INVESTEC GROUP The rating addresses the timely payment of interest and ultimate payment of principal by the legal final maturity date.
The transaction is a securitisation of
The confirmation is based on the following analytical considerations:
Portfolio performance, in terms of delinquencies, defaults, and losses, as of the
Probability of default (PD), loss given default (LGD), and RV loss assumptions on a potential portfolio migration based on replenishment criteria.
Current available credit enhancement to the Class A Notes to cover the expected losses at the
Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.
No revolving termination events have occurred.
An amendment to the transaction executed on
AMENDMENT
The amendment to the transaction includes the following:
An extension of the revolving period to the payment date in
An extension of the legal final maturity date to the payment date in
Changes in the replenishment criteria and in the Interim Amortisation Events.
Changes in the principal priority of payments affecting the revolving period.
A replacement of the current standby servicer,
The changes in the replenishment criteria resulting from the amendment will likely increase the credit risk for the portfolio based on increases in the top industry concentration, the balloon payments to
DBRS Morningstar also noted that, since the
PORTFOLIO PERFORMANCE
Delinquencies have been relatively low since the DBRS Morningstar initial rating, except at the May and
PORTFOLIO ASSUMPTIONS AND
DBRS Morningstar updated its base case PD and base case LGD assumptions to 7.2% and 73.9%, respectively, from 4.1% and 68.7%, respectively, in light of additional historical vintage data provided by
The RV receivables represent the final balloon payments on minimum-term leases granted for the use of material handlings equipment provided and sold to IAF by a third-party supplier. These balloon payments are contractually due by the third-party suppliers; however, in the event of their default, there is no assurance that the re-leasing proceeds from the sale of the assets will cover the balloon amount. DBRS Morningstar conservatively assumed a loss of 47.8% on these balloon payments at the
CREDIT ENHANCEMENT
The credit enhancement to the Class A Notes consists of the subordination of the Class
The cash reserve is currently funded to its target level of
DBRS Morningstar analysed the transaction structure in Intex DealMaker.
The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus.
For this transaction, DBRS Morningstar applied a 1.5 or a 2.0 adjustment factor on the base case PD according to the portfolio distribution in mid-high or high-risk industries based on their perceived exposure to the adverse disruptions of the coronavirus. DBRS Morningstar also applied an additional haircut to its base case recovery rate.
On
On
For mid-high and high-risk industries sensitive to the effects of the coronavirus pandemic, please refer to the following DBRS Morningstar commentary: https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect.
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.
Notes:
All figures are in British pounds sterling unless otherwise noted.
The principal methodologies applicable to the rating are 'Master European Structured Finance Surveillance Methodology' (
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.
DBRS Morningstar 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 replenishment criteria set forth in the transaction legal documents.
DBRS Morningstar has conducted a review of the transaction legal documents provided in the context of the aforementioned amendment.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to 'Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings' of the 'Global Methodology for Rating Sovereign Governments' at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for this rating include historical vintage data for defaults and recoveries and loan-level data provided by
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on
The lead analyst responsibilities for this transaction have been transferred to
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.
To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
DBRS Morningstar expected a lifetime base case PD, LGD, and RV loss for an hypothetical migration of the portfolio according to the replenishment criteria. 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 of 7.2% and 73.9%, respectively. An RV loss at the
The risk sensitivity overview below illustrates the ratings expected if the PD, LGD, and the RV loss increase by a certain percentage over the base case assumption. For example, if the RV loss increases by 50%, the rating of the Class A Notes would be expected to fall to AA (high) (sf), assuming no change in both the PD and LGD. If both the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to fall to AA (low) (sf), assuming no change in the RV loss. Furthermore, if the PD, LGD and the RV loss all increase by 50%, the rating of the Class A Notes would be expected to fall to BBB (high) (sf).
Class A Notes Risk Sensitivity:
25% increase in RV loss, expected rating of
50% increase in RV loss, expected rating of AA (high) (sf)
25% increase in both PD and LGD, expected rating of
50% increase in both PD and LGD, expected rating of AA (low) (sf)
25% increase in both PD and LGD and 25% increase in RV loss, expected rating of A (high) (sf)
25% increase in both PD and LGD and 50% increase in RV loss, expected rating of A (sf)
50% increase in both PD and LGD and 25% increase in RV loss, expected rating of A (low) (sf) (sf)
50% increase in both PD and LGD and 50% increase in RV loss, expected rating of BBB (high) (sf)
For further information on DBRS Morningstar historical default rates published by the
This rating is endorsed by
Lead Analyst:
Rating Committee Chair:
Initial Rating Date:
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrsmorningstar.com/about/methodologies.
Master European Structured Finance Surveillance Methodology (
Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020),
https://www.dbrsmorningstar.com/research/366294/rating-european-consumer-and-commercial-asset-backed-securitisations.
Rating European Structured Finance Transactions Methodology (21 July 2020),
https://www.dbrsmorningstar.com/research/364305/rating-european-structured-finance-transactions-methodology.
Rating CLOs and CDOs of Large Corporate Credit (
https://www.dbrsmorningstar.com/research/373423/rating-clos-and-cdos-of-large-corporate-credit.
Legal Criteria for European Structured Finance Transactions (6 April 2021),
https://www.dbrsmorningstar.com/research/376314/legal-criteria-for-european-structured-finance-transactions.
Operational Risk Assessment for European Structured Finance Servicers (
Operational Risk Assessment for European Structured Finance Originators (
DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Ratings
Date Issued Debt Rated Action Rating Trend Attributes
i
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
19-May-21 Class A Notes ConfirmedAAA (sf) --UK
E
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