p.2
Pipeline
p.2
Focus - Transaction
p.3
Secondary market activity remained relatively lacklustre over the week to the
point of being virtually non-existent on Thursday and Friday. That said, a
slight widening trend emerged over the first three days of the week, for Dutch
and UK RMBS. Prices indicated below illustrate the general trends and
correspond to the week's main trades.
In the Dutch RMBS market, the A2 tranche of Saecure 9 is trading at a price
of 99.60/99.80, i.e., slightly down on the previous week.
RMBS: Citadel 2010-I BV (F. Van Lanschot Bankiers/Holland) p.3
ABS Trading
p.4
Rating Agencies
p.5
Agency research
p.5
Main downgrades
p.5
Tranche downgrades
p.5
Main improvements
p.5
Tranche upgrades
p.5
In UK RMBS, Granite's AAA rated securities are trading at 92.80 mid, i.e.,
relatively flat compared with last week's price.
The A tranche of the GRND1 deal in the the German multi-family CMBS
market was trading at 88.5% mid.
Spreads in Ireland finally remained stable even after news of an EU- and
IMF- endorsed aid package, which the market had thought would prompt
additional spread tightening. CRSM 10 A2 was trading at a price of 65/68,
and Fastnet 2A at 72% mid.
Henri de Mont-Serrat - ABS & CDO analyst
30/11/2010
I1
Market Comment - continued
Issue volumes (€bn)
Primary market
RMBS
RM B S
CM B S
A B S (A uto , Co nso , C redit Cards, Infras, Lease, ILS)
700
CLO
C DO
646
600
500
449
438
392
400
335
Citadel 2010-I is a Dutch RMBS transaction that closed on 2 July 2010, but
whose notes were all retained. The A1 tranche was privately placed in early
November at a margin equivalent to 130bp. The A2 tranche was publicly
marketed last week at an equivalent margin of 155bp (compared with 140bp
at issue). More detailed analysis of the transaction can be found in the
FOCUS section on page 3.
300
200
100
0
2006 - T o tal
2007 - To tal
2008 - To tal
2009 - To tal
2010 - YtD
Sources: Informa, Concept ABS, Natixis
RM B S
CM B S
In RMBS news this week is Dutch bank Obvion's private placement of a
€2bn A class note from the most recent issue - 2010-IV - of the Holmes
Master Issuer master trust. The tranche has a WAL of 4.4 years and the
issue margin was 125bp. The latest issue is the fourteenth from this master
trust. The last was issued in September of this year, with the AAA rated and
5-year WAL tranche placed at an issue margin of 120bp.
A B S (A uto , Co nso , Credit Cards , Infras, Lease, ILS)
CLO
C DO
80
70
60
50
40
30
ABS
A new issuance from the UK master trust Penarth Master Issuer - the
£330m 2010-2 B1 tranche - was launched on Thursday, 25 November. It
was rated A+/Aa3/A by Fitch, Moody’s and S&P, respectively, and will be
subordinated to the master trust's 2010-A1, 2010-A2 and 2010-A3 tranches.
The underlying comprises a credit card portfolio that was originated by
Lloyds and Bank of Scotland. The notes were retained.
