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I AGREE
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.
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Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS 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. 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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 rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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