Approximately $1.3 billion of asset-backed securities affected
New York, June 01, 2011 -- Moody's has upgraded 23 securities from 11 securitizations, and
placed under review for possible upgrade an additional 12 securities from
four auto loan securitizations sponsored by Ford Motor Credit Company
("Ford Credit"). The securities were issued between 2007 and 2011.
RATINGS
Issuer: Ford Credit Auto Owner Trust 2007-A
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2007-B
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2008-2
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2008-A
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2008-B
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2008-C
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2009-1
Cl. B, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2009-D
Cl. B, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2009-E
Cl. B, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2010-1
Cl. B, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2010-SR1
Cl. B, Upgraded to Aaa (sf); previously on Mar 4,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aaa (sf); previously on Mar 4,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Aaa (sf); previously on Mar 4,
2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: Ford Credit Auto Owner Trust 2010-2
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on May 25, 2010 Assigned Aa1 (sf)
Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on May 25, 2010 Assigned Aa3 (sf)
Cl. D, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 25, 2010 Assigned A2 (sf)
Issuer: Ford Credit Auto Owner Trust 2010-3
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 9, 2010 Assigned Aa1 (sf)
Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 9, 2010 Assigned Aa3 (sf)
Cl. D, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 9, 2010 Assigned A2 (sf)
Issuer: Ford Credit Auto Owner Trust 2010-4
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 12, 2010 Assigned Aa1 (sf)
Cl. C, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 12, 2010 Assigned Aa2 (sf)
Cl. D, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 12, 2010 Assigned A1 (sf)
Issuer: Ford Credit Auto Owner Trust 2010-B
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Aug 12, 2010 Definitive Rating Assigned Aa1 (sf)
Cl. C, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on Aug 12, 2010 Definitive Rating Assigned Aa2 (sf)
Cl. D, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Aug 12, 2010 Definitive Rating Assigned A1 (sf)
RATINGS RATIONALE
The actions are a result of updated lower lifetime loss expectations as
well as build up in credit enhancement relative to remaining losses due
to the non-declining reserve accounts and sequential payment structure
of the transactions. The 2007 and 2008 transactions are highly
seasoned, with pool factors (the ratio of current collateral balance
to the original collateral balance) that (as of May distribution date)
range between 10% and 20%. For the 2009 and first
quarter 2010 transactions, the lifetime loss expectations has been
lowered significantly as a result of stronger underlying credit,
healthy used vehicle market, and stabilizing economy. Early
indications for later 2010 and 2011 transactions are that performance
will also be stronger than original expectations.
Below are key performance metrics and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected lifetime
CNL expectation which is expressed as a percentage of the original pool
balance; and Moody's lifetime remaining CNL expectation and Aaa levels
which are expressed as a percentage of the current pool balance (adjusted
for yield supplement overcollateralization (YSOC)). The Aaa level
is the level of credit enhancement that would be consistent with a Aaa
rating for the given asset pool. Performance metrics include pool
factor which is the ratio of the current collateral balance and the original
collateral balance at closing; total credit enhancement (expressed
as a percentage of the outstanding collateral pool balance adjusted for
YSOC) which typically consists of subordination, overcollateralization,
reserve fund; and YSOC. The YSOC compensates for the lower
APR on the subvened loans.