Pipeline
Jan
Feb
Mar
A pr
May
Jun
Jul
A ug
Sep
Oct
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
2010
2009
20
10
-
Nov
Sources: Informa, Concept ABS, Natixis
RM B S
CM B S
A B S (A uto , Co ns o , Credit Cards , Infras, Lease, ILS)
C LO
C DO
150
125
100
75
50
25
Sep-10
May-10
Jan-10
Sep-09
May-09
Jan-09
Sep-08
May-08
Jan-08
Sep-07
May-07
Jan-07
Sep-06
May-06
Jan-06
Sep-05
0
Sources: Informa, Concept ABS, Natixis
Placement types
Retained
Publicly Placed
Private Placement
Mixed Placement
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
Sources: Informa, Concept ABS, Natixis
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
0%
ABS
Turbo Finance: Carlyle Finance, the banking subsidiary of South African
bank FirstRank Bank, announced the securitisation of a €393m portfolio of
auto loans originated in the UK. Of the 3 tranches of issued notes, the AAA
rated A tranche has a credit enhancement of 28%, of which 26.4% is
provided by the subordinated of the other tranches, and 1.6% of which is a
reserve fund. The deal has no revolving period. The portfolio will be
composed of 71,705 auto loans originated by Carlyle Finance through car
dealerships to finance the purchase of primarily used cars (89.4%) from all
brands of vehicles sold in the UK. The biggest percentages of brands will be
Ford (14%), Vauxhall (11.5%) and BMW (10%). The deal harbours an
implicit residual value risk as around 90% of loans have a "voluntary
termination" clause, the terms of which allow borrowers to return the vehicle
once at least 50% of the loan has been paid off. The A and B classes, which
are rated AAA/Aaa and A/Aa3 by Fitch and Moody's and have WALs of 0.88
and 2.36 years, will be marketed to the public. A deal roadshow is expected
to kick off this week. No indicative issue margin has been disclosed as yet.
Toyota Kreditbank announced its first European publicly marketed
securitisation deal, KOROMO Compartment 1, relying on a €743m portfolio
of German auto loans and leases (excluding residual values). Two tranches
of notes will be issued, but only the first will be rated (Aaa by Moody's).
Rumours of a public placement were heard last week, but it now appears
likely that the notes will be retained. However, in their current state the notes
cannot be used with the ECB as these deals need to have at least two
ratings to procure ECB financing.
CLOs
Two Spanish CLO deals were announced in the past week. The first, TDA
FTPYME Pastor 9 is a securitisation of €440m of loans granted by Banco
Pastor to Spanish SMEs, 29% of which operate in the building sector. Two of
the three tranches of notes will be rated Aaa (the A2 classe will be
guaranteed by the Spanish government), and will have a credit enhancement
of 44.78%, including a reserve fund of 15.8% (this unusual level is due to the
fact that the deal does not have interest-rate hedging). The second
transaction, Foncaixa Empresas 2 is a securitisation deal valued at around
€1.85bn of loans extended by La Caixa to Spanish SMEs and corporates. A
swap has been set up and guarantees a margin of 75bp. The loans are
concentrated in the Madrid (30%) and Catalonia (28%) regions. Some 25%
of the portfolio involves loans to building-sector companies. This will be a
retained deal.
Please consult the disclaimer at the end of this document
30/11/2010
I2
Focus - Primary issues
RMBS: Citadel 2010-I BV (F. Van Lanschot Bankiers/Holland)
Pricing
Class Currency Size (m)
Rating (F/M/S&P)
date
3/11/2010 A1
EUR
247.40 AAA / NR / AAA
A2
EUR
753.35 AAA / NR / AAA
EUR
B
75.45 NR / NR / AAA
EUR
C
129.90 NR / NR / AEUR
D
30.90 NR / NR / NR
EUR
E
12.40 NR / NR / NR
F. Van Lanschot Bankiers
A-/F2 /
NR
R/C
WAL
20.1%
20.1%
14.0%
3.5%
1.0%
0.0%
1.7
4.7
4.8
4.8
4.8
Coupon + Original Current equivalent
margin
margin
3ME +
110
130
3ME +
140
[155]
3ME +
0
3ME +
0
3ME +
0
3ME +
0
Placement
private
public
retained
retained
retained
retained
/ A-/A2
NB: Information contained in this sheet is preliminary in nature and may be subject to further modification.
Comments:
Citadel 2010-I is an existing transaction that closed on 2 July 2010, but whose issued notes were all retained. It is a Dutch RMBS with underlying
assets originated by F. Van Lanschot Bankiers (the rating is set out in the table below). The bank is Holland's oldest independent bank and primarily
targets upscale clients. It is owned by a number of Dutch financial institutions, with the biggest stakes held by Delta Lloyds (40.26%) and Friesland
Bank (13.27%).
