Santander Consumer USA is sponsoring a $1.3 billion retail auto lease securitization that could be upsized to $1.8 billion, the second such deal from the SBNA Auto Lease Trust (SBALT).
This transaction, the SBALT 2024-A, will issue A, B, C and D class notes through seven tranches of a sequential-pay structure. All four of the class A notes have total initial hard credit enhancement levels of 19.75%, with the class B notes benefiting from 15.90% in credit enhancement; 12.15% enhancement on the class C notes; and 6.75% of enhancement on the class D notes, according to ratings analysts at Moody's Investors Service.
Moody's says two exchange notes, each of which will be collateralized by a reference pool of the leases, back the securitization notes. Those leases amount to 51,503, with a weighted average (WA) FICO score of 766, original term of 38 months, and remaining term of 25 months, according to Fitch Ratings, which also rates the notes.
Credit enhancement to the class A notes will include initial overcollateralization (OC) of 6.50%, which will increase to a target of 9.50% of the initial securitization value, and a non-declining reserve account of 0.25% of the initial pool balance.
Similar to the previous deal from the platform, the SBALT 2023-A, the current pool has very little exposure to cars and a high concentration, 67.0%, of Grand Cherokee and Ram 1500 models, according to Fitch.
Moody's expects to assign ratings of P-1 to the A1 notes; Aaa to the A2 through A4 notes; Aa1 to the class B notes; A1 to the class C notes; A1 to the class C notes; and Baa3 to the class D notes, in either a base amount or an upsized scenario. Fitch assigns ratings of F1+ to the A1 notes; AAA to the A2 through A4 notes; AA to the class B notes; A to the class C notes and BB- to the class D notes.
Fitch notes that the base case credit loss proxy is 1.0% for SBALT 2024-A, which is consistent with the SBALT 2023-A, yet lower compared with previous SRT transactions.
