S&P Rates Chevy Chase Auto Receivables Trust 1997-3 Certificates AAA
29 September 1997
S&P Rates Chevy Chase Auto Receivables Trust 1997-3 Certificates AAA
NEW YORK, Sept. 29 -- Standard & Poor's today assigned its
triple-'A' rating to Chevy Chase Auto Receivables Trust 1997-3's
$193.95 million 6.20% auto receivables class A backed certificates.
The rating is based on a surety bond provided by MBIA Insurance Corp.
(MBIA; triple-'A' claims-paying ability rating) which guarantees timely
payment of interest and principal. The certificates will have a final
distribution date of March 20, 2004.
This transaction will represent the eighth securitization of automobile
loans for Chevy Chase. The previous transactions have all been rated
triple-'A'. Chevy Chase acquires automobile loans to both prime borrowers and
through its wholly owned subsidiary, Consumer Finance Company (CFC), to
subprime borrowers.
Sub-prime loans originated by CFC are becoming a more significant portion
of Chevy Chase's automobile securitizations. The sub-prime portion of this
pool comprises 44.1%. The sub-prime portion of the four previous securitized
pools were 33.2%, 25.5%, 19.5%, and 23%. CFC began originating loans in
December of 1994. Its portfolio was $299.7 million as of June 30, 1997. For
the six months ended June 30, 1997 the annualized net losses on the CFC
portfolio were 4.61%, an increase from 3.63% for the three months ended
March 31, 1997 and 2.49% for the year ended Dec. 31, 1996. Standard & Poor's
believes that these net loss numbers are understated relative to expected
losses because a large portion of the portfolio has recently been originated
and as a result, has not begun to experience its peak loss curve. CFC's
portfolio delinquency (including repossessed inventory) statistics increased
to 10.94% at June 30, 1997 from 10.78% at Dec. 31, 1996 and 8.11% at Dec. 31,
1995. Although the loss and delinquency levels are consistent with CFC's peer
group, the rate of increases in losses has been very fast. Standard & Poor's
has increased its expected loss assumption on the CFC portfolio relative to
previous transactions. As a result, credit support was increased.
Delinquencies (including repossessions) on the prime portfolio decreased
from 1.99% at year-end 1996 to 1.69% at June 30, 1997. Chevy Chase's
delinquency statistics are comparable to other bank's prime auto loan
portfolios. Annualized net losses on the prime portfolio were 1.00% for the
six months ended June 30, 1997. Annualized net losses were 0.62% in 1996,
0.51% in 1995, 0.22% in 1994, 0.44% in 1993, and 0.78% in 1992.
Standard & Poor's expects this pool to experience approximately 6.00%
cumulative net losses. Standard & Poor's believes the internal credit support
available to the class A certificateholders represents an investment-grade
risk to MBIA. The internal credit support consists of approximately
5.50%-6.00% annualized excess spread, 4% subordinated certificates, and a
reserve account funded with a 1.80% initial deposit which builds to 1.95% of
the current receivables balance and amortizes to 1.0% of the original
receivables balance.
Chevy Chase Bank F.S.B. is a federally chartered stock savings bank
headquartered in Chevy Chase, Md. Chevy Chase is also an active issuer of
asset-backed securities backed by credit card and home equity receivables,
Standard & Poor's said. -- CreditWire
SOURCE Standard & Poor's CreditWire