The A1 tranche was privately placed in early November at a margin equivalent to 130bp. The A2 tranche was publicly marketed last week at an
equivalent margin of 155bp (compared with 140bp at issue), i.e., a much wider level than similar notes of recent Dutch deals. These "equivalent"
margin levels were obtained by selling the notes at a discounted price.
Structure:
Deal type: Assets have been transferred to an SPV by a true sale mechanism. The transaction is a static one (i.e., no revolving period).
Credit enhancement: credit enhancement consists of subordination on the tranches and a 1% non-amortizable reserve fund financed by the issue of
class E notes.
Liquidity facility: The transaction also boasts a liquidity line equal to 1.25% of the notes, with a floor set at 0.5% of the initial amount of the notes (both
percentages exclude the E class notes), which may be used to pay interest of the A and B class notes if needed, and interest on the C class only if
the latter's PDL is zero.
Provisioning: A PDL mechanism on the A and D notes was set up in the structure to record collateral losses. The available excess spread will be
used to clear the PDLs and amortize the notes by this same amount.
Interest-rate SWAP: With the swap, the issuer receives interest rate of the notes applied on a “notional” amount equal to the outstanding amount of
the notes, less the PDLs. The issuer then pays the portfolio's theoretical interest to the swap counterparty (i.e., including theoretical interest on loans
in arrears), less the senior costs, and less a 50bp excess margin on the "notional" amount. The excess margin can thus be wholly absorbed in the
event of sizeable arrears to pay interest on in-arrears loans, in which case the structure will have no excess spread.
Repayment of notes: The notes are amortized sequentially. Importantly, as of August 2015, the issuer can sell the collateral to repay the notes on
any payment date.
Commingling: This deal harbours a commingling risk owing to F. Van Lanschot Bankiers' rating (A-/F2 from Fitch and A-/A-2 from S&P) in its capacity
as a collection agent. The bank retains the loan interest and principal on its books for one month before transferring them to the issuer's account.
However, according to the rating agencies’ methodologies, current F. Van Lanschot Bankiers' rating forbids it to keep such amounts for this length of
time. The risk is a default in the short term of F. Van Lanschot Bankiers which would result in the loss of a month's payments. That said, the risk has
been taken into consideration by the rating agencies in their analysis and was factored into the required credit enhancement level.
Set-off: The deal also harbours a set-off risk owing to the fact that numerous borrowers hold accounts (e.g., current, savings and investment
accounts) with the originating bank. If the latter defaults, borrowers have the right to set off amounts accumulated in these accounts until a
notification event (i.e., defined as a downgrade of the originator's rating to under BBB+) against the capital remaining on their mortgage loan. If the
set-off amount is more than 10% of the collateral value, the issuer will have to create a dynamic set-off reserve for the equivalent amount in the
structure. Rating agencies consider that if the rating is higher than the borrower's (i.e., assuming the borrower goes bankrupt), the structure would
register a 10% loss caused by the set-off and therefore factored them into the credit enhancement level. The A1, A2 and B tranches - all three of
which have ratings higher than the originator's - are therefore protected against set-off losses if these are less than or equal to 10% of the collateral.
Collateral:
At closing, the portfolio held 4,846 first-lien mortgage loans located in Holland, with the average loan amount standing at €269,821. The portfolio's
main characteristics are set out in the table below.
Original LTV
Current LTV
Seasoning (months)
Current LTFV
79%
75%
61
85.6%
Outstanding DTI
Bullet repayment
Investment fund repayment
Life-insurance repayments
100%
79.2%
10.1%
9.4%
Linear amortization
Constant annuity amortization
Borrower profile
Fixed-rate loans
0.9%
0.4%
unknown
71.4%
DTI data and details on borrowers' professions have not been disclosed. However, one loan eligibility criterion stipulates that borrowers cannot be
employees of the bank (which would be a risk if the bank defaulted). The properties are spread widely throughout Holland and are primarily located
in urban areas.
