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Global Credit Research - 30 Sep 2010
EUR 602 million of debt securities affected.
Frankfurt am Main, September 30, 2010 -- Moody's Investors Service has assigned definitive ratings to the following
class of notes issued by Geldilux-TS-2010 S.A.:
....Aaa (sf) to EUR 500,000,000
Class A Secured Floating Rate Notes due 2018
....Aaa (sf) to EUR 60,700,000
Class B Secured Floating Rate Notes due 2018
....A1 (sf) to EUR 24,300,000
Class C Secured Floating Rate Notes due 2018
....Baa2 (sf) to EUR 4,900,000
Class D Secured Floating Rate Notes due 2018
....Ba2 (sf) to EUR 6,100,000
Class E Secured Floating Rate Notes due 2018
....A1 (sf) to EUR 6,000,000 Liquidity
Secured Floating Rate Notes due 2018
The ratings of the notes take account of UniCredit Luxembourg S.A.
(rated A3/P-2) and UniCredit Bank AG (A1/P-1), as
the major transaction parties in this transaction, being experienced
originators and servicers respectively. In the past, they
have used ABS term financing via the previously issued nine GELDILUX transactions
in respect of which the securitised portfolios have shown excellent performance
to date (i.e. in total over all transactions only 10 obligors
have defaulted since 1996). Moody's valued positively the
limitation of the potential deterioration of credit quality during the
5-year revolving period via eligibility criteria and portfolio
limits as the portfolio turns around very quickly (with a max.
weighted average life of 90 days). Similarly, in its analysis
Moody's relied strongly on the early amortisation triggers,
especially the one stopping the replenishment period in case UniCredit
Bank AG loses a minimum long term rating of A3. In such situation
the portfolio becomes static and - due to the 90 days weighted
average life constraint - amortises quickly. In addition,
upon UniCredit Bank AG losing a Baa2 rating obligors will be notified
and are also asked to pay directly to the issuer's account.
The liquidity cushion in the transaction is provided by (i) the interest
rate swap counterparty (paying 0.30% of extra spread to
the structure) and (ii) the EUR 6.0m issuer interest reserve,
which is funded by the liquidity note and available to fund shortfalls
in respect of senior fees, interest on the Class A to E notes as
well as interest on the liquidity notes.
Moody's assigned a Composite V Score of "Medium" to this transaction,
which is in line with the German SME ABS sector. Nonetheless,
for two sub-categories Moody's considers this transaction better
than the market. First, the originator provided a comprehensive
set of different historical data covering more than 10 years of data.
Second, Moody's believes that the historical data performance variability
is significantly lower than for other German SME loan receivable portfolios,
which is caused by (i) the short-term nature of the loan contracts
and (ii) the specific origination and collection process applied to this
Moody's main modeling assumption for this transaction is the bespoke
default distribution derived via the Monte Carlo simulation in CDOROM
(v2.6). Moody's derived this default distribution
from (i) the most concentrated pool composition (with the minimum limit
of 550 obligors) that would be possible in terms of industry and single
obligor concentration during the lifetime of the transaction (based on
the portfolio limits defined in the transaction documents), (ii)
a global correlation of 5% and (iii) the average expected portfolio
quality. We expect the average default probability of the pool
to be a Baa3 / Ba1 Moody's equivalent (translating into 0.16%
cumulative default rate over 90 days) taking into account: (i) the
product characteristics and the historical performance data and (ii) potential
fluctuations of the macroeconomic environment during the lifetime of this
transaction (including the 5-year revolving period). The
average recovery rate assumption was set at 25% in line with previous
transactions because the non-accessory collateral is not assigned
to the SPV since it is granted by the borrower on a relationship level
rather than for the euro loan specifically. Therefore, in
case of UniCredit Bank AG's insolvency the issuer depends on recoveries
assigned by the insolvency administrator, leaving the issuer in
the position of a senior unsecured creditor. Finally, no
prepayments were assumed because there are no prepayments for this type
of loan receivables due to the short-term nature of the underlying
The principal methodologies used in rating Geldilux-TS-2010
S.A. were Refining the ABS SME Approach: Moody's
Probability of Default Assumptions In The Rating Analysis of Granular
Small and Mid-sized Enterprise portfolios in EMEA published in
March 2009, Moody's Approach to Rating Granular SME Transactions
in Europe, Middle East and Africa published in June 2007,
and V Score and Parameter Sensitivities in the EMEA Small-to-Medium
Enterprise ABS Sector published in June 2009. Other methodologies
and factors that may have been considered in the process of rating this
issuer can also be found on Moody's website.
For rating this transaction Moody's used the following model.
(i) ABSROM (v.2.2.6) to model the cash flows and
determine the loss for each tranche and (ii) CDOROM (v.2.6)
to determine the transaction specific default distribution.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
In the cash flow model Moody's modeled the initial as well as each
replenished portfolio separately with equally distributed amortisation
and timing of default vectors over 90 days. Similarly, the
above described transaction specific default distribution is applied to
each portfolio when determining the cash flows for each portfolio period.
The non defaulted amount is used to purchase the new portfolio with the
same characteristics in terms of amortisation and yield during the replenishment
period and as long as no early amortisation event occurs. Thereafter
the principal collections are used to pay down the notes. The ultimate
losses in the portfolio are allocated to the Class A to Class F notes
in full reverse sequential order.
Moody's Parameter Sensitivities: Moody's principal portfolio model
inputs are Moody's cumulative default rate assumption and the recovery
rate. Moody's tested 9 scenarios derived from different combinations
of mean default rate (i.e. adding a stress on the expected
average portfolio quality) and recovery rate. Specifically,
Moody's tested for the mean default rate: 0.16% as
base case, 0.21% as base case plus 30% default
probability stress and 0.26% as base case plus 60%
default probability stress, and for the recovery rate: 25%
as base case, 15% as well as 5%. The model
sensitivity output indicated that Class A would have achieved a Aaa rating
even if the cumulative mean default probability had been as high as 0.26%
(reflecting a default probability stress of 160%), and the
recovery rate as low as 5.00% (all other factors being constant),
while Class B would have achieved a Aaa rating only in the base case scenario
and a Aa1 rating or even a Aa2 rating (in case of 5% recovery rate
and the 160% default probability stress). Moody's Parameter
Sensitivities provide a quantitative / model-indicated calculation
of the number of rating notches that a Moody's-rated structured
finance security may vary if certain input parameters would change.
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, confidential and proprietary Moody's
Investors Service 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 Investors Service may have provided Ancillary or Other Permissible
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In addition Moody's publishes a weekly summary of structured finance
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users of our website, at www.moodys.com/SFQuickCheck
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Please see ratings tab on the issuer/entity page on Moodys.com
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Frankfurt am Main
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
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Frankfurt am Main
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
Moody's assigns definitive ratings to six classes of notes issued by Geldilux-TS-2010 S.A.
An der Welle 5
Frankfurt am Main 60322
No Related Data.
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