DBRS Ratings Limited (DBRS) finalised its provisional ratings on the Class A Notes and Class B Notes (the Rated Notes) issued by Globaldrive Auto Receivables 2018-A B.V. (the Issuer) as follows:
-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
The Issuer is wholly owned by Stichting Globaldrive Auto Receivables 2018-A, a foundation (stichting) incorporated under the laws of the Netherlands. The Issuer serves as a special-purpose entity solely for the purpose of the transaction.
The Rated Notes are backed by a pool of auto loan receivables originated in the Federal Republic of Germany by FCE Bank plc, German Branch (FCE Germany) and Ford Bank GmbH (Ford Bank). According to a business transfer agreement executed in June 2018, FCE Germany transferred historical loan agreements to Ford Bank (a wholly owned subsidiary of FCE Bank plc) and acts as Servicer for the transaction. Approximately 83% of loan agreements within the provisional portfolio have been originated by FCE Germany.
The transaction is static and represents the issuance of notes backed by approximately EUR 815 million of receivables. The underlying receivables consist of standard and trade cycle management auto loan agreements granted for the purchase of new, used or ex-demonstration motor vehicles. There are no lease contracts contained within the portfolio, and therefore the Issuer is not directly exposed to residual value risk through an obligor put option or obligation.
The ratings are based on a review by DBRS of the following analytical considerations:
-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of subordination and a cash reserve.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at the AAA (sf) rating level for the Class A Notes and AA (high) (sf) for the Class B Notes.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- Ford Bank’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral. DBRS conducted an operational risk review of Ford Bank and deems it to be an acceptable servicer.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and presence of legal opinions addressing the assignment of the assets to the Issuer.
The transaction was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is “Rating European Consumer and Commercial Asset Backed Securitisations”.
DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release.
These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology on: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.
The sources of data and information used for these ratings include performance and portfolio data relating to the receivables sourced by Ford Bank through their agent, LBCM.
DBRS received quarterly net loss data relating to Ford Bank originations on a cumulative basis from Q1 2013 to Q1 2018. Dynamic data was also provided relating to losses, recoveries and delinquencies as well as pool data and stratifications of the final portfolio upon closing.
DBRS does not rely upon third-party due diligence in order to conduct its analysis.
DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers that the information available to it for the purposes of providing these ratings was of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.
Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating:
-- Expected default of 1.6%: a 25% and 50% increase.
-- Expected LGD: 50%, a 25% and 50% increase.
Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.
DBRS concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AAA, AAA, AAA, AAA, AA (high), AAA, AA (high), AA (high)
-- Class B Notes: AA (high), AA, AA (high), AA, AA, AA (high), AA, A (high)
For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Alex Garrod, Senior Vice President
Rating Committee Chair: Erin Stafford, Managing Director
Initial Rating Date: 4 October 2018
DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions
A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.