EUR 531.0 million ABS Notes provisionally rated
Frankfurt am Main, November 12, 2012 -- Moody's Investors Service has assigned the following provisional ratings to notes to be issued by Globaldrive Auto Receivables 2012-A B.V.
(P)Aaa (sf) to the EUR 500.1 million Class A Floating Rate Notes due Nov 2019
(P)A1 (sf) to the EUR 30.9 million Class B Floating Rate Notes due Nov 2019
Please note that the definitive issuance amounts of the rated classes may change from those stated above given confirmed capital structure and final portfolio levels.
The transaction is a static cash securitisation of auto loans extended to obligors in Germany by the German branch of FCE Bank plc (Baa3/P-3) ultimately owned by Ford Motor Company (Baa3). This public securitisation continues the series of Globaldrive transactions sponsored by FCE Bank plc.
The provisional portfolio of underlying assets consists of auto loans distributed through Ford group auto dealers. These loans finance new cars (69.0%), pre-registered and ex-demonstration vehicles (24.1%) and used cars (6.9%) to private and commercial customers. As of 31 October 2012 the securitised portfolio consists of 38,288 non-delinquent contracts with a weighted average seasoning of 7.4 months and outstanding balance of approximately EUR 562.0 million.
According to Moody's, the transaction benefits from credit strengths such as the granularity of the portfolio, the securitisation experience of the originator, the simple transaction structure and positive performance of past transactions. However, Moody's notes that the transaction features some credit weaknesses such as commingling risk and the lack of a back-up servicer appointed at closing. Various mitigants have been put in place in the transaction structure, such as (i) an initial commingling reserve at funded at closing and an additional commingling reserve funded in June 2015 to reflect the expected portfolio repayment schedule (ii) sweep of collections within two business days to the SPV's account as long as the servicer is rated below P-1, (iii) a separate cash manager, (iv) a back-up servicer facilitator appointed at closing, and (v) a non-amortising liquidity reserve in place to potentially cover up to 11 months of senior costs and coupons on the rated notes. The liquidity reserve will also be available as credit enhancement to cover losses on the notes at the final payment date of the transaction. In addition, the portfolio consists of approx. 76.5% "balloon" loans, which consist of equal installments during the life of the loan and a larger balloon payment at loan maturity. The balloon installment accounts in general for 53.6% of the discounted "balloon loan" balance. This has been factored in Moody's quantitative analysis.
Moody's analysis focused, amongst other factors, on (i) an evaluation of the underlying portfolio of loans; (ii) historical performance information of the total book and past ABS transactions; (iii) the credit enhancement provided by subordination and the reserve fund; (iv) the liquidity support available in the transaction by way of the reserve fund and the (v) overall legal and structural integrity of the transaction.
Moody's assumed a mean loss rate (before ancillary recoveries) of 2.90% for the securitised pool and ancillary recoveries of 15%. A coefficient of variation of 50.0% is used as the other main input for Moody's cash flow model ABSROM.
The transaction V Score is overall "Medium", in large part driven by a higher uncertainty with regard to specific risks of the balloons which represent a large portion of the portfolio and the fact that there is no back-up servicer in place at closing. V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. The V-Score has been assigned in accordance with the report "V Scores and Parameter Sensitivities in the Non-U.S. Vehicles ABS Sector", published in January 2009.
The principal methodology used in this rating was Moody's Approach to Rating European Auto ABS, published in November 2002. Please see the Credit Policy page on www.moodys.com for a copy of this methodology
Other Factors used in this rating are described in The Lognormal Method Applied to ABS Analysis, published in July 2000.
The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Class A notes and Class B notes by legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on yield to investors.
Moody's used its excel based cash-flow model Moody's ABSROM[TM] as part of its quantitative analysis of the transaction. Moody's ABSROM[TM] model enables users to model various features of a standard European ABS transaction -- including the specifics of the default distribution of the assets, their portfolio amortisation profile, yield, as well as the specific priority of payments, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM[TM] User Guide, available on Moody's website, covers the functionality of the model and provides a comprehensive index of the user inputs and outputs.
Loss rate and recovery rate are two key inputs in rating auto ABS. Parameter sensitivities to these inputs have been tested in the following manner: Moody's tested nine scenarios derived from the combination of mean loss: 2.90% (base case), 3.15% (base case +0.25%), 3.40% (base case +0.50%) and ancillary recoveries: 15% (base case), 10% (base case -5%), 5% (base case -10%) assuming a fixed standard deviation of 1.45%. The results for Class A under these scenarios vary from Aaa (base case) model output to Aa1 model output where the mean loss is 3.40% and recovery rate is 5% all else being equal. Parameter sensitivities provide a quantitative/model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather, how the initial model output of the security might have differed if the two parameters within a given sector that have the greatest rating impact were varied.
No previous rating has been assigned to this transaction.
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Schajan Abbas Associate Analyst Structured Finance Group Moody'sDeutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Ning Loh VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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