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Global Credit Research - 07 Oct 2010
EUR 477 Million of German Auto ABS Notes rated
Frankfurt am Main, October 07, 2010 -- Moody's Investors Service has assigned the following provisional
ratings to notes issued by E-Carat S.A. Series 2010-1:
- (P)Aaa (sf) to the EUR 446.55 million Class A Notes due
18 October 2018
- (P)A1 (sf) to the EUR 30.45 million Class B Notes due
18 October 2018
Moody's has not assigned ratings to the subordinated EUR 30.45
million Class C Notes.
The transaction is a static cash securitisation of auto loans extended
to obligors in Germany by GMAC Bank GmbH ((P)B3/NP/Stable) (GMAC Bank)
which is a wholly owned subsidiary of GMAC Germany GmbH & Co KG.
GMAC Germany GmbH & Co KG is a wholly owned subsidiary of GMAC Holdings
GmbH, Switzerland, which is in turn wholly owned by Ally Financial
Inc. (B3/NP/Stable). This is the second public securitisation
transaction sponsored by GMAC Bank. The seller also acts as the
servicer of the portfolio. However, all the servicing operations
are outsourced to Sitel GmbH, ultimately owned by Sitel LLC (B3/stable).
As such, the servicer has appointed Sitel GmbH as the back-up
servicer for the transaction.
The portfolio of underlying assets consists of auto loans distributed
through Opel dealerships in Germany. These loans relate mainly
to financing the acquisition of cars. The portfolio includes amortising
loans and balloon loans. For the amortising loans, a customer
has to repay monthly fixed instalments. For balloon loans the customer
has to repay monthly fixed instalments plus a significantly higher final
instalment. As of September 2010, the portfolio consists
of 44,155 borrowers. The loans were originated between 2009
and 2010, with a weighted average seasoning of six months and balloon
loans comprising approx 87% of the portfolio.
According to Moody's the transaction benefits from credit strengths such
as a granular portfolio, relatively simple waterfall and a 1.75%
reserve fund which is fully funded at closing and is available to cover
any liquidity shortfalls throughout the life of the transaction and credit
enhancement at the end. Moody's however notes that the transaction
features a number of credit weaknesses such as a lowly rated originator
and servicer and a relatively large percentage of balloon loans,
Moody's analysis focused, among other factors, on (i) an evaluation
of the underlying portfolio of loans; (ii) historical performance
information; (iii) 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 servicer appointed
at closing; (viii) the independent cash manager and back-up
calculation agent; (viii) the legal and structural integrity of the
Moody's assumed a mean loss rate of 2.3% for the entire
pool taking into account the proportion of balloon loans in the total
securitised pool. A coefficient of variation of 55% is used
as the other main input for Moody's cash flow model ABSROM. As
the historical data does not cover scenarios such as a manufacturer or
originator default, to arrive at the default rate assumption for
the pool, Moody's has stressed the default assumption for the balloon
payments in the portfolio. Commingling risk is mitigated by the
funding of a commingling reserve at closing.
The V-score analysis for the transaction is Medium/Low.
The analytical complexity is at a medium as additional analysis was done
to reflect specific credit risk aspects of balloon loans (large portion
of the portfolio). The back-up servicing arrangement is
considered medium when compared to low of the sector as the servicer GMAC
Bank ((P)B3/NP/Stable) is lowly rated. V-Scores are a relative
assessment of the quality of available credit information and of the degree
of dependence on various assumptions used in determining the rating.
For more information, the V-Score has been assigned accordingly
to the report "V Scores and Parameter Sensitivities in the Non-U.S.
Vehicles ABS Sector", published in January 2009.
The principal methodologies used in rating E-Carat S.A.
Series 2010-1 were 'Moody's Approach to Rating European Auto ABS:
More Rubber Set to Hit European Roads', published in November 2002
and 'The Lognormal Method Applied to ABS Analysis', published in
July 2000. Other methodologies and factors that may have been considered
in the process of rating this Issuer can also be found on Moody's website.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence report had a neutral impact
on the rating.
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
with respect of the notes by the 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.
Moody's used its excel based cash-flow model Moody's ABSROM™
as part of its quantitative analysis of the transaction. Moody's
ABSROM™ model enables users to model various features of a standard
European ABS transaction -- including the specifics of the
default 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.
Moody's ABSROM™ User Guide, available on Moody's website,
covers the functionality of the model and provides a comprehensive index
of the user inputs and outputs.
In rating auto loan ABS, loss rate and co-efficient of variation
are two key inputs that determine the lognormal distribution. Parameter
sensitivities for this transaction have been tested in the following manner:
Moody's tested nine scenarios derived from the combination of mean loss:
2.30% (base case), 2.55% (base case
+0.25%), 2.80 (base case +0.5%)
and co-efficient of variation: 55% (base case),
60% (base case +5%), 65% (base case+10%).
The results for Class A under these scenarios vary from Aaa (base case)
to Aa3 (3 notches where the loss rate is 2.80% and the co-efficient
of variation is 65%). 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 model output of the security might have
differed if the two parameters within a given sector that have the greatest
rating impact were varied.
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, parties not involved in the ratings,
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.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
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
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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.
Frankfurt am Main
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Moody's Deutschland GmbH
Moody's assigns provisional ratings to ABS issued by E-Carat S.A. Series 2010-1
An der Welle 5
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