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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

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Rating Action:

Moody's assigns definitive ratings to the ABS notes issued by Golden Bar Securitisation S.r.l.

11 May 2011

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.

RATINGS RATIONALE

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 to investors.

No previous Moody's ratings were assigned to this transaction.

REGULATORY DISCLOSURES

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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

Moody's adopts all necessary measures so that the information it uses 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.

Milan
Paula Lichtensztein
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Milan
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100

Moody's assigns definitive ratings to the ABS notes issued by Golden Bar Securitisation S.r.l.
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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