NEW YORK - (Business Wire) Fitch Ratings takes the following rating actions on the classes of asset-backed notes issued by two Wachovia Auto Loan Owner Trusts (WALOT) as listed below:
Wachovia Auto Loan Owner Trust, Series 2006-2 (2006-2):
--Class A-3 affirmed at 'AAA';
--Class A-4 affirmed at 'AAA';
--Class B affirmed at 'AA';
--Class C affirmed at 'A';
--Class D affirmed at 'BBB+'
--Class E affirmed at 'BB'.
Wachovia Auto Loan Owner Trust, Series 2007-1 (2007-1):
--Class A-2 affirmed at 'AAA';
--Class A-3 affirmed at 'AAA';
--Class B affirmed at 'AA';
--Class C affirmed at 'A';
--Class D affirmed at 'BBB', removed from Rating Watch
Negative;
--Class E affirmed at 'BB', removed from Rating Watch Negative.
The class A-1 notes have been paid in full in both 2006-2 and 2007-1. The rating actions reflect the current performance of each transaction in comparison to Fitch's original base case expectations for both delinquencies and cumulative net losses (CNL). Both 2006-2 and 2007-1 transactions were placed 'Under Analysis' by Fitch in mid-October when they breached one of Fitch's surveillance-screener logic metrics. The class D and E notes of the 2007-A transaction were initially placed 'Under Analysis' in May earlier this year, and subsequently placed on Rating Watch Negative on June 11, 2008.
Current loss performance for both transactions is worse than originally expected and Fitch revised its future, projected performance for the transactions accordingly. Through month 23 (the October collection period for both transactions), 2006-2 had total delinquencies of 5.20% and CNL were at 3.51%. 2007-1 had total delinquencies of 4.85% and CNL were at 3.29% through 16 months. Fitch has noted that the delinquency and CNL performance of both transactions have continued to exhibit weaker trends in the recent months.
Despite higher than expected CNL and delinquencies, the cash flows available to service the outstanding debt in the transactions currently continues to allow credit enhancement (CE) to build on a nominal basis for both transactions. Fitch analyzed the transactions incorporating stresses of the revised base case CNL assumptions, the timing of the remaining losses, and various prepayment assumptions. Based on the analysis, Fitch concluded that CE is currently adequate to support the existing ratings under Fitch's revised assumptions, and therefore affirms all classes of outstanding notes for both transactions removing the class D and E notes in 2007-1 from Rating Watch Negative.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
Fitch Ratings, New York
Hylton Heard, 212-908-0214
David Petu, CFA, 212-908-0280
John Bella, Jr., 212-908-0243
or
Media Relations:
Sandro Scenga, 212-908-0278
Email: sandro.scenga@fitchratings.com
