Fitch Upgrades 10 and Affirms 5 Classes from 4 Santander Drive Auto Receivables Trusts
OREANDA-NEWS. As part of its ongoing surveillance, Fitch Ratings has taken the following rating actions to the Santander Drive Auto Receivables Trust (SDART) 2012-4, 2013-3, 2013-5 and 2014-5 transactions:
2012-4:
--Class C affirmed at 'AAAsf'; Outlook Stable;
--Class D upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive;
--Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive.
2013-3:
--Class C affirmed at 'AAAsf'; Outlook Stable;
--Class D upgraded to 'AAsf' from 'Asf'; Outlook Positive;
--Class E affirmed at 'BBBsf'; Outlook revised to Positive from Stable.
2013-5:
--Class B affirmed at 'AAAsf'; Outlook Stable;
--Class C upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive;
--Class D upgraded to 'AAsf' from 'Asf'; Outlook Positive;
--Class E upgraded to 'Asf' from 'BBBsf'; Outlook revised to Positive from Stable.
2014-5:
--Class A-3 affirmed at 'AAAsf'; Outlook Stable;
--Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive;
--Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
--Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;
--Class E upgraded to 'BBBsf' from 'BBsf'; Outlook revised to Positive from Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and loss performance. The collateral pools continue to perform within Fitch's expectations. Under the credit enhancement structures, the securities are able to withstand stress scenarios consistent with the recommended ratings and make full payments to investors in accordance with the terms of the documents.
To date, the transactions have exhibited strong performance with losses within Fitch's initial expectations, with rising loss coverage and multiple levels consistent with the recommended ratings. A material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings.
For all four transactions, Fitch revised its loss proxies downward as losses are currently extrapolating below Fitch's base case loss proxies assigned at prior reviews. Based on current loss trends, Fitch expects CNL for all four transactions to be in the 12%-16% range.
The upgrades reflect the improved loss coverage available to the notes. Further, Fitch will continue to monitor all four transactions and may take additional rating actions in the future. The ratings reflect the quality of Santander Consumer USA, Inc.'s retail auto loan originations, the adequacy of its servicing capabilities, and the sound financial and legal structure of the transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxies, and impact available loss coverage and multiples levels for all transactions. Lower loss coverage could impact ratings and rating outlooks, depending on the extent of the decline in coverage.
In the 2012-4 and 2013-5 transactions, the class E notes show limited to no sensitivity to the back-ended loss timing scenario. In the 2013-3 and 2014-5 transactions, the class E notes do exhibit a slight decline in loss coverage multiples under a back-ended loss timing scenario. Despite such marginal declines in loss coverage levels, the net loss coverage multiples are still within range of the recommended multiples for each recommended rating.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch's analysis of the Representation and Warranties (R&W) of these transactions in this review can be found in the respective appendices to each presale report. 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 Global Structured Finance Transactions' dated May 31, 2016.
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