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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's assigns provisional ratings to Ally Auto Receivables Trust 2011-1

02 Feb 2011

Approximately $1.1 billion of asset-backed securities affected

New York, February 02, 2011 -- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Ally Auto Receivables Trust (AART) 2011-1.

RATINGS RATIONALE

The complete rating actions are as follows:

Issuer: Ally Auto Receivables Trust 2011-1

A-1 Notes, rated (P)Prime-1 (sf)

A-2 Notes, rated (P)Aaa (sf)

A-3 Notes, rated (P)Aaa (sf)

A-4 Notes, rated (P)Aaa (sf)

B Notes, rated (P)Aa3 (sf)

C Notes, rated (P)A2 (sf)

The principal methodology used in rating Ally Auto Receivables Trust 2011-1 was Moody's Approach to Rating U.S. Auto Loan-Backed Securities, rating methodology published in June 2007.

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.

Moody's median cumulative net loss expectation for the AART 2011-1 pool is 1.50% and the Volatility Proxy Aaa Level is 10.00%. Moody's net loss expectation and Volatility Proxy Aaa Level for the AART 2011-1 transaction are derived from an analysis of the credit quality of the underlying collateral, historical performance trends, the ability of Ally Financial Inc. to perform the servicing functions, and expectations for future economic conditions.

The V Score for this transaction is Low/Medium, which is consistent with the Low/Medium V score assigned for the U.S. Prime Retail Auto Loan ABS sector. The V Score indicates "Low/Medium" uncertainty about critical assumptions. While this is only the eighth retail loan securitization for Ally Bank, the early performance for the existing deals has been strong. Securitization experience for Ally Bank's parent, Ally Financial Inc. (formerly GMAC Inc.), dates back to the mid-1980's. AART 2011-1 should benefit from this experience having Ally Financial as the servicer for the transaction. The most notable differences between the AART 2011-1 securitized pool and the securitized pool from Ally Bank's most recent auto loan securitization, AART 2010-5, is the higher percentage of contracts with original terms greater than 60 months (55% for AART 2011-1 and 47% for AART 2010-5) and a lower weighted average FICO score of 760 for AART 2011-1 versus 763 for AART 2010-5. A higher percentage of contracts with original terms greater than 60 months typically has a negative impact on pool performance as does a lower weighted average FICO score. Nonetheless, a weighted average FICO score of 760 for AART 2011-1 is quite high. In addition, early performance of Ally Bank retail loan securitizations from 2009 and 2010 is strong to date which is an important consideration along with conducting a deal-by-deal comparison of collateral.

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: If the net loss used in determining the initial rating were changed from 1.50% to 4.00% the initial model-indicated output might change from Aaa to Aa1 for the Class A notes, from Aa3 to Baa3 for the Class B notes, and from A2 to B2 for the Class C notes. If the net loss were changed to 5.00% the initial model-indicated output might change to Aa2 for the Class A notes, to Ba3 for the Class B notes, and to below B3 for the Class C notes. If the net loss were changed to 6.50% the initial model-indicated output might change to A2 for the Class A notes and below B3 for the Class B and Class C notes.

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.

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.

REGULATORY DISCLOSURE

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investor Service's information.

Moody's Investors Service considers the quality of information available on the issuer satisfactory for the purposes of assigning a credit rating.

However, the credit rating action was based on limited historical data.

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
Jason Grohotolski
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 provisional ratings to Ally Auto Receivables Trust 2011-1
No Related Data.
© 2022 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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​
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