DriveTime Automotive Group is marketing its second subprime auto loan securitization of the year, according to rating agency reports.
The deal, DT Auto Owner Trust 2016-2, will issue $300 million of notes with preliminary ratings from DBRS and Standard & Poor’s: the $148.47 million senior class A notes are rated triple-A and benefit from credit enhancement of 65%; the $41.7 million class B notes are rated double-A and have 54.75% credit enhancement; the $48.81 million class C notes are rated single-A and have 42.75% credit enhancement; and the $61.02 million class D notes are rated triple-B and have 27.75% enhancement.
In its base-case scenario, DBRS expects cumulative net losses for the portfolio to be 29.25%; S&P sees losses at a similar level, at 29%-30%.
Bridgecrest Credit Co., an affiliate of DriveTime, is the servicer of the loans; Wells Fargo Bank is the backup servicer.
Deutsche Bank Securities, Citigroup, Guggenheim Securities, and Wells Fargo Securities are the underwriter.
DriveTime operates in the deep subprime market, lending to consumers with an average FICO score of approximately 541 and approximately 21% with no FICO score.
Nonetheless, both S&P and DBRS believe that the company has substantial experience in this market.
This is DriveTime’s 55th securitization since 1996 and the 19th securitization since 2007. This transaction is similar to DriveTime’s most recent deal. Among changes in the collateral cited by S&P, the percentage of loans in the originator's top three credit grades (A+, A, and B) in aggregate decreased slightly to 66.5% from 66.8%.
Also, the percentage of loans with original terms of 61-66 months increased to 34.88% from 33.23%, and those in the 67-72 month range decreased to 50.23% from 52.90%.
The percentage of the pool with FICO scores greater than 600 decreased to 14.41% from 15.99%. The percentage of the pool with no FICO score decreased to 21.33% from 21.47%.
The weighted average LTV increased to 171.21% from 168.47%.
The weighted average down payment increased to $969.51 from $870.17.
The average mileage decreased to 81,704 from 83,757.