Approximately $560 million of asset-backed securities affected
New York, December 14, 2010 -- Moody's Investors Service has placed on review for possible upgrade thirteen
tranches from six auto loan securitizations from 2006 to 2008 that are
serviced by Wells Fargo Bank, N.A. (as successor by
merger to Wachovia Bank, N.A.), a direct wholly-owned
subsidiary of Wells Fargo & Company.
RATINGS:
Issuer: Wachovia Auto Loan Owner Trust 2006-1
Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Dec 22, 2009 Upgraded to Aa3 (sf)
Cl. D, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Dec 22, 2009 Upgraded to B1 (sf)
Issuer: Wachovia Auto Loan Owner Trust 2006-2
Cl. C, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Dec 22, 2009 Upgraded to Aa1 (sf)
Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Dec 22, 2009 Upgraded to Baa2 (sf)
Cl. E, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to B3 (sf)
Issuer: Wachovia Auto Loan Owner Trust 2007-1
Cl. C, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2010 Upgraded to Aa1 (sf)
Cl. D, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2010 Upgraded to Baa3 (sf)
Cl. E, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to B3 (sf)
Issuer: Wachovia Auto Loan Owner Trust 2008-1
Cl. C, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2010 Upgraded to Aa2 (sf)
Cl. D, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 7, 2010 Upgraded to Ba2 (sf)
Cl. E, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to B3 (sf)
Issuer: Wachovia Auto Owner Trust 2007-A
Cl. B, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 28, 2007 Definitive Rating Assigned Baa2 (sf)
Issuer: Wachovia Auto Owner Trust 2008-A
Cl. B, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 24, 2008 Definitive Rating Assigned Baa2 (sf)
RATINGS RATIONALE
The review actions are the result of the build-up in credit enhancement
relative to remaining losses and updated lower loss expectations.
Moody's current lifetime cumulative net loss (CNL) projections for 2006
near prime transactions range between 6.00% to 6.50%
of the original pool balance, compared to 7.50% from
our previous rating actions in December 2009. For 2006-1
transaction, total hard credit enhancement (excluding excess spread
of approximately 5.4% per annum) is currently approximately
47% and 17% of outstanding pool balance for classes C and
D respectively. For 2007-1 transaction, total hard
credit enhancement (excluding excess spread of approximately 4.8%
per annum) is currently approximately 61%, 31%,
9% of outstanding pool balance for classes C, D and E respectively.
Principal payments are allocated sequentially between classes A,
B, C, D and E.
Moody's currently projects 2007-1 and 2008-1 near
prime transactions to incur a cumulative lifetime loss between 6.75%
to 7.25% and between 6.25% to 7.25%
of the original pool balance respectively. CNL projections have
decreased from a range of 8.75% to 9.00% from
our previous rating actions in April 2010. For 2007-1 transaction,
total hard credit enhancement (excluding excess spread of approximately
5.0% per annum) is approximately 44%, 21%
and 6% of outstanding pool balance for classes C, D and E
respectively. For 2008-1 transaction, total hard credit
enhancement (excluding excess spread of approximately 4.3%
per annum) is 33%, 13% and 4% of outstanding
pool balance for classes C, D and E respectively.
Moody's expects Wachovia Auto Owner Trust 2007-A and 2008-A
prime transactions to incur lifetime CNL between 0.65% to
0.75% and 0.80% to 0.95% of
the original pool balance respectively. For 2007-A transaction,
hard credit enhancement (excluding excess spread of approximately 1.5%
per annum) is approximately 3% of outstanding pool balance for
class B. For 2008-A transaction, hard credit enhancement
(excluding excess spread of approximately 1.1% per annum)
is 2% of outstanding pool balance for class B.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations.
Performance that falls outside the given range may indicate that the collateral's
credit quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating action
nor does performance within expectations preclude such actions.
The decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current macroeconomic environment, in which unemployment
continues to rise moderately, and strength in the used vehicle market.
Moody's currently views the used vehicle market as much stronger now than
it was at the end of 2008 when the uncertainty relating to the economy
as well as the future of the U.S auto manufacturers was significantly
greater. Overall, we expect a sluggish recovery in the U.S.
economy, with elevated fiscal deficits and persistent, high
unemployment levels.
The principal methodology used in these securities was "Moody's Approach
to Rating U.S. Auto Loan-Backed Securities" rating
methodology published in June 2007. Other methodologies and factors
that may have been considered in the process of rating these notes can
also be found on Moody's website.
Further information on Moody's analysis of this transaction is available
on www.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 Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past 6 months.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's FIS Domestic Sales Office - San Francisco CA
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Alda F. Sanchez
Associate 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 reviews Wachovia prime and near prime auto loan ABS for possible upgrade