Conclusion:
While this transaction boasts a portfolio of mortgage loans granted to "top-of-the-range" borrowers, it does harbour structural risks, the notable
examples being commingling and set-off risks. Nonetheless, rating agencies have taken these into consideration when calculating the required credit
enhancement levels. The risks, in most part connected to the originator's rating, have been passed on to margin levels, which are around 20 basis
points higher than those found in other recent Dutch RMBS deals.
Sources: Rating agencies, Investor's report, Natixis
Please consult the disclaimer at the end of this document
30/11/2010
I3
ABS Trading
UK, Dutch, Italian RMBS vs AAA RMBS
RMBS AAA
Netherlands
Spanish, Portuguese, Irish RMBS vs AAA RMBS
Italy
RMBS AAA
UK
Portugal
Ireland
Spain
1 400
500
450
1 200
400
350
1 000
300
800
250
200
600
150
400
100
200
Nov-10
Aug-10
May-10
Feb-10
Nov-09
Aug-09
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Nov-10
Aug-10
May-10
Feb-10
Nov-09
Aug-09
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Aug-07
Sources: Markit, Natixis
Aug-07
50
-
Sources: Markit, Natixis
European RMBS vs German Auto ABS vs Italian Lease ABS
RMBS AAA Europe
German Auto ABS AAA
AAA RMBS vs BBB RMBS vs iTraxx Main
RMBS AAA
Italian Lease ABS AAA
RMBS BBB
iTraxx Main
10000
500
450
400
350
1000
300
250
200
100
150
100
50
Nov-10
Aug-10
May-10
Feb-10
Nov-09
Aug-09
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Aug-07
Jul-10
Oct-10
Apr-10
Jan-10
Oct-09
Jul-09
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Jul-07
Apr-07
Jan-07
Oct-07
Sources: Markit, Natixis
Sources: Markit, Natixis
UK property indices - Yearly trends
DCLG
Nov-07
10
0
Halifax
Rightmove
Nationwide
European AAA RMBS vs European Covered Bonds
RMBS AAA
Spread RMBS AAA UK (RHS)
Covered Bonds 1-3 years
540
Sources: Bloomberg, Markit, Natixis
Sources: Markit, Natixis
Please consult the disclaimer at the end of this document
30/11/2010
I4
Nov-10
Aug-10
May-10
Feb-10
Nov-09
-60
Aug-09
Oct-10
Jul-10
Apr-10
Jan-10
Oct-09
Jul-09
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
Jul-07
-25
40
May-09
-20
Feb-09
-15
140
Nov-08
-10
240
Aug-08
0
-5
340
May-08
5
Feb-08
10
440
Nov-07
500
450
400
350
300
250
200
150
100
50
0
15
Aug-07
20
Rating Agencies
Tranche upgrades
Ticker
KREPK 2004
PROMS IM05-1
Tranche
C
A
B
AYTGH IX
B
C
D
AYTGH VIII
B
C
D
AIREM 2004-1X
3A2
3B2
3C2
3D2
AIREM 2005-1X
2A2
2B2
2C2
AIREM 2006-1X
1B2
1C2
2A1
2B2
2C2
AIREM 2007-1X
1A3
2A2
