S&P Assigns Ratings to Bay View 1999-LG-1 Auto Certificates
16 December 1999
S&P Assigns Ratings to Bay View 1999-LG-1 Auto Certificates
NEW YORK, Dec. 16 -- 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% per year on the notional principal amount, which initially is
US$184.64 million, or slightly below 75% of the initial receivable balance of
US$246.77 million. If the receivables prepay at a constant rate higher than
2.5% 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% 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% of the pool, and the weighted average remaining term is
57 months. The weighted average contract rate for this pool is approximately
12.92%. New and used vehicles make up 24.46% and 75.54% 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 % of serviced portfolio (in U.S. dollars) have been 0.66%,
0.81%, 1.00%, and 0.82% at year end from 1995-1998, respectively, and 0.54% 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%, 1.61%, and 1.49% at year end from 1996-1998, respectively, and 0.98%
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%-3.00% 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