Drive Auto Receivables Trust 2016-B

Transcription

1 Presale: Drive Auto Receivables Trust 2016-B Primary Credit Analyst: Steve D Martinez, New York (1) ; steve.martinez@spglobal.com Secondary Contact: Ines A Beato, New York (1) ; ines.beato@spglobal.com Table Of Contents $1, Million Automobile Receivables-Backed Notes Series 2016-B Rationale Significant Changes From 2016-A Transaction Overview Transaction Structure Payment Structure Events Of Default Payment Priority After An Event Of Default Portfolio Performance Pool Analysis S&P Global Ratings' Expected Loss: 27.00%-28.00% Cash Flow Modeling: Break-Even Cash Flows Modeling The Class A-2-B Floating-Rate Notes MAY 12,

2 Table Of Contents (cont.) Loss Trigger Analysis Sensitivity Analysis Money Market Tranche Sizing Legal Final Maturity Santander Consumer USA Inc. Related Criteria And Research MAY 12,

3 Presale: Drive Auto Receivables Trust 2016-B $1, Million Automobile Receivables-Backed Notes Series 2016-B This presale report is based on information as of May 12, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings As Of May 12, 2016 Class Preliminary rating(i) Type Interest rate(ii) Preliminary amount (mil. $)(ii) Legal final maturity date A-1 A-1+ (sf) Senior Fixed May 15, 2017 A-2-A/A-2-B(iii) AAA (sf) Senior Fixed/floating Aug. 15, 2018 A-3 AAA (sf) Senior Fixed July 15, 2019 B AA (sf) Subordinate Fixed June 15, 2020 C A (sf) Subordinate Fixed July 15, 2022 D BBB (sf) Subordinate Fixed Aug. 15, 2023 (i)the rating on each class of securities is preliminary and subject to change at any time. (ii)the tranches' coupons and sizing will be determined on the pricing date. (iii)the class A-2 notes will be split into a fixed-rate class A-2-A and a floating-rate class A-2-B. The sizes of classes A-2-A and A-2-B will be determined at pricing. The class A-2-B coupon will be expressed as a spread tied to one-month LIBOR, subject to a coupon floor of 0.0%, to the extent the sum of LIBOR plus the spread is less than 0.0%. Profile Expected closing date May 25, Collateral Originator, sponsor, servicer, and seller Structuring lead manager Indenture trustee Owner trustee Delaware trustee Credit Enhancement Summary Subprime auto loan receivables. Santander Consumer USA Inc., a subsidiary of Santander Holdings U.S.A. Inc. (BBB+/Stable/A-2; formerly known as Sovereign Bancorp). Wells Fargo Securities LLC. Wilmington Trust N.A. (A/Negative/A-1). Citibank N.A. Citicorp Trust Delaware N.A B 2016-A 2015-D 2015-C 2015-B 2015-A Subordination (% of the initial receivables)(i) Class A Class B Class C Class D Class E N/A N/A N/A N/A MAY 12,

