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Rating Action:

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

15 Mar 2011

EUR540 Million of debt securities rated.

Milan, March 15, 2011 -- Moody's Investors Service has assigned the following provisional ratings to the ABS notes to be issued by Golden Bar Securitisation S.r.l. (the "Issuer"):

- (P)Aaa (sf) to EUR432M Class A -- 2011-1 Asset-Backed Floating Rate Notes due 2025

- (P)Baa1(sf) to EUR108M 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 methodology used in this rating was The Lognormal Method Applied to ABS Analysis, published in July 2000 and Moody's Approach to rating European Auto ABS: More Rubber Set to Hit European Roads, November 2002. 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 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.2.2.10) 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.

Moody's issues provisional ratings in advance of the final sale of securities and the above rating reflects Moody's preliminary credit opinions regarding the transaction only. Upon a conclusive review of the final documentation and the final note structure, Moody's will endeavour to assign a definitive rating to the above notes. A definitive rating may differ from a provisional 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 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 provisional ratings to the ABS notes to be 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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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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