$26.01 billion of related Asset-Backed Securities.
New York, June 01, 2009 -- Today, General Motors Corporation ("GM") announced that it has filed
a petition under Chapter 11 of the U.S. Bankruptcy Code.
A high likelihood of a GM bankruptcy was already reflected in Moody's
ratings of GM vehicle-related Asset-Backed Securities ("ABS");
as a result, Moody's is not taking further rating actions
at this time. The bankruptcy of GM does not affect the residential
mortgage-backed securitizations ("RMBS"), including
servicer-advance related deals, sponsored by Residential
Funding Company, LLC ("RFC") and GMAC Mortgage,
LLC, each subsidiaries of Residential Capital, LLC,
which in-turn is owned by GMAC LLC ("GMAC").
We note that GMAC and its subsidiaries were not part of the bankruptcy
filing, and we do not expect any disruption to ABS and RMBS servicing
as a consequence of GM's bankruptcy. Capmark, an entity
owned by an investment consortium which includes GMAC with a minority
share, is a master and special servicer for several pools of commercial
mortgage loans. The GM filing will not impact the CMBS deals where
Capmark is a master or special servicer.
The following provides a commentary on the ABS asset classes affected
by GM's bankruptcy in the U.S., Canada, and
Latin America. None of the vehicle-related ABS transactions
that were publicly rated by Moody's in Europe and Asia are directly exposed
to the bankruptcy of the manufacturer. Related securities are listed
below.
Auto loans and leases
Moody's has taken several actions on auto loan and lease securitizations
sponsored by GMAC since November 2008. Among other businesses,
GMAC historically provided wholesale, retail, and lease financing
to GM's dealers. Since Chrysler LLC's ("Chrysler")
bankruptcy filing, GMAC has been providing the same service to Chrysler's
dealers as well. The actions on these GMAC securitizations were
driven by the performance of the underlying pools, as well as by
the heightened risk of a bankruptcy of the manufacturer and the impact
that a bankruptcy would likely have on used vehicle prices. The
most recent rating actions have taken into consideration a high likelihood
of a Chapter 11 bankruptcy filing by GM. Therefore, no further
rating actions are being taken on these transactions today. The
ratings may come under pressure if the decline in vehicle prices throughout
the duration of the bankruptcy is greater than our expectation or if the
reorganization is unsuccessful and is followed by liquidation.
Moody's analysis incorporates the assumption that a GM Chapter 7
filing is an extremely unlikely event.
We believe that new and used vehicle prices are likely to decline as a
consequence of GM's bankruptcy. The manufacturer may be motivated
to heavily discount new vehicles to encourage sales; the discounted
new vehicles would negatively impact used car resale values.
The risk that collateral value, as reflected by used vehicle prices,
will decline is a key driver that will magnify losses in both retail auto
loan and lease ABS to varying degrees. In auto loan ABS,
typically a limited percentage of the collateral pool is subject to repossession
and resale and therefore exposed to market value risk, since only
a fraction of the loan pool will default. However, with respect
to auto lease ABS, 80% to 90% of the manufacturer's
leased vehicles are turned in at lease termination. Turn-in
rates are also likely to increase further when car prices decline,
as the lessee's purchase option becomes more expensive than prevailing
market prices.
In response to the heightened risk of a manufacturer bankruptcy,
as well as the higher than expected residual value losses experienced
to date, GMAC's auto lease securitizations, including 14 classes
of notes in nine outstanding transactions, were downgraded on November
25, 2008 and on January 28, 2009. Most ratings migrated
from an original rating of Aaa to Aa3 in November 2008, and to Baa1
in January 2009.
The actions on the ratings of auto loan transactions have been less severe
than those on the lease deals. Auto loan ABS account for the majority
of Moody's-rated outstanding securitizations sponsored by GMAC.
Out of 57 outstanding tranches issued in 19 U.S. and Canadian
term retail auto loan transactions rated from 2005 through 2008,
we have downgraded the ratings of 18 subordinate tranches in eight transactions
issued in 2007 and 2008. Most actions affected tranches with an
original rating below A1, which were downgraded on average by three
notches. The rating review that concluded on May 22, 2009
with the downgrade actions was driven by the combination of the higher
than expected borrower default rate and lower than expected recoveries
compared to historical levels. The weaker than expected performance
of recent GMAC transactions has occurred amid a challenging economic environment
that has put pressure on prime auto loan performance across the industry
as a whole.