4 Credit Enhancement Summary (cont.) 2016-B 2016-A 2015-D 2015-C 2015-B 2015-A Overcollateralization Initial (% of initial receivables) Target(ii) Floor (% of initial receivables) Reserve fund (% of the initial receivables) Initial Target Floor Total initial hard credit enhancement (% of the initial receivables) Class A Class B Class C Class D Class E N/A N/A N/A N/A Excess spread per year (estimated %)(iii) (i)principal on the preliminary rated notes will be paid sequentially. Class A refers collectively to the class A-1, A-2, and A-3 notes. (ii)for Drive 2016-B, the overcollateralization target amount will be equal to the sum of 31.50% of the current pool balance and 1.50% of the initial pool balance. The target overcollateralization amount will increase to the sum of 41.50% of the current pool balance and 1.50% of the initial pool balance if the CNL triggers are breached. The CNL triggers are tested monthly and are not curable once breached. (iii)includes the 4.0% servicing fee. --Drive Auto Receivables Trust. --Santander Drive Auto Receivables Trust. CNL--Cumulative net loss. N/A--Not applicable. Rationale The preliminary ratings assigned to Drive Auto Receivables Trust 2016-B's ( 2016-B's) automobile receivables-backed notes reflect: The availability of 66.27%, 59.77%, 49.73%, and 39.25% of credit support for the class A (consisting of classes A-1, A-2, and A-3), B, C, and D notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of more than 2.35x, 2.10x, 1.70x, and 1.35x our 27.00%-28.00% expected cumulative net loss (CNL; see the Cash Flow Modeling section for more information). The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. The expectation that under a moderate (BBB) stress scenario, all else being equal, our ratings on the class A, B, and C notes will remain within one rating category of the assigned preliminary ratings during the first year, and our rating on the class D notes will remain within two rating categories of the assigned preliminary rating, which is within the outer bounds of our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). The originator/servicer's history in the subprime/specialty auto finance business. Our analysis of eight years of static pool data on Santander Consumer USA Inc.'s (SC's) lending programs. The transaction's payment/credit enhancement and legal structures. MAY 12,

5 Significant Changes From 2016-A The structural and enhancement changes from the series 2016-A transaction include: The initial hard credit enhancement increased for classes A, B, C, and D by 0.15%, 2.35%, 3.60%, and 1.50% respectively. The initial overcollateralization increased to 23.50% of initial pool balance from 22.00%. The target overcollateralization increased to 31.50% as a percentage of the current principal balance plus 1.50% of the initial pool balance from 28.30% as a percentage of the current principal balance plus 1.50% of the initial pool balance for 2016-A. When the loss trigger is breached, the target overcollateralization increases to 41.50% plus 1.50% of the current and initial pool balance, respectively. Excess spread decreased to approximately 11.32% per year from 13.33%. The collateral changes from 2016-A include: The percentage of the pool with no FICO score increased to 20.96% from 17.30%. The weighted average loss forecasting score (LFS) increased to 470 from 460. The percentage of the pool with an LFS less than or equal to 400 increased to 10.09% from 4.52% while the percentage of the pool with an LFS score greater than 500 increased to 23.12% from 17.98% The percentage of longer-term loans (73-75 months) decreased to 5.01% from 7.00% while the month loans increased to 86.03% from 81.89%. The weighted average loan-to-value ratio decreased to % from %. Overall, we have maintained our expected CNL range for this transaction at 27%-28% (see S&P Global Ratings' Expected Loss section). Transaction Overview SC established a new platform- Drive Auto Receivables Trust ()- for deep subprime assets that do not conform to the collateral characteristics of its existing platforms: Santander Drive Auto Receivables Trust () and Chrysler Capital Auto Receivables Trust (CCART) B is the sixth transaction issued from this platform. All the receivables included in the 2016-B pool were originated by SC under its standard credit and underwriting procedures and will be serviced by SC B will issue $1, million in securities backed by retail installment sales contracts for new and used automobiles and light-duty trucks. The transaction is structured as a true sale of the receivables to Santander Drive Auto Receivables LLC (the depositor) from SC (the originator, sponsor, servicer, and seller) and then to 2016-B (the issuer), which has pledged its interest in the receivables to the indenture trustee on the noteholders' behalf. In rating this transaction, S&P Global Ratings reviewed the legal matters that it believes are relevant to its analysis, as outlined in its criteria. (See chart 1 for the transaction structure.) MAY 12,

6 Transaction Structure 2016-B incorporates the following structural features: A sequential-pay mechanism among the notes that results in increased credit enhancement for the rated notes as the pool amortizes. Initial overcollateralization of 23.50% of the initial pool balance that will build to a target that equals 31.50% of the current pool balance plus 1.50% of the initial pool balance by using any excess spread available after covering net losses to pay principal on the outstanding notes. The overcollateralization floor is set at 1.50% of the initial pool balance. A loss trigger that will step up the overcollateralization target to 41.50% of the current pool balance plus 1.50% of the initial pool balance if the collateral performance deteriorates and losses exceed the loss threshold. The triggers will be tested monthly and are not curable once breached. A nonamortizing reserve account that will be 2.00% of the initial pool balance and will be fully funded at closing. MAY 12,

