A pool of mostly non-prime quality retail installment auto loans will secure $1.9 billion in asset-backed securities (ABS) from the Santander Drive Auto Receivables Trust, the 2024-3 series.
Santander Consumer USA originated and acquired the contracts in the underlying pool; it is made up of used vehicles, which accounts for 70% of the pool. The trust will issue class A B, C and D notes through six tranches, plus an overcollateralization tranche, according to Moody's Ratings.
SDART 2024-3 confers 42.4% in total initial hard credit enhancement to the three tranches of class A notes, Moody's said. After that, the classes B, C and D notes benefit from enhancement levels of 31.3%, 21.7% and 21.7%, respectively, according to the rating agency.
Barclays, BNP Paribas and Santander Investment Securities are lead underwriters and managers on the deal, which is slated to close on June 28, according to Moody's and the Asset Securitization Report's deal database. Notes are expected to offer yields of 5.99% on the AAA-rated A2 notes through 6.0% on the Baa3-rated class D notes, over the three-month interpolated yield curve.
Santander Consumer is an experienced auto loan servicer and sponsor, which counteracts SDART 2024-3's non-prime pool quality, the rating agency said.
The pool is comprised of 79,860 contracts and obligors in the pool, Moody's said. On a weighted average (WA) basis, the assets have a FICO score of 604, a loan-to-value ratio of 108%, ratings analysts said. The contracts, which have a WA original term of 71 months, pay an annual percentage rate of 18.54%.
Aside from the 9.00% in overcollateralization, notes receive credit enhancement from subordination, a reserve account representing 1.00% of the pool balance, and excess spread.
Moody's assigns ratings of P1 to the A1 notes; Aaa to the A2 and C notes; Aa3 to the class C notes; and Baa3 to the class D notes. Fitch Ratings, which also assessed the notes, assigned ratings of F1+ tot the A1 notes; AAA to the A2 and A3 tranches; AA to the class B notes; and A to the class C notes.