As was the case with Chrysler, we expect that the Obama administration
will take steps to contain the disruption that might be caused by the
bankruptcy of GM, including providing government-funded debtor
in possession financing during the bankruptcy process. These government
actions may contain the extent of future vehicle price declines to some
degree. In addition, we expect that GMAC will continue servicing
its existing loan and lease portfolio throughout the bankruptcy process
to preserve the value of its residual interest in the transactions.
As a consequence, servicing disruption is likely to be immaterial
for both loan and lease ABS transactions at this stage. Avoiding
servicer disruption is central to lease ABS performance as a higher percentage
of vehicles needs to be auctioned.
Floorplans
Moody's took rating actions on floorplan transactions sponsored by GMAC
in the US and in Mexico between November 2008 through May 2009,
and notes in all transactions remain under review for further possible
downgrade.
Subordinated notes of Superior Wholesale Inventory Financing Trust 2007-AE-1
and SWIFT Master Auto Receivables Trust Series 2007-1 and 2007-2
were downgraded to A3, Ba1 and Ba3 for Classes B, C and D,
respectively, in May. The Class A notes for these transactions
were downgraded to Aa2 in January. Moody's rates two additional
GMAC floorplan transactions in the US, Superior Wholesale Inventory
Financing Trust X and Superior Wholesale Inventory Financing Trust XI.
Class A ratings for these transactions were downgraded to A3 in January
while Class B and Class C ratings were downgraded to B2 and B3,
respectively, in November. The extent of the actions was
generally driven by differences in the level of credit enhancement available
to each class of notes.
In Mexico, the Baa1 rating (Global Scale, Local Currency)
and the Aaa.mx rating (Mexican National Scale) of the Class A certificates
FAMACB 08 of GMAC Mexicana were placed under review for possible downgrade
in November 2008.
These rating actions took into consideration a high likelihood of a Chapter
11 bankruptcy filing by GM. Therefore, no further rating
actions are being taken on those transactions as of today.
Ratings for the floorplan notes remain on review for further possible
downgrade due to the significant uncertainty surrounding the floorplan
transactions in the near term. The GM bankruptcy filing could lead
to high dealer default rates, depressed collateral recovery values,
and could severely constrain the servicer's ability to monitor dealers
and secure collateral if numerous dealers default in a short period of
time. Moody's will continue to monitor developments and will further
assess the potential impact on GMAC's outstanding floorplan transactions
as necessary. The uncertainty related to potential developments
underlies the continued review process for the transactions.
Rental cars
Rental car ABS have varying amounts of exposure to GM due to the presence
of GM-manufactured vehicles in the rental car fleets that serve
as collateral for the securities. The residual values of those
vehicles may suffer following a GM bankruptcy filing. Any such
lowering of collateral value exposes rental car ABS holders to greater
possible loss in the event of a default by the sponsoring rental car company.
In addition, such a decline in vehicle values may itself increase
the risk of default of the sponsoring rental car company. None
of the rental car ABS pools has a disproportionate concentration in GM
vehicles. As a result, no rating action related to rental
car ABS solely as a result of this filing is expected.
The vehicle-related ABS discussed in this press release are listed
below.
