Fitch Rts DaimlerChrysler 2001-B ABS Nts `F1+'/`AAA'
NEW YORK--June 7, 2001--Fitch rates DaimlerChrysler Auto Trust (DCAT) 2001-B asset-backed notes as follows:| -- | $299,271,000 3.98% class A-1 notes, `F1+'; |
| -- | $615,000,000 4.25% class A-2 notes, `AAA'; |
| -- | $480,000,000 4.85% class A-3 notes, `AAA'; |
| -- | $405,000,000 5.32% class A-4 notes, `AAA'; |
| -- | $60,440,000 certificates, unrated. |
The ratings on the class A notes are based upon funds in the reserve account, subordination of the certificates, initial overcollateralization amount (Initial O/C) and yield supplement overcollateralization amount (YSOA) as well as the availability of excess spread to create additional overcollateralization. The ratings also reflect the high quality of the retail auto receivables originated by Chrysler Financial Company, L.L.C. (CFC) and the sound legal and cash flow structures. Fitch ratings address the likelihood of noteholders receiving full and timely payments of interest and principal by each note's legal final payment date.
Initial credit enhancement for the class A notes, equal to 7.0% of the initial securities principal balance (ISPB), is comprised of 3.25% subordination, 3.5% initial O/C and 0.25% reserve. The initial O/C is expected to increase to 4.0% of the current pool balance through the use of excess spread. On each distribution date, assuming the class A-1 notes have been paid in full, the reserve account is fully funded to its specified target, and the O/C amount is equal to 4.0% of the current outstanding balance, excess cash from the underlying receivables is released to DaimlerChrysler Retail Receivables LLC. Additionally, the reserve account is fully funded at closing to its target level of 0.25% of the ISPB, which increases credit enhancement as the pool amortizes. Reserve funds are used to cover any interest shortfalls, as well as retire any class of notes on its legal final distribution date if collections are not sufficient.
DaimlerChrysler's last transaction, 2001-A, included 13% Gold Key Plus Program contracts, which lowered the overall loss expectation for the pool. Contracts generated under the Gold Key Plus Program have fixed monthly payments, with a final balloon payment generally equal to the market value of the vehicle at maturity. Since only the monthly payments were securitized yet, in the event of default, full liquidation proceeds are available to cover remaining monthly payments, Fitch assigned 0% losses to the Gold Key Plus portion (13% in 2001-A) of the pool. Due to the exclusion, DCAT 2001-B has a higher overall base case loss estimate.
DCAT 2001-B receivables consist of new and used automobile and light-duty truck installment loans. The pool's weighted average APR of 6.56% points towards CFC's ongoing use of incentives. Incentive lending is common among captives and tends to attract more creditworthy borrowers resulting in lower loss frequency. 2001-B incorporates a YSOA to compensate for loans with contract rates below 5.25%. The YSOA boosts the pool's effective APR to 7.95% and ensures collections are sufficient to cover debt service and build O/C under expected conditions.
Interest and principal on the class A notes is expected to be distributed monthly, beginning July 6, 2001. Classes A-1 through A-4 are paid sequentially with no principal distributed to the certificateholders until all the class A notes have been paid in full. Similar to the three previous DCAT transactions, the certificates do not bear interest. Subordinating the certificates and eliminating interest ensures that all collections on the receivables first go to pay interest and principal to the senior bonds. Excess spread available to turbo the class A notes is also increased under this structure.