-- $312.2 million 5.1201% class A-1 'F1+';
-- $450 million 5.30% class A-2 'AAA';
-- $570 million 5.33% class A-3 'AAA';
-- $134.7 million 5.38% class A-4 'AAA';
-- $45.3 million 5.49% class B 'A+'.
The securities are backed by a pool of retail installment sales contracts secured by new and used automobiles and light-duty trucks originated by DaimlerChrysler Financial Services Americas LLC (DCFS). As in recent 2005 DCAT transactions, 2006-B incorporates a yield supplement overcollateralization amount (YSOA), which effectively creates synthetic yield by boosting the weighted average (WA) APR of the collateral pool from 7.17% to approximately 10.27%.
The class A notes are initially supported by 5% credit enhancement consisting of the 3% class B notes, 1.75% overcollateralization (OC), and a 0.25% fully funded non-declining reserve account. Enhancement is expected to grow to 8.25% for the class A notes and 5.25% for the class B notes through the application of excess spread to fund the OC target level of 5% of the current balance minus the YSOA.
The credit quality of the obligors backing the 2006-B transaction is one of the highest, as measured by DCFS' proprietary credit-grading matrix and obligor FICO scoring, as compared with recent DCAT transactions. As of the statistical cutoff date, the receivables had a new/used composition of 91.5% and 8.5%, respectively. The WA original maturity of the pool was 63.9 months with a WA remaining term of 50.27 months, resulting in approximately 13.64 months of WA collateral seasoning. The pool is well diversified geographically, with the largest state concentrations in Texas (11.5%), California (8.9%), Florida (6.9%) and Pennsylvania (5.2%). No other state accounts for more than 5% of the pool. Geographic diversification helps insulate the transaction against regional economic downturns.
As of March 31, 2006, DCFS' U.S. retail portfolio had an average portfolio outstanding of approximately 2.4 million loans, with the portfolio totaling $39.2 billion, down from $44.78 billion a year earlier. Total delinquencies were 1.19% at March 31, 2006, dropping from 1.23% at March 31, 2005. Net losses were 1% of the average portfolio outstanding through the first quarter of 2006, up from 0.86% at the same period in 2005, but unchanged from year-end 2005.