DBRS Finalises Provisional Ratings on Globaldrive Auto Receivables 2016-A B.V.

DBRS Ratings Limited (DBRS) has today finalised its provisional ratings on the notes issued by Globaldrive Auto Receivables 2016-A B.V. (the issuer) as follows:

-- Class A Notes: AAA (sf)
-- Class B Notes: AA (high) (sf)

The notes are backed by a pool of receivables related to motor vehicle loans granted to retail and corporate customers by FCE Bank plc, German Branch (FCE Germany) in Germany.

The ratings are based upon review by DBRS of the following analytical considerations:

-- Transaction capital structure and sufficiency of credit enhancement in the form of excess spread.
-- Relevant credit enhancement in the form of subordination and reserve funds available from the issue date.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) and AA (high) (sf) standard respectively for the Class A Notes and 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.
-- FCE Germany’s experience as an originator, underwriter and servicer as well as its financial strength.
-- The credit quality of the underlying collateral and the ability of the servicer to perform collection activities on the collateral. DBRS conducted an operational risk review of FCE Germany and deems FCE Germany to be an acceptable servicer.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s ‘Legal Criteria of European Structured Finance Transactions’ methodology.

The transaction was modeled in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable 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.

DBRS methodologies 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 DBRS commentary ‘The Effect of Sovereign Risk on Securitisations in the Euro Area’ on
http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for these ratings include performance data relating to the receivables provided by FCE Bank plc directly or through its agent, Bank of America Merrill Lynch. DBRS received historical net loss data relating to FCE Germany originations by quarterly vintage on a cumulative net loss basis going back to Q3 2008. Data was also provided relating to delinquencies and a loan-by-loan dataset related to the portfolio selected by FCE Bank plc as at 31 December 2015 that allowed DBRS to further assess the collateral.

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 does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings were disclosed to FCE Bank plc and its agent, Bank of America Merrill Lynch.

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, is 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 to the parameters used to determine the rating (the Base Case):

-- Probability of Default (PD): Base Case of 1.82%, a 25% and 50% increase on base case PD
-- Loss Given Default (LGD): Base Case of 50%, a 25% and 50% increase on base case LGD
-- Recovery Rate: Base Case Recovery Rate of 50%

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the Base Case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would maintain the rating of the Class A notes at a AAA (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would maintain the rating of the Class A notes at a AAA (sf) rating.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would maintain the rating of the Class A notes at a AAA (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would result in a downgrade of the Class A notes to a AA (high) (sf) rating.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would result in a downgrade of the Class A notes to a AA (high) (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would result in a downgrade of the Class A notes to a AA (high) (sf) rating.

DBRS concludes that for Class B Notes:
-- A hypothetical increase of the Base Case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would maintain the rating of the Class B notes at a AA (high) (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would maintain the rating of the Class B notes at a AA (high) (sf) rating.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would maintain the rating of the Class B notes at a AA (high) (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would result in a downgrade of the Class B notes to a AA (sf) rating.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would result in a downgrade of the Class B notes to a AA (sf) rating.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would result in a downgrade of the Class B notes to an A (high) (sf) rating.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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 regulations only.

Initial Rating Date: 6 January 2016

Initial Lead Analyst: Paolo Conti
Lead Surveillance Analyst: Andrew Lynch
Initial Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction are listed below:

-- Rating European Consumer and Commercial Asset-Backed Securitisations (1 October 2015)
-- Legal Criteria for European Structured Finance Transactions (21 September 2015)
-- Derivative Criteria for European Structured Finance Transactions (30 September 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
-- Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 Oct 2015)

The rating methodologies used in the analysis of this transaction can be found at
http://www.dbrs.com/about/methodologies.

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.