7 Payment Structure The class A through D notes' issuance will be $1, million, and all classes, except class A-2-B, will pay a fixed interest rate. Interest and principal are scheduled to be paid to the rated notes on each monthly distribution date on the 15th day of each month or, if that is not a business day, the next business day, beginning June 15, On each payment date, distributions will be made from available funds according to the payment priority in table 1. Table 1 Payment Waterfall Priority Payment 1 To the indenture and owner trustees, any accrued and unpaid fees and any reasonable expenses not previously paid by the servicer, at a $200,000 cap per year, in aggregate. 2 To the servicer, the servicing fee (4.0%) and all unpaid servicing fees from previous periods. 3 To the class A noteholders, the accrued class A note interest due for the related interest period (paid pro rata). 4 The first principal allocation (the excess, if any, of the class A note balance over the pool balance). 5 To the class B noteholders, the accrued class B note interest due for the related interest period. 6 The second principal allocation (the excess, if any, of the combined class A and B note balances over the pool balance minus the first principal allocation). 7 To the class C noteholders, the accrued class C note interest due for the related interest period. 8 The third principal allocation (the excess, if any, of the combined class A, B, and C note balances over the pool balance minus the first and second principal allocations). 9 To the class D noteholders, the accrued class D note interest due for the related interest period. 10 The fourth principal allocation (the excess, if any, of the combined class A, B, C, and D note balances over the pool balance minus the first, second, and third principal allocations). 11 To the reserve account, any additional amounts required to make the cash on deposit in the reserve account equal to the specified reserve account balance. 12 The regular principal allocation, if any (in this step, the notes are paid down to build to the overcollateralization target). 13 To the certificate distribution account for the residual interestholder, any funds remaining. Events Of Default Under the indenture, the occurrence and continuation of any of the following events constitutes a default: A default in the interest payment on any of the controlling class' notes when due and payable that continues for five or more business days. A default in the principal payment on any note on the final scheduled payment or redemption date. The issuer fails to duly observe or perform its covenants or agreements. Any of the issuer's representations or warranties made under the indenture proves incorrect. The issuer files for bankruptcy. Payment Priority After An Event Of Default On each payment date after an event of default occurs, available funds will be distributed in the priority shown in table 2. MAY 12,

8 Table 2 Payment Priority After An Event Of Default Priority Payment 1 Any accrued and unpaid fees to the indenture and owner trustees. 2 The servicing fee (4.0%) and all unpaid servicing fees to the servicer. 3 Interest, pro rata, to the class A noteholders. 4a 4b If an acceleration of the notes occurs after or as a result of the event of default detailed in the first, second, or fifth bullet in the Events Of Default section above, pay in the following priority: principal to the class A-1 noteholders until the notes are paid in full; then principal to the class A-2 and A-3 noteholders, pro rata, based on each class' note balance until all class A notes are paid in full; then accrued class B note interest to the class B noteholders; then principal to the class B noteholders until the notes are paid in full; then accrued class C note interest to the class C noteholders; then principal to the class C noteholders until the notes are paid in full; then accrued class D note interest to the class D noteholders; and then principal to the class D noteholders until the notes are paid in full. If an acceleration of the notes has occurred after or as a result of the event of default detailed in bullets three or four in the Events Of Default section above, pay in the following priority: accrued class B note interest to the class B noteholders; then accrued class C note interest to the class C noteholders; then accrued class D note interest to the class D noteholders; then principal to the class A-1 noteholders until the notes are paid in full; then principal to the class A-2 and A-3 noteholders, pro rata, based on each class' note balance until all of the class A notes are paid in full; then principal to the class B noteholders until the notes are paid in full; then principal to the class C noteholders until the notes are paid in full; and then principal to the class D noteholders until the notes are paid in full. 5 Any remaining funds will be deposited into the certificate distribution account for distribution to or at the direction of the residual interestholder. Portfolio Performance SC's managed portfolio performance slightly weakened with increasing delinquencies and net losses. As of March 31, 2016, delinquencies for 31 days or more increased to 11.42% from 10.76% over the same period in Furthermore, annualized losses for March 31, 2016, were 9.62% versus 7.10% for the year before. Table 3 Managed Portfolio Principal amount outstanding at end of period (mil. $) As of March 31 As of Dec (ii) ,744 24,319 26,498 22,862 21,128 16,206 14,139 14,801 6,851 6,112 Delinquencies (%) days days plus days and bankrupt accounts Total 31+ delinquencies as a % of the principal amount outstanding(i) Net loss experience Average principal amount outstanding during the period (mil. $) 26,567 23,490 25,459 22,499 18,918 15,124 14,325 10,151 5,865 5,825 MAY 12,

