Ford Credit Auto Owner Trust 1999-B Expects AAA Rating by Fitch IBCA
20 May 1999
Ford Credit Auto Owner Trust 1999-B Expects AAA Rating by Fitch IBCA - Fitch IBCA -
NEW YORK, May 19 -- Fitch IBCA expects to rate the Ford
Credit Auto Owner Trust 1999-B as follows:
-- $476,000,000 class A-1 4.978% asset-backed notes, 'F1+'
-- $350,000,000 class A-2 5.114% asset-backed notes, 'F1+'
-- $1,039,000,000 class A-3 5.47% asset-backed notes, 'AAA'
-- $610,650,000 class A-4 5.80% asset-backed notes, 'AAA'
-- $250,000,000 class A-5 5.91% asset-backed notes, 'AAA'
-- $250,000,000 class A-6 5.99% asset-backed notes, 'AAA'
-- $110,200,000 class B 6.16% asset-backed notes, 'A'
-- $62,975,000 class C 6.65% asset-backed certificates, 'BBB+'
The expected ratings on the class A and B notes are based on their
respective levels of subordination, the specified credit enhancement amount
(explained below), which consists of funds in the reserve account and
overcollateralization, and the yield supplement overcollateralization amount
(YSOC, also explained below). The expected rating on the class C
asset-backed certificates is based on the credit support provided by
subordination, the specified credit enhancement amount, and the YSOC. All
ratings reflect the transaction's sound legal structure and the high quality
of the retail auto receivables originated and serviced by Ford Motor Credit.
The 1999-B transaction incorporates the YSOC feature, introduced in the
1999-A transaction and designed to compensate for receivables in the pool
whose interest rates are below 9%. The YSOC is a predetermined dollar amount
calculated for each distribution date as the sum of the excess, if any, of the
present value of the scheduled payments for each receivable discounted at its
respective annual percentage rate (APR) over the present value of the
scheduled payments for each receivable discounted at 9%. 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 available to cover
losses and turbo the class of securities then entitled to receive principal
payments.
Initial credit enhancement for the class A notes as a percentage of
collateral 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, 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 credit enhancement for the class B notes
as a percentage of collateral 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.
Credit protection for the class C certificates, initially 0.5%, consists of
the reserve account and the specified credit enhancement amount, and increases
to 1.0% as overcollateralization builds to its target level.
In addition to credit enhancement levels for each class of notes and
certificates 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 (all notes and certificates) 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 1999-B 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 overcollateralization for the notes versus the actual
overcollateralization. If the desired level of overcollateralization is less
than the actual, then payments of interest to subordinate classes will be
suspended and made available as principal to higher rated classes.
Approximately 70.1% of the principal balance of the receivables represent
financing for new vehicles, down from 77.5% in the 1999-A transaction. The
pool is well diversified geographically with only Texas (10.6%) constituting
more than 10% of the pool. Other major states with concentrations over
5% include California (9.9%), Florida (7.9%), and Illinois (5.7%). As of the
cutoff date, the receivables had a weighted average remaining maturity of
approximately 44.7 months compared to 47.3 and 48.6 months in the Ford 98-C
and 98-B transactions, respectively. The receivables pool has a weighted
average seasoning of 9.8 months, up slightly from 7.9 months in the Ford 99-A
transaction. The weighted average APR on the pool (7.17%) is lower than
previous Ford transactions, due to Ford's recent subvention strategy.
Principal and interest on the notes and certificates is expected to be
distributed monthly. Classes A-1 through A-6 are sequential pay note classes.
In addition, no principal will be distributed to the class B notes until the
class A-6 notes are paid in full, and no principal will be paid to the
certificateholders until the class B notes have been paid in full. Fitch
IBCA's ratings address the likelihood of full and timely payments of interest
and principal by the stated final maturity date of each class.
Based on the loss statistics of Ford Credit's prior securitizations, as
well as Ford's U.S. retail portfolio performance, Fitch IBCA expects excellent
performance from the pool of receivables in the 1999-B pool. For the three
months ended March 31, 1999, Ford's net retail portfolio of approximately
$48.579 billion had 60+ day delinquencies as a percentage of average contracts
outstanding of 0.40%, and net losses as a percentage of the average net
outstanding principal balance were 1.06%.