Fitch Rates Susquehanna Auto Receivables Trust 2014-1

NEW YORK--()--Fitch Ratings assigns the following ratings to Susquehanna Auto Receivables Trust 2014-1:

--$67,000,000 class A-1 'F-1+sf';

--$68,500,000 class A-2 'AAAsf'; Outlook Stable;

--$68,500,000 class A-3 'AAAsf'; Outlook Stable;

--$39,645,000 class A-4 'AAAsf'; Outlook Stable;

--$7,535,000 class B 'A-sf'; Outlook Stable.

KEY RATING DRIVERS

Strong Credit Quality: 2014-1 has strong credit quality, with a WA FICO score of 746 while 76% of the pool is comprised of loans with FICO scores above 700. WA seasoning totals 19.5 months, the WA LTV is 88.7% for SB collateral only, and the pool is diverse from a make/model perspective. SB originations total 76% and HF 24%, and used vehicles total 68% of the pool.

High State Concentration and Extended Term Loans: The top three states (PA, NJ and MD) total 93.7% in 2014-1, mirroring SBI's overall regional business footprint. Loans with original terms of 60+ months total 59%; however, these loans contain obligors with WA FICO scores of 739-748, as the originators limit lending on these extended terms to strong obligors.

Adequate Credit Enhancement Structure: The structure is a sequential payment priority. Initial hard credit enhancement (CE) in 2014-1 for the class A notes is 3.25% and class B notes 0.25%, (target CE is 4.25% and 1.25%). Excess spread is initially 3.57% per annum (p.a.). Under Fitch's analysis, the structure is able to support stressed losses commensurate with the expected ratings.

Consistent Portfolio Performance: SBI's total portfolio, as well as SB's and HF's separate portfolios, have exhibited some of the lowest delinquencies and net losses and strong overall asset performance of prime issuers rated by Fitch going back to 2009.

Capable Origination/Underwriting/Servicing: Fitch believes SBI to be a capable originator, underwriter, administrator and servicer to service 2014-1, as evidenced by the historical performance of its managed portfolio and securitizations.

Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SBI (or SB and HF) would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of Susquehanna Auto Receivables Trust 2014-1 to increased losses over the life of the transaction. Fitch's analysis found that the class A and B notes display some sensitivity to increased defaults and losses, showing potential downgrades of up to one category under Fitch's moderate (1.5x base case loss) scenario. All classes of notes could experience downgrades of up to two or three rating categories under Fitch's severe (2.5x base case loss) scenario.

Fitch's analysis of the Representation and Warranties (R&W) of this transaction can be found in 'Susquehanna Auto Receivables Trust 2014-1 -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions' dated April 17, 2012.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Rating Criteria for U.S. Auto Loan ABS' (April 7, 2014);

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Susquehanna Bank Auto Receivables Trust 2014-1 -- Appendix' (July 30, 2014);

--'Susquehanna Bank Auto Receivables Trust 2014-1' (July 30, 2014).

Applicable Criteria and Related Research:

Rating Criteria for U.S. Auto Loan ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=738718

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Susquehanna Auto Receivables Trust 2014-1 (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753546

Susquehanna Auto Receivables Trust 2014-1 -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753728

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=851654

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Contacts

Fitch Ratings
Primary Analyst
Hylton Heard, +1 212-908-0214
Senior Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Timothy McNally, +1 212-908-0870
Analyst
or
Committee Chairperson
Tracy Wan, +1 212-908-9171
Senior Director
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Analyst
Hylton Heard, +1 212-908-0214
Senior Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Timothy McNally, +1 212-908-0870
Analyst
or
Committee Chairperson
Tracy Wan, +1 212-908-9171
Senior Director
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com