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Rating Action:

Moody's places certain classes of German and Austrian ABS notes on review for possible upgrade

07 Jul 2010

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
No Related Data.
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