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Rating Action:

Moody's upgrades German auto ABS notes issued by Globaldrive Auto Receivables 2007-A B.V. and Globaldrive Auto Receivables 2008-A B.V.

30 Sep 2010

Approximately EUR 267 million of rated debt securities affected

Frankfurt am Main, September 30, 2010 -- Moody's Investors Service has today upgraded the following classes of notes issued by Globaldrive Auto Receivables 2007-A B.V. and Globaldrive Auto Receivables 2008-A B.V.

Issuer: Globaldrive Auto Receivables 2007-A B.V. (Globaldrive 2007-A)

....EUR920.19M A Certificate, Upgraded to Aaa (sf); previously on Jul 7, 2010 Aa1 (sf) Placed Under Review for Possible Upgrade

....EUR46.4M B Certificate, Upgraded to Aaa (sf); previously on Jul 7, 2010 A1 (sf) Placed Under Review for Possible Upgrade

....EUR15.46M C Certificate, Upgraded to Aa1 (sf); previously on Jul 7, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade

Issuer: Globaldrive Auto Receivables 2008-A B.V. (Globaldrive 2008-A)

....EUR464.7M A Certificate, Upgraded to Aaa (sf); previously on Jul 7, 2010 Aa1 (sf) Placed Under Review for Possible Upgrade

....EUR20M B Certificate, Upgraded to Aa2 (sf); previously on Jul 7, 2010 A3 (sf) Placed Under Review for Possible Upgrade

....EUR6.5M C Certificate, Upgraded to A1 (sf); previously on Jul 7, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade

RATINGS RATIONALE

Today's rating actions conclude Moody's review of these two transactions and takes into consideration the better-than-expected performance of the collateral and the stable macroeconomic environment in Germany.

The ratings take into account: (i) the credit quality of the underlying portfolio of auto-loan receivables, from which Moody's determined its cumulative default and recovery rate as well as its volatility assumption; and (ii) the build-up of credit enhancement within the portfolios. The ratings also consider the transaction structure as assessed in Moody's cash flow analysis. The expected cumulative default rate and volatility are the two key parameters Moody's uses to calibrate its default distribution curve, used in the cash-flow model to rate European ABS transactions.

PORTFOLIOS EXPECTED CUMULATIVE DEFAULT RATE

Moody's has reassessed its lifetime default expectation for the pools in Globaldrive 2007-A and Globaldrive 2008-A, taking into account the collateral performance to date as well as the current macroeconomic environment in Germany. Both transactions have out-performed Moody's performance expectations, assumed at closing.

The collateral performance trend is in line with Moody's stable sector outlook for German auto ABS (EMEA ABS, CMBS & RMBS Asset Performance Outlooks, July 2010). As of September 2010, 90+ day delinquencies on the current balance are 0.26% for Globaldrive 2007-A and 0.25% for Globaldrive 2008-A. These ratios have stabilised over the last year. Between May 2009 and the last payment date in September 2010, cumulative defaults reported as percentage of the original pool balances increased to 0.6% from 0.36% and to 0.68% from 0.34% in Globaldrive 2007-A and Globaldrive 2008-A, respectively. The levels of cumulative default ratios are below the levels Moody's had expected when it reviewed the transactions back in May 2009.

During the review process Moody's also updated its assumptions on the future performance of balloon loans within the securitised pools. This loan type represents a significant portion of both transaction pools. The portion of balloon loans in Globaldrive 2007-A's pool decreased to 33% as of June 2010 from 55% in May 2009. The portion of balloon loans in Globaldrive 2008-A's pool increased to 60% from 55%. This increase is explained by the average slower amortisation of balloon loans until their final balloon payment date, compared with auto loans that have had a pure amortising profile since closing. Due to the scheduled maturity profile of the outstanding portfolio of Globaldrive 2008-A, Moody's expects a decrease of the portion of balloon loans below 55% over the next year.

Balloon loans include a large payment obligation by the borrower at the loan maturity. In some cases, the balloon installment is refinanced with FCE Bank (Ba3) via Ford dealerships. In an insolvency scenario of Ford Motor Company (B1 Corporate Family Rating) and FCE, the borrower with a balloon loan may not be able to refinance the balloon installment, which translates into a potential increase in both the borrower default probability and the severity upon default, as we assume that certain vehicle values may be negatively affected in a bankruptcy scenario of the manufacturer.

