Approximately $618 million of asset-backed securities affected
New York, January 11, 2011 -- Moody's Investors Service has assigned provisional ratings to the
Series 2011-1 notes (Notes) to be issued by Ally Master Owner Trust
(AMOT 2011-1). The Notes are collateralized primarily by
dealer floorplan loans extended by Ally Bank, a subsidiary of Ally
Financial Inc. (B3), to franchised new car dealers associated
with General Motors and Chrysler brands.
The complete rating action is as follows:
$500,000,000, Class A-1 and A-2
Asset Backed Notes, rated (P)Aaa (sf)
$45,956,000, Class B Asset Backed Notes,
rated (P)Aa2 (sf)
$34,926,000, Class C Asset Backed Notes,
rated (P)A1 (sf)
$36,765,000, Class D Asset Backed Notes,
rated (P)Baa2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on an assessment of the quality of
the underlying auto dealer floorplan receivables, the legal structure
and structural provisions, the manufacturers which the transaction
is primarily exposed to (General Motors and Chrysler), the experience
of Ally Financial Inc. 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 dealership
base that is part of Ally Master Owner Trust, the dealer credit
rating distribution according to Ally Bank's proprietary dealer
credit evaluation system, the age distribution of the receivables,
and the overall trust monthly payment rate. Vehicle values under
stressed scenarios were also a consideration in our analysis.
The principal methodology used in this rating was "Moody's Approach
to Rating U.S. Floorplan ABS Securities" published
in January 2010.
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.
In our simulation analysis we assumed that General Motors was a B2,
three notches below its current rating of Ba2, and that Chrysler
experienced a liquidation bankruptcy scenario. The simulation analysis
incorporated a stressed average dealer default rate of 50%.
Our primary assumptions for recovery rates of repossessed cars from defaulted
dealers was 72% for new cars and 67% for used cars.
Moody's Volatility Proxy Aaa Level for AMOT 2011-1 is 30%.
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 does 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 for the sector, 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: Our simulation analysis reveals
Class A sensitivity down to the Baa level when dealer defaults are increased
to 65% and recovery rates are stressed an additional 15%.
The Class B rating shows sensitivity down to the Ba level with dealer
defaults up to 60% and recovery rates stressed an additional 15%.
The Class C rating shows sensitivity down to the B level with dealer defaults
up to 60% and a recovery rate haircut of 5%. The
Class D rating shows sensitivity down to the B level with a recovery rate
haircut of 5% and the initial stressed average dealer default rate
of 50%. This Parameter Sensitivity is based upon the expected
amount of enhancement in AMOT 2011-1 at closing and does not include
potential additions to credit enhancement due to payment rate triggers
that are included with the transaction.
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, parties not 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
Jason Grohotolski
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Mack Caldwell
Senior Vice President
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 Master Owner Trust 2011-1, Ally Bank sponsored dealer floorplan ABS
