(The following statement was released by the ratings agency).
Approximately $3 Billion of Asset-Backed Securities Rated.
LONDON, Jan 24 - Moody's Investors Service has assigned ratings of Prime-1 to the Class A-1 Notes, Aaa to each of the Class A-2a through A-4b notes, A1 to the Class B Notes, and Baa2 to the Class C Notes issued by Ford Credit Auto Owner Trust 2003-A. The ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, the reserve account of 0.50% (which is fully funded at closing and benefits all classes of securities), and the experience of Ford Motor Credit Company (FMCC) as servicer.
The complete rating action is as follows: Ford Credit Auto Owner Trust 2003-A $577,000,000 1.36313% Class A-1 asset-backed notes, rated Prime-1. $640,000,000 1.62% Class A-2a asset-backed notes, rated Aaa. $640,000,000 Floating Rate Class A-2b asset-backed notes, rated Aaa. $285,000,000 2.20% Class A-3a asset-backed notes, rated Aaa. $285,000,000 Floating Rate Class A-3b asset-backed notes, rated Aaa. $211,452,000 2.70% Class A-4a asset-backed notes, rated Aaa. $211,000,000 Floating Rate Class A-4b asset-backed notes, rated Aaa. $52,733,000 3.16% Class B-1 asset-backed notes, rated A1. $37,250,000 Floating Rate Class B-2 asset-backed notes, rated A1. $59,989,000 4.29% Class C asset-backed notes, rated Baa2.
The Ford Credit Auto Owner Trust 2003-A transaction is FMCC's first public retail deal this year. The current transaction has a collateral pool that includes contracts with an APR less than the respective investor coupons on the securities issued. Contracts with low APRs are typically offered to FMCC's customers who could have otherwise purchased the vehicle outright for cash or would qualify for the most competitive financing terms elsewhere. While these contracts lower the overall yield on the pool, they are typically extended to high-quality obligors, which typically have a lower probability of default. The securities issued by Ford Credit Auto Owner Trust 2003-A are equal to 97.12% of the initial pool balance resulting in initial overcollateralization of 2.88%, which provides a cushion to absorb losses.
At the same time, the Yield Supplement Overcollateralization Amount (YSOA) of $150,574,428 was determined at closing to compensate for the low interest rates on some of the receivables. The YSOA will decline each month based on a schedule set out prior to closing. As in the prior transaction, the schedule was created by calculating all future payments due on the receivables as scheduled on a receivable by receivable basis. The predetermined YSOA schedule represents the sum of the aggregate difference between (i) the present value of the remaining scheduled payments discounted at the respective stated APR of the contract, and (ii) the present value of the remaining scheduled payments discounted at 6%. The Class A-2b, A-3b, A-4b and B-2 notes bear floating rates of interest while the underlying auto loans bear a fixed rate. To mitigate interest rate risk, the trust has executed interest rate swaps with Bank of America, N.A. and Bank One, NA. Under the swaps, the trust will pay fixed rates to the relevant swap counterparty and in return will receive an amount equal to LIBOR plus the relevant margin for the related class of notes.
The 2003-A pool features expanded selection criteria implemented initially for the 2001-C deal for the APR and original term ranges. Pool stratifications have historically been consistent with respect to credit score, new/used mix and seasoning. The pool also contains approximately 10% of receivables originated by Primus Automotive Financial Services, Inc., a wholly owned subsidiary of FMCC. Primus offers retail, wholesale and lease financing products to non-Ford franchised dealers and their customers. The receivables originated by Primus are underwritten and serviced in substantially the same manner as those originated by FMCC. The Aaa level of credit enhancement for this transaction is 8%, which is consistent with the prior transaction.
However, in noting the performance of recent transactions, Mack Caldwell, a senior credit officer with Moody's, remarked, "Performance observed in the 2002 static pools is better than the performance in the 2001 vintages at the same point in time, which may demonstrate Ford's focus on underwriting in an environment of deteriorating U.S. economic conditions and increased losses per liquidated vehicle." Credit support, in addition to the subordination of the lower rated classes, includes the $15,749,999 reserve account and the buildup of overcollateralization. The securities issued are 2% greater than the initial pool balance, net of the YSOA. Through the application of excess spread to the outstanding securities, the notes will eventually be brought into parity with the receivables pool and then allow for the build-up of overcollateralization to the targeted 1% level (which includes the 0.50% reserve account).
FMCC, which has its headquarters in Dearborn, Michigan, provides wholesale, retail, and lease financing, primarily to Ford dealers and is the world's largest auto finance company. Ford Motor Company, also headquartered in Dearborn, is the world's second largest automobile manufacturer. Ford's long term unsecured bonds are rated Baa1 while FMCC's long term unsecured bonds are rated A3. FMCC's rating for commercial paper is Prime-2.