DBRS Ratings Limited (DBRS) confirmed its AAA (sf) ratings on the Series 2007-1 and Series 2010-1 Class A Loan Notes (together, the Notes) issued by Globaldrive UK Dealer Floorplan Funding I Limited (the Issuer).
The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.
The rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of realised losses, principal payment rates and yield.
-- Current available credit enhancement to the Notes to cover the expected losses at the AAA (sf) rating level in various dealer concentration and liquidation scenarios.
-- No Early Amortisation Events have occurred.
The Notes are backed by auto wholesale receivables originated by FCE Bank plc (FCE) and relating to the purchase and financing by motor vehicle dealers of their new vehicle inventory and dealer vehicle plan receivables. The ultimate parent of FCE is Ford Motor Company USA.
On 4 April 2019, DBRS transferred the ongoing coverage of the ratings assigned to the Issuer to DBRS Ratings Limited from DBRS, Inc. The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.
DBRS Ratings Limited is registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and is a registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliate in the United States and Designated Rating Organization (DRO) affiliate in Canada. DBRS, Inc. is a registered NRSRO in the United States and DRO affiliate in Canada.
As of February 2019, the three-month average principal payment rate was 26.4% and the annualised portfolio yield was 14.9%, including additional interest income generated through the discount mechanism. Realised losses were zero.
As of the March 2019 payment date, credit enhancement to the Notes was 27.0%, calculated as subordination of the mezzanine and junior tranches in each respective series.
Each series of notes also benefits from a non-amortising reserve account, available to cover senior fees, interest, losses and charge-offs. As of the March 2019 payment date, the Series 2007-1 and Series 2010-1 reserves are at their target levels of GBP 1.35 million and GBP 1.25 million, respectively.
The minimum seller interest is the greater of GBP 1 or the sum of overconcentration and ineligible receivables.
BNP Paribas Securities Services S.C.A, Jersey Branch acts as the receivables trustee account bank for the transaction. Based on the DBRS private rating of the parent company, BNP Paribas Securities Services S.C.A, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.
The transaction structure was analysed in Da Vinci, DBRS’s proprietary cash flow engine.
All figures are in British pound sterling unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.
A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.
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 at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for these ratings includes performance data and investor reports provided by FCE.
DBRS did not rely upon third-party due diligence in order to conduct its analysis. At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on 12 April 2018, when DBRS confirmed its ratings on the Notes at AAA (sf).
The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios in its cash flow analysis, as compared to the parameters used to determine the rating (the “Base Case”). Separate stresses were applied in its analysis of dealer concentration and liquidation scenarios.
-- Default Rate: base case of 8.0%, stressed with a 25% and 50% increase
-- Monthly Principal Payment Rate (MPPR): base case of 18.0% (in line with the payment rate early amortisation trigger), stressed with a 25% and 50% decrease
-- Yield: base case of 4.4%, stressed with a 25% and 50% decrease
Series 2007-1 and Series 2010-1 Class A Loan Notes Risk Sensitivity:
Whilst holding the MPPR constant:
-- 25% increase in Default Rate and 25% decrease in Yield, expected rating of AAA (sf)
-- 50% increase in Default Rate and 50% decrease in Yield, expected rating of AAA (sf)
Whilst holding the Yield constant:
-- 25% decrease in MPPR and 25% increase in Default Rate, expected rating of AAA (sf)
-- 50% decrease in MPPR and 50% increase in Default Rate, expected rating of AAA (sf)
Whilst holding the Default Rate constant:
-- 25% decrease in Yield and 25% decrease in MPPR, expected rating of AAA (sf)
-- 50% decrease in Yield and 50% decrease in MPPR, expected rating of AAA (sf)
For further information on DBRS historical default rates published by ESMA in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 12 January 2010
DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.
Ratings issued and monitored by DBRS Ratings Limited are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuer.
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Auto Wholesale Securitisations
-- 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.