(The following statement was released by the rating agency)
LONDON, April 24 - Moody's Investors Service has assigned the following long term prospective credit ratings to the following Asset-backed Floating Rate Notes issued by Athlon Securitisation B.V.
(P)Aaa to Senior Class A EUR 316,500,000 Asset Backed Floating Rate Notes due March 2013
(P)A1 to Mezzanine Class B EUR 14,000,000 Asset Backed Floating Rate Notes due March 2013
The structure includes a Subordinated Class C of Euro 19,500,000 not rated by Moody's.
The transaction is the securitisation of receivables under revolving operating vehicle lease contracts provided by Interleasing Nederland B.V. ("ILN"), a 100 percent subsidiary of Athlon Groep N.V. (Baa3/Prime-2) to corporate clients based in the Netherlands.
It is the first publicly rated operational car lease securitisation in the Netherlands.
Athlon Groep N.V. is the third largest car lease company in the Netherlands and the largest independent lease company.
The transaction includes a revolving period, but early amortisation will be triggered in certain circumstances, including delinquency rates exceeding 2 percent and cumulative defaults exceeding 2.5 percent. The receivables are secured by operating lease contracts. Moody's analysis took into account the Residual Value warranty, firstly by Seller ILN and subsequently by ING Bank N.V. (ING) (Aa3/Prime-1), also arranger of the transaction.
Credit enhancement is provided by a Excess Spread Account of 2%, the net excess margin guaranteed via the interest rate swap over the life of the transaction and the subordination of the Mezzanine Class B and the unrated Class C Notes to the senior Notes.
In addition, the transaction benefits from an interest rate swap from a suitably rated entity which hedges the interest rate mismatch between the fixed rate receivables portfolio and the floating rate Notes issued in the transaction.
Strengths of the Transaction
(1) Protection against Residual value losses initially provided via a Residual Value Warranty by ILN and subsequently covered via a Return Swap by ING
(2) The legal structure
(3) The protection against losses through the subordination of the subordinated tranches.
(4) The Excess Spread Account, which is funded on Closing at 2.0% of the outstanding Notes.
(5) The availability of a liquidity facility of EUR 20 million or 6.1% of the outstanding rated Notes provided by a suitable rated entity.
(6) The Interest rate swap with an entity, rated at least A1/Prime-1, guaranteeing an excess margin of 0.5% per annum.
Weaknesses and Mitigants
(1) Link to Seller ILN, who will fulfil all servicing activities, mitigated by legal structure, set up with two SPV's to ensure bankruptcy remoteness of structure from the Seller, the limited ongoing operational risk in servicing the Leases, historical profitability from servicing activities and the back-up servicing arrangement with a lease subsidiary of ING.
(2) Portfolio concentration to several large obligors, mitigated by limited recourse up to 25% of outstanding book value of Leases, maximum concentration criteria and minimum rating levels for concentrated obligors.
(3) The revolving period of 3.5 years, mitigated by Portfolio eligibility and lease acquisition criteria and triggers ending revolving period linked to the performance of the portfolio and of Seller ILN.
The initial collateral portfolio consists of approximately 25,000 operational vehicle leases, with a total outstanding principal amount of EUR 375 million to be funded by the Issuer and the Seller through undivided interests. It concerns company cars, delivery vans and trucks, the latter up to maximum 2 percent. The largest 10 obligors represent approximately. 30 percent of the book value of the leases as per April 1, 2003.
Moody's issues prospective ratings in advance of the final sale of securities, and these ratings only reflect Moody's preliminary credit opinions regarding the transaction.
Upon a conclusive review of the final pool of assets and the final documentation, Moody's will endeavour to assign a definitive rating to the Notes. A final rating, if any, may differ from a prospective rating.
Moody's emphasised that the ratings reflect its opinion regarding the payment of interest on due date and principal on or before the final maturity date of the notes and not on any expected maturity date or any other date.