AIREM 2007-2
A2
AIREM 2008-1
1A2
2A2
URSUS 1-A
A
B
AIREM 2004-1X
3A1
3B1
3C1
3D1
AIREM 2005-1X
2A1
2B1
AIREM 2006-1X
1B3
2A2
2A3
2B3
AIREM 2007-1X
1B
1C
2A3
2B
2C
AIREM 2007-2
A1
A3
B
C
AIREM 2008-1
1A1
2A1
2C
2D
LOCAT 2004-2
B
ABEST 2
B
C
ALEX HIML
AE1
AE2
RUTLN DRYD-2X
A3EL
A4EL
MARQ 2006-1I
C2
D2
E2
MARQ 2006-1X
C2
D2
E2
ARIAI II
B4J7
EMFNL 2008-2X
A1
EMFNL 2008-APRX A1
A2
ET
ESAIL 2007-NL2X
A
Main improvements
Country Collateral
Currency
RMBS BE BE - EUR
CLO
DE DE - EUR
Rating
Agency
Fitch
Moody's
RMBS
ES ES - EUR
S&P
RMBS
ES ES - EUR
S&P
RMBS
GB GB - EUR
S&P
RMBS
GB GB - EUR
S&P
RMBS
GB GB - EUR
S&P
RMBS
GB GB - EUR
S&P
RMBS
RMBS
GB GB - EUR
GB GB - EUR
S&P
S&P
CMBS
GB GB - GBP
Fitch
RMBS
GB GB - GBP
S&P
RMBS
GB GB - GBP
S&P
RMBS
GB GB - GBP
S&P
RMBS
GB GB - GBP
S&P
RMBS
GB GB - GBP
S&P
RMBS
GB GB - GBP
S&P
LEASE ABS IT
AUTO ABS IT
IT - EUR
IT - EUR
Moody's
Moody's
CDO
MIX MIX - EUR
S&P
CDO
MIX MIX - EUR
Moody's
CLO
MIX MIX - EUR
Moody's
CLO
MIX MIX - EUR
Moody's
CDO
RMBS
RMBS
MIX MIX - JPY
NL NL - EUR
NL NL - EUR
S&P
Moody's
Moody's
RMBS
NL
Moody's
NL - EUR
Previous New rating /
rating
Watch
A+ AA- A1 A1 Baa2 Baa2 A A BBB+ BBB+ BB- BB- A+ A+ BBB BBB BB BB AAA AAA AA AA BBB BBB BB BB AAA AAA AA AA BBB BBB AA AA BBB BBB AAA AAA AA AA BBB BBB AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA A A BBB BBB AAA AAA AA AA BBB BBB BB BB AAA AAA AA AA AA AA AAA AAA AAA AAA AA AA AA AA BBB BBB AAA AAA AA AA BBB BBB AAA AAA AAA AAA AA AA BBB BBB AAA AAA AAA AAA BBB BBB BB BB A2 A2 Aa3 Aaa Baa1 Aa3 CCC+ B- CCC+ B- Caa2 B3 Caa3 Caa2 Caa2 Caa2 Ca Ca C C Caa2 Caa2 Ca Ca C C A- A+ Aa1 Aa1 Aa1 Aa1 Aa1 Aa1 Caa1 Caa1 Aaa Aaa Fitch upgraded the C class on the Belgian Permeke Finance 2004 deal
from A+ to AA- owing to the solid performance of underlying assets and
transaction amortization that has boosted the credit enhancements of
senior tranches.
Moody’s, for its part, upgraded from Aa3 to Aaa the B class of the Italian
ABS ABEST 2 deals on the back of underlying asset performances that
were much better than initially forecast by the rating agency, and
amortization of issued notes. The B class currently has a credit
enhancement level of 31%.
Main downgrades
Moody's announced the downgrade of the A to E tranches of the German
CLO of SMEs deal PFUND 2006-1 citing weaker underlying asset
performances - both past and expected - as well as a sizeable
concentration of the five biggest debtors, which alone represent almost
40.5% of the portfolio.
