Fitch Takes Various Rating Actions on 3 Chrysler Financial Auto Securitization Trusts (CFAST)
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NEW YORK--May 18, 2011: As part of its ongoing surveillance process, Fitch Ratings upgrades 11 and affirms four classes from Chrysler Financial Auto Securitization Trust (CFAST) 2007-A, 2008-A and 2008-B transactions, and the related B note trusts as listed below.
The rating actions reflect the recent stabilization of cumulative net loss (CNL) performance, and the building credit enhancement (CE) in all transactions. The upgraded ratings also reflect improving loss coverage levels due to higher recovery rates and decreasing loss pass.
Despite higher than expected CNL and delinquencies, the cash flows available to service the outstanding debt in the transactions currently continue to allow CE to build on a nominal basis. 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 new ratings under Fitch's revised assumptions, and therefore upgrades all subordinate classes of outstanding notes for the transactions.
The securities are backed pools of new and used automobile and light-duty truck installment loans originated by Chrysler Financial.
Fitch takes the following rating actions:
Chrysler Financial Auto Securitization Trust 2007-A:
--Class A-4 notes affirmed at 'AAAsf'; Outlook Stable;
--Class B notes upgraded to 'AAsf' from 'A-sf'; Outlook Stable;
--Class C notes upgraded to 'Asf' from 'BBB-sf'; Outlook Stable.
Chrysler Financial Auto Securitization Trust 2008-A:
--Class A-4 notes affirmed at 'AAAsf'; Outlook Stable;
--Class B notes upgraded to 'AAsf' from 'Asf'; Outlook Stable;
--Class C notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable.
Chrysler Financial Auto Securitization Trust 2008-B:
--Class A-3a notes affirmed at 'AAAsf'; Outlook Stable;
--Class A-3b notes affirmed at 'AAAsf'; Outlook Stable;
--Class A-4a notes upgraded to 'AAAsf' from 'AAsf'; Outlook Stable;
--Class A-4b notes upgraded to 'AAAsf' from 'AAsf'; Outlook Stable;
--Class B notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable;
--Class C notes upgraded to 'BBBsf' from 'BBsf'; Outlook Stable.
Chrysler Financial Auto Securitization Trust 2007-A Note Trust
--Class B notes upgraded to 'AAsf' from 'A-sf'; Outlook Stable.
Chrysler Financial Auto Securitization Trust 2008-A Note Trust
--Class B notes upgraded to 'AAsf' from 'Asf'; Outlook Stable.
Chrysler Financial Auto Securitization Trust 2008-B Note Trust
--Class B notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'U.S. Auto Loan ABS Rating Criteria' dated April 20, 2011;
--'Global Structured Finance Rating Criteria' dated Aug. 16, 2010.
Applicable Criteria and Related Research:
U.S. Auto Loan ABS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=614367
Global Structured Finance Rating Criteria