The company that formed amid the merger of Fiat Chrysler Automobile and Group PSA in January 2021 manufactured the collateral for an auto lease securitization that will raise $1.4 billion.
Santander Retail Auto Lease Trust 2021-B follows the 2021-A transaction, and is backed by an exchange note that is, in turn, collateralized by a reference pool of closed-end leases on new vehicles.
Stellantis, the company that came out of the merger, manufactured the cars. The current deal is the eighth retail auto lease securitization from the registered lease securitization platform, which was established in 2013. The program has been reliable, with stable origination volumes, securitization performances have been strong, and migration of the quality of the securitization pools has been limited, according to FitchRatings.
FitchRatings notes that the concentration of vehicle types is consistent with those of previous transactions and peer deals, but they are increasing. Grand Cherokees and Rams account for the highest vehicle concentration in the pool, with 30 percent and 29.9 percent, respectively. In the 2021-A series, the concentrations were 21.9 and 18.2, respectively.
As a percentage of securitization value, undiscounted base residual value of the vehicles in Santander 2021-A total 69 percent of the pool, versus 68.4 percent in the series 2021-A transaction.
In an era where car manufacturers, such as General Motors, are publicly making shifts away from fossil fuels and on a short timeline, Fitch also notes that environmental, social and governance issues will have minimal credit impact on the transaction.
J.P. Morgan Securities is the lead underwriter on the deal.
Fitch’s base case credit loss proxy is 1.25 percent. As a proxy for that analysis, Fitch used the segmented static pool credit net loss data, which were weighted to according to the pool’s composition. In the context of coronavirus pandemic-induced deterioration, Fitch referenced performances through two previous recessionary vintages, the 2016-2019 and 2006-2009 to come up with that forward-looking analysis.
With an assumed net loss proxy of 1.25 percent, the notes would need to cover losses of 6.25 percent on the class A notes; 5 percent on the class B notes; 3.75 percent on the class C notes; and 2.5 percent on the class D notes.
