Approximately $857 million of asset-backed securities affected
New York, June 28, 2012 -- Moody's Investors Service has placed on review for upgrade 11 subordinate
tranches from three 2011 subprime auto loan transactions sponsored by
Santander Consumer USA Inc.
Complete rating actions are as follows:
Issuer: Santander Consumer Acquired Receivables Trust 2011-S1
Class B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Mar 28, 2011 Definitive Rating Assigned Aa1 (sf)
Class C, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Mar 28, 2011 Definitive Rating Assigned A2 (sf)
Class D, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Mar 28, 2011 Definitive Rating Assigned Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2011-1
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Definitive Rating Assigned Aa1 (sf)
Cl. C, A1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Definitive Rating Assigned A1 (sf)
Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Definitive Rating Assigned Baa2 (sf)
Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Definitive Rating Assigned Ba2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2011-2
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 30, 2011 Definitive Rating Assigned Aa1 (sf)
Cl. C, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 30, 2011 Definitive Rating Assigned A1 (sf)
Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 30, 2011 Definitive Rating Assigned Baa2 (sf)
Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 30, 2011 Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The reviews of the 2011-1 and 2011-2 transactions were driven
by the buildup of credit enhancement due to the sequential pay structure
and stabilizing performance. The review of the Santander Consumer
Acquired Receivables Trust 2011-S1 transaction is driven by the
downward revision of the underlying pools' collateral net loss expectation.
Securities from Santander Consumer Acquired Receivables Trust 2011-S1,
which is a re-securitization of the overcollateralization of CitiFinancial
Auto Issuance Trust 2009-1, were also placed on review for
possible upgrade due to the reduction in our lifetime expected loss of
the underlying CitiFinancial transaction. Additionally, each
tranche's target enhancement level is broken out into two portions.
One part is calculated based on the current pool balance and the other
is based on the original pool balance. The portion of the target
enhancement level that is based on the original pool balance is non-declining.
This will enable the tranches level of credit enhancement to increase
over time.
Below are key performance metrics (as of the May 2012 distribution date)
and credit assumptions for each affected transaction. Credit assumptions
include Moody's expected lifetime CNL expected range which is expressed
as a percentage of the original pool balance. Performance metrics
include pool factor which is the ratio of the current collateral balance
to the original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer: Santander Drive Auto Receivables Trust 2011-1
Lifetime CNL expected Range - 13.00% - 15.00%,
prior expectation (December 2011) - 15.00%
Pool factor -- 65.9%
Total credit enhancement (excluding excess spread ): Class A -
62.03%, Class B - 45.34%,
Class C - 36.24%, Class D - 22.59%,
Class E - 18.03%
Excess spread -- Approximately 9.9% per annum
Issuer: Santander Drive Auto Receivables Trust 2011-2
Lifetime CNL expected Range - 13.00% - 15.00%,
prior expectation (December 2011) - 15.00%
Pool factor -- 69.8%
Total credit enhancement (excluding excess spread ): Class A --
59.4%, Class B -- 43.65%,
Class C -- 35.05%, Class D -- 22.16%,
Class E -- 17.86%
Excess spread -- Approximately 9.9% per annum
Issuer: Santander Consumer Acquired Receivables Trust 2011-S1
(underlying CitiFinancial Auto Issuance Trust 2009-1)
Lifetime CNL expected Range - 6.00% - 6.50%,
prior expectation (Dec 2011) - 7.00%
Pool factor -- 35.4%
Total credit enhancement (excluding excess spread ): Class A -
41.05%, Class B -- 25.09%,
Class C -- 12.65%, Class D -- 9.24%
Excess spread -- Approximately 10% per annum
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current macroeconomic
environment, in which unemployment continues to remain at elevated
levels, and strength in the used vehicle market. Moody's
currently views the used vehicle market as much stronger now than it was
at the end of 2008 when the uncertainty relating to the economy as well
as the future of the U.S auto manufacturers was significantly greater.
Overall, Moody's expects overall a sluggish recovery in most of
the world's largest economies, returning to trend growth rate with
elevated fiscal deficits and persistent unemployment levels.
The principal methodology used in these ratings was "Moody's Approach
to Rating U.S. Auto Loan Backed Securities " published in
May 2011. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see Moody's Rating Symbols and Definitions on the Rating
Process page on www.moodys.com for further information on
the meaning of each rating category and the definition of default and
recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history. The date on
which some ratings were first released goes back to a time before Moody's
ratings were fully digitized and accurate data may not be available.
Consequently, Moody's provides a date that it believes is
the most reliable and accurate based on the information that is available
to it. Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has
issued the rating.
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews Santander subprime auto loan ABS from 2011 for possible upgrade