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03 Mar 2004
MOODY'S RATES USAA'S 2004-1 AUTO LOAN SECURITIZATION
Approximately $1.9 Billion of Asset-Backed Securities Rated.
New York, March 03, 2004 -- Moody's Investors Service has assigned ratings of Prime-1,
Aaa and Baa1 to five classes of securities issued in the USAA Auto Owner
Trust 2004-1 auto loan securitization. The servicer is USAA
Federal Savings Bank (USAA Bank). The receivables backing the transaction
consist of motor vehicle installment loans originated to prime quality
obligors. USAA Bank's market niche is the membership and associate
membership of its parent, United Services Automobile Association
(USAA), consisting of current and former officers of the U.S.
military, their dependents and former dependents and enlisted military
Moody's said the ratings of the securities 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, a reserve account and available excess spread;
and the experience of USAA Bank 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:
COMPLETE RATING ACTION
Issuer: USAA Auto Owner Trust 2004-1
$505,000,000 1.08% Class A-1 Notes,
$461,000,000 1.43% Class A-2 Notes,
$596,000,000 2.06% Class A-3 Notes,
$295,250,000 2.67% Class A-4 Notes,
$42,750,150 3.21% Class B Certificates,
SEQUENTIAL PAY SENIOR/SUBORDINATED OWNER TRUST
This is USAA Bank's eleventh consecutive auto securitization and the sixth
issuance from an owner trust. At closing, USAA Bank transferred
a pool of approximately $1.9 billion in motor vehicle installment
loans to USAA Acceptance, LLC, a wholly owned, special-purpose
subsidiary of USAA Bank. The receivables were then conveyed to
the owner trust, which issued four classes of senior asset-backed
notes and one class of subordinate certificates.
This is a sequential pay, senior-subordinate structure.
The Class A notes benefit from subordination provided by the 2.25%
Class B certificates (up from 2.00% in the 2003-1
transaction). Each month, distributions on the Class B certificates
will be subordinate to the payment of interest and principal on the Class
A notes. The subordination level is expected to grow over time
because of the sequential pay structure. The notes and certificates
also benefit from credit enhancement provided by a reserve account,
which was fully funded at closing with a non-declining deposit
of 0.50% of the initial receivables pool balance.
While the amount of "hard" enhancement provided by the reserve account
and subordination is 0.25% higher than in USAA Bank's 2003-1
securitization, the total amount of credit enhancement inclusive
of excess spread is lower, a function primarily of a lower WAC in
this pool relative to 2003-1.
HIGHER USED PERCENTAGE; EXPECTED LOSS IS NONETHELESS LOWER THAN LAST
The pool of auto loans securing the 2004-1 securities is similar
to USAA Bank's 2003-1 pool with three exceptions. First,
the pool's weighted average FICO is higher than in previous USAA pools.
However it is difficult to gauge the applicability of the weighted average
to the entire pool as FICO scores were available for only approximately
60% of the preliminary pool. Second, this transaction
marks the first time that USAA Bank has expanded its pool eligibility
criteria to permit loans with original terms greater than 60 months made
with respect to used vehicles. While the combined percentage of
>60 month original term loans for both new and used vehicles is essentially
unchanged from the previous deal, the expanded selection criteria
caused the percentage of the pool secured by new vehicles to decline from
70% in 2003-1 to 59% in this pool. However,
cumulative net losses on monthly originations by original term indicate
that for used vehicles, in almost all vintages the 72 month contracts
perform at least as well as, if not better than, 60 month
contracts and perform significantly better than 48 month contracts.
The third notable difference between the 2004-1 and 2003-1
pools is that the former is slightly less seasoned, at approximately
six months versus nine months. As of the cutoff date, the
2004-1 pool had, on a weighted average basis, an APR
of 4.85%, an original term of 59.9 months and
remaining term of 54.3 months.
USAA Bank's loss rates continue to be among the lowest of all prime auto
loan issuers, and Moody's loss expectation for the 2004-1
pool is modestly lower than it has been in the last five transactions.
This is a reflection primarily of the stellar performance of recent securitizations
and the managed portfolio.
RECENT SECURITIZATIONS AND MANAGED PORTFOLIO EXHIBIT VERY STRONG PERFORMANCE
Steps taken by USAA Bank since late 1999 to improve underwriting and performance
appear to be paying off, as the four most recent transactions (2001-1
through 2003-1) are incurring losses at a much lower rate than
the higher-loss 1999-1 and 2000-1 deals. Similarly,
in 2003 the managed portfolio experienced net losses of 0.17%
and 30+ delinquencies of 0.20%, the lowest levels
Headquartered in San Antonio, Texas, USAA Federal Savings
Bank is an indirect, wholly owned subsidiary of United Services
Auto Automobile Association (Aaa insurance financial strength rating),
which is a leading property and casualty insurer. With total assets
of $13.7 billion and $1.2 billion in shareholders'
equity at December 31, 2003, USAA Bank provides consumer banking
products and services primarily to the USAA membership.
Additional research is available at http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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