Approximately $239 million of auto asset-backed securities affected
New York, May 09, 2011 -- Moody's has upgraded two tranches from 2008 and placed on review for possible
upgrade two more tranches from 2009 and 2010. The affected tranches
are sponsored by World Omni Financial Corp.
Issuer: World Omni Auto Receivables Trust 2008-A
Cl. B, Upgraded to Aaa (sf); previously on Feb 3,
2011 A1 (sf) Placed Under Review for Possible Upgrade
Issuer: World Omni Auto Receivables Trust 2008-B
Cl. B, Upgraded to Aa1 (sf); previously on Feb 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: World Omni Auto Receivables Trust 2009-A
Cl. B, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 3, 2010 Assigned Aa3 (sf)
Issuer: World Omni Auto Receivables Trust 2010-A
Cl. B, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Feb 8, 2010 Definitive Rating Assigned Aa3 (sf)
RATINGS RATIONALE
The upgrades and reviews for upgrade were prompted by a downward revision
of collateral loss expectations and further accretion of credit enhancement
due to non-declining reserve accounts and overcollateralization
floors.
The two 2008 transactions feature cumulative net loss triggers that enable
the additional reserve account, that was put in place in 2009,
to step down at certain points of time. The 2008-A transaction
has complied with its final credit enhancement step-down trigger
and the reserve account balance stepped down last month. Based
on current performance, in the next few months, Moody's
expects the reserve account for the 2008-B transaction to step
down as well due to compliance with the final credit enhancement step-down
trigger. Following the step down, the reserve account will
be the total of 0.25% of the original pool balance and 2.25%
of the outstanding pool balance.
Below are key performance metrics (as of the April 2011 distribution date)
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 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,
and a reserve fund; YSOC; and per annum excess spread.
The YSOC compensates for the lower APR on the subvened loans.
Issuer: World Omni Auto Receivables Trust 2008-A
Lifetime CNL expectation -- 4.50%
Lifetime Remaining CNL expectation -- 3.28%
Aaa level -- Approximately 11.50%
Pool factor - 23.78%
Total credit enhancement (excluding excess spread) - Class B --
9.56%
Excess spread - Approximately 4.2% per annum
Issuer: World Omni Auto Receivables Trust 2008-B
Lifetime CNL expectation -- 3.75%
Lifetime Remaining CNL expectation -- 2.81%
Aaa level -- Approximately 11%
Pool factor - 28.67%
Total credit enhancement (excluding excess spread & YSOC) -
Class B -- 7.01%
Excess spread - Approximately 2.27% per annum
YSOC - Approximately 1%
Issuer: World Omni Auto Receivables Trust 2009-A
Lifetime CNL range -- 1.75% - 2.00%
Pool factor - 41.67%
Total credit enhancement (excluding excess spread & YSOC) -
Class B -- 4.06%
Excess spread - Approximately 0.23% per annum
YSOC - Approximately 4.80%
Issuer: World Omni Auto Receivables Trust 2010-A
Lifetime CNL range -- 0.50% - 1.00%
Pool factor - 55.97%
Total credit enhancement (excluding excess spread & YSOC) -
Class B -- 6.42%
Excess spread - Approximately 1.37% per annum
YSOC - Approximately 5.00%
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 notes 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.
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
Aron Bergman
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 two and reviews an additional two World Omni prime auto ABS for possible upgrade