Fitch IBCA Assigns Ratings to Key Auto Finance Trust 1999-1 - Fitch IBCA -
24 March 1999
Fitch IBCA Assigns Ratings to Key Auto Finance Trust 1999-1 - Fitch IBCA -
NEW YORK, March 24 -- Fitch IBCA assigns the following
ratings to securities issued by Key Auto Finance Trust 1999-1:
-- $108.0 million class A-1 4.96% asset-backed notes 'F1+';
-- $149.8 million class A-2 5.273% asset-backed notes 'AAA';
-- $96.3 million class A-3 5.63% asset-backed notes 'AAA';
-- $140.7 million class A-4 5.83% asset-backed notes 'AAA';
-- $38.7 million class B 6.00% asset-backed notes 'A';
-- $27.2 million class C 7.08% asset-backed notes 'BBB'; and
-- $12.6 million 9.38% asset-backed certificates 'BB+'.
The certificates are not being publicly offered.
The ratings are based on the quality of the underlying collateral; a
reserve account, fully funded at closing to 3% of the pool balance; the
availability of excess spread; and the sound legal and cash flow structure. In
addition, the ratings on the class A notes, class B notes and class C notes
are based on the subordination provided by the lower rated notes and/or the
certificates. The ratings address the likelihood of payment of full and
timely interest and ultimate principal by the final scheduled distribution
date of each class.
The collateral securing the notes and certificates is a pool of motor
vehicle promissory notes and/or retail installment sale contracts with an
aggregate outstanding balance of approximately $555.3 million. The
receivables were originated or purchased by Key Bank USA, National
Association, or its affiliates, including Automotive Specialty Finance (ASF).
Approximately 9.7% of the aggregate receivables balance was originated or
purchased by ASF, which focuses on non-prime borrowers.
Securities issued will exceed the principal balance of receivables in the
pool by approximately 3.25% at closing. However, excess spread will be
available and will be utilized to turbo the securities until the outstanding
balance of securities and receivables achieve parity. Thereafter, excess
spread, after covering losses and funding the reserve account, if necessary,
will be released to the seller or servicer. Stress scenarios were run to
ensure that investors receive interest and principal even under severe
business and credit scenarios. Each class of securities can sustain loss
multiples consistent with its rating.
In addition to subordination and the availability of excess spread, credit
enhancement will be provided by the reserve account. The reserve account will
be fully funded at closing to the specified level of 3% of the pool balance.
If the receivables pool experiences deterioration in performance, the
specified level of the reserve account will be increased. This mechanism will
limit the amount of excess released from the deal in the event of asset
deterioration.
Interest and principal on the notes and certificates is distributed on the
15th of each month, or next business day, beginning April 15, 1999. Principal
payments on the notes will first be made to the class A-1 notes, until their
balance has been reduced to zero. Thereafter, principal payments will be made
pro rata among the class A notes, class B notes, class C notes and
certificates, with all principal allocated to the class A notes being paid
sequentially within that class, with the class A notes with the lowest numeric
designation receiving principal first.
The collateral pool consists of over 36,400 receivables, with an average
principal balance of $15,232. The weighted-average coupon on the collateral is
11.40%, and the weighted-average remaining term is 61 months. Seasoning on
the pool is three months. Approximately 31% of the principal balance of
receivables were used to finance new cars, with the remaining 69% financing
used cars. There is slight geographic concentration in the pool, with
California, Washington, Texas and New York accounting for 15.28%,
9.24%, 8.93% and 6.72% of the pool, respectively. No other state accounts for
more than 6% of the pool.