US Retail Auto Loan Transactions:
Issuer: Capital Auto Receivables Asset Trust 2004-2
Cl. A-4, Currently rated Aaa, previously on
12/17/2004 Assigned Aaa
Cl. B, Currently rated Aaa, previously on 6/4/2007
Upgraded to Aaa from Aa3
Cl. C, Currently rated Aaa, previously on 12/19/2007
Upgraded to Aaa from A1
Issuer: Capital Auto Receivables Asset Trust 2005-1
Cl. A-5, Currently rated Aaa, previously on
6/15/2005 Assigned Aaa
Cl. B, Currently rated Aaa, previously on 6/4/2007
Upgraded to Aaa from Aa3
Cl. C, Currently rated Aaa, previously on 12/19/2007
Upgraded to Aaa from Aa3
Cl. D, Currently rated Aa1, previously on 12/19/2007
Upgraded to Aa1 from Baa1
Issuer: Capital Auto Receivables Asset Trust 2005-CPA
Cl. A, Currently rated Aaa, previously on 1/3/2006
Assigned Aaa
Issuer: Capital Auto Receivables Asset Trust 2006-1
Cl. A-3, Currently rated Aaa, previously on
2/16/2006 Assigned Aaa
Cl. A-4, Currently rated Aaa, previously on
2/16/2006 Assigned Aaa
Cl. B, Currently rated Aaa, previously on 12/19/2007
Upgraded to Aaa from Aa1
Cl. C, Currently rated Aa1, previously on 12/19/2007
Upgraded to Aa1 from A2
Cl. D, Currently rated Aa3, previously on 12/19/2007
Upgraded to Aa3 from Baa2
Issuer: Capital Auto Receivables Asset Trust 2007-1
Cl. A-2, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. A-3a, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. A-3b, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. A-4a, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. A-4b, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. B, Currently rated A1, previously on 4/30/2007
Assigned A1
Cl. C, Currently rated Baa2, previously on 4/30/2007
Assigned Baa2
Cl. D, Currently rated Ba1, previously on 4/30/2007
Assigned Ba1
Issuer: Capital Auto Receivables Asset Trust 2007-2
Cl. A-2a, Currently rated Aaa, previously on
8/31/2007 Assigned Aaa
Cl. A-2b, Currently rated Aaa, previously on
8/31/2007 Assigned Aaa
Cl. A-3, Currently rated Aaa, previously on
8/31/2007 Assigned Aaa
Cl. A-4a, Currently rated Aaa, previously on
8/31/2007 Assigned Aaa
Cl. A-4b, Currently rated Aaa, previously on
8/31/2007 Assigned Aaa
Cl. A-PT-1, Currently rated Aaa, previously
on 8/31/2007 Assigned Aaa
Cl. B, Currently rated A1, previously on 5/22/2009
Confirmed at A1
Cl. C, Currently rated Baa3, previously on 5/22/2009
Downgraded to Baa3 from Baa1
Cl. D, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Baa3
Issuer: Capital Auto Receivables Asset Trust 2007-3
Cl. A-2a, Currently rated Aaa, previously on
9/28/2007 Assigned Aaa
Cl. A-2b, Currently rated Aaa, previously on
9/28/2007 Assigned Aaa
Cl. A-3a, Currently rated Aaa, previously on
9/28/2007 Assigned Aaa
Cl. A-3b, Currently rated Aaa, previously on
9/28/2007 Assigned Aaa
Cl. A-4, Currently rated Aaa, previously on
9/28/2007 Assigned Aaa
Cl. B, Currently rated A1, previously on 5/22/2009
Confirmed at A1
Cl. C, Currently rated Baa3, previously on 5/22/2009
Downgraded to Baa3 from Baa1
Cl. D, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Baa3
Issuer: Capital Auto Receivables Asset Trust 2007-A
Cl. A, Currently rated Aaa, previously on 9/28/2007
Assigned Aaa
Cl. B, Currently rated A1, previously on 5/22/2009
Confirmed at A1
Cl. C, Currently rated Baa3, previously on 5/22/2009
Downgraded to Baa3 from Baa2
Cl. D, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Ba1
Issuer: Capital Auto Receivables Asset Trust 2007-B
Cl. A, Currently rated Aaa, previously on 11/1/2007
Assigned Aaa
Cl. B, Currently rated A3, previously on 5/22/2009
Downgraded to A3 from A1
Cl. C, Currently rated Ba1, previously on 5/22/2009
Downgraded to Ba1 from Baa1
Cl. D, Currently rated Ba3, previously on 5/22/2009
Downgraded to Ba3 from Baa3
Issuer: Capital Auto Receivables Asset Trust 2007-4
Cl. A-2a, Currently rated Aaa, previously on
11/20/2007 Assigned Aaa
Cl. A-2b, Currently rated Aaa, previously on
11/20/2007 Assigned Aaa
Cl. A-3a, Currently rated Aaa, previously on
11/20/2007 Assigned Aaa
Cl. A-3b, Currently rated Aaa, previously on
11/20/2007 Assigned Aaa
