Fitch Rates SBB&T Automobile Loan Securitization Corp

    NEW YORK--Feb. 7, 2001--Fitch rates SBB&T Automobile Loan Securitization Corp.'s issuance, which closed on Jan. 24, 2001, as follows:

    --$53,736,038 6.13% asset-backed notes, class A, series 2000-A,
    `AAA';

    --$4,453,263 6.90% asset-backed notes, class B, series 2000-A,
    `A-'.

    The ratings on the class A and B asset-backed notes are based on their respective levels of subordination, overcollateralization, amounts in the reserve account and the availability of excess spread. Ratings on the notes reflect the quality of Santa Barbara Bank & Trust's (SBB&T) prime indirect new and used automobile retail installment contract originations and servicing ability, as well as the sound financial and legal structure of the 2000-A transaction.
    The ratings address the receipt of timely interest and the full payment of principal by the legal final maturity date. Principal and interest on the notes is paid on the 15th day of each month or the next following business day, commencing on Feb. 15, 2001. Interest and principal is paid pro-rata between the class A and B notes, unless a trigger event occurs (more fully discussed below).
    Initial credit enhancement for the class A notes is equal to 10.50% of the original principal balance, which consists of 7.50% subordination of the class B notes, 2.00% overcollateralization and the 1.00% reserve account (growing to 1.50% of the original collateral balance). The class A notes, which represent 90.50% of the aggregate principal balance on the notes, will receive 92.35% of the monthly principal distributable amount during the first six months of the transaction, and 92.50% thereafter. The larger allocation of principal to the class A notes during the first six months is designed to build credit enhancement for the class A notes. If a reserve or payout trigger event (determined monthly by the cumulative net loss rate) occurs, the class A notes receive 100% of principal, effectively converting the transaction into a sequential pay structure.
    Initial credit enhancement for the class B notes is 3.00%, which consists of 2.00% overcollateralization and the 1.00% reserve account (growing to 1.50% of the original collateral balance). The class B allocation of monthly principal is 7.50%. If a reserve or payout trigger event occurs, no principal is paid to the class B notes until the class A notes are paid in full.
    The reserve account will be funded at closing in an amount equal to 1.00% of the cutoff date principal balance, and will increase to 1.50% of the cutoff date by capturing excess spread. The reserve account required amount is 1.50% of the cutoff date principal balance, and is non-declining throughout the life of the transaction. As the pool amortizes, the reserve account will grow as a percentage of the outstanding collateral balance, effectively increasing credit enhancement. In a reserve trigger or delinquency trigger event, the reserve account required amount shall equal 100% of the class A and B notes. In a payout trigger event, any amounts on deposit in the reserve account will be distributed to the class A notes until their balance is zero, and then any remaining amounts will be distributed to the class B notes.
    The pool consisted of 4,489 indirect new and used motor vehicle retail installment contracts in the pool, with an initial principal balance of $59,376,838. The average principal balance was $16,605, and the weighted average APR was 10.03%. The weighted average remaining term of the receivables was 51 months, and at closing the pool has approximately 13 months seasoning. The new used vehicle composition was 41.66%/58.34%. Receivables are geographically concentrated with California (98.43%), primarily in Santa Barbara, Ventura, Monterey, Santa Cruz, Santa Clara, and San Benito Counties.
    To derive a base case loss estimate for the 2000-A transaction, Fitch analyzed several years of portfolio performance data. Data was provided on both an aggregate and static pool basis for gross and net losses, and recoveries. To derive credit enhancement, Fitch stressed various factors that impact auto loan securitizations, including the performance of the underlying auto loans, a servicing disruption or transfer, an economic downturn, vehicle recalls, or lower than expected recovery rates on repossessed vehicles. Business and credit stress scenarios were applied to the collateral selected for the 2000-A pool to insure the structure is sufficient to withstand `AAA'/`A-' scenarios. In addition, Fitch increased traditional stress multiples to account for the geographic concentration within the receivables pool. Under the available credit enhancement, the class A notes can sustain in excess of 5 times (x) base case cumulative net loss estimate, which is sufficient to earn a `AAA' rating. The class B notes can sustain in excess of 3x Fitch's base case cumulative net loss estimate, which is sufficient to earn a `A-' rating.
    SBB&T is a subsidiary of Pacific Capital Bancorp, a $3.7 billion in assets, multi bank holding company. SBB&T operates 28 branches serving customers in Santa Barbara and Ventura counties. SBB&T has originated $180 million in indirect automobile loans since 1995, through a network of automobile dealers. SBB&T's auto loan portfolio has grown steadily since 1998. The company has indicated that it will continue is will actively pursue expansion of it indirect auto loan originations. Currently there are 129 dealers within SBB&T's network. Fitch conducted an on-sight operations review, covering aspects of the company's auto lending activities, including originations, dealer network development, marketing, underwriting, collections and repossessions practices.