Tranche downgrades
Ticker
PROMS IM05-1
PFUND 2006-1
DHB 1
REC 6
TITN 2007-3X
URSUS 1-X
ESSEN 3
FSTNT 3
BROOK 2005-1
PROVT 2007-1
ROCKA 2006-1X
ECL2 II-X
Source: Bloomberg
ESAIL 2007-NL1X
LSME 1
Tranche
C
D
E
A
B
C
D
E
B1A
B1B
B2AA
B2AB
B2B
A
C
C
D
E
A
B
C
D
E
A1
A2
E
D
B1
C1
D1
VFN
A2
B
C
D
E
A
B
C
D
E1
C
Country Collateral
Currency
CLO
DE DE - EUR
Rating
Agency
Moody's
CLO
DE DE - EUR
Moody's
CMBS
DE DE - EUR
Fitch
CMBS
CMBS
GB GB - GBP
GB GB - GBP
Moody's
S&P
CMBS
GB GB - GBP
Fitch
CDO
RMBS
CDO
CDO
CLO
GB
IE
MIX
MIX
MIX
GB - GBP
IE - EUR
MIX - EUR
MIX - EUR
MIX - EUR
S&P
S&P
S&P
S&P
S&P
CDO
MIX MIX - GBP
S&P
RMBS
NL NL - EUR
Moody's
CLO
PT PT - EUR
S&P
Previous New rating /
rating
Watch
Ba1 Ba2 B1 B3 Caa1 Caa3 A1 Baa1 Ba1 B1 B2 Caa2 Caa2 Caa3 Caa3 Ca BB B BB B CCC C CCC C CCC C Baa3 Ba2 CCC- D CCC C BBB C CC C A A BBB BBB CCC C CC C CC C A- BBB+ AAA AA CCC- CC BBB- BB+ AA NR A NR BBB NR AAA NR A BBB+ BB+
BB BB B- B+ CCC- B CCC- Aaa Aa1 Aa1 Aa2 Aa3 A2 Baa2 Ba1 B2 Caa1 BB BB- Source: Bloomberg
Please consult the disclaimer at the end of this document
30/11/2010
I5
Disclaimer
Ce document et toutes les pièces jointes sont strictement confidentiels et établis à l’attention exclusive de ses destinataires. Il ne saurait être transmis à quiconque sans
l’accord préalable écrit de Natixis.
Ce document et toutes les pièces jointes ont été préparés par Natixis dans le cadre de son activité de recherche et non en relation avec un projet d’offre de valeurs
mobilières ou en tant que mandataire de l’émetteur de valeurs mobilières et indépendamment de tout émetteur de valeurs mobilières mentionné dans ce document. Natixis
peut être rémunéré pour la prise ferme, le placement, la mission de conseil, toute autre prestation de service d’investissement ou activité bancaire ou toute autre prestation
concernant les titres de la société citée dans ce document.
La distribution, possession ou la remise de ce document dans ou à partir de certaines juridictions peut être limitée ou interdite par la loi. Il est demandé aux personnes
recevant ce document de s’informer sur l’existence de telles limitations ou interdictions et de s’y conformer. Ni Natixis, ni ses affiliés, directeurs, administrateurs, employés,
agents ou conseils, ni toute autre personne accepte d’être responsable à l’encontre de toute personne du fait de la distribution, possession ou remise de ce document dans
ou à partir de toute juridiction.
Cette analyse est fournie à chaque destinataire à titre d’information et ne constitue pas une recommandation personnalisée d’investissement. Elle est destinée à être
diffusée indifféremment à chaque destinataire et les produits ou services visés ne prennent en compte aucun objectif d’investissement, situation financière ou besoin
spécifique à un destinataire en particulier. Elle ne peut être considérée comme une sollicitation, une offre ou un engagement de Natixis à mettre en place une transaction
aux conditions qui y sont décrites ou à d’autres conditions. Les placements mentionnés ou recommandés dans ce document peuvent ne pas être adaptés à tous les
investisseurs. Natixis ne saurait être tenu pour responsable d’une quelconque décision prise sur le fondement des informations figurant dans ce document. Toute garantie,
tout financement, toute opération d’échange de taux ou de devises, toute garantie de prise ferme ou plus généralement tout engagement présenté dans ce document devra
être notamment soumis à une procédure d'approbation de Natixis conformément aux règles internes qui lui sont applicables.
Il est à noter que, dans le cadre de ses activités, Natixis peut être amené à avoir des positions sur les instruments financiers et l’émetteur sur lesquels des
recommandations ou opinions peuvent être données dans le document et pièces jointes communiqués. Toutefois, Natixis a mis en place une politique interne relative à la
rémunération de l’analyste de nature à préserver son indépendance et à gérer les éventuels conflits d’intérêts.
