NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings to the Santander Drive Auto Receivables Trust 2015-1 notes:
--$229,000,000 class A-1 notes 'F1+sf';
--$166,000,000 class A-2A notes 'AAAsf'; Outlook Stable;
--$149,000,000 class A-2B notes 'AAAsf'; Outlook Stable;
--$128,260,000 class A-3 notes 'AAAsf'; Outlook Stable;
--$172,850,000 class B notes 'AAsf'; Outlook Stable;
--$191,240,000 class C notes 'Asf'; Outlook Stable;
--$114,010,000 class D notes 'BBBsf'; Outlook Stable;
--$73,560,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Weaker Credit Quality: 2015-1 is backed by marginally weaker collateral versus 2013-2014 pools, with a slightly weaker internal weighted average (WA) loss forecast score (LFS) of 555 and FICO of 595. The WA seasoning is three months, used vehicles total 67%, and the pool is geographically diverse.
Decreased Extended Term Contracts: Loans with 60+ month terms decreased to 89.8%, driven by a notable decrease in 73-75 month loans which total 7%, down from 15% in 2014-5. These loans are backed by only Chrysler vehicles.
Sufficient Credit Enhancement and Structure: The cash flow distribution is a sequential-pay structure. Initial hard credit enhancement (CE) totals 49.50% for the class A notes, increased from 48.25% in 2014-5, while all other classes of notes' CE are unchanged.
Stable Portfolio/Securitization Performance: Although within range of 2010-2012 performance, recent 2013 losses are higher to date, tracking slightly above the 2012 vintage, driven by marginally weaker collateral credit quality and underwriting and lower recovery rates.
Stable Corporate Health: SCUSA recorded solid financial results recently and has been profitable since 2007. Fitch rates Santander, majority owner of SCUSA, 'A-/F2'/Outlook Stable.
Consistent Origination/Underwriting/Servicing: SCUSA demonstrates adequate abilities as originator, underwriter, and servicer, evidenced by historical portfolio and securitization performance. Fitch deems SCUSA capable to service 2015-1.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SCUSA would not impair the timeliness of payments on the securities.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to SDART 2015-1 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses, showing a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of up to three or more rating categories, under Fitch's severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.
The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service Fitch Research, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'email@example.com'.
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (August 2014);
--'Rating Criteria for U.S. Auto Loan ABS' (April 2014);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (December 2014);
--'Santander Drive Auto Receivables Trust 2015-1' (US ABS) (February 2015);
--'Santander Drive Auto Receivables Trust 2015-1 - Appendix' (February 2015);
--'Structured Finance Tranche Thickness Metrics' (July 29, 2011).
Applicable Criteria and Related Research:
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
Santander Drive Auto Receivables Trust 2015-1 (US ABS)
Santander Drive Auto Receivables Trust 2015-1 -- Appendix
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Auto Loan ABS