9 Table 3 Managed Portfolio (cont.) Annualized net losses as a % of the average principal outstanding As of March 31 As of Dec (ii) (i)the servicer considers a receivable delinquent when an obligor fails to pay the required minimum portion of the scheduled payment by the due date, as determined according to the servicer's customary servicing practices; the required minimum payment is never less than 50% of the scheduled payment. However, a receivable is not considered current if the obligor makes partial payments on two consecutive due dates. The delinquency period is based on the number of days payments are contractually past due. (ii)santander Consumer USA Inc.'s acquisition of the HSBC Automotive Trust (USA) and CitiFinancial Auto Ltd. receivables primarily drove the company's significant growth in Pool Analysis As of the April 30, 2016, cut-off date, the collateral pool comprised approximately $1, million in entirely SC-originated auto loans (see table 4 for a collateral comparison to securitizations). Table 4 Collateral Comparison(i) Issuance date Pool size (mil. $) SC (% of pool) Other (% of pool) Avg. principal balance ($) avg. APR (%) avg. original term (mos.) Seasoning (mos.) New vehicles (%) Used vehicles (%) avg. LTV ratio (%) 2016-B May 25, A Jan. 27, D Sept. 29, C July 22, B May 28, A March 18, Feb. 25, Sept. 17, June 18, Jan. 15, , , , , , , , ,980 17,378 18,011 17,938 17,976 17,966 18,492 18,763 19,098 20, MAY 12,

10 Table 4 Collateral Comparison(i) (cont.) avg. original FICO score(ii) 2016-B 2016-A 2015-D 2015-C 2015-B 2015-A No score or lower or higher avg. internal credit score(iii) 450 or lower N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A or higher 400 or lower N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 551 or higher Total % of loans with an original term of mos. Total % of loans with an original term for mos. avg. original FICO score for mos N/A N/A N/A N/A N/A N/A MAY 12,

