HELIOS Finance Limited Partnership 2007-S1 : Finalizes Ratings to Series 2007-S1
AutoDBRS has today finalized the following ratings of the Credit-Linked Notes, Series 2007-S1 of HELIOS Finance Limited Partnership 2007-S1 (HELIOS):
-- AAA to $4,988,237,000 Class A-1
-- AA to $249,412,000 Class A-2
-- “A” to $249,412,000 Class A-3
-- BBB to $249,412,000 Class B-1
-- BB to $93,529,000 Class B-2
-- B to $93,529,000 Class B-3
-- B (low) to $19,953,000 Class B-4
Note that Classes B-1, B-2, B-3 and B-4 are 144A offerings and the notes were funded at closing. Retained risk positions, Classes A-1, A-2 and A-3, will require that rating agency conditions are satisfied if and when issued.
HELIOS Finance Limited Partnership 2007-S1 is a $6.2 billion dollar synthetic auto ABS transaction that references a portfolio of auto loans originated by Wachovia Dealer Services, Inc. (WDS), previously known as WFS Financial Inc. The credit-linked notes (initially the Class B-1 through Class B-4) have been issued by HELIOS and were funded at closing. Proceeds from the funded notes have been invested in eligible investments that will collateralize the credit-linked notes.
The credit risk of the reference portfolio is tranched and divided into risk positions that order the priority of losses in reverse sequential order. Each risk position has a notional amount and corresponds to a class of notes that may be issued at some future date. Under the CDS agreement, Wachovia Bank, as protection payer (CDS counterparty), pays to the issuer a fixed rate that covers expenses and coupon payments for the notes in excess of the earnings on the eligible investments. The Issuer is required to pay Wachovia Bank an amount equal to the net losses realized on the reference portfolio to the extent that they are allocable to a risk position corresponding to a funded class of notes.
Net losses are allocated on each distribution date and are allocated as impairment amounts first to the most subordinated risk positions. Each risk position is adjusted on the distribution date by the impairment amount. Credit-linked notes will not accrue interest on impaired amounts. Principal reduction amounts based on the amortization of the reference portfolio will be allocated first to the most senior positions and, after the step-down date, may be allocated pro rata among the risk positions for which no trigger event or risk position floor amounts have been hit.
The ratings of the offered notes and retained risk positions reflect the quality of the underlying reference auto loans, the credit quality of the eligible investments, to a limited extent the financial strength of the CDS counterparty (Wachovia Bank, N.A., rated AA by DBRS) and the integrity of the transaction legal structure.
Note:
All figures are in U.S. dollars unless otherwise noted.
Ratings
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