Approximately $1.0 billion of asset-backed securities affected
New York, March 21, 2011 -- Moody's has upgraded nine tranches from three prime auto loan securitizations
and three tranches from three re-securitizations sponsored and
serviced by Chrysler Financial Services Americas LLC ("Chrysler Financial").
Eight tranches continue to remain on review for possible upgrade.
RATINGS
Issuer: Chrysler Financial Auto Securitization Trust 2007-A
Cl. A-4, Upgraded to Aaa (sf); previously on
Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade
Cl. B, Upgraded to Aa1 (sf) and Remains On Review for Possible
Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review
for Possible Upgrade
Cl. C, Upgraded to A1 (sf) and Remains On Review for Possible
Upgrade; previously on Dec 21, 2010 Ba1 (sf) Placed Under Review
for Possible Upgrade
Issuer: Chrysler Financial Auto Securitization Trust 2008-A
Cl.A-4, Upgraded to Aaa (sf); previously on Dec
21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade
Cl. B, Upgraded to Aa1 (sf) and Remains On Review for Possible
Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review
for Possible Upgrade
Cl. C, Upgraded to A2 (sf) and Remains On Review for Possible
Upgrade; previously on Dec 21, 2010 Ba1 (sf) Placed Under Review
for Possible Upgrade
Issuer: Chrysler Financial Auto Securitization Trust 2008-B
Cl.A-4a, Upgraded to Aaa (sf); previously on
Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade
Cl. A-4b, Upgraded to Aaa (sf); previously on
Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade
Cl. B, Upgraded to Aa2 (sf) and Remains On Review for Possible
Upgrade; previously on Dec 21, 2010 Baa1 (sf) Placed Under
Review for Possible Upgrade
Re-securitizations
Issuer: CFAST 2007-A B Note Trust
Cl. A-1, Upgraded to Aa1 (sf) and Remains On Review
for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed
Under Review for Possible Upgrade
Issuer: CFAST 2008-A B Note Trust
Cl. A-1, Upgraded to Aa1 (sf) and Remains On Review
for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed
Under Review for Possible Upgrade
Issuer: CFAST 2008-B B Note Trust
CFAST 2008-B B Note Trust Notes, Upgraded to Aa2 (sf) and
Remains On Review for Possible Upgrade; previously on Dec 21,
2010 Baa1 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The rating actions were prompted by the buildup of credit enhancement
relative to remaining losses, short remaining life of the securities,
as well as by a downward revision of our lifetime cumulative net loss
(CNL) expectations due to further stabilization of performance since we
placed these securitizations on review. The affected securitizations
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.
The rating actions do not take into account the pending acquisition of
Chrysler Financial by TD Bank Group, as details about the acquisition
are yet to be finalized. In Moody's opinion, the proposed
acquisition should benefit the outstanding securitizations by providing
longer term stability to Chrysler Financial's servicing operations as
it restructures and explores future business prospects. This should
mitigate the risk of servicing disruption during the life of the longer
maturing securities. 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.
Despite the uncertainty relating to the pending acquisition, the
class A4 senior securities were upgraded to Aaa (sf). This rating
is higher than that achievable for senior classes of new Chrysler Financial
auto loan securitizations with the present servicing arrangements due
to the shorter term to maturity of these well seasoned transactions and
the much higher levels of absolute credit enhancement relative to their
respective remaining pool losses. We consider these seasoned senior
tranches to be less affected by the uncertainties associated with servicing.
The longer maturing securities, which are more exposed to the diminishing
scale of the servicing platform, and hence stand to gain more from
the acquisition, remain on review for further possible upgrade.
Credit enhancement for all tranches has increased substantially due to
the sequential pay structure and non-declining reserve accounts,
as evidenced by the ratio of total credit enhancement to the remaining
expected losses. Credit support (without giving benefit to excess
spread or yield supplement overcollateralization (YSOC) ranges between
42% to 51% of the outstanding collateral balance,
which provides approximately 10 to 13 times coverage against remaining
expected losses of approximately 4% of the remaining collateral
balance adjusted for YSOC. Key performance metrics and credit assumptions
are provided later in this release.
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.
Below are key performance metrics and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected
lifetime CNL expectation which is expressed as a percentage of the original
pool balance; and Moody's lifetime remaining CNL expectation
and Aaa levels which are expressed as a percentage of the current pool
balance (adjusted for YSOC). The Aaa level is the level of credit
enhancement that would be consistent with a Aaa rating for the given asset
pool. For the affected securitizations, additional qualitative
factors such as remaining life of the securities and risk of servicer
disruption were also considered in determining the ratings. Performance
metrics include pool factor which is the ratio of the current collateral
balance and the original collateral balance at closing; total credit
enhancement (expressed as a percentage of the outstanding collateral pool
balance adjusted for YSOC) which typically consists of subordination,
overcollateralization, and a reserve fund; YSOC; and per
annum excess spread. The YSOC compensates for the lower APR on
the subvened loans.
Issuer: Chrysler Financial Auto Securitization Trust 2007-A
Lifetime CNL expectation - 6.5%, prior expectation
(December 2010) was 6.5% to 7.0%
Lifetime Remaining CNL expectation -- 4%
Aaa level -- Approximately 16%
Pool factor -- 21%
Total credit enhancement (excluding excess spread & YSOC): Class
A-4 -- 49%; Class B -- 27%; Class
C -- 19%
Excess spread -- Approximately 1% per annum
YSOC -- Approximately 2%
Issuer: Chrysler Financial Auto Securitization Trust 2008-A
Lifetime CNL expectation - 6.0%, prior expectation
(December 2010) was 6.5% - 7.0%
Lifetime Remaining CNL expectation -- 4%
Aaa level -- Approximately 16%
Pool factor -- 22%
Total credit enhancement (excluding excess spread & YSOC): Class
A-4 -- 51%; Class B -- 26%; Class
C -- 16%
Excess spread -- Approximately 2% per annum
YSOC -- Approximately 2%
Issuer: Chrysler Financial Auto Securitization Trust 2008-B
Lifetime CNL expectation - 5.75%, prior expectation
(December 2010) was 6.25% - 7.75%
Lifetime Remaining CNL expectation -- 4.2%
Aaa level -- Approximately 16%
Pool factor -- 25%
Total credit enhancement (excluding excess spread & YSOC): Class
A-4 -- 42%; Class B -- 18%
Excess spread -- Approximately 1% per annum
YSOC -- Approximately 3%
Ratings on the affected securities could be upgraded (where applicable)
if the lifetime CNLs are lower by 10%, or downgraded if the
lifetime CNLs are higher by 10%.
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.
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
6 months.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
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 upgrades Chrysler Financial auto loan ABS and keeps certain securities on review for further possible upgrade