Ford Credit Auto Owner Trust 2001-C Rated `AAA' By Fitch
NEW YORK--May 25, 2001--Fitch rates Ford Credit Auto Owner Trust 2001-C as follows:| -- | $150,000,000 class A-1 4.021% asset-backed notes `F1+'; |
| -- | $250,000,000 class A-2 3.947% asset-backed notes `F1+'; |
| -- | $800,000,000 class A-3 4.21% asset-backed notes `AAA'; |
| -- | $650,000,000 class A-4 4.83% asset-backed notes `AAA'; |
| -- | $164,965,000 class A-5 5.25% asset-backed notes `AAA'; |
| -- | $74,635,000 class B 5.54% asset-backed notes `A'. |
The ratings on the class A and B notes are based upon their respective levels of subordination, the specified credit enhancement amount, which consists of funds in the reserve account and overcollateralization, and the yield supplement overcollateralization amount (YSOC, explained below). All ratings reflect the transaction's sound legal structure, the high quality of the retail auto receivables originated by Ford Motor Credit Company (Ford Credit) and the strength of Ford Credit as servicer.
The 2001-C transaction incorporates the YSOC feature to compensate for receivables in the pool whose interest rates are below 8.0%. The YSOC is subtracted from the pool balance in calculating bond balances and the first priority, second priority, and regular principal distribution amounts, resulting in the creation of `synthetic' excess spread that enhances the receivables' yield and is available to cover losses and turbo the class of securities then entitled to receive principal payments.
Initial collateralization for the class A notes as a percentage of collateral balance less YSOC is 6.0% and consists of 5.5% subordination from the class B notes (3.5%) and the class C certificates (2.0%), and the 0.5% initial deposit to the reserve account. After the closing date, the specified credit enhancement amount for all classes of notes and certificates, which consists of both the reserve account and overcollateralization, is 1.0%, thereby bringing the total target class A credit enhancement to 6.5%. Initial collateralization for the class B notes as a percentage of collateral balance minus YSOC is 2.5% and consists of the 2.0% subordination of the class C certificates and the 0.5% reserve account. The target enhancement is 3.0% and is made up of the subordination of the class C certificates and the specified credit enhancement, as described above.
In addition to collateralization levels for each class of notes discussed above, under the expected base case scenario excess spread provides an additional 2% enhancement in the form of class D (privately placed) subordination. On the closing date, the aggregate principal balance of the notes and certificates will be 102% of the initial pool balance less the YSOC. The class D certificates represent the uncollateralized 2%. During amortization, both excess spread and principal collections are available to reduce the bond balance. Hence, if excess spread is positive the bonds will amortize more quickly than the collateral. It is this mechanism that ensures that the class D certificates are collateralized and the specified credit enhancement level is achieved.
Furthermore, the 2001-C transaction provides significant structural protection through a shifting payment priority mechanism. In each distribution period, a test will be performed to calculate the amount of desired collateralization for the notes versus the actual collateralization. If the actual level of collateralization is less than the desired, then payments of interest to subordinate classes may be suspended and made available as principal to higher rated classes.
Based on the loss statistics of Ford Credit's prior securitizations, and Ford's U.S. retail portfolio performance, Fitch expects excellent performance from the pool of receivables in the 2001-C pool. For the three months ending March 31, 2001, Ford's net retail portfolio of approximately $77.612 billion had 60+ day delinquencies as a percentage of average contracts outstanding of 0.66%, and net losses as a percentage of the average net outstanding principal balance were 1.29%.