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13 Nov 2001
MOODY'S RATES ASSET-BACKED DEAL ISSUED BY NAVISTAR FINANCIAL 2001-B OWNER TRUST
Approximately $500.0 Million of Asset-Backed Securities Rated.
New York, November 13, 2001 -- Moody's Investors Service assigned a rating of Prime-1 to the Class
A-1 notes, a rating of Aaa each to the Class A-2,
A-3, and A-4 notes, and a rating of A2 to the
Class B notes issued by Navistar Financial 2001-B Owner Trust.
According to Barbara J. Havlicek, a Senior Vice President,
the ratings are based on the anticipated cash flows from a pool of retail
loans secured by new and used medium or heavy-duty trucks,
buses or trailers. The notes are supported by the structure of
the transaction including the 3.75% subordination of the
Class B notes; the initial 4.75% reserve account,
which grows to 5.5% of the outstanding pool balance through
excess spread; and a cash deposit of $1,523,000.41
to cover any negative carry during the pre-funding period.
In addition, the pool benefits from Navistar Financial's strong
origination and servicing capabilities as well as from a demonstrated
ability to manage its portfolio through severe industry downturns.
The complete rating actions are as follows:
Issuer: Navistar Financial 2001-B Owner Trust
$ 79,638,000 in 2.44% Class A-1
Asset-Backed Notes rated Prime-1.
$131,715,000 in 2.83% Class A-2
Asset-Backed Notes rated Aaa.
$179,000,000 in one-month Libor + 0.25%
Class A-3 Asset-Backed Notes rated Aaa.
$ 90,897,000 in 4.37% Class A-4
Asset-Backed Notes rated Aaa.
$ 18,750,000 in 4.83% Class B Asset-Backed
Notes rated A2.
The transaction consists of four classes of senior notes and one class
of subordinated notes. The Class A-1 money market tranche
generally will receive all principal payments until it is paid in full,
at which time the Class A and B notes will receive principal payments
on a pro-rata basis (the remaining Class A notes will be paid sequentially).
However, if the reserve account drops below 1.0% of
the aggregate starting balance of all receivables transferred to the trust,
all principal payments will be made to the Class A notes in sequential
order and then to the B notes. If the notes are accelerated,
all principal payments will be made to the Class A-1 notes,
then pro-rata to the Class A-2, Class A-3,
and Class A-4 notes, and then to the Class B notes.
Credit enhancement includes the 3.75% subordination of the
Class B notes, which is lower than the 4.25% subordination
in Navistar Financial's 2001-A deal, due to greater levels
of excess spread in this transaction relative to the previous one.
Moody's noted that the credit enhancement provides support for the transaction
as weakness continues in the trucking industry due to lower freight shipments
in addition to higher fuel and insurance costs. Although there
has been deterioration in Navistar Financial's portfolio performance and
in at least one securitized pool, Navistar Financial has a good
track record for managing its business during difficult industry conditions.
In addition, the company benefits from the repurchase of certain
repossessed trucks by its parent company, International Truck and
Engine Corporation (International), which helps insulate its owned
and managed portfolios from the sharp drop in used truck values.
There is also a reserve account with an initial balance of $13,885,631.96
or 4.75% of the initial pool balance, which was funded
at closing. Through available excess spread, this amount
will grow to 5.5% of the outstanding pool amount with a
floor of 2.0% of the aggregate starting balance of all receivables
transferred to the trust; the required percentage could grow to 10.0%
of the outstanding pool amount if certain loss or delinquency triggers
are breached. Due to recent interest rate reductions, which
have resulted in relatively lower coupons on the notes than in previous
transactions, there is a considerable amount of excess spread.
In order to preserve these levels, any receivables added during
the pre-funding period cannot result in the weighted average annual
percentage rate on the pool falling below 8.12%.
Similar to other Navistar Financial deals, this is a pre-funded
transaction where $500,000,000 in notes were issued
against an initial pool balance of $292,329,093.98.
At closing, proceeds from 42% or $207,670,906.02
of the notes were not covered by receivables and were placed in a pre-funding
account. As Navistar Financial generates additional receivables,
they will be sold to the trust over a period of up to 6 months in exchange
for release of funds held in the pre-funding account. This
happened at closing when Navistar Financial sold an additional $59,897,861.72
in receivables to the trust through the seller, Navistar Financial
Retail Receivables Corporation (NFRRC). An additional $2,845,148.43
was deposited into the reserve account at closing in connection with the
sale of these additional receivables to the trust.
Due to Navistar Financial's history of generating receivables consistent
with its existing portfolio mix, Moody's does not expect the composition
of the pool to change materially as a result of the pre-funded
period. In addition, there is $1,523,000.41
in cash available to cover the negative carry resulting from the lower
yield on the pre-funded account relative to the interest rates
paid on the notes.
Navistar Financial 2001-B Owner Trust is a Delaware common law
trust formed by NFRRC, a bankruptcy-remote special purpose
corporation. In turn, NFRRC is wholly owned by Navistar Financial
Corporation (senior unsecured rating of Ba1), which provides wholesale,
retail, and lease financing for the dealers and customers of its
parent, International. Headquartered in Warrenville,
IL, International is a leading manufacturer of medium- and
heavy-duty trucks, school buses, severe service vehicles,
and parts and services sold under the International brand.
Additional research is available on http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
JOURNALISTS: (215) 967-6233
SUBSCRIBERS: (215) 967-6233
Barbara J. Havlicek
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: (215) 967-6233
SUBSCRIBERS: (215) 967-6233
No Related Data.
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