Cl. A-4, Currently rated Aaa, previously on
11/20/2007 Assigned Aaa
Cl. B, Currently rated Baa2, previously on 5/22/2009
Downgraded to Baa2 from A2
Cl. C, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Baa2
Cl. D, Currently rated B1, previously on 5/22/2009
Downgraded to B1 from Ba1
Issuer: Capital Auto Receivables Asset Trust 2008-1
Cl. A-2a, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. A-2b, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. A-3a, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. A-3b, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. A-4a, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. A-4b, Currently rated Aaa, previously on
2/7/2008 Assigned Aaa
Cl. B, Currently rated A3, previously on 5/22/2009
Downgraded to A3 from Aa3
Cl. C, Currently rated Baa3, previously on 5/22/2009
Downgraded to Baa3 from A2
Cl. D, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Baa1
Issuer: Capital Auto Receivables Asset Trust 2008-CPA
Cl. A-1, Currently rated Aaa, previously on
2/14/2008 Assigned Aaa
Cl. A-2, Currently rated Aaa, previously on
2/14/2008 Assigned Aaa
Issuer: Capital Auto Receivables Asset Trust 2008-CPB
Cl. A-1, Currently rated Aaa, previously on
3/31/2008 Assigned Aaa
Cl. A-2, Currently rated Aaa, previously on
3/31/2008 Assigned Aaa
Issuer: Capital Auto Receivables Asset Trust 2008-CPC
Cl. A-1, Currently rated Aaa, previously on
3/31/2008 Assigned Aaa
Cl. A-2, Currently rated Aaa, previously on
3/31/2008 Assigned Aaa
Issuer: Capital Auto Receivables Asset Trust 2008-2
Cl. A-2a, Currently rated Aaa, previously on
5/19/2008 Assigned Aaa
Cl. A-2b, Currently rated Aaa, previously on
5/19/2008 Assigned Aaa
Cl. A-3a, Currently rated Aaa, previously on
5/19/2008 Assigned Aaa
Cl. A-3b, Currently rated Aaa, previously on
5/19/2008 Assigned Aaa
Cl. A-4, Currently rated Aaa, previously on
5/19/2008 Assigned Aaa
Cl. B, Currently rated A2, previously on 5/22/2009
Confirmed at A2
Cl. C, Currently rated Baa2, previously on 5/22/2009
Confirmed at Baa2
Cl. D, Currently rated Ba1, previously on 5/22/2009
Confirmed at Ba1
Issuer: Capital Auto Receivables Asset Trust 2008-A
Cl. A, Currently rated Aaa, previously on 6/26/2008
Assigned Aaa
Cl. B, Currently rated A3, previously on 5/22/2009
Downgraded to A3 from A2
Cl. C, Currently rated Baa3, previously on 5/22/2009
Downgraded to Baa3 from Baa2
Cl. D, Currently rated Ba2, previously on 5/22/2009
Downgraded to Ba2 from Ba1
Canadian Retail Auto Loan Transactions:
Issuer: Canadian Capital Auto Receivables Asset Trust II,
Series 2006-2
Cl. A-2, Currently rated Aaa, previously on
9/20/2006 Assigned Aaa
Cl. A-3, Currently rated Aaa, previously on
9/20/2006 Assigned Aaa
Cl. B, Currently rated A2, previously on 9/20/2006
Assigned A2
Issuer: Canadian Capital Auto Receivables Asset Trust II,
Series 2007-1
Cl. A-2, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. A-3, Currently rated Aaa, previously on
4/30/2007 Assigned Aaa
Cl. B, Currently rated A2, previously on 4/30/2007
Assigned A2
Cl. C, Currently rated Baa2, previously on 4/30/2007
Assigned Baa2
US Auto Lease Transactions:
Issuer: Capital Auto Receivables Asset Trust 2007-SN2
Cl. A-2, Currently rated Baa1, previously on
1/28/2009 Downgraded to Baa1 from Aa3
Cl. A-3, Currently rated Baa1, previously on
1/28/2009 Downgraded to Baa1 from Aa3
Cl. A-4, Currently rated Baa1, previously on
1/28/2009 Downgraded to Baa1 from Aa3
Cl. B, Currently rated Baa3, previously on 1/28/2009
Downgraded to Baa3 from A1
Cl. C, Currently rated Ba3, previously on 1/28/2009
Downgraded to Ba3 from A3
Cl. D, Currently rated B3, previously on 1/28/2009
Downgraded to B3 from Ba1
Issuer: Capital Auto Receivables Asset Trust 2007-SNE
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2007-SNG
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SNA
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SNB
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SND
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SNE
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SNF