Ce document et toutes les pièces jointes sont fondés sur des informations publiques et ne peuvent en aucune circonstance être utilisés ou considérés comme un
engagement de Natixis. Natixis ne fait aucune déclaration ou garantie ni ne prend aucun engagement envers les lecteurs de cette analyse, de quelque manière que ce soit
(expresse ou implicite) au titre de la pertinence, de l’exactitude ou de l’exhaustivité des informations qui y figurent ou de la pertinence des hypothèses auxquelles elle fait
référence. En effet, les informations figurant dans cette analyse ne tiennent pas compte des règles comptables ou fiscales particulières qui s’appliqueraient aux
contreparties, clients ou clients potentiels de Natixis. Natixis ne saurait donc être tenu responsable des éventuelles différences de valorisation entre ses propres données et
celles de tiers, ces différences pouvant notamment résulter de considérations sur l’application de règles comptables, fiscales ou relatives à des modèles de valorisation.
Les informations sur les prix ou marges sont indicatives et sont susceptibles d’évolution à tout moment, notamment en fonction des conditions de marché. Les
performances passées et les simulations de performances passées ne sont pas un indicateur fiable et ne préjugent donc pas des performances futures. Les informations
contenues dans ce document peuvent inclure des résultats d’analyses issues d’un modèle quantitatif qui représentent des évènements futurs potentiels, qui pourront ou
non se réaliser, et elles ne constituent pas une analyse complète de tous les faits substantiels qui déterminent un produit. Natixis se réserve le droit de modifier ou de
retirer ces informations à tout moment sans préavis. Plus généralement, Natixis, ses sociétés mères, ses filiales, ses actionnaires de référence ainsi que leurs directeurs,
administrateurs, associés, agents, représentants, salariés ou conseils respectifs rejettent toute responsabilité à l’égard des lecteurs de cette analyse ou de leurs conseils
concernant les caractéristiques de ces informations. Les opinions, avis ou prévisions figurant dans ce document et toutes pièces jointes reflètent, sauf indication contraire,
celles de son auteur et ne reflètent pas les opinions de toute autre personne ou de Natixis.
Les informations figurant dans cette analyse n’ont pas vocation à faire l’objet d’une mise à jour après la date apposée en première page. Par ailleurs, la remise de l’analyse
n’entraîne en aucune manière une obligation implicite de quiconque de mise à jour des informations qui y figurent.
Natixis ne saurait être tenu pour responsable des pertes financières ou d’une quelconque décision prise sur le fondement des informations figurant dans l’analyse et
n’assume aucune prestation de conseil, notamment en matière de services d’investissement. En tout état de cause, il vous appartient de recueillir les avis internes et
externes que vous estimez nécessaires ou souhaitables, y compris de la part de juristes, fiscalistes, comptables, conseillers financiers, ou tous autres spécialistes, pour
vérifier notamment l’adéquation de la transaction qui vous est présentée avec vos objectifs et vos contraintes et pour procéder à une évaluation indépendante de la
transaction afin d’en apprécier les mérites et les facteurs de risques.
Natixis a mis en place des règles déontologiques visant à interdire aux personnes ayant participé à la préparation ou à la rédaction de ce document de détenir une position
dans des valeurs mobilières liées à leur domaine de couverture respectif. Natixis peut traiter pour compte propre sur la base des opinions des analystes crédit émises dans
ce rapport ou avoir traité pour compte propre indépendamment des opinions figurant dans celui-ci. Natixis peut également effectuer des transactions sur les valeurs
figurant dans ce document et qui ne sont pas en ligne avec le contenu de ce dernier. Natixis et les personnes morales qui lui sont liées exercent des activités de marchés
de capitaux, bancaires et de gestion, notamment les activités de financement y compris structuré, l’ingénierie financière et les activités de refinancement par émissions, qui
sont susceptibles de générer des conflits d’intérêt.
