Moody's assigns provisional ratings to Auto ABS to be issued by Emirates NBD Auto Finance Ltd

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DIFC, July 12, 2010 -- Moody's has assigned the following provisional ratings to asset-backed notes issued by Emirates NBDEmirates NBD Auto Finance Limited:

- Aa2 to the JPY [24,000,000,000] APC Floating Rate Asset Backed Notes due 2022. This press release should also be read in conjunction with that of the associated transaction "Emirates NBDEmirates NBD Auto Financing Limited" (which will repackage a portion of theses notes), also available on moodys.com. Emirates NBDEmirates NBD Auto Finance Limited is the Middle East's first true-sale securitisation of auto loans and is a landmark event in regional capital markets" says Khalid Howladar, a Moody's Senior Credit Officer based in Dubai.

"The is also the first securitisation transaction from Emirates NBDEmirates NBD Bank P.J.S.C. ("ENBDENBD") currently rated A3/P-2 and one of largest banks in the region. The transaction is secured by a revolving portfolio of auto loans granted to private and commercial clients in the UAE. The proceeds of the rated note issued, in conjunction with a subordinated loan from ENBDENBD, are used to fund the purchase price of the auto portfolio."

This transaction has a revolving structure, which allows allow the proceeds of loan redemptions and prepayments to be continually recycled to originate new auto loans for a period of three years subject to eligibility criteria and satisfactory pool performance. After this period, all principal proceeds are applied to amortise the notes and repay the bondholders. This structure allows ENBDENBD to match the assets and liabilities of a significant portion of its auto loan book.

The notes issued are denominated in Japanese Yen. The structure envisions that the currency and interest basis mismatch between the UAE Dirham denominated auto assets and issued Yen liabilities are covered by ENBDENBD in their capacity as Swap provider. The transaction exposure to ENBDENBD has also formed part of Moody's analysis.

The first layer of credit enhancement for investors through the structure is available excess spread. The transaction also benefits from a prefunded cash reserve that provides liquidity to cover a minimum of an estimated [six] month's coupon, costs and associated expenses. The maximum reserve level can reach an estimated [nine] months, with any excess above the minimum to be applied to purchase new loans and with the entire reserve to cover any losses at the legal final maturity of the transaction. The reserve is non-amortising and is replenished from any available excess spread in the transaction that is otherwise payable to ENBDENBD as the subordinated loan provider. In the event that the reserve is unfunded at the minimum of an [six] months, the structure envisions a rapid amortisation event to be triggered that halts the revolving period and diverts all the principal and income proceeds to repay the bondholders.

As part of the analysis of the portfolio, Moody's reviewed the audited historical performance data provided by the originator. This analysis has been complemented with a qualitative evaluation of the specific pool factors and general UAE economic environment that may affect the performance of the obligors in the pool, along with benchmarking to other EMEA markets.

In the analysing the liability side of the transaction, Moody's applied the ABSROM model (available on Moody's.com) and assumed a default distribution with a lognormal shape for the pool. The main inputs to the modelling assumptions were the mean default of the entire pool of 6.00%, a standard deviation of 3.90% and recoveries at 35%. In addition, Moody's has also applied views on default timing (near term economic stress) and yield stresses (to take into account an increasingly competitive market).

These provisional ratings also take into account of, among other factors, a preset backup servicing action plan at closing and servicer rating trigger to appoint a backup servicer at loss of [Baa3], (ii) a highly rated third party cash manager and paying agents (iii) the liquidity provided by the reserve fund (iv) counterparty risk of ENBDENBD as swap provider, and (v) the various structural credit enhancements of the transactions.Commingling risk is inherent in the transaction as all the collections are paid direct servicer's collection account. This risk is partially mitigated by: daily sweep of cash from ENBDENBD to the Issuers account (ii) market-specific legal aspects and (iii) structural features, i.e. debtors notification and redirection of payments upon a servicer termination plus a liquidity reserve being sufficient to bridge a period of [six] months disruption and available to cover losses at legal final maturity.

The principal methodology used in rating Emirates NBDEmirates NBD Auto Finance Limited was "Moody's Approach to Rating European Auto ABS: More Rubber Set to Hit European Roads", published in November 2002 and "The Lognormal Method Applied to ABS Analysis", published in September 2000 and available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Moody's issues provisional ratings in advance of the final sale of securities, but these ratings only represent Moody's preliminary credit opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the Notes. A definitive rating may differ from a provisional rating. Moody'swill disseminate the assignment of any definitive ratings through its Client Service Desk.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

This represents the first rating action in this transaction.Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.abs@moodys.com. To obtain a copy of Moody's Pre Sale Report on this transaction, please visit Moody's website at www.moodys.com or contact our Client Service Desk in

London (+44-20-7772 5454).
Mila
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100
DIFC
Khalid F. Howladar
VP - Senior Credit OfficerStructured Finance Group
Moody's Middle East Ltd.
Telephone: +971-44-01-9536
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© Press Release 2010