Santander upsized its latest subprime auto loan securitization, ABS, SDART 2014-4, by $291 million to $1.35 billion.
The transaction, which has preliminary ratings from Standard & Poor's, priced on Wednesday afternoon, according to deal documents.
The 1.8-year class A-3, AAA’ rated notes priced at 35 basis points over the eurodollar synthetic forward curve. That was line with a comparable tranche of its previous deal, the $1.25 billion
Santander's latest deal is backed by a pool of loans with weaker credit characteristics. For example, the weighted average loan-to-value ratio increased to 114.01% from 112.00% in SDART 2014-3. The pool also includes more longer-dated loans. According to S&P's presale report, the percentage of receivables with original terms of 61-75 months increased to 89.82% from 84.4%.
The weighted average internal credit score for receivables with originals terms of 73-75 months decreased to 531 from 561. S&P also noted that the weighted average LTV for these receivables increased to 105.42% from 104.62%.
S&P believest that the SDART 2014-4 deal is structure with “sufficient room” to accommodate any losses associated with these weaker attributes, however.
“We had recently gone up significantly in our loss expectation on the previous 2014-3 deal to 15%-16% from 13%-14% mainly because of the increased loss rate on SCUSA's managed portfolio, deteriorating static pool performance in the recent vintages, and the 2014-3 pool's weaker collateral mix. The current origination static pool data and securitization performance continue to indicate that this range is appropriate,” the report states.
Santander mandated Bank of America Merrill Lynch as lead manager on the deal. The transaction brings the year to date tally for retail auto-loan ABS issuance to $47.8 billion with subprime accounting for $15.1 billion, according to S&P .