11 Table 4 Collateral Comparison(i) (cont.) avg. internal credit score for mos. avg. LTV ratio for mos B 2016-A 2015-D 2015-C 2015-B 2015-A Top five state concentrations (%) S&P Global Ratings' expected lifetime CNL (%) TX =17.28 CA =12.89 TX=14.63 TX=13.75 TX=20.75 TX=19.81 TX=16.99 TX=18.29 TX=18.40 TX=17.86 FL=16.12 TX=11.95 FL=12.14 FL=12.15 FL=13.83 FL=11.84 FL=14.83 FL=14.01 FL=13.57 FL=11.58 CA =10.88 FL =10.61 CA=11.16 CA=11.43 CA=9.02 CA=10.18 CA=10.22 CA=9.93 CA=9.57 CA=8.55 GA=5.60 GA=6.25 GA=5.91 GA=6.13 GA=4.34 GA=5.57 GA=5.20 GA=4.91 GA=4.63 GA=4.93 NY=3.57 NY=4.43 IL=4.25 IL=4.44 NC=3.89 IL=3.93 IL=4.07 NC=3.94 NC=4.14 NC= (i)all percentages are of the initial gross receivables balance. (ii)excludes receivables of obligors with no FICO scores. (iii)sc uses a proprietary internal credit scoring methodology to underwrite and originate collateral. The internal score incorporates, among other factors, deal structure variables such as cash down payment and LTV, payment-to-income, and debt-to-income ratios. The score ranges from one to 999, with a score of one indicating a very high predicted likelihood of loss and a score of 999 indicating a very low predicted likelihood of loss. --Drive Auto Receivables Trust. --Santander Drive Auto Receivables Trust. SC--Santander Consumer USA Inc. APR--Annual percentage rate. CNL--Cumulative net loss. LTV--Loan-to-value. In addition to the above analysis, we compared the pool's collateral characteristics with those of DriveTime Car Sales Co. LLC's subprime transactions (see table 5), which is an integrated auto sales and finance company with similar loss proxies. Table 5 Collateral Comparison(i) Collateral cut-off date Pool size (mil. $) Avg. principal balance ($) avg. APR (%) 2016-B 2016-A 2015-D 2015-C 2015-B 2015-A DTAOT DTAOT DTAOT DTAOT /30/ /31/2015 8/31/2015 6/30/2015 4/30/2015 2/28/2015 2/29/ /31/2015 9/30/2015 5/31/2015 1, , , ,980 17,378 17,881 17,938 17, ,099 17,353 17,095 17, MAY 12,

12 Table 5 Collateral Comparison(i) (cont.) avg. original term (mos.) Seasoning (mos.) Total % of loans with an original term of months Total % of loans with an original term of months avg. original FICO score % of pool with a FICO score of 550 or below (excluding those without FICO scores) 2016-B 2016-A 2015-D 2015-C 2015-B 2015-A DTAOT DTAOT DTAOT DTAOT N/A N/A N/A N/A Top three state concentrations (%) S&P Global Ratings' expected CNL (%) TX=17.28 CA =12.89 TX=14.63 TX=13.75 TX=20.75 TX=19.81 TX=15.46 TX=17.51 TX=17.56 TX=18.85 FL=16.12 TX=11.95 FL=12.14 FL=12.15 FL=13.83 FL=11.84 FL=14.43 FL=13.78 FL=13.99 FL=14.31 CA=10.88 FL =10.61 CA=11.16 CA=11.43 CA=9.02 CA=10.18 GA=7.99 GA=8.46 GA=9.00 GA= (i)all percentages are of the initial gross receivables balance. --Drive Auto Receivables Trust. DTAOT--DT Auto Owner Trust. APR--Annual percentage rate. CNL--Cumulative net loss. N/A--Not applicable. S&P Global Ratings' Expected Loss: 27.00%-28.00% We examined static pool data from SC broken out by internal score bands. The custom score is based on the obligor's credit quality, the loan structure, and other noncredit bureau attributes. We used the 2005, 2006, 2007, 2008, and MAY 12,

