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Announcement:

Moody's reviews Santander subprime auto loan ABS from 2011 for possible upgrade

28 Jun 2012

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
No Related Data.
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