DBRS Ratings Limited (DBRS Morningstar) confirmed its ratings of the Class A1 and Class A2 Notes (the Rated Notes or the Notes) issued by Globaldrive Germany Retail VFN 2018 B.V. at AAA (sf).
The ratings of the Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of October 2019.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the receivables.
-- Current available credit enhancement to the Notes to cover the expected losses at the AAA (sf) rating level.
-- No revolving termination events have occurred.
The Issuer is a securitisation of new, used and ex-demonstration cars and light-commercial vehicle loan receivables originated in the Federal Republic of Germany by FCE Bank plc, German Branch (FCE Germany) and Ford Bank GmbH (Ford Bank). The receivables are serviced by Ford Bank. The transaction is currently in its revolving period which is scheduled to end in March 2020 providing no Early Amortisation Events occur.
As of the October 2019 payment date, loans two to three months in arrears and loans more than three months in arrears both represented 0.1% of the outstanding portfolio balance. None of the loans were in arrears at closing. Cumulative net losses were 0.04%.
During the revolving period, new receivables may be acquired subject to dynamic advance rates determined by the portfolio composition and concentration limits. DBRS Morningstar determined the sufficiency of required credit enhancement levels to support the expected cumulative net loss assumption under various stress scenarios.
As of the October 2019 payment date, credit enhancement to the Class A1 and A2 Notes was at the Required Class A Credit Enhancement level of 12.3%. Credit enhancement consists of subordination of the Class B Notes and a liquidity reserve fund.
The liquidity reserve fund is currently funded to its target level of EUR 6.5 million and is available to cover senior fees, senior swap payments, and interest on the Class A and B Notes in addition to the reimbursement of losses and principal deficiencies.
A commingling reserve is also currently funded to its target level of EUR 10.0 million and may only be used following an insolvency event of the servicer to cover payment disruptions.
Elavon Financial Services DAC, U.K. Branch acts as the account bank for the transaction. Based on the DBRS Morningstar private rating of Elavon Financial Services DAC, U.K. Branch, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar 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 Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
Lloyds Bank Corporate Markets plc acts as the swap counterparty for the transaction. DBRS Morningstar's private rating of Lloyds Bank Corporate Markets plc is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.
The transaction structure was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. DBRS Morningstar 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 “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include investor reports provided by FCE Bank Plc.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
This is the first rating action on this transaction since the initial rating date on 19 November 2018 where the Class A1 and Class A2 Notes were assigned ratings of AAA (sf).
The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.
Information regarding DBRS Morningstar 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 Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on various stress scenarios. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of Notes would be expected to fall to AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Notes would be expected to fall to AA (high) (sf).
Class A1/A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 19 November 2018
DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960.
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 Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
A description of how DBRS Morningstar 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.