Cl. A, Currently rated Baa1, previously on 1/28/2009
Downgraded to Baa1 from Aa3
Issuer: Capital Auto Receivables Asset Trust 2008-SNH
Cl. A, Currently rated A2, previously on 1/28/2009
Downgraded to A2 from Aa2
US Auto Floorplan Transactions:
Issuer: Superior Wholesale Inventory Financing Trust X
Class A Notes, including RN1 and RN2, Currently rated A3 Under
Review for further Possible Downgrade, previously on 1/28/2009 Downgraded
to A3 from Aa3 and remain Under Review for further Possible Downgrade
Class B Notes, Currently rated B2 Under Review for further Possible
Downgrade, previously on 11/25/2008 Downgraded to B2 from A2 and
Placed Under Review for further Possible Downgrade
Class C Notes, Currently rated B3 Under Review for further Possible
Downgrade, previously on 11/25/2008 Downgraded to B3 from Baa2 and
Placed Under Review for further Possible Downgrade
Issuer: Superior Wholesale Inventory Financing Trust XI
Class A Notes, including RN1 and RN2, Currently rated A3 Under
Review for further Possible Downgrade, previously on 1/28/2009 Downgraded
to A3 from Aa2 and remain Under Review for further Possible Downgrade
Class B Notes, Currently rated B2 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to B2 from B1 and
remain Under Review for further Possible Downgrade
Class C Notes, Currently rated B3 Under Review for further Possible
Downgrade, previously on 11/25/2008 Downgraded to B3 from Baa2 and
Placed Under Review for further Possible Downgrade
Issuer: Superior Wholesale Inventory Financing Trust 2007-AE-1
Class A Notes, Currently rated Aa2 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa2 from Aaa and
remain Under Review for further possible downgrade
Class B Notes, Currently rated Aa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa3 from Aaa and
remain Under Review for further Possible Downgrade
Class C Notes, Currently rated Baa1 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa1 from Aa1 and
remain Under Review for further Possible Downgrade
Class D Notes, Currently rated Baa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa3 from Aa2 and
remain Under Review for further Possible Downgrade
Issuer: SWIFT Master Auto Receivables Trust Series 2007-1
Class A Notes, Currently rated Aa2 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa2 from Aaa and
remain Under Review for further possible downgrade
Class B Notes, Currently rated Aa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa3 from Aaa and
remain Under Review for further Possible Downgrade
Class C Notes, Currently rated Baa1 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa1 from Aa1 and
remain Under Review for further Possible Downgrade
Class D Notes, Currently rated Baa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa3 from A1 and
remain Under Review for further Possible Downgrade
Issuer: SWIFT Master Auto Receivables Trust Series 2007-2
Class A Notes, Currently rated Aa2 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa2 from Aaa and
remain Under Review for further possible downgrade
Class B Notes, Currently rated Aa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Aa3 from Aaa and
remain Under Review for further Possible Downgrade
Class C Notes, Currently rated Baa1 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa1 from Aa1 and
remain Under Review for further Possible Downgrade
Class D Notes, Currently rated Baa3 Under Review for further Possible
Downgrade, previously on 1/28/2009 Downgraded to Baa3 from A1 and
remain Under Review for further Possible Downgrade
Mexican Auto Floorplan Transaction:
Issuer: Banco Invex, S.A., Institución
de Banca Múltiple, Invex Grupo Financiero, Fiduciario,
acting solely in its capacity as trustee
FAMACB 08 Class A Notes, Currently rated Baa1 (Global Scale,
Local Currency) and Aaa.mx (National Scale Rating) Under Review
for Possible Downgrade, previously on 11/28/2008 placed Under Review
for Possible Downgrade
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's comments on ABS following GM bankruptcy