S&P Asgns Rtgs to DaimlerChrysler Auto Trust 2000-A
9 March 2000
S&P Asgns Rtgs to DaimlerChrysler Auto Trust 2000-A
NEW YORK--Standard & Poor's--March 8, 2000--Standard & Poor's today assigned its ratings to DaimlerChrysler Auto Trust 2000-A's US$1.9 billion asset-backed notes (see list).The ratings reflect credit enhancement in the form of 4.75% of initial overcollateralization, 3.75% subordinated asset-backed certificates, a 0.25% fully funded reserve account, and approximately 2% to 3% in excess spread. The ratings are also based on the extensive amount of data obtained from Chrysler Financial Co. LLC, the solid credit quality of the underlying pool of automobile loans, a sound legal structure, and approximately 10% to 11% of the receivables balance in credit enhancement.
Chrysler Financial has returned to the term securitization market with US$1.5 billion in triple-'A' rated securities and almost US$500 million of retained notes and certificates, backed by just over US$2 billion in auto loan receivables. All credit enhancement is measured as a percent of initial securities, which is defined as the initial balance of the class A-1 through class A-4 notes plus the US$74.354 million initial principal balance of subordinated asset-backed certificates.
On each payment date, collected funds will be used to pay the servicing fee and monthly interest, and then to either release the initial overcollateralization amount or to pay note principal. The release of the initial overcollateralization will occur after the class A-1 notes are paid in full. Collected funds will then be used to release the initial overcollateralization amount of US$94.2 million while maintaining total overcollateralization at 5.25% of the current receivables balance. Once the initial overcollateralization is released, collected funds will be used to sequentially repay the remaining notes and to continue building overcollateralization, if monthly excess collections exceeds monthly losses on the receivables.
The reserve account will be fully funded at 0.25% at closing. The specified reserve account balance will remain at this level as long as the securities remain outstanding. Thus, as the receivables amortize, the reserve account will grow as a percentage of assets outstanding. The reserve account will be used to pay shortfalls in interest, to pay principal on the notes if a class is not paid in full on its legal final payment date, and to pay down notes if overcollateralization is depleted.
DaimlerChrysler Auto Trust 2000-A, a Delaware business trust, is the issuer of the securities. DaimlerChrysler Retail Receivables LLC, formerly known as Premier Receivables LLC, is an indirect wholly owned subsidiary of Chrysler Financial and is the initial holder of the certificates. Chrysler Financial, a frequent issuer of ABS, completed 34 transactions using the Premier Auto Trust structure. This will be Chrysler Financial's first securitization using the DaimlerChrysler Auto Trust, which was established to allow the trust to purchase auto receivables directly from Chrysler Financial or indirectly from Mercedes-Benz Credit Corp. The 2000-A transaction consists only of receivables originated by Chrysler Financial.
Chrysler Financial, with a total serviced retail auto portfolio of US$27.3 billion, experienced 9.7% growth in 1999. Delinquencies have improved to 1.95% and net losses have improved to 0.98% of the average gross retail contracts outstanding in 1999, Standard & Poor's said. ---CreditWire
Ratings Assigned
DaimlerChrysler Auto Trust 2000-A
Class Rating A-1 US$408 mil 6.07% asset-backed notes A-1+ A-2 US$655 mil 6.76% asset-backed notes AAA A-3 US$405 mil 7.09% asset-backed notes AAA A-4 US$440 mil 7.23% asset-backed notes AAA