S&P Assigns Rtgs to DaimlerChrysler Auto Trust 2000-D
7 November 2000
S&P Assigns Rtgs to DaimlerChrysler Auto Trust 2000-D
NEW YORK, Nov. 6 Standard & Poor's today assigned its
ratings to DaimlerChrysler Auto Trust 2000-D's $1.5 billion asset-backed notes
(see list).
The ratings reflect credit enhancement in the form of 4.75% of initial
overcollateralization, 3.25% subordinated asset-backed certificates, a 0.25%
fully funded reserve account, and about 2.0% in excess spread. The size of
the subordinated asset-backed certificates has been reduced from 3.50% on the
last transaction due to the improvements in portfolio performance and the
improved characteristics of the securitized pool. The ratings are 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 about 10% in credit enhancement.
This is Chrysler Financial's fourth term securitization of the year, which
consists of $1.5 billion in triple-'A' rated securities and $400 million of
retained notes, certificates and overcollateralization, backed by almost
$1.9 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 $59.0 million initial principal
balance of subordinated asset-backed certificates.
On each payment date, all collected funds will be used to pay the
servicing fee, monthly interest, replenish the reserve account, and pay
principal on securities until the securities outstanding balance is equal to
94.75% of the remaining pool balance with the remainder being released to
DaimlerChrysler Retail Receivables LLC. The securities will be paid
sequentially with no payments being made to the subordinated asset-backed
certificates until all notes have been paid in full.
The reserve account will be fully funded at 0.25% at closing and 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 percent of assets outstanding. The reserve account
will be used to pay shortfalls in interest, 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-D, 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 overcollateralization
certificates and the subordinated asset-backed certificates. Chrysler
Financial, a frequent issuer of ABS, completed 34 transactions using the
Premier Auto Trust structure. This will be Chrysler Financial's fourth
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-D transaction consists
of only receivables originated by Chrysler Financial.
Chrysler Financial, with a total serviced retail auto portfolio of
$32.2 billion, experienced 18.7% growth over the past 12 months.
Delinquencies have improved to 1.52% and net losses have improved to 0.74% of
the average gross retail contracts outstanding as of the nine months ending
September 2000.
NEW RATINGS ASSIGNED
DaimlerChrysler Auto Trust 2000-D
Issue Rating
Class A-2 $550 million 6.70% asset-backed notes AAA
Class A-3 $600 million 6.66% asset-backed notes AAA
Class A-4 $350 million 6.70% asset-backed notes AAA