EUR 676.9 Million of debt securities rated
Frankfurt am Main, June 11, 2014 -- 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 Series 2014-1:
....EUR 646.8M Class A-2014-1
Notes, Assigned A2 (sf)
....EUR 30.1M Class B-2014-1
Notes, Assigned Baa2 (sf)
Moody's has not assigned ratings to the Class C Notes which are also issued.
The transaction is a revolving cash securitisation of auto loans to obligors
in Italy by Santander Consumer Bank S.p.A. ((P)Baa1
/ (P)P-2)), a wholly owned subsidiary of Santander Consumer
Finance S.A. (Baa1 / P-2). The originator
also acts as the servicer of the portfolio during the life of the transaction.
The portfolio consists of auto loans for the acquisition of new or used
cars extended to both individual and corporate borrowers.
As of 17th April 2014, the portfolio consisted of 102,942
agreements originated between 2006 and 2014, with a weighted average
seasoning of 1.4 years and a weighted average remaining term of
3.6 years.
RATINGS RATIONALE
According to Moody's, the transaction benefits from credit strengths,
such as a short initial portfolio weighted average life of 2.0
years. In addition, the transaction provides certain structural
features such as a 2.5% amortising reserve fund, which
will provide liquidity and principal loss coverage for the rated classes
of notes, and 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 a 24-month revolving period, which
increases the potential performance volatility of the underlying portfolio,
and a high rating linkage to the performance of Santander Group entities.
These characteristics, amongst others, were considered in
Moody's analysis and ratings.
Moody's analysis focused, among other factors, on (i) an evaluation
of the underlying portfolio of financing agreements; (ii) the macroeconomic
environment; (iii) historical performance information; (iv)
the credit enhancement provided by subordination, by the excess
spread and the reserve fund; (v) the liquidity support available
in the transaction, by way of principal to pay interest and the
reserve fund; (vi) the back-up servicing facilitator;
(vii) the roles of the swap provider and (viii) the legal and structural
integrity of the transaction.
In its quantitative assessment, Moody's assumed a mean default rate
of 4.5% for the initial portfolio and 5.5%
for portfolios acquired during the revolving period, with a coefficient
of variation of 55% and a recovery rate of 10% 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 5% and a sinus-shape timing of defaults, considering
a 6-months default definition.
Parameter sensitivities for this transaction have been calculated in the
following manner: Moody's tested 9 scenarios derived from the combination
of mean default: 4.5% (base case), 5.0%
(base case +0.5%), 5.5% (base case
+ 1.0%) and recovery rate: 10.0%
(base case), 7.5% (base case -- 2.5%),
5.0% (base case -- 5.0%). The
4.5% / 10% scenario would represent the base case
assumptions used in the initial rating process. At the time the
rating was assigned, the model output indicated that Class A would
have achieved A3 (one notch lower) even if mean default was as high as
5.0% with a recovery as low as 5% (all other factors
unchanged).
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 rating
of the tranches might differ as certain key parameters vary. Therefore,
Moody's analysis encompasses the assessment of stress scenarios.
The principal methodology used in this rating was "Moody's Approach to
Rating Auto Loan-Backed ABS" published in May 2013. Please
see the Credit Policy page on www.moodys.com for a copy
of this methodology.
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 the legal final maturity of each class of the rated 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.
Factors that would lead to an upgrade or downgrade of the rating:
Factors that may cause a downgrade of the notes include a decline in the
overall performance of the pool, a significant deterioration of
the credit profile of the counterparts not covered due to structural features.
Factors that may cause an upgrade of the ratings include a sustainable
performance much better than expected or an upgrade of the local currency
ceiling of Italy.
Loss and Cash Flow Analysis:
Moody's used its cash flow model ABSROM as part of its quantitative analysis
of the transaction. ABSROM enables users to model various features
of a standard European ABS transaction - including the specifics
of the loss 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.
The model is used to represent the cash flows and determine the loss for
each tranche. The cash flow model evaluates all loss scenarios
that are then weighted considering the probabilities of the lognormal
distribution assumed for the portfolio loss rate. In each loss
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 loss scenario; and (ii) the loss derived from
the cash flow model in each loss scenario for each tranche.
Stress Scenarios:
As described in the previous paragraph, Moody's analysis encompasses
the assessment of stressed scenarios.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's did not receive or take into account a third-party assessment
on the due diligence performed regarding the underlying assets or financial
instruments in this transaction.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF370151.
Moody's describes its loss and cash flow analysis in the section "Ratings
Rationale" of this press release.
Moody's describes the stress scenarios it has considered for this rating
action in the section "Ratings Rationale" of this press release.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Sebastian Schranz
Analyst
Structured Finance Group
Moody's Deutschland 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
Moody's assigns definitive ratings to the ABS notes issued by Golden Bar (Securitisation) S.r.l.
