Santander Consumer USA's, Chrysler Group plans to issue $751 million of securities backed by auto loans.
The loans backing Chrysler Capital Auto Receivables Trust 2015-B have a weighted average FICO of 707 and finance mostly new cars.
Standard & Poor's and Moody's Investor's Service assigned preliminary 'AAA'/ 'Aaa' ratings to three classes of senior notes on offer. The class A-2 notes mature on Dec. 17, 2018; the class A-3 notes mature on March 16, 2020; and the class A4 notes mature on Oct. 15, 2020.
At the subordinate level, the trust will offer 'AA'/ 'Aa3' rated class B notes that mature on Dec. 15, 2020; 'A'/ 'A2' rated class C notes that mature on April 15, 2021; and 'BBB+'/ 'Baa3' rated class D notes that mature on Jan. 16, 2023. The note are structured with the same levels of credit enhancement as the 2015-A transaction: the class A note have 18.75%, the class B notes have 15% and the class C note have 10%.
Citigroup is the lead manager.
CCART 2015-B increased the number of commercial loans in the pool to 10.02% from 3.33%— the highest percentage in any of the CCART outstanding deals. These loans are made to commercial businesses to finance vehicles for commercial purposes. Commercial loans in the pool have a higher weighted average co-obligor FICO of 720 relative to 707 for the overall pool that includes regular retail auto loans; and 97.04% weighted average LTV compared to 108.87% for the overall pool.
Chrysler Capital's portfolio increased to $4.52 billion as of Sept. 30, 2015, from approximately $4.09 billion as of Sept. 30, 2014. The portfolio includes receivables with obligors classified as commercial. The percentage of these receivables in the managed portfolio is higher than the percentage of commercial loans included in the securitizations to date.
The 2015-B pool has an increased weighted average LTV of 110.65% relative to the 2015-A pool issued in April, which had a WA LTV of 101.99%.
The higher leverage in the pool is mitigated by a lower percentage of loans with terms greater than 60 months, which dropped to 82.09% from 87.99%. However most of the decrease was for loans with 61-72 month terms; the percentage of loans with terms of 73-75 months remained relatively stable at 20.01%, compared to 19.88% for CCART 2015-A.
S&P said it increased the expected loss range for the transaction to 4.25%-4.75% from 4.00%-4.50% based on the weaker performance of the 2014 securitization pools. Total delinquencies increased to 3.69% as of Sept. 30, 2015, from 2.60% a year earlier. Over this same period, the annualized net loss as a percentage of the average principal outstanding also increased to 2.08% from 1.75%.
