Approximately $620 million of asset-backed securities affected
New York, December 22, 2009 -- Moody's has upgraded six subordinate tranches from two near-prime
auto loan transactions that closed in 2006. Moody's has also
placed under review for possible upgrade, six tranches from two
near prime transactions that closed in 2007 and 2008. The transactions
are serviced by Wachovia Dealer Services, Inc. (formerly
WFS Financial Inc.). Wachovia Dealer Services, Inc.
is a wholly-owned subsidiary of Wachovia Bank, which,
as of December 31, 2008, is a wholly-owned subsidiary
of Wells Fargo & Company. The actions reflects the stronger
credit profile of the securities based on the actual performance of their
respective transaction and credit enhancement relative to expected future
losses in the underlying receivables pool.
Upgrades for the Wachovia Auto Owner Trust 2006-1 and 2006-2
transactions were prompted by updated lower loss expectations since previous
rating actions in February, as well as, build up in credit
enhancement relative to remaining expected losses. Rating actions
in February were driven by the continuous increase in monthly loss rates
amidst the economic downturn as well as heightened concern due to overweight
in California for the loans in these pools. However, ten
more months of performance have demonstrated substantial stabilization
in both delinquencies and losses. Cumulative losses as a percentage
of the pool that has liquidated, (original pool balance --
current pool balance), an indicator of projected lifetime losses
trajectories, have also been leveling off for both transactions.
Moody's currently projects Wachovia Auto Loan Owner Trust 2006-1
and 2006-2 to incur a cumulative lifetime loss of 7.50%,
which is lower than the range of 8.0%-9.50%
previously published in February 2009 when tranches from these transactions
were downgraded. Hard credit enhancement for the upgraded tranches
(excluding excess spread) relative to future expected losses has increased
as the transaction has paid down and a significant portion of the expected
lifetime losses have already been incurred. For Wachovia Auto Loan
Owner Trust 2006-1, hard credit support (excluding excess
spread which is approximately 5.50% per annum) is currently
approximately 39%, 21% and 7% for classes B,
C and D respectively compared to future expected losses of approximately
9% as a percentage of the remaining pool balance. The pool
factor of the transaction is approximately 23% and overcollateralization
is at its floor of 1% of the original pool balance. The
transaction also benefits from non-declining reserve account of
0.50% of the original pool balance. For Wachovia
Auto Loan Owner Trust 2006-2, hard credit support (excluding
excess spread which is approximately 5.0% per annum) is
currently approximately 46%, 29% and 15% for
classes B, C and D respectively compared to future expected losses
of approximately 9% as a percentage of the remaining pool balance.
The pool factor of the transaction is approximately 23% and there
is a non-declining reserve account of 0.50%.
Both transactions pay principal in sequential order of seniority.
Moody's also placed classes B, C and D from Wachovia Auto
Loan Owner Trust 2007-1 and 2008-1 transactions on review
for possible upgrade. Although these transactions are performing
weaker than originally expected, they have also demonstrated signs
of improvement, enabling a build up in credit enhancement.
Moody's currently expects these transactions to incur cumulative
lifetime losses in the range of 8.50% to 9.50%.
During its review, Moody's will continue to refine its assessment
of the transactions relative to the credit enhancement available.
The principal methodology used in these rating actions was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities",
published in June 2007 and available on www.moodys.com in
the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in the Rating Methodologies sub-directory 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.
Complete action as follows:
Issuer: Wachovia Auto Loan Owner Trust 2006-1
Pool Current Expected Cumulative Net Losses: 7.50%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on Aug 13,
2009 Aa2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa3; previously on Aug 13,
2009 Baa3 Placed Under Review for Possible Upgrade
Cl. D, Upgraded to B1; previously on Feb 20, 2009
Downgraded to B3
Issuer: Wachovia Auto Loan Owner Trust 2006-2
Pool Current Expected Cumulative Net Losses: 7.50%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on Aug 13,
2009 Aa2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa1; previously on Aug 13,
2009 Baa1 Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Baa2; previously on Aug 13,
2009 Ba3 Placed Under Review for Possible Upgrade
Issuer: Wachovia Auto Loan Owner Trust 2007-1
Pool Current Expected Cumulative Net Losses: 8.50%-9.50%
(as a percentage of the original loan pool balance)
Cl. B, Aa3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Aa3
Cl. C, Baa2 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Baa2
Cl. D, Ba3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Ba3
Issuer: Wachovia Auto Loan Owner Trust 2008-1
Pool Current Expected Cumulative Net Losses: 8.50%-9.50%%
(as a percentage of the original loan pool balance)
Cl. B, A1 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to A1
Cl. C, Baa3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Baa3
Cl. D, Ba3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Ba3
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
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 upgrades Wachovia near-prime auto loan securitizations from 2006