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Global Credit Research - 19 Jul 2010
Approx. EUR 1.614 billion of German Auto ABS rated
Frankfurt, July 19, 2010 -- Moody's Investors Service has assigned the following definitive ratings
to several classes of asset-backed notes issued by Cars Alliance
Auto Loans Germany FCT.
- Aaa to the EUR 873,000,000 Class A1-2010-1
Asset Backed Floating Rate Notes due 18 April 2023;
- Aaa to the Class R 20xx-y Asset Backed Floating Rate Notes
due 18 January 2029 (EUR 690,300,000 issued amount at closing,
up to EUR 1,746,000,000 maximum amount);
- Aa2 to the EUR 28,000,000 Class B 2010-1 Asset
Backed Floating Rate Notes due 18 April 2023; and
- Aa2 to the Class S 20xx-y Asset Backed Floating Rate Notes
due 18 January 2029 (EUR 22,200,000 issued amount at closing,
up to EUR 56,000,000 maximum amount).
The definitive ratings for the Class R 20xx-y and Class S 20xx-y
Notes above are on the actual notes amount issued from time to time that
could change compared to the amount at closing due to further possible
issuances, but will not exceed the maximum amount as listed above
(i.e. EUR 1,746 million for Class R and EUR 56 million
for Class S). In addition, the total rated amount for all
classes of notes (i.e. Class A1, Class R, Class
B and Class S) cannot exceed approx. EUR 1,802 million at
any one time.
Moody's has not assigned a rating to:
- EUR 99,000,000 Class C 2010-1 Floating Rate
Notes Asset Backed Notes due 18 April 2023;
- Class T 20xx-y Asset Backed Floating Rate Notes due 18
January 2029 (EUR 78,300,000 issued amount at closing,
up to EUR 198,000,000 maximum amount).
In October 2007, this securitisation platform sponsored by RCI Banque
(German branch) was set-up as revolving medium-term and
short-term note program structure. In October 2007 the first
series of medium-term (i.e. Class A, B and
C notes) and short-term notes (Class R, S and T notes) were
issued. Since then several series of short-term notes have
been issued on an ongoing basis as part of this program. Going
forward the issuer, a French FCT, may issue further Class
R, Class S and unrated Class T notes up to the maximum notes amounts
as listed above until the monthly payment date falling in July 2020 provided
that certain trigger tests and eligibility criteria are met.
This transaction represents the second issuance of series Class A,
series Class B and series Class C notes as part of the medium-term
note securitisation program sponsored by RCI Banque (German branch) and
another issuance of series Class R, Class S and Class T notes under
the same program structure. The issuance proceeds are mainly used
to pay back the currently outstanding notes of previously issued Class
R, Class S and Class T notes.
Under this true sale securitisation program the issuer, Cars Alliance
Auto Loans Germany FCT, securitises a revolving portfolio of auto
loan receivables. The pool results from amortising loans as well
as balloon loans granted to German retail clients in order to finance
the purchase of new and used vehicles branded mainly Renault, Nissan
and Dacia. This securitisation program has a fairly unique and
complex structure with possible additional series of notes being issued
during the program replenishment period (which ends in July 2020 if no
trigger is breached before) according to a pre-defined mechanism
and as long as certain conditions, such as, inter alia,
no change in capital structure, are fulfilled.
According to Moody's, the ratings take account of, among other
factors, (i) the positive performance of the securitised portfolio
since 2007, (ii) the strong structural features mitigating commingling
risk such as the specially dedicated collection account of the servicer
under French law or the commingling reserve, (iii) the granular
and diversified portfolio ensuring a minimum gross margin for the structure
and (iv) the liquidity cushion provided by (1) the non-amortising
general reserve in an amount of 1.0% of the maximum pool
balance as well as (2) the commingling reserve since it is funded prior
to a potential disruption of the servicing process (i.e.
upon loss of certain ratings).
Moody's has mainly based its credit analysis of the portfolio on the historical
performance data provided by the originator based on a portfolio that
is representative of the one being securitised. The historical
data analysis was complemented with the evaluation of the general market
trend and other qualitative considerations. Therefore, Moody's
has stressed the results obtained from the historical data analysis to
account for (i) the fact that the historical data do not cover the maximum
maturity of the securitized loan contracts, (ii) the uncertainty
on the portfolio cash flows since loan contracts could be extended or
instalment payments deferred in course of the servicing process,
and (iii) the fact that delinquent receivables are in the portfolio on
the closing date. Some of the main inputs tested in the modelling
of the transaction are a mean gross default rate (before car sale) of
3.35%, a Coefficient of Variation (as ratio between
mean default rate and standard deviation) of 50% and a recovery
rate for defaulted receivables of approx. 34%.
The transaction V-Score is overall "Low / Medium", which
is in line with the German auto loan ABS sector. Nonetheless,
the structure is considered to be more complex than other transactions
of this sector. Secondly, the back-up servicing arrangement
poses some increased uncertainty as the structure relies strongly on RCI
Banque S.A., German branch as servicer for the portfolio.
As of the closing date, there is no back-up servicer in place
and no trigger is incorporated to identify a back-up servicer prior
to a potential servicer termination event such as actual servicer insolvency.
Nevertheless, in Moody's opinion, the likelihood of severe
disruptions in the servicing process is reduced as (1) RCI Banque (including
the German activities which are managed via a branch instead of a separate
legal entity) is highly integrated in the Renault S.A. (Ba1
/ NP) group and considered to be strategically important for the Renault
group to support the sale of vehicles across Europe even in times of deteriorating
credit standing of the manufacturer itself, (2) the likelihood that
a default on any of Renault group's financial obligations would result
in the immediate liquidation of the Renault group (including RCI Banque
operations) is low; and (3) the structure envisions the management
company, Eurotitrisation, to take over the role as back-up
servicer facilitator, i.e. finding a potential back-up
servicer, if needed. Nonetheless, in case of significant
deteriorations of Renault group's and / or RCI Banque's credit standing
or strategic importance, some rating volatility could occur.
The principal methodology used in rating Cars Alliance Auto Loans Germany
was "Moody's Approach to Rating European Auto ABS: More Rubber Set
to Hit European Roads", published in November 2002 and "The Lognormal
Method Applied to ABS Analysis", published in July 2000 and which
can be found at www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Rating Methodologies sub-directory
on Moody's website. 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.
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 notes by the 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 initially assigned provisional ratings to this transaction on
28 June 2010. To note, definitive ratings were assigned on
9 October 2007 to the debt issuance of Cars Alliance Auto Loans Germany
Series 2007-1 notes.
Moody's will monitor this transaction on an ongoing basis. For
updated monitoring information, please contact email@example.com.
To obtain a copy of Moody's Pre-Sale Report on this transaction,
please visit Moody's website at www.moodys.com or contact
our Client Service Desk in London (+44-20-7772 5454).
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's assigns definitive ratings to ABS issued by Cars Alliance Auto Loans Germany
No Related Data.
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