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Rating Action:

Moody's assigns provisional ratings to six classes of notes issued by Geldilux-TS-2010 S.A.

24 Sep 2010

EUR 602 million of debt securities affected.

Frankfurt am Main, September 24, 2010 -- Moody's Investors Service has assigned provisional ratings to the following class of notes issued by Geldilux-TS-2010 S.A.:

....(P)Aaa (sf) to EUR 500,000,000 Class A Secured Floating Rate Notes due 2018

....(P)Aaa (sf) to EUR 60,700,000M Class B Secured Floating Rate Notes due 2018

....(P)A1 (sf) to EUR 24,300,000 M Class C Secured Floating Rate Notes due 2018

....(P)Baa2 (sf) to EUR 4,900,000 M Class D Secured Floating Rate Notes due 2018

....(P)Ba2 (sf) to EUR 6,100,000 M Class E Secured Floating Rate Notes due 2018

....(P)A1 (sf) to EUR 6,000,000M Liquidity Secured Floating Rate Notes due 2018

RATINGS RATIONALE

The ratings of the notes take account of UniCredit Luxembourg S.A. (rated A3/P-2) and UniCredit Bank AG (A1/P-1), as the major transaction parties in this transaction, being experienced originators and servicers respectively. In the past, they have used ABS term financing via the previously issued nine GELDILUX transactions in respect of which the securitised portfolios have shown excellent performance to date (i.e. in total over all transactions only 10 obligors have defaulted since 1996). Moody's valued positively the limitation of the potential deterioration of credit quality during the 5-year revolving period via eligibility criteria and portfolio limits as the portfolio turns around very quickly (with a max. weighted average life of 90 days). Similarly, in its analysis Moody's relied strongly on the early amortisation triggers, especially the one stopping the replenishment period in case UniCredit Bank AG loses a minimum long term rating of A3. In such situation the portfolio becomes static and - due to the 90 days weighted average life constraint - amortises quickly. In addition, upon UniCredit Bank AG losing a Baa2 rating obligors will be notified and are also asked to pay directly to the issuer's account. The liquidity cushion in the transaction is provided by (i) the interest rate swap counterparty (paying 0.30% of extra spread to the structure) and (ii) the EUR 6.0m issuer interest reserve, which is funded by the liquidity note and available to fund shortfalls in respect of senior fees, interest on the class A to E notes as well as interest on the liquidity notes.

Moody's assigned a Composite V Score of "Medium" to this transaction, which is in line with the German SME ABS sector. Nonetheless, for two sub-categories Moody's considers this transaction better than the market. First, the originator provided a comprehensive set of different historical data covering more than 10 years of data. Second, Moody's believes that the historical data performance variability is significantly lower than for other German SME loan receivable portfolios, which is caused by (i) the short-term nature of the loan contracts and (ii) the specific origination and collection process applied to this product type.

Moody's main modeling assumption for this transaction is the bespoke default distribution derived via the Monte Carlo simulation in CDOROM (v2.6). Moody's derived this default distribution from (i) the most concentrated pool composition (with the minimum limit of 550 obligors) that would be possible in terms of industry and single obligor concentration during the lifetime of the transaction (based on the portfolio limits defined in the transaction documents), (ii) a global correlation of 5% and (iii) the average expected portfolio quality. We expect the average default probability of the pool to be a Baa3 / Ba1 Moody's equivalent (translating into 0.16% cumulative default rate over 90 days) taking into account: (i) the product characteristics and the historical performance data and (ii) potential fluctuations of the macroeconomic environment during the lifetime of this transaction (including the 5-year revolving period). The average recovery rate assumption was set at 25% in line with previous transactions because the non-accessory collateral is not assigned to the SPV since it is granted by the borrower on a relationship level rather than for the euro loan specifically. Therefore, in case of UniCredit Bank AG's insolvency the issuer depends on recoveries assigned by the insolvency administrator, leaving the issuer in the position of a senior unsecured creditor. Finally, no prepayments were assumed because of the short-term nature of the underlying loan receivables there are no prepayments for these loan receivables.

The principal methodologies used in rating Geldilux-TS-2010 S.A. were Refining the ABS SME Approach: Moody's Probability of Default Assumptions In The Rating Analysis of Granular Small and Mid-sized Enterprise portfolios in EMEA published in March 2009, Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa published in June 2007, and V Score and Parameter Sensitivities in the EMEA Small-to-Medium Enterprise ABS Sector published in June 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

For rating this transaction Moody's used the following model. (i) ABSROM (v.2.2.6) to model the cash flows and determine the loss for each tranche and (ii) CDOROM (v.2.6) to determine the transaction specific default distribution.

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.

In the cash flow model Moody's modeled the initial as well as each replenished portfolio separately with equally distributed amortisation and timing of default vectors over 90 days. Similarly, the above described transaction specific default distribution is applied to each portfolio when determining the cash flows for each portfolio period. The non defaulted amount is used to purchase the new portfolio with the same characteristics in terms of amortisation and yield during the replenishment period and as long as no early amortisation event occurs. Thereafter the principal collections are used to pay down the notes. The ultimate losses in the portfolio are allocated to the Class A to Class F notes in full reverse sequential order.

Moody's Parameter Sensitivities: Moody's principal portfolio model inputs are Moody's cumulative default rate assumption and the recovery rate. Moody's tested 9 scenarios derived from different combinations of mean default rate (i.e. adding a stress on the expected average portfolio quality) and recovery rate. Specifically, Moody's tested for the mean default rate: 0.16% as base case, 0.21% as base case plus 30% default probability stress and 0.26% as base case plus 60% default probability stress, and for the recovery rate: 25% as base case, 15% as well as 5%. The model sensitivity output indicated that Class A would have achieved a Aaa rating even if the cumulative mean default probability had been as high as 0.26% (reflecting a default probability stress of 160%), and the recovery rate as low as 5.00% (all other factors being constant), while Class B would have achieved a Aaa rating only in the base case scenario and a Aa1 rating or even a Aa2 rating (in case of 5% recovery rate and the 160% default probability stress). 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.

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, 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.

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 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.

Frankfurt am Main
Silvia Baumann
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt am Main
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany

Moody's assigns provisional ratings to six classes of notes issued by Geldilux-TS-2010 S.A.
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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