OREANDA-NEWS. Fitch Ratings has assigned Globaldrive Auto Receivables 2016-A B.V.'s class A and B notes expected ratings, as follows:

EUR561.5m class A notes: 'AAA(EXP)sf'; Stable Outlook
EUR18.3m class B notes: 'AA+(EXP)sf'; Stable Outlook
EUR30.5m class C notes: 'NR(EXP)sf'

The final ratings are subject to the receipt of final documents and legal opinions that are in line with information already received.

This transaction is a securitisation of German auto loans originated by Ford Bank (FCE Germany), a branch of FCE Bank plc (FCE Bank). FCE Bank is part of the Ford Motor Company holding structure.

KEY RATING DRIVERS
Based on the data provided, Fitch determined a base case default rate of 1.43% and a base case recovery rate of 75%, resulting in a base case loss rate of 0.36%. The losses for FCE Germany's portfolio are at the lower end of comparable German auto loan portfolios. The assumptions consider a stable economic outlook for Germany, with unemployment expected to remain low over the transaction's life.

Fitch applied a higher 'AAAsf' stress multiple of 8.1x for defaults to account in particular for the very low absolute level of defaults and to reflect the refinancing risk of securitised balloon payments.

The originator, FCE Germany, will act as servicer. No replacement servicer will be in place at closing. A replacement servicer will be appointed if the servicer fails to fulfil payment obligations to the issuer or files for insolvency. To cover liquidity gaps resulting from servicing discontinuity or other payment interruptions, a non-amortising reserve fund will be available from closing.

To reduce commingling risk, a commingling reserve will be funded at closing. The initial reserve increases in March 2019 to cover additional risks from the repayment of balloon amounts, the majority of which fall due within a few months after March 2019. In Fitch's view, the reserve is sufficient to cover commingling risk.

Receivables are purchased at a discount rate, which is the higher of 3.25% and the contractual interest rate. This contributes to excess spread of initially 1.7% p.a. (in a AAAsf rating scenario) that provides a first layer of loss protection.

RATING SENSITIVITIES
Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate and/or a decrease in the base case recovery rate for the portfolio. The model-implied sensitivities indicate that an increase in the base case default rate by 50% together with a decrease in the base case recovery rate by 50% may result in a downgrade of the class A notes to 'AA+sf' and of the class B notes to 'A+sf'.

TRANSACTION CHARACTERISTICS
The class A and B notes are euro-denominated. Class A interest is floating, while the class B notes' coupon is fixed.

Credit enhancement for the class A notes is 8.7%, provided through overcollateralisation from the subordination of the class B and C notes and a liquidity reserve funded at closing with EUR4.3m. Excess spread provides a first layer of protection against losses.

The transaction is static and will start amortising from closing. The preliminary portfolio consists of 38,400 loans, with an outstanding aggregate principal balance of EUR610.3m. Around 83% of the securitised loans from the preliminary pool include balloon payments, the remaining loans are fully amortising. The total balloon portion makes up about 44% of the total discounted pool balance. All secured receivables are fixed rate loans.

DUE DILIGENCE USAGE
Fitch was provided with a third party asset portfolio assessment in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of the third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Fitch believes the sample size and relevance of the tested fields suggest the data provided by the originator for assigning the expected ratings was of acceptable quality.

Fitch also conducted a review of a small targeted sample of origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis:
- Loss vintage data for the total portfolio and broken down into sub-categories, based on vehicle age (new versus used) and amortisation type (TCM loans and standard loans) going back to the beginning of 2007.
- Yearly recovery data broken down into sub-categories.
- Origination volumes since the beginning of 2008.
Information on prior German Globaldrive transactions, including prepayments, down-payments, losses, delinquencies, and stratifications.
- Dynamic loss and unsecured recovery data since the beginning of 2002.
- Dynamic delinquency data since the beginning of 2011.
- Stratification tables for the preliminary pool.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the presale report, dated 06 January 2016 at www.fitchratings.com. In addition refer to the special report "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.