EUR648 Million of debt securities rated as part of Series 1 2009 GB IV issuance
Milan, May 11, 2011 -- Moody's Investors Service has assigned the following definitive ratings
to the ABS notes issued by Golden Bar Securitisation S.r.l.
(the "Issuer") as part of the Series 1 2009 GB IV issuance:
- Aa3 (sf) to EUR648M Series 1 2009 GB IV Class A limited recourse
asset-backed notes due 2026
Moody's ratings were not assigned to the EUR 124M Series 1 GB IV Class
B or EUR 28M Class C Notes.
The subject transaction is a cash securitisation of consumer loans extended
to borrowers resident in Italy and is a revolving structure. The
portfolio consists of auto loans for the acquisition new or used cars,
and other consumer loans extended to individual borrowers; there
is also a very small portion of loans to acquire boats (less than 1%
of the portfolio). The transaction closed and Notes were issued
in December 2009.
This deal benefits from several credit strengths, such as the granularity
of the portfolio and good geographical diversification, as well
as certain structural features such as the presence of an independent
computation manager able to calculate payment of interest if no servicer
report is available. Moody's however notes that the transaction
features a number of credit weaknesses, such as the liquidity protection,
being the swap arrangements the only source of liquidity of the transaction,
the exposure to commingling risk, as well as a remaining revolving
period of around 1.7 years, which increases the potential
performance volatility of the underlying portfolio. These characteristics,
amongst others, were considered in Moody's analysis and ratings.
The rating on the notes takes into account, among other factors,
(i) an evaluation of the underlying portfolio of loans; (ii) historical
performance information; (iii) the swap agreement, under which
the swap counterparty will pay the weighted-average margin on the
notes plus an excess spread of 3.75%, on a notional
equal to the portfolio net of defaulted loans; (iv) the credit enhancement
provided by the excess spread and the cash reserve; (v) the provisions
for the appointment of a back-up servicer; and (vi) the legal
and structural integrity of the transaction.
The V Score for this transaction is Medium, which is in higher than
the score assigned for the Italian consumer loan sector. The "Transaction
Complexity" has been assigned an M score, higher than the Consumer
loan Italian market score for this category, because being a Master
Trust transaction, the structure complexity is higher than that
of the typical transaction seen in the market, with cross collateralization
triggers among different series, and potential long revolving periods.
For more information on V Scores, please see the report "V Scores
and Parameter Sensitivities in the Non-U.S. Vehicle
ABS Sector", published in January 2009.
In its quantitative assessment, Moody's assumed a mean default rate
of 6.0% for the initial portfolio and 7.5%
for portfolios acquired during the revolving period, with a coefficient
of variation of 40.0% and a recovery rate of 10.0%
as the main input parameters for Moody's cash-flow model ABSROM.
In its base case scenario, Moody's also assumed a constant prepayment
rate of 10% and a sinus-shape timing of defaults.
The methodology used in this rating was Historical Default Data Analysis
for ABS Transactions in EMEA, published in November 2005.
The Lognormal Method Applied to ABS Analysis, published in July
2000 was also used in this rating.
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.
For rating this transaction, Moody's used ABSROM (v.2.2.12)
to model the cash flows and determine the loss for each tranche.
In the cash flow model, once all of the asset side modelling assumptions
are inputed, the model produces a series of default scenarios that
are weighted considering the probabilities of the lognormal distribution
assumed for the portfolio defaults. In each default scenario,
the corresponding loss for each class of notes is calculated given the
incoming cash flows from the assets and the outgoing payments to third
parties and noteholders. Therefore, the expected loss or
EL for each tranche is the sum product of (i) the probability of occurrence
of each default scenario; and (ii) the loss expected in each default
scenario for each tranche.
Moody's Parameter Sensitivities: Moody's principal portfolio model
inputs are Moody's cumulative default rate assumption and the recovery
rate. Moody's tested various scenarios derived from different combinations
of mean default rate (i.e. adding a stress on the expected
average portfolio quality) and recovery rate. For example,
Moody's tested for the mean default rate: 6% as base case
ranging to 8% and for the recovery rate: 10% as base
case ranging to 5%. The model sensitivity output indicated
that Class A model output would have achieved A3 model output even if
the cumulative mean default probability (DP) had been as high as 8.0%,
and the recovery rate as low as 5.0% (all other factors
being constant). 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 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 rating of the security
might have differed if the two parameters within a given sector that have
the greatest rating impact were varied.
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
by legal final maturity of class A Notes. 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
No previous Moody's ratings were assigned to this transaction.
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, public information, and 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.
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Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
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website for further information.
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in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Moody's Italia S.r.l
Moody's assigns definitive ratings to the ABS notes issued by Golden Bar Securitisation S.r.l.
Corso di Porta Romana 68