Fitch Rates Santander Drive Auto Receivables Trust 2015-3

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings to the notes issued by Santander Drive Auto Receivables Trust 2015-3:

--$169,000,000 class A-1 notes 'F1+sf';

--$110,000,000 class A-2-a notes 'AAAsf'; Outlook Stable;

--$205,000,000 class A-2-b notes 'AAAsf'; Outlook Stable;

--$129,529,000 class A-3 notes 'AAAsf'; Outlook Stable;

--$142,353,000 class B notes 'AAsf'; Outlook Stable;

--$152,941,000 class C notes 'Asf'; Outlook Stable;

--$91,177,000 class D notes 'BBBsf'; Outlook Stable;

--$58,824,000 class E notes 'BBsf'; Outlook Stable.

KEY RATING DRIVERS

Consistent Credit Quality: 2015-3 is backed by collateral consistent with 2014 and 2015 transactions with a WA FICO score of 597 vs. internal WA loss forecast score (LFS) of 555. The WA seasoning is nearly three months, new vehicles have increased to 39.9% compared to 32.5% in 2015-1, and the pool is geographically diverse.

Increased Extended Term Contracts: Loans with terms of 60+ months total 92.4%, driven by a notable increase in 73 - 75-term loans totalling 16.8%, increased from 6.9% in 2015-1 and the highest historically for the SDART platform. Fitch applied a stress to the loss proxy to account for the risk posed by these loans since there is limited performance history and the expectation is that they will perform worse than loans with terms less than or equal to 72 months.

Sufficient Credit Enhancement and Structure: The cash flow distribution is a sequential pay structure. Initial hard credit enhancement (CE) totals 49.85% for the class A notes, increased from 49.50% in the prior two SDART transactions.

Stable Portfolio/Securitization Performance: Although within range of 2010 - 2012 performance, recent 2013 - 2014 losses are tracking slightly higher to date above the 2012 vintage, driven by marginally weaker collateral underwriting and lower recoveries from softer used vehicle values.

Stable Corporate Health: SCUSA recorded solid financial results recently and has been profitable since 2007. Fitch rates Santander, majority owner of SCUSA, 'A-/F2'; Rating Outlook Stable.

Consistent Origination/Underwriting/Servicing: SCUSA demonstrates adequate abilities as originator, underwriter, and servicer, evidenced by historical portfolio delinquency, loss experience, and securitization performance. Fitch deems SCUSA capable to service 2015-3.

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.

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 in turn could result in Fitch taking negative rating actions on the notes.

Fitch evaluated the sensitivity of the ratings assigned to Santander Drive Auto Receivables Trust 2015-3 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. This shows 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 three or more rating categories, potentially leading to distressed ratings (below 'Bsf') or possibly default, under Fitch's severe (2.5x base case loss) scenario.

DUE DILIGENCE USAGE

No third part due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Structured Finance Rating Criteria (pub. 31 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Rating Criteria for US Auto Loan ABS (pub. 10 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863979

Related Research

Santander Drive Auto Receivables Trust 2015-3 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867252

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=986936

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=986936

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150624006507/en/

Fitch Ratings, New York
Media Relations
Sandro Scenga, +1-212-908-0278
[email protected]
or
Primary Analyst
Associate Director
Timothy McNally, +1-212-908-0870
or
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Associate Analyst
Eric Orenstein, +1-212-908-0245
or
Committee Chairperson
Senior Director
Du Trieu, +1-312-368-2091

Source: Fitch Ratings

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