Approximately $1.5 billion of asset-backed securities affected
New York, December 21, 2010 -- Moody's has placed on review for possible upgrade ten tranches from four
prime auto loan securitizations and three tranches from three re-securitizations
sponsored and serviced by Chrysler Financial Services Americas LLC ("Chrysler
Financial").
RATINGS
Issuer: DaimlerChrysler Auto Trust 2006-C
Cl. B, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to Aa2 (sf)
Issuer: Chrysler Financial Auto Securitization Trust 2007-A
Cl.A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on June 4, 2010 Confirmed at Aa3 (sf)
Cl. B, A3 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to A3 (sf)
Cl. C, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to Ba1 (sf)
Issuer: Chrysler Financial Auto Securitization Trust 2008-A
Cl.A-4, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on June 4, 2010 Upgraded to Aa3 (sf)
Cl. B, A3 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to A3 (sf)
Cl. C, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to Ba1 (sf)
Issuer: Chrysler Financial Auto Securitization Trust 2008-B
Cl.A-4a, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on June 4, 2010 Upgraded to Aa3 (sf)
Cl. A-4b, Aa3 (sf) Placed Under Review for Possible
Upgrade; previously on June 4, 2010 Upgraded to Aa3 (sf)
Cl. B, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on June 4, 2010 Upgraded to Baa1 (sf)
Re-securitizations
Issuer: CFAST 2007-A B Note Trust
$ 106,800,000, 6.25% Trust Notes,
A3 (sf) Placed Under Review for Possible Upgrade; previously on September
14, 2010 Upgraded to A3 (sf)
Issuer: CFAST 2008-A B Note Trust
$ 83,100,000, 5.57% Trust Notes,
A3 (sf) Placed Under Review for Possible Upgrade; previously on September
14, 2010 Upgraded to A3 (sf)
Issuer: CFAST 2008-B B Note Trust
$90,300,000, 6.54% Trust Notes,
Baa1(sf) Placed Under Review for Possible Upgrade; previously on
June 21, 2010 Assigned Baa1 (sf)
RATINGS RATIONALE
The review was prompted by the buildup of credit enhancement relative
to remaining losses, as well as by a downward revision on collateral
loss expectations due to further stabilization of performance since the
last review. The affected transactions benefit from non-declining
reserve accounts and overcollateralization (OC), as well as additional
credit enhancement in the form of cash contributed by the sponsor to the
2007-A and 2008-A transactions in November 2008.
In addition to collateral performance and available credit enhancement,
the announcement by TD Bank Group of its intent to acquire Chrysler Financial
will also be considered during this review. While details and future
plans are yet to be disclosed, in Moody's opinion, the
proposed acquisition should provide stability to Chrysler Financial's
servicing operations as it restructures and explores future business prospects.
Following an agreement in 2009 between Chrysler LLC and GMAC Inc.
(now Ally Financial Inc.) to provide wholesale and retail financing
for Chrysler vehicles, Chrysler Financial is no longer the captive
finance arm of Chrysler LLC. The company has since had to rely
predominantly on originating standard (non subvented) loans and has reduced
its staff to facilitate restructuring and realignment of its business.
The re-securitization trust notes are secured by the Class B notes
issued by Chrysler Financial Auto Securitization Trust 2007-A,
Chrysler Financial Auto Securitization Trust 2008-A, and
Chrysler Financial Auto Securitization Trust 2008-B transactions.
The trust notes benefit solely from the credit enhancement available to
the underlying notes in the underlying trusts and are therefore assigned
the same ratings as the underlying notes given the pure pass-through
transaction structure.
Moody's expects DaimlerChrysler Auto Trust 2006-C to incur lifetime
cumulative net losses in the range of 2.55% to 2.60%.
Total hard credit enhancement (excluding available excess spread and yield
supplement overcollateralization-YSOC) for Class B tranche is approximately
29% of the outstanding collateral pool balance adjusted for YSOC.
The YSOC compensates for the lower APR on the subvened loans, and
declines each month based on a fixed schedule. Currently,
YSOC for this transaction is approximately 2%. The OC and
reserves for this transaction is at its floor levels, and is expected
to increase as a percentage of the collateral balance as the pool pays
down. In addition, the transactions benefit from excess spread,
which is estimated at 1% per annum. Principal payments are
allocated sequentially between the Class A and B notes.
The Chrysler Financial Auto Securitization Trust 2007-A is expected
to incur lifetime cumulative net losses in the range of 6.50%
to 7.00%. Total hard credit enhancement (excluding
available excess spread and YSOC) for Class A-4 tranche is approximately
41% of the outstanding collateral pool balance adjusted for YSOC.
The credit enhancement (excluding excess spread and YSOC) for the class
B and C are approximately 22% and 15% respectively,
of the outstanding collateral pool balance adjusted for YSOC. Currently,
YSOC for this transaction is approximately 2%. In addition,
the transactions benefit from excess spread which is approximately 1%
per annum. Principal payments are allocated sequentially between
the Class A, B, and C notes.
Moody's expects Chrysler Financial Auto Securitization Trusts 2008-A
and 2008-B to incur lifetime cumulative net losses in the range
of 6.25% to 6.75%, and 6.00%
to 6.50% respectively, of their original pool balance.
Total hard credit enhancement (excluding available excess spread and -YSOC)
for Class A-4 tranches ranges between approximately 36%
to 43% of the outstanding collateral pool balance adjusted for
YSOC. The credit enhancement (excluding excess spread and YSOC)
for the class B tranches ranges between approximately 16% to 22%,
of the outstanding collateral pool balance adjusted for YSOC. Credit
enhancement (excluding excess spread and YSOC) for the class C tranche
of the 2008-A transaction is approximately13% of the outstanding
collateral pool balance adjusted for YSOC. Currently, YSOC
for these transactions ranges between approximately 2% to 3%.
In addition, the transactions benefit from excess spread which ranges
between approximately 1% to 2% per annum. Principal
payments are allocated sequentially between the Class A, B,
and C notes.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics. Primary sources
of assumption uncertainty are the current macroeconomic environment,
in which unemployment continues to remain at elevated levels, and
strength in the used vehicle market. Moody's currently views the
used vehicle market as much stronger now than it was at the end of 2008
when the uncertainty relating to the economy as well as the future of
the U.S auto manufacturers was significantly greater. Overall,
we expect a sluggish recovery in the U.S. economy,
with elevated fiscal deficits and persistent, high unemployment
levels.
The principal methodology used in these securities was "Moody's Approach
to Rating U.S. Auto Loan-Backed Securities" rating
methodology published in June 2007. Other methodologies and factors
that may have been considered in the process of rating these notes can
also be found on Moody's website.
Further information on Moody's analysis of this transaction is available
onwww.moodys.com.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
New York
Apurva Thakkar
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's FIS Domestic Sales Office - San Francisco CA
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews Chrysler Financial prime auto loan ABS for possible upgrade