Who Really Owns Your Car?
19 February 1998
S&P Rates Chase Manhattan Auto Owner Trust 1998-A
NEW YORK, Feb. 18 -- Standard & Poor's assigned its ratings
to Chase Manhattan Auto Owner Trust 1998-A's asset backed notes classes A-1
through A-4 and asset backed certificates (see list below).
The ratings are based primarily on:
-- A 3.0% subordination for the notes provided by the certificates;
-- A 3.0% cash reserve account supporting both the notes and the
certificates;
-- Approximately 2.35% annual excess spread;
-- Strong historical loss experience of Chase Auto Finance's (CAF)
portfolio; and
-- A sound legal structure.
The reserve fund builds from 1.50% of the original pool balance to 3.0%
of the current balance and will amortize to a floor of 0.75% of the original
pool balance. There are performance based triggers, which would result in
increasing the reserve account requirement to 6.0% of the current balance from
3.0%.
The class A-1 notes have a legal final maturity of 13 months and benefit
from principal collections and excess spread until retired. Standard & Poor's
utilized conservative cash flow assumptions to test cash flow coverage of
timely interest and repayment of principal by the legal final maturity. These
assumptions included an absolute prepayment speed (ABS) of 0.50%, zero losses,
and 40% rolling delinquencies.
Chase Manhattan Bank USA N.A., purchases motor vehicle installment sales
contracts through CAF. As of Dec. 31, 1997 CAF's indirect auto loan portfolio
outstanding was $11.1 billion. Portfolio performance continues to be
excellent. As of Dec. 31, 1997, delinquencies including repossessed inventory
were 2.23% compared to 2.02% as of Dec. 31, 1996. Although delinquencies have
increased, CAF's portfolio compares favorably to its peer group. Annualized
net losses for the year ending Dec. 31, 1997 were 0.44%. Annualized net losses
were 0.24% in 1996, 0.12% in 1995 and 0.12% in 1994. The increased losses can
be attributed to a slower growing portfolio resulting in an increased portion
of the portfolio being subject to its peak loss curve.
The 1998-A receivables pool is comprised of automobile installment sales
contracts to prime borrowers. There is a 9% increase in new automobiles (54%
total) from the 1997-B securitization, the last term transaction. There has
been a 14.9% increase in Texas paper in this securitization compared to the
1997-B term deal due to Chase's assumption of an affiliate of relationships
with a large number of Dealers in Texas at year end. This increased
concentration has been factored into Standard & Poor's expected losses for
Chase. The top three state concentrations are in Texas (28.3%), California
(12.5%), and New York (8.00%). Other pool characteristics are very similar to
previous securitizations. The weighted average seasoning on this pool is 1.11
months. The average contract balance is $16,622 and the weighted average
contract rate of the receivables is 9.12%.
The receivables were originated by CAF and were then purchased by Chase
Manhattan Bank N.A. The receivables were then subsequently sold to Chase
Manhattan Auto Owner Trust 1998-A. The receivables are serviced by Chase USA
(Delaware). Series 1998-A is Chase's 10th term securitization of automobile
loans, Standard & Poor's said. -- CreditWire
RATINGS ASSIGNED
Rating
$238 million class A-1 5.549% asset backed notes A-1+
$204 million class A-2 5.679% asset backed notes AAA
$294 million class A-3 5.70% asset backed notes AAA
$246 million class A-4 5.80% asset backed notes AAA
$30.62 million 6.00% asset backed certificates A+
SOURCE Standard & Poor's CreditWire