Approximately EUR437 million of debt securities affected
Frankfurt, July 07, 2010 -- Moody's Investors Service has today placed on review for possible
upgrade certain classes of notes issued by the following German and Austrian
asset-backed securities (ABS) auto loan and lease transactions:
- Bavarian Sky S.A., Compartment 1
- Driver Four GmbH
- Driver Three GmbH
- Driver Two GmbH
- Globaldrive Auto Receivables 2007-A B.V.
(Globaldrive 2007-A)
- Globaldrive Auto Receivables 2008-A B.V.
(Globaldrive 2008-A)
- Edelweiss Auto Funding Limited
A complete list of the 11 affected tranches can be found at the end of
this press release.
Today's rating action follows Moody's periodic performance
review of German and Austrian auto loan and lease ABS. The rating
action reflects the low delinquency and loss levels observed in the affected
transactions despite the stressful economic environment over the past
two years.
As part of the performance review, Moody's considered the
following four indicators when evaluating the performance of the portfolio
of German and Austrian auto loan and lease ABS: (i) the amount of
cumulative defaults or losses which have already occurred compared to
the latest default or loss assumptions, (ii) the evolution of credit
enhancement since closing, (iii) projections of future defaults
and losses in a stressed scenario and (iv) the comparison between these
projected defaults or losses and the credit enhancement level over time.
Moody's notes that the overall portfolio performance is --
on average -- in line with the rating agency's expectations.
However, Moody's identified seven positive outliers clearly
exceeding the expectations based on the performance indicators mentioned
above.
Moody's has also considered the counterparty risk linked to the
originator, the servicer and the swap provider in each transaction
and concluded that such risk is limited given the high credit quality
of these entities or structural mitigants in place in these transactions.
The rating agency also observes that these risks could be mitigated by
increased credit enhancement or available liquidity. Moody's
believes that the transactions mentioned below have sufficient structural
mitigants and credit enhancement to allow for an upgrade of certain classes
Transaction Performance as of the date of the review:
Bavarian Sky S.A., Compartment 1
The transaction closed in July 2007 and was originated by BMW Leasing
GmbH, a subsidiary of BMW AG. After the initial two-year
revolving period, cumulative defaults currently stand at 0.22%
on original balance plus replenishments compared to an initial assumption
of 2.1%. The pool factor in June 2010 is measured
as current balance divided by original balance plus replenishments is
16%. Moody's has not observed any reduction of credit
enhancement since closing in the form of negative excess spread or principal
deficiencies. As a result, the initial 2.35%
credit enhancement of class B notes (excluding gross excess spread) provided
by the reserve fund almost tripled to 6.85%. In Moody's
opinion the combination of a low level of cumulative defaults and deleveraging
reflects the transaction's greater capacity to suffer relatively
higher future losses compared to the original analysis.
Driver Four GmbH, Driver Three GmbH and Driver Two GmbH
Auto loans backing the three Driver transactions were originated by Volkswagen
Bank GmbH and closed in April 2007 (Driver Four), October 2006 (Driver
Three) and September 2005 (Driver Two). Driver Four is a static
transaction, while Driver Three and Driver Two included a three-year
revolving period. As of June 2010 the cumulative loss ratios of
total assets securitised amounted to 0.38% for Driver Four,
0.33% for Driver Three and 0.44% for Driver
Two which compare to original assumptions of 1.55% for Driver
Four and 1.6% for Driver Three and Driver Two. The
respective pool factors of the transactions are 24%, 31%
and 14%. Currently, all three structures amortise
pro-rata after initially building up the credit enhancement required
by the mechanism common to these transactions. The credit enhancement
for the class B consists of a subordinated loan, overcollateralisation
and the cash collateral account. Over time, the initial levels
built up from 5.2% to 10.5% (Driver Four),
5.55% to 10.3% (Driver Three) and 5.9%
to 12.7% (Driver Two). In Moody's opinion,
the combination of low cumulative losses and deleveraging reflects the
transaction's greater capacity to suffer relatively higher future
losses compared to the original analysis.
Globaldrive Auto Receivables 2007-A B.V. and 2008-A
B.V.
The Globaldrive transactions comprise auto loan receivables originated
by FCE Bank -- the captive finance arm of Ford Motor Company.
Globaldrive 2007-A and Globaldrive 2008-A are static transactions
that closed in July 2007 and March 2008, respectively. As
of June 2010 the ratio of already occurred cumulative defaults of original
balance stand at 0.57% for Globaldrive 2007-A and
0.63% for Globaldrive 2008-A. They compare
to revised assumptions of 3.04% and 3.14%
as of the review date in May 2009. The pool factors for the two
respective transactions are 15% and 42%. The initial
levels of credit enhancement (excluding gross excess spread) for all outstanding
notes increased substantially as a result of deleveraging. For
Globaldrive 2007-A, the credit enhancement for class A rose
from 9.3% to 68%, for class B from 4.65%
to 37% and for class C from 3.1% to 27%.
