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25 Apr 2003
MOODY'S RATES GOLDMAN SACHS PRIME AUTO DEAL PRIME-1, Aaa, A1, Baa1, AND Ba1
Approximately $534.0 Million of Asset-Backed Securities Rated
New York, April 25, 2003 -- Moody's Investors Service has assigned a rating of Prime-1 to the
class A-1 money market tranche and long-term ratings of
Aaa, A1, Baa1, and Ba1 to the remaining classes of notes
issued in the term securitization of prime automobile loans by GS Auto
Loan Trust 2003-1 (GSALT). The ratings are based on the
quality of the underlying automobile loans and their expected performance;
the strength of the transaction structure; the enhancement provided
by subordination, overcollateralization and available excess spread;
and the ability of Huntington National Bank (Huntington) as servicer.
In addition, the Prime-1 rating of the class A-1 notes
is based on the expected cashflows on the underlying receivables during
the collection periods prior to the Class A-1 final maturity date.
The complete rating action is as follows:
Issuer: GS Auto Loan Trust 2003-1
$118,614,000 Class A-1, 1.300%
Asset Backed Notes, rated Prime-1
$138,336,000 Class A-2, 1.538%
Asset Backed Notes, rated Aaa
$124,956,000 Class A-3, 2.076%
Asset Backed Notes, rated Aaa
$114,082,000 Class A-4, 2.716%
Asset Backed Notes, rated Aaa
$17,148,000 Class B, 2.621% Asset
Backed Notes, rated A1
$9,233,000 Class C, 3.748% Asset
Backed Notes, rated Baa1
$11,666,000 Class D, 5.500% Asset
Backed Notes, rated Ba1
GSALT was formed in March 2003 by Goldman Sachs Asset Backed Securities
Corp., the depositor and an indirect subsidiary of Goldman
Sachs & Co. (rated Aa3/Prime-1), and JPMorgan
Chase Bank as indenture trustee. Another Goldman Sachs affiliate
purchased prime auto retail installment sale contracts from Huntington,
amounting to $527 million as of March 31, 2003, on
a whole loan sale, servicing-retained basis. The whole
loan transaction was completed on a true sale, non-recourse
basis, with the Goldman Sachs affiliate owning a 100% economic
interest in the collateral. A detailed discussion of the collateral
pool is contained in Moody's Pre-Sale Report dated April 16,
SENIOR AND SUBORDINATED NOTES PAID ON "CONCURRENT PAY" BASIS
The GSALT transaction is a senior-subordinate, "concurrent
pay" structure. Until the class A-1 money market notes are
fully repaid, all principal payments will be allocated to the class
A-1 notes. Each month thereafter, principal will be
allocated to each class in an amount sufficient to maintain the target
enhancement level for that class; this target enhancement level is
the combined amount of overcollateralization and subordination.
The minimum amount of overcollateralization is the greater of 2.00%
of the outstanding principal balance of the receivables or 1.00%
of the initial principal balance of the pool. Once the amount of
overcollateralization equals 1.00% of the initial pool balance,
it will become an increasing percentage of the note principal balance.
As a result, an equal level of enhancement can be provided to the
senior classes by substituting subordination with a now larger amount
of overcollateralization. This allows the subordinate classes to
be paid down more quickly. If certain triggers are breached,
the principal payment priority will revert to a pure sequential pay structure,
thereby creating more credit enhancement for the senior classes of notes.
The securities issued exceed the initial pool balance by 1.25%.
The initial overissuance amount is expected to become fully collateralized
and the additional overcollateralization to build up to its required level
through the application of excess spread before the end of the first year
of the transaction.
GSALT POOL OF HIGHER CREDIT QUALITY THAN HUNTINGTON'S 2000-A POOL
Moody's cumulative net loss expectation for GSALT, while materially
higher than its original expectation for Huntington Auto Trust 2000-A,
is lower than its current loss expectations for the latter deal.
Huntington 2000-A already has registered losses higher than originally
expected. Nevertheless, based on a comparison of the pool
composition of the two transactions and improved underwriting, GSALT
should perform better than Huntington 2000-A has to date.
The credit quality of Huntington's portfolio has shown steady improvement
since 2000, with loan-to-value ratios declining and
average FICO scores increasing. Also, the percentage of new
vehicles backing GSALT is noticeably higher than the percentage of new
vehicles backing Huntington's 2000-A deal.
Additional research is available on http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
No Related Data.
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