Santander Consumer USA is offering its second auto loan-backed ABS of the year in a $1.059 billion securitization of its higher-quality new and used subprime loan receivables.
According to presale reports from Fitch Ratings and Moody’s Investors Service, the pool of automobile, light truck and utility vehicle loan originations through Santander Consumer USA will back securities in the seven-tranche Santander Drive Auto Receivables Trust (SDART) 2016-1 offering.
Depending on market conditions and timing, Santander could choose to boost the size of the portfolio to $1.29 billion, according to Moody’s. The upsizing would not affect ratings.
The pool of $1.18 billion in loans in the portfolio is topped by a split, $451.12 million three-tranche offering of triple A-rated Class A notes. Two of the notes totaling $342 million are to be split between a Class A-2-A tranche and a Class A-2-B tranche, each with a credit enhancement of 49.85%. The maturity is 2019.
A Class A-3 notes slice with a longer maturity to 2020 will be sized at $109.12 million, also with a 49.85% CE. All three have expected provisional ‘AAA’ ratings from Fitch and Moody’s.
A $142.45 million class B tranche is rated ‘AA’ by Fitch and ‘Aa1’ by Moody’s, with a 37.75% CE and 2020 maturity date. The Class C notes totaling $153.04 million, due 2022, are rated ‘A’ by Fitch and ‘A1’ by Moody’s, and the $91.25 million in Class D notes due 2022 are rated ‘BBB’/‘Baa2’.
A $58.86 million Class E notes tranche, due 2023, is rated ‘BB’/‘Ba2’ but those notes are expected to be privately placed or retained by a depositor or an affiliate. The portfolio also includes a short-term $199.3 million tranche rated ‘F1’/ ‘P1’.
The credit enhancement for the Class A notes includes a 10% overcollateralization, which Santander targets to expand to 17% of the outstanding pool balance.
Citigroup is the lead underwriter.
Fitch notes the loans are backed by collateral “consistent” with past SDART offerings in 2014-2015 pools, with an average weighted-average FICO score of 600 for 60,106 loans issued with an average balance of $19,586 and terms of 72 months.
The transaction is the first SDART subprime collateralization of the year, but second securitization placed into market by Santander since a mid-January launch of its $752 million deeper subprime DRIVE auto securitization through Santander Drive Auto Receivables Trust 2016-A (DRIVE 2016-A). The loans are associated with Santander’s lower FICO customers (average of 550) with a higher average APR (21.1% vs. 16% on SDART 2016-1), and are considered too risk for use as collateral for its SDART and other platforms.