Press Release

Morningstar DBRS Confirms Credit Rating on Globaldrive Auto Receivables UK 2020-A plc Following Amendment

Auto
June 20, 2025

DBRS Ratings Limited (Morningstar DBRS) confirmed its A (sf) credit rating on the Class A Notes issued by Globaldrive Auto Receivables UK 2020-A plc (the Issuer).

The credit rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The transaction is a securitisation of auto loans granted to private and commercial borrowers in the United Kingdom for the purchase of new and used cars and light-commercial vehicles. FCE Bank plc (FCE) is the originator, servicer, and seller. The transaction is subject to residual value (RV) risk through the presence of personal contract purchase (PCP) agreements.

CREDIT RATING RATIONALE
The credit rating confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the May 2025 payment date;
-- Probability of default (PD), loss given default (LGD), and RV haircut assumptions based on a potential portfolio migration during the revolving period;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (sf) credit rating level;
-- No revolving early termination events; and
-- An amendment to the transaction effective on 20 June 2025.

AMENDMENT
The amendment to the transaction involves the following:
-- An extension of the revolving period to the payment date in June 2026 from June 2025.
-- An extension of the legal final maturity date to the payment date in June 2033 from June 2032.
-- The swap rate will increase to 2.924% from 1.932%.

PORTFOLIO PERFORMANCE
As of the May 2025 payment date, the two- to three-month arrears ratio and the 90+-day delinquency ratio both remained low at 0.04% and 0.05%, respectively. Cumulative defaults represented 0.3% of the total purchased receivables since closing, and the RV exposure represented 55.0% of the outstanding portfolio balance, down from 57.2% at the last annual review.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS maintained its base case PD and LGD assumptions at the B (low) (sf) rating level at 4.3% and 30.6%, respectively and maintained its RV haircut assumption at 25.7% at the A (sf) rating level.

CREDIT ENHANCEMENT
The credit enhancement to the Class A Notes consists of the subordination of the junior notes. As of the May 2025 payment date, the credit enhancement to the Class A Notes was 17.0%, stable since the initial rating as the transaction is still in its revolving period. Following the amendment, credit enhancement to the Class A Notes will remain at 17.0%.

The transaction benefits from a non-amortising reserve fund, which covers senior fees, swap payments, and interest on the Class A Notes and is also available to redeem the Class A Notes on the legal final maturity date. As of the May 2025 payment date, the liquidity reserve was funded to its target level of approximately GBP 17.5 million.

U.S. Bank Europe DAC, U.K. Branch acts as the account bank for the transaction. Based on the Morningstar DBRS private rating of U.S. Bank Europe DAC, U.K. Branch, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Banco Santander SA (Santander) acts as the swap counterparty for the transaction. Morningstar DBRS' Long Term Critical Obligations Rating of AA on Santander is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings https://dbrs.morningstar.com/research/454196 .

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodologies applicable to the credit rating are: "Rating European Consumer and Commercial Asset-Backed Securitisations" (18 September 2024) https://dbrs.morningstar.com/research/439583 and "Master European Structured Finance Surveillance Methodology" (4 February 2025) https://dbrs.morningstar.com/research/447080.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodologies consistently and conducted a review of the transaction in accordance with the principal methodologies.

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 consider potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.

Morningstar DBRS has conducted a review of the transaction legal documents provided in the context of the aforementioned amendment. The other transaction legal documents have remained unchanged since the most recent rating action and as such, a review has not been conducted.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for this rating include loan-level data, investor reports, and the following historical data, all provided by FCE:
-- Static quarterly gross loss data from Q1 2019 to Q1 2025 for voluntary and involuntary terminations.
-- Static quarterly net loss data from Q1 2019 to Q1 2025 for voluntary and involuntary terminations.
-- Static quarterly recovery data from Q1 2019 to Q1 2025 for voluntary and involuntary terminations.
-- Dynamic monthly gross loss data from January 2019 to March 2025 for voluntary and involuntary terminations.
-- Dynamic monthly recovery data from January 2019 to March 2025 for voluntary and involuntary terminations.
-- Dynamic monthly delinquency data from March 2020 to March 2025.
-- Dynamic monthly vehicle handback data from January 2010 to March 2025 for PCP agreements.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, Morningstar DBRS was not supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 20 June 2024, when Morningstar DBRS confirmed its A (sf) credit rating on the Class A Notes.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the Base Case):
-- Morningstar DBRS expected a lifetime base case PD, LGD, and RV haircut for a hypothetical migration of the portfolio according to the past performance analysis. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD at the B (low) (sf) rating level are 4.3% and 30.6%, respectively. The RV haircut at the A (sf) rating level is 25.7%.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected credit rating of BBB (high) (sf)
-- 50% increase in RV haircut, expected credit rating of BBB (high) (sf)
-- 25% increase in both PD and LGD, expected credit rating of A (low) (sf)
-- 50% increase in both PD and LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of BBB (high) (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of BBB (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of BBB (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of BBB (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

This credit rating is endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Petter Wettestad, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 26 June 2020

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

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024)
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- Rating European Structured Finance Transactions Methodology (19 November 2024)
https://dbrs.morningstar.com/research/443199
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024) https://dbrs.morningstar.com/research/439583
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025)
https://dbrs.morningstar.com/research/454196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024)
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

Globaldrive Auto Receivables UK 2020-A plc
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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