TEXT - S&P rates Globaldrive Auto Receivables 2012-A
OVERVIEW -- We have assigned our preliminary credit ratings to Globaldrive Auto Receivables 2012-A's class A and B euro-denominated asset-backed floating-rate notes. At the same time, Globaldrive 2012-A will issue unrated class C fixed-rate notes. -- Globaldrive 2012-A securitizes a portfolio of auto loan receivables, which the German branch of FCE Bank originated in the ordinary course of its business. FRANKFURT (Standard & Poor's) Nov. 13, 2012--Standard & Poor's Ratings Services has assigned its preliminary credit ratings to Globaldrive Auto Receivables 2012-A B.V.'s (Globaldrive 2012-A) class A and B euro-denominated asset-backed floating-rate notes. At the same time, Globaldrive 2012-A will issue unrated class C fixed-rate notes (see list below). All of the loans in the pool are fully amortizing, but 76.5% of the pool comprises loans that have a large balloon payment at maturity. The rated notes will be credit enhanced through a combination of subordination, a cash reserve, and excess spread. A fixed- to floating- interest rate swap with HSBC (AA-/Negative/A-1+) will mitigate the interest rate mismatch between assets and liabilities. RATING RATIONALE Sector outlook. The German economy is still performing reasonably well despite the signs of a renewed recession in the Eurozone area (see "The Eurozone's New Recession--Confirmed," published on Sept. 25, 2012). However, waning demand for passenger vehicles in Europe is putting pressure on the German automotive sector and may well affect collateral values. Still, we expect overall GDP growth of 1.2% and a decrease in unemployment to 5% in 2013. In our view, unemployment is one of the key drivers of performance in consumer credit portfolios. Operational risk. FCE Bank is an experienced originator in several jurisdictions in the European securitization market. Our ratings on the class A and B notes reflect our assessment of the company's origination policies, as well as our evaluation of FCE Bank's ability to fulfil its role as servicer under the transaction documents. Credit risk. We have used performance data from FCE Bank's loan portfolio and from previous transactions to analyze credit risk. In comparison to Globaldrive 2011-A, we reduced our baseline default expectations but also reduced our expected recovery rates to reflect changes in the macroeconomic environment. Following our analysis of credit risk in the transaction, we expect to see around 2.6% of defaults in the securitized pool This is the baseline default expectation, and is based on the data provided for the portfolio as per the first sentence of the paragraph. We have analyzed credit risk by applying our European consumer finance criteria (see ""here =5568498&rev_id=2&sid=989306&sind=A&"," published on March 10, 2000). Counterparty risk. Our ratings on the class A and B notes also consider that the the replacement mechanisms implemented in the transaction documents adequately mitigate counterparty risk exposure in the transaction. We analyzed these counterparty risks through our counterparty criteria (see "Counterparty And Supporting Obligations Methodology And Assumptions," published on May 31, 2012). Legal risk. In our opinion, a EUR15.5 million commingling reserve (funded at closing), which can be increased to EUR25.49 million, fully mitigates commingling risk in the transaction. We have also analyzed potential set-off and termination risks in contracts with servicing components, and found the risk to be negligible. We consider the issuer to be a bankruptcy-remote entity in line with our European legal criteria and have received comfort that the sale of the assets would survive the insolvency of the seller (see "European Legal CriteriaRELATED CRITERIA AND RESEARCH -- Presale: Globaldrive Auto Receivables 2012-A B.V., Nov. 13, 2012 -- The Eurozone's New Recession--Confirmed, Sept. 25, 2012 -- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012 -- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 -- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 -- Principles Of Credit Ratings, Feb. 16, 2011 -- Methodology: Credit Stability Criteria, May 3, 2010 -- Scenario Analysis: Gross Default Rates and Excess Spread Hold the Answer to Future European Auto ABS Performance, May 12, 2009 -- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008 -- European Consumer Finance Criteria, March 10, 2000 -- European Auto ABS Index Report, published quarterly RATINGS LIST Class Prelim. Prelim. rating amount Globaldrive Auto Receivables 2012-A B.V. EUR561.90 Million Asset-Backed Fixed- And Floating-Rate Notes A AAA (sf) 500.1 B AA (sf) 30.9 C NR 31.0 NR--Not rated.
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