New York, November 19, 2010 -- Moody's has upgraded 12 tranches from four auto floorplan securitizations
sponsored by Ally Bank during 2010.
Complete Rating Actions:
Issuer: Ally Master Owner Trust, Series 2010-1
Cl. B, Upgraded to Aa1 (sf); previously on Oct 20,
2010 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa3 (sf); previously on Oct 20,
2010 A2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to A2 (sf); previously on Oct 20,
2010 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ally Master Owner Trust, Series 2010-3
Cl. B, Upgraded to Aa1 (sf); previously on Oct 20,
2010 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa3 (sf); previously on Oct 20,
2010 A2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to A2 (sf); previously on Oct 20,
2010 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ally Master Owner Trust, Series 2010-4
Cl. B, Upgraded to Aa1 (sf); previously on Oct 20,
2010 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa3 (sf); previously on Oct 20,
2010 A2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to A2 (sf); previously on Oct 20,
2010 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ally Master Owner Trust, Series 2010-5
Cl. B, Upgraded to Aa1 (sf); previously on Oct 20,
2010 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa3 (sf); previously on Oct 20,
2010 A2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to A2 (sf); previously on Oct 20,
2010 Baa2 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The ratings of dealer floorplan ABS transactions are linked to the credit
quality of the manufacturers whose vehicles are included in the dealer's
inventory and transferred to the ABS trust. Just as years of weak
credit fundamentals for General Motors (GM) introduced greater uncertainty
around the performance of related floorplan ABS, GM's improved
financial position is a credit positive for existing transactions.
GM brand vehicles account for roughly 65% to 70% of the
Ally Master Owner Trust. Since our last rating review on the Ally
Master Owner Trust notes, we have further assessed, among
other things, the reduction in trust-wide OEM bankruptcy
risk as represented in-part by GM's current Ba2 stable rating.
The reduced bankruptcy risk of GM reduced the probability of a scenario
involving trust-wide highly stressed recovery rates and dealer
defaults associated with a distressed manufacturer.
RATING METHODOLOGY
The principal methodology used in this rating was Moody's Approach to
Rating U.S. Floorplan ABS Securities, published in
January 2010.
Our simulation analysis for these rating actions assumed a stressed average
dealer default rate of 50%, a GM rating of B2, three
notches below its current rating of Ba2, and that Chrysler experienced
a liquidation bankruptcy scenario. Chrysler brand vehicles account
for 20% to 25% of the Ally Master Owner Trust with an allowable
limit of 35%. Our primary assumptions for average 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 Ally Master Trust notes is 30%.
Moody's Parameter Sensitivities: The analysis for these transactions
include Simulation Analysis and Static Scenario Analysis, which
could be sensitive to key modeled assumptions including manufacturer rating
stress, dealer default stress, recovery stress, and
payment rate stress. If GM is downgraded to single B during the
life of the outstanding Ally Master Owner Trust notes, the effect
on the ratings could be one to three notches, and therefore may
return the ratings to the pre-review levels (absent other changes)
that were assigned prior to October 20, 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 related to the monitoring of this transaction in the past
six months.
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 pre-sale reports for these transactions
are 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.
Moody's upgrades Ally Bank's auto floorplan transactions