A pool of non-prime loans on new and used automobiles will secure the Santander Drive Auto Receivables Trust, series 2022-1, which is preparing to tap the capital markets for some $1.6 billion in ABS.
J.P. Morgan Securities will be the lead underwriter on the deal, known as SDART 2022-1, which will reference two potential pools for securitization, according to a presale report from Fitch Ratings.
SDART will issue principal payments to noteholders sequentially and in order of seniority, beginning with the class A-1 notes. The trust will only make payments to classes of notes when the principal amounts of all senior classes are paid in full.
A reserve account in the amount of 1.0% of the initial pool balance; a 7.6% initial overcollateralization of the initial balance; and excess spread of about 8.8% per annum provide credit enhancement to the notes. The notes also benefit from initial hard credit enhancement totaling 47.6% for class A; 35.6% on class B; 26.5% on class C and 8.6% on class D.
Fitch expects to assign ratings ranging from ‘F1’ on the $251 million A-1 class to ‘A’ on the $165 million class C notes, Fitch said.
New vehicles account for about 21.5% of the SDART 2022-1 pool, down from 23.0% of the 2021-4 deal, amid the supply crunch for components to build new cars, Fitch noted. One thing is relatively stable, the rating agency noted, which is the percentage of extended-term loans, at 91.1%. Extended term loans have terms of 61 months or more. Those with terms of 72 months or more account for 15.1% of the pool, compared with 15.0% in the 2021-4 deal.
The pool has 78,284 loans in the collateral pool, with an average current principal balance of $23,166. Fitch notes that the deal has no LIBOR exposure, with all of the assets and notes paying fixed-rate interest.
On a weighted average (WA) basis, the collateral pool has an APR of 14.6%; a loan-to-value ratio of 105.7%; and a nonzero WA FICO score of 613. The collateral pool also has a WA remaining term of 65.6 months, Fitch said.
Geographically, Texas accounts for 19.5% the assets; followed by Florida, with 13.6%; California with 7.6%; Georgia with 4.8% and 4.2% with North Carolina.