For Globaldrive 2008-A, the credit enhancement for the class
A rose from 8.6% to 25%, for class B from 4.6%
to 16% and for class C from 3.3% to 13%.
In Moody's opinion, the combination of low cumulative defaults
and deleveraging reflects the transaction's greater capacity to
suffer relatively higher future losses compared to the original analysis.
Edelweiss Auto Funding Limited
Edelweiss Auto Funding Limited is an Austrian portfolio of lease receivables
originated by EBV Leasing GmbH and closed in May 2003. The transaction
had been revolving for five years as contemplated at closing. As
of the last performance report, the cumulative default rate of total
securitised assets stands at 1.3% which compares to the
original assumption of 2.3%. The pool factor of total
securitised assets stands at 12% in April 2010. Another
positive feature in the structure is the development of the non-amortising,
increasing reserve fund that has not experienced any draw so far.
Consequently, the credit enhancement available (without considering
gross excess spread) to the class B notes increased from 2% to
8.2% as the last reporting date in April 2010. In
Moody's opinion, the combination of low cumulative defaults
and deleveraging reflects the transaction's greater capacity to
suffer relatively higher future losses compared to the original analysis.
Economic situation
In addition to the transaction specific analysis, Moody's
also looked at macroeconomic factors that influence borrower's ability
to repay its debt such as GDP growth, the unemployment rate or household
indebtedness. Moody's believes that the good performance
of delinquencies and losses in this portfolio is mainly driven by the
solid labour market and a combination of the relatively low indebtedness
of households and a strong social security system supported by unemployment
and social benefits. Moody's believes that these aspects
will prolong in the near-term future and enhance further the performance
German and Austrian ABS auto loan and lease transactions.
Review Process
As part of its detailed transaction-by-transaction review,
Moody's will reassess the cumulative default and loss rate for the
remaining life of the transaction, reflecting the collateral performance
to date as well as the future macroeconomic environment. Moody's
will also request, whenever not already available, updated
data on pool characteristics such as geographic concentration, origination
vintage of the loans and product type. Where necessary, the
rating agency will also seek to keep abreast of current servicing and
collection procedures. Moody's expects to conclude the detailed
transaction reviews over the next six months.
LIST OF RATING ACTIONS
Issuer: Bavarian Sky S.A., Compartment 1
....EUR48M B Certificate, A1 Placed
Under Review for Possible Upgrade; previously on Jul 17, 2007
Definitive Rating Assigned A1
Issuer: Driver Four GmbH
....EUR30M B Notes, A1 Placed Under
Review for Possible Upgrade; previously on Apr 27, 2007 Definitive
Rating Assigned A1
Issuer: Driver Three GmbH
....EUR35M B Certificate, A1 Placed
Under Review for Possible Upgrade; previously on Oct 27, 2006
Definitive Rating Assigned A1
Issuer: Driver Two GmbH
....EUR38.5M B Certificate, A1
Placed Under Review for Possible Upgrade; previously on Sep 15,
2005 Definitive Rating Assigned A1
Issuer: Edelweiss Auto Funding Limited
....EUR8.8M B Notes, A2 Placed
Under Review for Possible Upgrade; previously on May 28, 2003
Definitive Rating Assigned A2
Issuer: Globaldrive Auto Receivables 2007-A B.V.
....EUR920.19M A Certificate,
Aa1 Placed Under Review for Possible Upgrade; previously on May 21,
2009 Confirmed at Aa1
....EUR46.4M B Certificate, A1
Placed Under Review for Possible Upgrade; previously on May 21,
2009 Downgraded to A1
....EUR15.46M C Certificate,
Baa3 Placed Under Review for Possible Upgrade; previously on May
21, 2009 Downgraded to Baa3
Issuer: Globaldrive Auto Receivables 2008-A B.V.
....EUR464.7M A Certificate,
Aa1 Placed Under Review for Possible Upgrade; previously on May 21,
2009 Confirmed at Aa1
....EUR20M B Certificate, A3 Placed
Under Review for Possible Upgrade; previously on May 21, 2009
Downgraded to A3
....EUR6.5M C Certificate, Baa3
Placed Under Review for Possible Upgrade; previously on May 21,
2009 Downgraded to Baa3
Moody's ratings address the expected loss posed to investors by
the legal final maturity of the notes. Moody's ratings address
only the credit risks associated with the transactions. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors. Moody's will continue to monitor closely
the above transactions.
The principal methodology used in rating and monitoring the transactions
is "The Lognormal Approach applied to ABS Analysis,"
published in July 2000; and "Revising Default/Loss Assumptions
Over the Life of an ABS/RMBS Transaction," published in December
2008 and available on www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating these transactions can also be found in the Rating Methodologies
sub-directory on Moody's website.
In addition, Moody's publishes a weekly summary of structured
finance credit, ratings and methodologies in "Structured Finance
Quick Check" at www.moodys.com/SFQuickCheck
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Sebastian Hoepfner
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places certain classes of German and Austrian ABS notes on review for possible upgrade