$880 million of asset-backed securities affected
New York, March 02, 2011 -- Moody's Investors Service has assigned definitive ratings to the
notes issued by Ford Credit Master Owner Trust Series 2011-1 (FCMOT
2011-1).
The complete rating action is as follows:
$375,000,000, 2.12%, Class
A-1 Asset-Backed Notes, rated Aaa (sf)
$375,000,000, One-month Libor+0.60%,
Class A-2 Asset-Backed Notes, rated Aaa (sf)
$20,000,000, 2.41% Class B Asset-Backed
Notes, Rated Aa1 (sf)
$75,000,000, 2.61% Class C Asset-Backed
Notes, rated Aa3 (sf)
$35,000,000, 2.96% Class D Asset-Backed
Notes, rated A3 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the underlying auto
dealer floorplan receivables, the strength of the structure,
the experience of Ford Credit as servicer, and the experience of
Wells Fargo Bank, National Association as back-up servicer.
The quality of the floorplan receivables was considered based upon a number
of characteristics. A primary consideration is the strength of
the manufacturers and the vehicles that the dealerships and the receivables
have exposure. Moody's also considered the size of the Ford's
dealership base, the dealer risk rating distribution based on Ford
Credit's proprietary risk rating model, the age distribution
of the receivables, and the overall trust monthly payment rate.
Vehicle values under stressed historical scenarios were also considered
in our analysis. In cases of manufacturer bankruptcy or brand discontinuation
within the industry, there has been a 15% to 30% negative
impact on vehicle values. Our recovery rates in our analysis are
higher than this under more stressful rating scenarios since industry
information is limited and a weaker economy could also create a more severe
result.
The principal methodology used in rating FCMOT 2011-1 was Moody's
Approach to Rating U.S. Floorplan ABS Securities,
rating methodology published in January 2010. Other methodologies
and factors that may have been considered in the process of rating this
issuer can also be found on Moody's website.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
Consistent with our methodology, the analysis of FCMOT 2011-1
included Simulation Analysis and Static Scenario Analysis. Our
simulation analysis incorporated a stressed average dealer default rate
up to 75%, and the manufacturer bankruptcy stress scenario
was the primary influence on the ratings. Our primary assumptions
for recovery rates of repossessed cars from defaulted dealers was 50%
for new cars and 45% for used cars. Moody's Volatility Proxy
Aaa Level for FCMOT 2011-1 is 25%.
Moody's also evaluates qualitative factors such as the quality of
provided information, servicer experience, dealership profile,
etc. Combining the qualitative and quantitative analysis,
a final rating level is determined. Other methodologies and factors
that may have been considered in the process of rating this issue can
also be found in the Credit Policy & Methodologies directory.
The V Score for this transaction is Medium, which is equal to the
Medium V score assigned for the U.S. Dealer Floorplan Loan
ABS sector. The V Score indicates "Medium" uncertainty about critical
assumptions such as dealer default probabilities and recovery rates.
Volatility of performance based on loss experience is low, but historical
data do not include key variables such as payment rates, recoveries
and dealer defaults during a stressed, disorganized manufacturer
bankruptcy scenario. Given that, we feel the level of historical
data is only a moderate predictor of future performance of a stressed
environment. Additionally, although floorplan transaction
structures are typically straight-forward, the credit risk
characteristics are reasonably complex. Therefore, despite
low loss experience of the trust, the V Score for this transaction
reflects the Sector score of Medium.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around the
various inputs to a rating determination. The V Score ranks transactions
by the potential for significant rating changes owing to uncertainty around
the assumptions due to data quality, historical performance,
the level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: Consistent with our methodology,
the analysis of FCMOT 2011-1 included Simulation Analysis and Static
Scenario Analysis. Our simulation analysis incorporated a stressed
average dealer default rate up to 75%, and the manufacturer
liquidation bankruptcy scenario was the primary influence on the ratings.
Our primary assumptions for recovery rates of repossessed cars from defaulted
dealers was 50% for new cars and 45% for used cars.
Our analysis reveals Class A sensitivity down to the Baa level when dealer
defaults are increased to 90% and recovery rates are stressed an
additional 20% or if dealer defaults are front-loaded in
a material way. The Class B rating shows sensitivity down to the
Ba rating level with dealer defaults up to 80% and recovery rates
stressed an additional 15%. The Class C rating shows sensitivity
down to the B rating level with dealer defaults up to 75% and a
recovery rate haircut of 10%. The Class D rating shows sensitivity
down to the B rating level with dealer defaults up to 60% and a
recovery rate haircut of 10%.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
REGULATORY DISCLOSURES
Information sources used to prepare the credit ratings are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
However, the credit rating action was based on limited historical
data. The historical data does not include key variables such as
payment rates, recoveries and dealer defaults during a stressed,
disorganized manufacturer bankruptcy scenario.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are also available on moodys.com. 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 adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Wei Hu
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns definitive ratings to Ford Credit Master Owner Trust Series 2011-1 dealer floorplan securitization
