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24 Apr 2009
New York, April 24, 2009 -- Moody's Investors Service has taken the following ratings actions
on dealer floorplan asset-backed notes issued by Chrysler Financial
Services Americas LLC ("Chrysler Financial"):
Master Chrysler Financial Owner Trust 2006-A (formerly known as
DaimlerChrysler Master Owner Trust 2006-A)
Class A Notes, Downgraded from Baa3 to B2 and remain under review
for further possible downgrade; previously on January 14, 2009,
downgraded from A3 to Baa3 under review for further possible downgrade
Master Chrysler Financial Owner Trust 2008-B (formerly known as
DaimlerChrysler Master Owner Trust 2008-B)
Class A Notes, Downgraded from A1 to Baa3 and remain under review
for further possible downgrade; previously on January 14, 2009,
downgraded from Aaa to A1 under review for further possible downgrade
Both transactions are issued out of a single master trust whose assets
consist of a revolving pool of receivables payable by dealers and secured
primarily by the dealers' related inventory, which consists
primarily of cars and light trucks manufactured by Chrysler LLC ("Chrysler").
The dealers' accounts were originated and are serviced by Chrysler
Financial. The 2006-A Class A Notes will begin their accumulation
phase in June.
On April 21, Moody's downgraded the Corporate Family Ratings for
Chrysler to C. The downgrade of the corporate rating was driven
by the impact that the unprecedented erosion in the North American auto
markets is having on Chrysler's ongoing viability, and on the value
of its tangible assets and its various brands. The actions on the
Chrysler floorplan securitizations also reflect the significant negative
effect that a possible bankruptcy could have on key performance factors
in the floorplan transactions. A potential Chrysler bankruptcy
(reorganization or liquidation) could lead to high dealer default rates,
depressed collateral recovery values, and could severely constrain
the servicer's ability to monitor dealers and secure collateral
if numerous dealers default in a short period of time. Since our
last rating actions on the floorplan transactions on January 14,
2009, the probability of a Chrysler bankruptcy has increased.
The rating actions reflect the current bankruptcy probability and the
significant event risk facing Chrysler's outstanding floorplan transactions
caused by the near term uncertainty surrounding Chrysler's future.
The notes remain on review for further possible downgrade due to significant
uncertainty surrounding Chrysler in 2009. On March 31, the
Obama administration rejected the restructuring plans submitted by Chrysler.
The administration also affirmed its willingness to rely on the bankruptcy
process to restructure the company unless it can formulate a new plan
that the administration determines will be effective in restoring its
competitiveness. Chrysler faces a significant burden in demonstrating
its viability due to a narrow window for submitting a revised plan (by
April 30, 2009) and therefore has a high risk of filing for bankruptcy,
in Moody's view. The ratings are now consistent with Moody's
expectation that a Chapter 11 filing is quite likely but that an immediate
Chapter 7 filing is not likely. Moody's will continue to
monitor developments and will further assess the potential impact on their
rated outstanding floorplan transactions as necessary. The uncertainty
related to potential developments, particularly the potential for
a Chapter 7 filing by Chrysler later this year, underlies the continued
review process for the transactions.
Moody's floorplan analysis is based on a joint-default probability
analysis of both the manufacturer and dealers with loss given default
determined by collateral at risk net of recoveries. The total collateral
at risk with a joint-default is the remaining unpaid floorplan
loan calculated based on the monthly payment rate prior to dealer default.
The analysis is implemented through a simulation model, which simulates
losses during a two year amortization period following an event of default
based on a set of key modeled assumptions as follows:
Manufacturer bankruptcy scenarios
Dealer default rates
In addition, Moody's includes other modeled assumptions in
the simulation model such as linkage of default probability between manufacturer
and dealer to macroeconomic activity, linkage between manufacturer
and dealer default probability, and sold-out-of-trust
Modeled assumptions form the basis of the quantitative analysis executed
through a simulation model. Manufacturer default is simulated,
which is further specified into Chapter 11 and Chapter 7 bankruptcies.
Manufacturer default probability is modeled based on committee assessment,
often with reference to the manufacturer rating. Next, the
simulation model simulates dealer default, which takes place randomly
throughout the two year amortization period. The final step in
simulation is to calculate total principal collections. For non-defaulting
dealers, outstanding floorplan balances are assumed to be paid in
full at the end of the two year amortization period and losses will be
zero. For defaulted dealers, the model calculates total collateral
at risk determined by payment rate prior to dealer default and then applies
a recovery rate under different circumstances where the manufacturer is
either in a non-bankrupt status, a Chapter 11 bankruptcy
or a Chapter 7 bankruptcy.
Each simulation run simulates a total loss and corresponding internal
rate of return ("IRR") reduction for each bond. This
IRR helps form the quantitative basis of our rating assessment.
Moody's also evaluates qualitative factors such as the quality of
provided information, servicer strength, and dealership profile.
Combining the qualitative and quantitative analysis, a final rating
level is determined.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory, in the Ratings
Chrysler Financial is a wholly-owned indirect subsidiary of Chrysler
Holding LLC ("Chrysler Holding'') and engages in providing consumer and
dealer automotive financing for the products of Chrysler LLC and other
manufacturers, including retail and lease financing for vehicles,
dealer inventory and other financing needs. Chrysler Holding owns
both Chrysler Financial and Chrysler. Long-term senior unsecured
debt ratings for Chrysler Financial and Chrysler are Ca and C, respectively.
The rating outlook for Chrysler Financial is negative.
For more information, please see www.moodys.com.
Structured Finance Group
Moody's Investors Service
Moody's downgrades ratings of Chrysler Financial auto floorplan deals; deals remain under review for further possible downgrade
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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