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Rating Action:

Moody's Assigns Definitive Global Scale Ratings and National Scale Ratings to South African Auto ABS Notes Issued Under Domestic Medium Term Note Programme Auto Series Investments Limited

14 Apr 2008
Moody's Assigns Definitive Global Scale Ratings and National Scale Ratings to South African Auto ABS Notes Issued Under Domestic Medium Term Note Programme Auto Series Investments Limited

ZAR 1.2 Billion of Debt Securities Affected

London, 14 April 2008 -- Moody's Investors Service has assigned the following definitive Global Scale Ratings ("GSR") and National Scale Ratings ("NSR") to the debt issuance of Auto Series Investments Limited ("the Issuer"):

- Aa2*/Aaa.za** to ZAR 300,000,000 Class AS0807 Secured Floating Rate Notes due 12 April 2025;

- Aa2*/Aaa.za** to ZAR 200,000,000 Class AS0810 Secured Floating Rate Notes due 12 April 2025;

- Aa2*/Aaa.za** to ZAR 250,000,000 Class AS0904 Secured Floating Rate Notes due 12 April 2025;

- Aa2*/Aaa.za** to ZAR 200,000,000 Class AS1010 Secured Floating Rate Notes due 12 April 2025;

- Aa2*/Aaa.za** to ZAR 250,000,000 Class AS1104 Secured Floating Rate Notes due 12 April 2025.

This transaction is the eighth public term securitization of BMW Financial Services (South Africa) Proprietary ("BMW FS") and the fourth issuance under the domestic medium term note programme established in April 2005.

BMW FS sold to the Issuer a further pool of auto loans and auto leases which have been consolidated into the existing asset pool ("the assets"). The issuer financed the purchase of the additional pool through a tap issuance on one class of existing notes and the issuance of four new classes of notes in an aggregate amount of ZAR 1,200,000,000. The legal final maturity dates of the notes has been set at 12 April 2025.

Moody's also affirms the Aa2*/Aaa.za** ratings on the outstanding Class AS0810, Class AS0901, Class AS0907, Class AS1001 and Class AS1007 notes.

The programme also provides for the possibility of further notes issuance, subject to the availability of further eligible receivables and confirmations by the Security SPV and Moody's that this will not negatively affect the rating of the notes outstanding. All notes issued under the domestic medium term note programme will rank pari passu amongst themselves as well as with any existing notes.

The notes have legal final maturity dates that coincide with the programme maturity date. In addition, each individual note has a different target maturity date corresponding to its anticipated redemption date, which has been determined according to the expected prepayment profile of the assets. To the extent that prepayments are lower than anticipated and proceeds from the assets are insufficient to redeem any tranche of notes at its target maturity date, the issuer may draw upon a Note Specific Liquidity Facility or may use the proceeds from refinancing notes. The Note Specific Liquidity Facilities do not constitute credit enhancement to the notes. Moody's has not rated the notes to their target maturity dates, but rather to the legal final maturity, 12 April 2025.

The credit enhancement for the notes is provided through (i) a put option under which the Issuer can put irrecoverable assets to BMW FS for a total amount of approximately ZAR 130.8 million (equivalent to 4.9% of issuer liabilities), the BMW FS obligation being guaranteed by Rand Merchant Bank, a division of FirstRand Bank Limited, (Baa1/Prime-2/C)* (Aa1.za/Prime-1.za)**, (ii) a put option under which the Issuer can put irrecoverable assets to Rand Merchant Bank , a division of FirstRand Bank Limited, (Baa1/Prime-2/C)* (Aa1.za/Prime-1.za)**, for a total amount of ZAR 106.8 million (equivalent to 4% of issuer liabilities), (ii) a 0.21% overcollateralisation, and (iii) a ZAR 2.7 million (0.1%)reserve fund built up from excess spread.

The portfolio, which has been consolidated with the existing Auto Series Investments pool, consists of a mix of auto loan (88%) and auto lease (12%) receivables. The contracts mainly finance the purchase of BMWs (72%). The composition of the additional pool is similar in most respects to the existing Auto Series Investments pool, except for the seasoning which has increased to 28 months for the pool addition and the fact that the additional portfolio does not include residual value contracts.

The ratings are based on the following positive and less favorable aspects of the transaction.

Positive features, inter alia, include: (1) This is the eighth securitization of auto loans and auto leases originated by BMW FS; (2) All loans and leases are required to be current at the effective date, as per the eligibility criteria; (3) The additional pool has a high level of seasoning which, combined with the already seasoned existing pool, has a favorable net seasoning effect on the overall portfolio performance; (4) BMW FS has provided detailed historical arrears, default and recovery data, however default information was provided on a static basis grouped into monthly cohorts; (5) The transaction benefits from a ZAR 93.5 mio (approximately) amortising Programme Wide Liquidity Facility provided by RMB, which is available to cover shortfalls in payments with respect to senior fees and interest on the notes throughout the life of the transaction.

Less favorable aspects, amongst others, include: (1) There are interest rate mismatches between the Prime rate received under the loans and leases and the Jibar Rate paid under the notes. In order to mitigate this interest rate risk, the issuer enters into a basis swap with RMB on closing of the transaction; (2) Although losses in the portfolio which exceed the put option amount plus trapped excess spread and overcollateralisation are allocated pari passu and pro rata on the notes, the principal repayment on the notes is done in full sequential order prior to the depletion of unrated put option or event of default. Therefore the longest outstanding class of notes will have a higher expected loss relative to other notes. This risk is partly mitigated by the inclusion of a switch to pro rata trigger upon the occurrence of a unrated put option exhaustion; (3) In the late 1990s, BMW experienced in its total portfolio high loss levels and a rather high volatility; (4) The performance after third quarter of 2007 showed slight deterioration, mainly corresponding to interest rate environment evolvement and observed in other transaction in the same domain. Furthermore, Moody's decided to exclude the high losses in 1998 from the determination of the expected cumulative loss for the securitized pool. The volatility assumption applied in the determination of the lognormal distribution, however, was stressed to take the whole spectrum into account.

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 ultimate payment of interest and ultimate payment of principal with respect to the notes by 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.

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 the New Issue Report please contact Moody's Client Service Desk in London at +44 (0) 20 7772 5454 or visit our website at www.moodys.com.

Note:

* The ratings indicated are foreign currency bank deposit Global Scale Ratings.

** The ratings indicated are National Scale Ratings.

London
Jean Dornhofer
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Michelle Wu
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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