Moody's revised its assumption taking into account the consequence of an insolvency scenario of FCE and Ford on the performance of the amortising and balloon loans. Under this scenario, we originally assumed that 15% of the borrowers with a balloon loan will default, and that vehicle recoveries will reach 50% of the defaulted balloon installment. This discounted value is commensurate with the assumptions we would apply in the current market environment for residual values of auto-lease receivables. Given the shorter remaining term of the two transactions and the change of the sector outlook for German auto ABS to stable from negative, Moody's lowered its default rate assumptions for balloon loan borrowers to 10%. Moody's also revised downwards its expected cumulative default rates on the original balance for the amortising loan contracts of Globaldrive 2007-A to 0.8% from 2.4% and of Globaldrive 2008-A to 1.2% from 2.4%.

Overall, Moody's revised its cumulative default assumption for the whole portfolio (balloon and amortising loans) to 1% on original balance for Globaldrive 2007-A and 2% on original balance for Globaldrive 2008-A, which compares with the previous assumptions of 3.04% and 3.12% respectively. As of current balance, these revised cumulative default rates translate into 3% for Globaldrive 2007-A and 4% for Globaldrive 2008-A.

RECOVERY RATE, VOLATILITY AND CONSTANT PREPAYMENT RATE

Moody's kept the recovery rate in both transactions at 20%. This is in line with ancillary recoveries observed in the past. The monthly recovery rates FCE Bank reports correspond to recoveries after the sale of the vehicle. Given the stable economic conditions in Germany, Moody's expects these levels to remain stable in the near term. Due to the still-significant portion of balloon loans in the two outstanding portfolios, Moody's maintained its volatility assumption of 50%. Moody's understands volatility as the ratio of the standard deviation and the cumulative mean default-rate assumptions of a portfolio. The constant prepayment rates were decreased from 20% to 10% for both deals. In Moody's view, this better reflects the transactions' actual amortisation profiles.

Globaldrive Auto Receivables 2007-A B.V. and 2008-A B.V. closed in July 2007 and March 2008, respectively. Both transactions are backed by a pool of auto-loan receivables originated by FCE Bank, the financing arm of Ford Motor Company. For details on the transactions structure, please refer to the two respective new issue reports available on www.moodys.com. The reserve funds in both transactions are currently at their target levels. So far, the issuers in both transactions have not drawn on their reserve funds.

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. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found on Moody's website.

Moody's used its excel based cash-flow model Moody's ABSROM™ as part of its quantitative analysis of the transaction. Moody's ABSROM™ model enables users to model various features of a standard European ABS transaction -- including the specifics of the default distribution of the assets, their portfolio amortisation profile, yield, or recoveries and replenishments during the revolving period, as well as the specific priority of payments, triggers, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM™ User Guide, available on Moody's website, covers the functionality of the model and provides a comprehensive index of the user inputs and outputs.

The combination of the key updated assumptions together with the current credit enhancement levels resulted in the upgrades of all rated notes for both transactions. Moody's analysed various sensitivities of cumulative default rates to test the robustness of its revised ratings. For instance, Globaldrive 2007-A would withstand a doubling of the cumulative default rate on the current balance to 6% from 3% (base case). In such a scenario the quantitative/model-indicated rating outcome of the class C notes would migrate to a one notch lower rating. In contrast, the quantitative/model-indicated rating of class C notes of Globaldrive 2008-A would move one notch to a lower rating if the cumulative default rate was increased by 50 basis points (an increase from the base case of 4% to 4.5%). The class A notes of Globaldrive 2008-A could resist 3x the increase of 50 basis points (to 5.5%), without migrating to a one notch lower rating.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

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, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service's information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining 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.

Additional research, including the pre-sale report for these transactions and reports for prior transactions, are available at www.moodys.com. 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
Sebastian Hoepfner
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
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 upgrades German auto ABS notes issued by Globaldrive Auto Receivables 2007-A B.V. and Globaldrive Auto Receivables 2008-A B.V.
No Related Data.
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