Santander Consumer USA plans to issue $1 billion of securities backed by deep subprime auto loans from its Drive Auto Receivables Trust (DRIVE).
DRIVE 2015-D is the issuer’s fourth securitization of deep subprime auto loans; these loans are too risky to be securitized via the sponsor's other subprime auto trust, Santander Drive Auto Receivables Trust (SDART).
Moody’s Investor Service's cumulative net loss expectation for the pool of loans underlying 2015-D is 27.0%;that's approximately 10% higher than for transactions issued under the SDART platform. Santander’s internal loss forecasting score is 95 – 105 points lower than recent SDART transactions. It is the same as the previous 2015-C transaction and three points lower than the DRIVE 2015-A and 2015-B deals.
The loans pay average annual interest rate of 21.09%, which is approximately 5.0 percentage points higher than averate intesest rate on recent SDART deals. It is also 0.10 percentage point higher than DRIVE 2015-C, and 2.0 percentage points higher than the prior two DRIVE transactions.
The loans, which primarily finance used cars, have a weighted average original term of 5.91 years and on average have paid three months of installments. Borrowers in the pool have a weighted average FICO of 547.
Moody’s assigned a preliminary ‘Aaa’ rating to three tranches of class A notes. The fixed-rate class A2A notes and floating-rate class A2 notes have a legal final matuity of June 2018 and the class A3 notes are due December 2018. The notes are structured with 63.5% credit support.
At the subordinate level, the trust will offer ‘Aa1’ rated class B notes that are due December 2019; ‘Aa3’ rated, class C notes that are due November 2021; and ‘Baa1’ rated, class D notes that are due January 2023. The notes are structured with 63.5% credit support.
Unlike previous two DRIVE transactions, 2015-D will not issue class E notes.
RBC Capital market and Deutsche Bank are the lead underwriters.