Bayview Asset Selector prepares to issue $517.2 million in non-prime auto ABS

Bayview Asset Selector VII will sponsor a $517.2 million securitization of revenues from a pool on non-prime retail installment auto loans, its first non-prime retail loan securitization and fourth securitization overall.

Santander Consumer USA originated the loans and will service them, according to ratings analysts from Moody's Investors Service. As part of the transaction, the underlying assets passed through another entity and will also move to a grantor trust, Moody's said.

The transaction will issue notes through eight tranches of class A, B, C, D, E and F notes. All of the class A notes benefit from 37.90% of total initial hard credit enhancement; 30.55% in credit enhancement covers the class B notes; 23.40% covers the class C notes; and 15.15%, 11.15% and 8.25% in enhancement covers classes D, E and F, respectively. Legal final maturity dates range from March 17, 2025 on the A-1 notes through April 15, 2033 on the class F notes.

Santander U.S. Capital Markets and J.P.Morgan Securities are lead underwriters on the deal, which is slated to close on February 29.

Moody's assigned a rating of P1 to the A1 notes; Aaa to the A2 and A3 notes; Aa1 to the B notes and A2 to the C notes.

Total initial hard credit enhancement also includes subordination and excess spread, and an overcollateralization tranche of 7.25%, plus a reserve fund representing 1.00% of the collateral pool's initial balance, Moody's said. Bayview Asset Selector will also repay investors sequentially, which means that enhancement is also expected to grow as a percentage of the remaining assets as the pool amortizes and delevers–assuming the notes don't suffer any losses, the rating agency said.

Although the notes are supported by non-prime assets–the 18,030 Santander Consumer contracts had a weighted average (WA) FICO score of 536 at funding and a WA loan-to-average ratio of 104%--Santander Consumer is considered to be an experienced operator, thanks to a series of strong corporate owners. Banco Santander, which sits at the top of this chain, has a stable long-term, senior unsecured debt rating of A2, and a long-term deposit rating of A2.

A majority of the vehicles being financed (52.27%) are used, Moody's said.