BMW Vehicle Owner Trust 2001-A Rated `AAA' By Fitch
NEW YORK--May 22, 2001--Fitch rates BMW Vehicle Owner Trust 2001-A as follows:| -- | $329,000,000 class A-1 3.98875% asset-backed notes `F1+'; |
| -- | $448,000,000 class A-2 4.26% asset-backed notes `AAA'; |
| -- | $449,000,000 class A-3 4.70% asset-backed notes `AAA'; |
| -- | $274,000,000 class A-4 5.11% asset-backed notes `AAA'; |
| -- | $31,800,000 class B-5 5.46% asset-backed notes `A+'. |
The ratings on the class A and B notes are based upon their respective levels of subordination, funds in the reserve account, overcollateralization, and the yield supplement overcollateralization amount (YSOC, explained below). All ratings reflect the transaction's sound legal structure, and the high quality of the retail auto receivables originated and serviced by BMW Financial Services NA, LLC (BMW FS). An unrated class of certificates representing the equity interest in the trust was retained by the issuer.
The 2001-A transaction incorporates the YSOC feature to compensate for receivables in the pool whose interest rates are below 6.10%. The YSOC is calculated on each distribution date as the sum of the excess if any of the present value of the remaining scheduled payments due on each receivable discounted at its APR over the present value of the remaining scheduled payments due on each receivable discounted at the greater of the APR on the contract or 6.10%. Thus, the weighted average effective APR is 8.11%. The bonds issued by the trust will be sized off the collateral balance minus the initial YSOC, resulting in overcollateralization that generates `synthetic' excess spread available to fund the reserve account to its target and to cover losses.
Initial enhancement for the class A notes is 3.5% and consists of 2.0% subordination from the class B notes, and the 1.5% initial deposit to the reserve account. Initial enhancement for the class B notes is provided by the 1.5% initial deposit to the reserve fund. Excess spread is used to fund the reserve account to its target of 2.50% of the ongoing pool balance providing both the class A and B notes with additional enhancement.
A prefunding account was established using proceeds from the sale of notes to purchase additional receivables throughout the prefunding period which begins at closing and is scheduled to end in October 2001. Additional receivables are bound to eligibility restrictions to assure the continued quality of the aggregate pool after any future additions. Funds remaining in the account at the end of the prefunding period are used to pay down the principal on the outstanding notes sequentially, unless more than $100,000 is remaining. In this case, the remaining funds are distributed amongst the outstanding notes on a pro rata basis.
Interest and principal on the notes is distributed monthly, beginning June 25, 2001. The 2001-A transaction incorporates a payment mechanism that can redirect class B interest payments to pay principal on higher rated classes. This is done through the utilization of a First Priority Principal Distribution Amount (FPPDA). Please see Fitch's `BMW Vehicle Owner Trust 2001-A Presale Report' on Fitch's web site, `www.fitchratings.com', for a more detailed explanation of the FPPDA, RPDA, prefunding period, and other structural features.
Based on the loss statistics of BMW FS's U.S. retail portfolio performance, Fitch expects excellent performance from the pool of receivables in the 2001-A pool. For the year ending Dec. 31, 2000, BMW's retail portfolio of approximately $2.467 billion had 60+ day delinquencies as a percentage of average principal amount outstanding of 0.64%, and net losses as a percentage of the average principal amount outstanding were 0.51%.