Chevy Chase Auto Receivables Trust 2001-1 Rated `AAA' By Fitch
NEW YORK--March 22, 2001--Fitch rates Chevy Chase Auto Receivables Trust 2001-1:| -- | $85,000,000 class A-1 4.87125% asset-backed notes 'F1+'; |
| -- | $95,000,000 class A-2 4.77% asset-backed notes 'AAA'; |
| -- | $125,000,000 class A-3 5.02% asset-backed notes 'AAA'; |
| -- | $84,500,000 class A-4 5.41% asset-backed notes 'AAA'; |
| -- | $12,029,000 class B 6.01% asset-backed notes 'A+'. |
The ratings on the class A notes are based upon initial hard credit enhancement of 3.25% consisting of the 3% class B notes, and the 0.25% initial deposit into the reserve account. The ratings on the class B notes are based upon initial hard credit enhancement of 0.25% provided by the reserve account. Additional enhancement is provided through the excess spread generated from the differential between the coupon on the notes and the coupon on the receivables. Excess spread is used to increase the reserve account to the target of 0.75% of the initial receivables balance at which level it will remain. The overcollateralization percentage is initially 0%, however, through the application of excess spread O/C will grow to the target of 1.75% of the current pool balance less the amount on deposit in the reserve account. Enhancement for the 2001-1 transaction was lower than that for both 2000 deals as a result of a continued strong portfolio performance and the current interest rate environment. Note coupons are considerably lower for 2001-1 resulting in greater available excess spread and allowing a decrease in hard credit enhancement for both the class A and B notes. The ratings of all classes reflect the high quality of the underlying retail installment sales contracts, the sound legal and cash flow structure, and the underwriting strength and servicing experience of Chevy Chase Bank. As in the past two securitizations, the 2001-1 deal includes only prime quality auto loans.
Interest and principal are payable monthly, beginning on April 16, 2001. The 2001-1 transaction provides significant structural protection through a shifting payment priority mechanism designed to guard against deteriorating collateral performance. On each monthly payment date, the collateral balance as of the end of the previous calendar month will be compared with outstanding principal balance of the class A notes. The amount by which the class A note balance exceeds the collateral balance will be allocated as a parity principal payment from available collections after payment of the class A interest amount but before payment of class B interest. Similar allocations are made for the class B notes. It should be noted that under each of Fitch's stressed cash flow rating scenarios the corresponding class of notes received full and timely interest and ultimate payment of principal.
Based on Chevy Chase's prime retail portfolio performance, Fitch expects excellent performance from the pool of receivables in the 2001-1 securitization. As of Dec. 31, 2000, Chevy Chase's net prime retail portfolio of approximately $1.57 billion had 60+ day delinquencies as a percentage of auto loans outstanding of 1.48%, and annualized net losses as a percentage of the average outstanding principal balance were 0.64%.