Enfin, les mentions relatives aux conflits d’intérêts que Natixis et que toutes les entités qui lui sont liées peuvent connaître, vis-à-vis de l’émetteur (mentionné dans ce
document), sont consultables sur le site de la Recherche Crédit de Natixis : http://www.natixis.com. De plus, le lecteur est informé que les documents produits par le
Département de la Recherche Crédit de Natixis sont disponibles sur ce site et donc accessibles à tous au même moment et selon un calendrier qui peut également être
consulté sur ce site.
Natixis est agréée par l’Autorité de contrôle prudentiel (ACP) en France en qualité de Banque – prestataire de services d’investissements et soumise à sa supervision.
Natixis est réglementée par l’AMF (Autorité des Marchés Financiers) pour l’exercice des services d’investissements pour lesquels elle est agréée.
Natixis est agréée par l’ACP en France et soumise à l’autorité limitée du Financial Services Authority au Royaume Uni. Les détails concernant la supervision de nos
activités par le Financial Services Authority sont disponibles sur demande.
Natixis est agréée par l’ACP et régulée par la BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) pour l’exercice en libre établissement de ses activités en Allemagne.
Le transfert / distribution de ce document en Allemagne est fait(e) sous la responsabilité de NATIXIS Zweigniederlassung Deutschland.
Natixis est agréée par l’ACP et régulée par la Banque d’Espagne (Bank of Spain) et la CNMV pour l’exercice en libre établissement de ses activités en Espagne.
Natixis est agréée par l’ACP et régulée par la Banque d’Italie et la CONSOB (Commissione Nazionale per le Società e la Borsa) pour l’exercice en libre établissement de
ses activités en Italie.
Natixis ne destine la diffusion aux Etats-Unis de cette publication qu’aux « major U.S. institutional investors », définis comme tels selon la Rule 15(a) (6) de la SEC. Cette
publication a été élaborée et vérifiée par les analystes de Natixis (Paris). Ces analystes n'ont pas fait l'objet d'un enregistrement professionnel en tant qu'analyste auprès
du NYSE et/ou du NASD et ne sont donc pas soumis aux règles édictées par la FINRA.
Please consult the disclaimer at the end of this document
30/11/2010
I6
Recherche Crédit
Stratégie
Thibaut Cuillière
(Responsable stratégie crédit)
Badr El Moutawakil
+33 (0)1 58 55 80 56
[email protected]
+33 (0)1 58 55 83 86
[email protected]
Mathieu Cron
+33 (0)1 58 55 84 33
[email protected]
+33 (0)1 58 55 07 06
[email protected]
+33 (0)1 58 55 82 19
[email protected]
+33 (0)1 58 55 05 72
[email protected]
+33 (0)1 58 55 98 66
[email protected]
+33 (0)1 58 55 80 64
[email protected]
+33 (0)1 58 55 82 86
[email protected]
+33 (0)1 58 55 81 09
[email protected]
Cristina Costa
+33 (0)1 58 55 17 32
[email protected]
Jennifer Levy
+33 (0)1 58 55 82 80
[email protected]
Autos
Ludovic Fava
(Responsable de la recherche crédit)
Distribution / Biens de consommation
Sandra Soyer
Institutions financières
Antoine Houssin
Industriels
Sandra Pereira
Télécoms
David Strauch
Utilities
Ivan Pavlovic
ABS & CDO
Henri de Mont-Serrat
Covered Bonds / Agences
Equipe de vente crédit France
Institutionnels
+33 (0) 1 58 55 34 92
Corporates / Réseaux actionnaires
+33 (0)1 58 55 81 80
Equipes de vente Internationale
Allemagne
Banques Centrales
Espagne/Portugal
+49 69 91507 7300
+33 (0)1 58 55 08 46
+34 91 791 75 00
Autriche
+33 (0)1 58 55 81 00
BeSuiLux
+33 (0)1 58 55 15 97
Italie
Pays-Bas
+33 (0)1 58 55 08 43
Pays Nordiques
Royaume-Uni & Irlande
+44 (0) 203 216 9352
Singapour
Tokyo
–––
+81 3 3592 7550
+39 02 85 91 32 44
+44 (0) 207 648 0144
+65 6228 5629