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DCR Ratings of Sub-prime Auto Loan Securitizations

8 February 1999

DCR Ratings of Sub-prime Auto Loan Securitizations Show Continued Volume Growth

    NEW YORK, Feb. 5 -- During 1998, the number of sub-prime auto
loan securitizations rated by Duff & Phelps Credit Rating Co. (DCR) was down
slightly from the previous year in which eleven deals were rated.  DCR rated
nine sub-prime auto loan securitizations that represented $1.157 billion in
issuance.  All nine transactions were issued by established originators that
had previously come to market.  Although there were fewer deals, the dollar
volume was higher.
    The increase in volume was due to a late fourth-quarter transaction from
Household Financial Corp., totaling $771 million.  Household Automobile
Revolving Trust I, Series 1998-1, a publicly placed securitization, consisted
of eight tranches and was enhanced via overcollateralization, subordination,
and a reserve account.  Classes A-1, A-2, A-3, A-4, and A-5 all earned 'AAA'
(Triple-A) ratings from DCR.  Classes B-1, B-2, and C were assigned 'AA'
(Double-A), 'A' (Single-A), and 'BBB' (Triple-B) ratings, respectively.
    DCR rated three Triad Financial Corporation securitizations during 1998.
The privately placed securitizations, totaling $207 million, were all
senior/subordinated structures and placed by ContiFinancial Services
Corporation.
    The year produced another securitization from Security National Automotive
Acceptance Corporation, its second.  SNAAC Securitization Corp. II, a
$31.9 million issue placed by PNC Capital Markets, Inc. earned 'A' (Single-A)
and 'B' (Single-B) ratings on its Class A and Class B Notes, respectively.
    Three transactions rated by DCR were wrapped by surety bonds in 1998
compared to only one in 1997.  MBIA Insurance Corporation provided an
unconditional guarantee of timely interest and ultimate principal for the
Class A Notes in FirstCity Auto Receivables Trust 1998-3.  The 'AAA'
(Triple-A) rated Notes were also enhanced by overcollateralization and a
reserve account.
    Steady growth in the sub-prime auto securitization market is expected in
1999.  Due to the financial difficulties experienced by a number of auto
finance companies in the industry over the past few years, DCR anticipates
most transactions will come from repeat issuers and established auto finance
companies.
    DCR's rating approach for analyzing sub-prime auto loan securitizations is
detailed in the DCR Special Report:  DCR's Policy on Sub-prime Auto
Transactions.  Copies of this report as well as New Financing Reports on
specific sub-prime auto loan transactions are available by contacting the DCR
Rating Hotline at 312-368-3198 or hotline@dcrco.com.