Fitch Rates Chase Auto Owner Trust 2006-B 'AAA'.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch rates Chase Auto Owner Trust 2006-B as follows: -- $248,000,000 class A-1 5.43% asset-backed notes 'AAA'; -- $284,000,000 class A-2 5.28% asset-backed notes 'AAA'; -- $333,000,000 class A-3 5.13% asset-backed notes 'AAA'; -- $270,390,000 class A-4 5.11% asset-backed notes 'AAA'; -- $26,270,000 class B 5.24% asset-backed notes 'AA-'. The securities are backed by a pool of retail installment sales Installment sale The sale of an asset in exchange for a specified series of payments (the installments). installment sale A sale in which the buyer is scheduled to make a series of payments over a period of time. contracts secured by new and used automobiles and light-duty trucks originated by JP Morgan Chase Bank, N.A. The ratings of the notes reflect the high quality of the underlying retail installment sales contracts, available credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing , the sound legal and cash flow structure, and the underwriting Underwriting 1. The process by which investment bankers raise investment capital from investors on behalf of corporations and governments that are issuing securities (both equity and debt). 2. The process of issuing insurance policies. strength and servicing experience of JP Morgan Chase Bank, N.A. (JP Morgan Chase) and its subsidiary, Chase Auto Finance Corp. (Chase Auto). The class A notes have initial credit enhancement of 2.75% consisting of the 2.25% class B notes and initial overcollateralization (OC) of 0.5%. Class B notes are supported by initial credit enhancement of 0.5% comprised of the initial OC of 0.5%. Enhancement is expected to grow to 5.50% for the class A notes through the increase of subordination to a target of 4.25% and the application of excess spread to increase target OC to 1.25%, and for the class B notes to a 1.25% target in the form of the application of excess spread to increase target OC to 1.25%. Additionally, the 2006-B securitization Securitization The process of creating a financial instrument by combining other financial assets and then marketing them to investors. Notes: Mortgage backed securities are a perfect example of securitization. May also be spelled as "securitisation. incorporates a yield supplement amount to compensate for loans with low contract rates, allowing for synthetic yield to be created, boosting excess spread in the transaction. As of the cutoff date, the receivables had a weighted average APR APR See: Annual Percentage Rate of 7.45%. The weighted average original maturity of the pool was 64.2 months and the weighted average remaining term was 62.7 months resulting in approximately 1.5 months of collateral seasoning. The pool is well diversified geographically, with the largest state concentrations in California (12.47%), Ohio (8.68%), New York (8.01%), Texas (7.01%) and New Jersey (5.23%). Interest and principal are payable monthly, beginning Oct. 16, 2006. The class A notes receive all principal payments sequentially amongst themselves until target subordination levels are met, at which time the payment waterfall switches to pro-rata for all classes of notes. Based on Chase Auto's prime retail portfolio performance, Fitch expects performance similar to recent securitizations. As of June 30, 2006, Chase Auto's retail portfolio of approximately $33.76 billion, had total delinquencies and repossessions of 1.04% and average annualized annualized Of or relating to a variable that has been mathematically converted to a yearly rate. Inflation and interest rates are generally annualized since it is on this basis that these two variables are ordinarily stated and compared. net losses of 0.31%. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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