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I AGREE
Rating Action:

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

31 Mar 2011

EUR540 Million of debt securities rated

Milan, March 31, 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 Series 2011-1:

- Aaa (sf) to EUR411M Class A - 2011-1 Asset-Backed Floating Rate Notes due 2025

- Baa1(sf) to EUR129M Class B - 2011-1 Asset-Backed Floating Rate Notes due 2025

RATINGS RATIONALE

The subject transaction is a cash securitisation of auto 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 extended to both corporate and individual borrowers; there is also a very small portion of loans to acquire boats (less than 1% of the portfolio).

This deal benefits from several credit strengths, such as a short initial portfolio weighted average life of 2.2 years, 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 limited historical performance data received on the corporate portion of the portfolio, as well as a 18-month revolving period, 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 4.0%, 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 liquidity support available for class A notes, by way of non-amortising 3% liquidity line provided by Banco Santander S.A. (Aa2/P-1); (vi) the provisions for the appointment of a back-up servicer; and (vii) the legal and structural integrity of the transaction.

The V Score for this transaction is Low/Medium, which is in line with the score assigned for the German/French Auto loan sector. Some notable features pertain to the Medium score for "Quality of Historical Data for the Issuer/Sponsor/ Originator" as the historical information does not cover a full severe stress scenario and the fact that the sample composition used to derived the portfolio historical data was not representative of the portfolio being securitized in terms of type of debtor distribution. The " Disclosure of Securitization Performance " has been assigned a L/M score, in line with the Consumer loan Italian market score for this category, given that reporting of performance data is not condensed in one single report. 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% for the initial portfolio and 8% for portfolios acquired during the revolving period, with a coefficient of variation of 40% 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 8% and a sinus-shape timing of defaults, considering a 6-months default definition.

The principal methodologies used in this rating were The Lognormal Method Applied to ABS Analysis, published in July 2000 and Moody's Approach to Rating European Auto ABS published in November 2002.

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 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 input, 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 stay at Aaa in these scenarios (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. As regards class B, in Moody's opinion, the structure allows for ultimate payment of interest and principal by 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.

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.
© 2022 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.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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 JPY100,000 to approximately JPY550,000,000.

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

​
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