S&P Assigns Rtgs to Bay View 1999-LG-1 Auto Certs
17 December 1999
S&P Assigns Rtgs to Bay View 1999-LG-1 Auto Certs
NEW YORK--Standard & Poor's--Dec. 16, 1999-- Standard & Poor's assigned its ratings to Bay View 1999-LG-1 Auto Trust's automobile receivable-backed certificates (see list).The ratings are based primarily on a financial guarantee insurance policy issued by MBIA Insurance Corp. (MBIA; triple-'A' insurer financial strength rating). The policy guarantees payment of monthly interest and principal up to the financial guarantee insurance policy amount.
Monthly interest for the certificates will be distributed pro rata based on amounts due. Monthly principal for the class A-1 through A-4 certificates will be paid sequentially. The class I certificates are interest-only certificates and will not be entitled to any principal distributions.
The class I planned amortization interest-only certificates pay interest equal to 1.50 percent per year on the notional principal amount, which initially is US$184.64 million, or slightly below 75 percent of the initial receivable balance of US$246.77 million. If the receivables prepay at a constant rate higher than 2.5 percent absolute prepayment speed, the notional principal amount may be reduced more quickly than scheduled, which could result in a reduced yield to class I certificateholders or in the failure of investors to recoup their initial investment.
Standard & Poor's rating does not evaluate the possibility that class I certificate holders may suffer a lower-than-anticipated yield or might fail to recoup their investment as a result of prepayments. The 'r' symbol is attached to the rating of the class I certificates to alert investors that the certificates may experience high volatility or dramatic fluctuations in their expected returns because of market risk.
The 1999-LG-1 securitized pool consists of lower prime auto receivables (that is, loans with essentially prime obligors but with higher advance rates and longer payment terms). The originator of the auto loans, Bay View Acceptance Corp. (BVAC), typically advances a maximum of 125 percent of either retail invoice or wholesale value including taxes, licenses, and warranty insurance.
The longest contract term is 96 months. However, contracts greater than 72 months make up 19.84 percent of the pool, and the weighted average remaining term is 57 months. The weighted average contract rate for this pool is approximately 12.92 percent. New and used vehicles make up 24.46 percent and 75.54 percent of the securitized pool, respectively. A strength of the transaction is the 15-month weighted average seasoning of the receivables pool.
For the fiscal years ended December 31, 1996, 1997, 1998, and the nine months ended Sept. 30, 1999, BVAC and/or the other named lienholders acquired motor vehicle loans aggregating US$98 million, US$312 million, US$432 million, and US$372 million, respectively. At Sept. 30, 1999, the serviced portfolio of BVAC (consisting of the principal balance of receivables held to maturity and securitized receivables) totaled approximately US$748 million. The depositor is a wholly owned bankruptcy-remote subsidiary of Bay View Capital Corp.
BVAC's delinquency rates have been extremely low. Total delinquencies (30-days plus) as a percent of serviced portfolio (in U.S. dollars) have been 0.66 percent, 0.81 percent, 1.00 percent, and 0.82 percent at year end from 1995-1998, respectively, and 0.54 percent as reported for nine months ended Sept. 30, 1999.
BVAC's credit loss experience has been in line with other prime originators. Net losses as a percentage of average serviced portfolio were 1.28 percent, 1.61 percent, and 1.49 percent at year end from 1996-1998, respectively, and 0.98 percent for nine months ended Sept. 30, 1999.
Standard & Poor's examined portfolio performance as well as the 1997-RA-1 securitization to estimate expected cumulative net losses of 2.50 percent-3.00 percent of the initial pool balance.
Bay View 1999-LG-1 Auto Trust is Bay View's second auto receivable-backed securitization, Standard & Poor's said. -- CreditWire RATINGS ASSIGNED Issue Rating Bay View 1999-LG-1 Auto Trust Class A-1 A-1+ Class A-2 AAA Class A-3 AAA Class A-4 AAA Class I AAAr Contact: Nick Danzis, New York Copyright 1999, Standard & Poor's Ratings Services