Issuer: Ford Credit Auto Owner Trust 2007-A
Lifetime CNL expectation - 2.40%, prior expectation
(March 2011) was 2.40% to 2.60%
Lifetime Remaining CNL expectation -- 0.94%
Aaa level -- Approximately 4%
Pool factor -10%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 5%
Yield Supplement OC -- Approximately 6.3%
Issuer: Ford Credit Auto Owner Trust 2007-B
Lifetime CNL expectation -- 1.85%, prior expectation
(March 2011) was 1.80% to 2.00%
Lifetime Remaining CNL expectation -- 0.91%
Aaa level -- Approximately 4%
Pool factor -11%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 5%
Yield Supplement OC -- Approximately 6.9%
Issuer: Ford Credit Auto Owner Trust 2008-2
Lifetime CNL expectation -- 2.15%, prior expectation
(March 2011) was 2.10% to 2.40%
Lifetime Remaining CNL expectation -- 1.32%
Aaa level -- Approximately 5%
Pool factor -20%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 12%
Yield Supplement OC -- Approximately 7.9%
Issuer: Ford Credit Auto Owner Trust 2008-A
Lifetime CNL expectation -- 2.00%, prior expectation
(March 2011) was 1.90% to 2.10%
Lifetime Remaining CNL expectation -- 1.25%
Aaa level -- Approximately 5%
Pool factor -14%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 4%
Yield Supplement OC -- Approximately 6.4%
Issuer: Ford Credit Auto Owner Trust 2008-B
Lifetime CNL expectation -- 2.15%, prior expectation
(March 2011) was 2.10% to 2.40%
Lifetime Remaining CNL expectation -- 1.30%
Aaa level -- Approximately 5%
Pool factor -19%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 13%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 3%
Yield Supplement OC -- Approximately 7.4%
Issuer: Ford Credit Auto Owner Trust 2008-C
Lifetime CNL expectation -- 2.15%, prior expectation
(March 2011) was 2.10% to 2.40%
Lifetime Remaining CNL expectation -- 1.28%
Aaa level -- Approximately 5%
Pool factor -20%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 12%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 3%
Yield Supplement OC -- Approximately 7.9%
Issuer: Ford Credit Auto Owner Trust 2009-1
Lifetime CNL expectation -- 1.10%, prior expectation
(March 2011) was 0.90% to 1.40%
Lifetime Remaining CNL expectation -- 1.35%
Aaa level -- Approximately 7%
Pool factor -52%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 13%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 6%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 14.0%
Issuer: Ford Credit Auto Owner Trust 2009-D
Lifetime CNL expectation -- 1.10%, prior expectation
(March 2011) was 0.90% to 1.40%
Lifetime Remaining CNL expectation -- 1.37%
Aaa level -- Approximately 7%
Pool factor -44%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 12%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 7%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 3%
Yield Supplement OC -- Approximately 13.2%
Issuer: Ford Credit Auto Owner Trust 2009-E
Lifetime CNL expectation -- 1.10%, prior expectation
(March 2011) was 0.90% to 1.40%
Lifetime Remaining CNL expectation -- 1.36%
Aaa level -- Approximately 7%
Pool factor -52%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 10%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 6%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 9.7%
Issuer: Ford Credit Auto Owner Trust 2010-1
Lifetime CNL expectation -- 1.00%, prior expectation
(March 2011) was 0.85% to 1.35%
Lifetime Remaining CNL expectation -- 1.42%
Aaa level -- Approximately 7%
Pool factor -57%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 12%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 5%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 16.3%
Issuer: Ford Credit Auto Owner Trust 2010-SR1
Lifetime CNL expectation -- 1.00%, prior expectation
(March 2011) was 0.85% to 1.35%
Lifetime Remaining CNL expectation -- 1.32%
Aaa level -- Approximately 7%
Pool factor -55%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 9%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 6%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 11.8%
Issuer: Ford Credit Auto Owner Trust 2010-2
Lifetime CNL expectation -- 0.85% to 1.25%,
prior expectation (closing) was 2.50%
Pool factor -66%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 10%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 5%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 18.3%
Issuer: Ford Credit Auto Owner Trust 2010-3
Lifetime CNL expectation -- 0.85% to 1.25%,
prior expectation (closing) was 2.00%
Pool factor -72%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 9%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 5%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 15.8%
Issuer: Ford Credit Auto Owner Trust 2010-4
Lifetime CNL expectation -- 0.85% to 1.25%,
prior expectation (closing) was 1.75%
Pool factor -78%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 9%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 4%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 16.3%
Issuer: Ford Credit Auto Owner Trust 2010-B
Lifetime CNL expectation -- 0.85% to 1.25%,
prior expectation (closing) was 2.00%
Pool factor -71%
Total credit enhancement (excluding excess spread & YSOC): Class
B -- 7%
Total credit enhancement (excluding excess spread & YSOC): Class
C -- 5%
Total credit enhancement (excluding excess spread & YSOC): Class
D -- 2%
Yield Supplement OC -- Approximately 12.8%
Ratings on the affected securities could be upgraded (where applicable)
if the lifetime CNLs are lower by 10%, or downgraded if the
lifetime CNLs are higher by 10%.
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 remain at elevated levels, 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 onwww.moodys.com.
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.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties 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 maintaining
a credit rating.
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
Alda F. Sanchez
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's upgrades Ford Credit prime auto loan ABS