13 vintage paid-off loss curves to project losses for the outstanding SC-originated collateral by internal score band. We then applied the pool composition weights to the projected losses by internal score band to determine a weighted average loss projection for SC-originated collateral. Based on our review of the origination static pool performance by internal score band, a peer comparison of the collateral pool, and our forward-looking view of the economy, we expect 2016-B to experience CNLs in the 27.00%-28.00% range. Cash Flow Modeling: Break-Even Cash Flows Cash flow modeling tests the availability and timing of excess spread and stresses the release of enhancement. Excess spread, which can be a critical component of a transaction's overall credit enhancement, can be affected by many factors, such as the absolute level and timing of defaults, prepayment speeds, payment timing lags, and the collateral terms. We modeled the transaction to simulate stress scenarios appropriate for the assigned preliminary ratings (see table 6). Table 6 Cash Flow Assumptions And Results Class A B C D Front-loaded loss curve Scenario (preliminary rating) AAA (sf) AA (sf) A (sf) BBB (sf) Loss timing input by months outstanding (12/24/36/48) (%) Loss timing output by months outstanding (12/24/36/48) (%) 40/40/10/10 40/40/10/10 40/40/10/10 40/40/10/10 100/0/0/0 52/48/0/0 40/40/10/10 40/40/10/10 Voluntary ABS (%) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even net loss levels (100% credit to excess spread) (%)(i) Approximate break-even gross loss levels (100% credit to excess spread) (%)(i) Back-loaded loss curve Scenario (preliminary rating) AAA (sf) AA (sf) A (sf) BBB (sf) Loss timing input by months outstanding (12/24/36/48/60) (%) Loss timing output by months outstanding (12/24/36/48/60) (%) 20/30/25/15/10 20/30/25/15/10 20/30/25/15/10 20/30/25/15/10 100/0/0/0/0 47/53/0/0/0 28/41/32/0/0 21/31/25/15/8 Voluntary ABS (%) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even net loss levels (100% credit to excess spread) (%)(i) MAY 12,

14 Table 6 Cash Flow Assumptions And Results (cont.) Class A B C D Approximate break-even gross loss levels (100% credit to excess spread) (%)(i) (i)the maximum cumulative net and gross losses on the pool that the transaction can withstand without a payment default on the relevant classes of notes. ABS--Absolute prepayment speed. Using an expected net loss of 27.00%-28.00% of the initial pool and applying the transaction-appropriate stresses in our internal cash flow runs, the break-even results show that the class A through D notes are enhanced to the degree necessary to withstand stressed net loss levels that are consistent with the assigned preliminary ratings. Modeling The Class A-2-B Floating-Rate Notes Class A-2 will be split into two classes: class A-2-A (fixed rate) and class A-2-B (floating rate); class A-2-B will have a maximum issuance value of 50.0% of the total class A-2 balance. This introduces interest rate risk into the transaction because the assets are fixed-rate contracts, while the class A-2-B notes are unhedged floating-rate notes. Our approach in this scenario was to model the coupon on the floating-rate notes using the appropriate high-path interest rate vector to simulate a stressed floating-rate scenario (see "U.S. Interest Rate Assumptions Revised For May 2012 And Thereafter," published April 30, 2012). We modeled the class A-2-B note coupon using a spread tied to a 'AAA' high-path one-month LIBOR curve. Under this approach, the one-month LIBOR curve reaches a 7.12% peak in month 37. Loss Trigger Analysis The loss trigger increases the target overcollateralization amount to 41.50% plus 1.50% of the current and initial pool balances, respectively, from 31.50% plus 1.50% if the CNL threshold is breached. The CNL triggers are tested monthly and are not curable once breached (see table 7 below). In our break-even front- and back-loaded scenarios, the trigger was breached for class A through D. However, excess spread was used to cover losses and overcollateralization did not build above the initial target overcollateralization amount except in the 'BBB' back-loaded scenario. In this scenario, overcollateralization built to the initial target overcollateralization amount in month nine and breached the loss trigger in month 55, but by this point the overcollateralization amount had already been steadily declining and did not build again after month 40. Table 7 CNL Threshold Changes Month CNL threshold (%) MAY 12,

15 Table 7 CNL Threshold Changes (cont.) Month CNL threshold (%) 37 and thereafter CNL--Cumulative net loss. To test the trigger's effectiveness under a moderate stress, we ran two scenarios, as discussed below. Scenario one: moderate stress scenario with a front-loaded loss curve We ran 1.35x our maximum 28.00% base-case loss (37.80%) through the transaction's life using a 40/40/10/10 loss curve, which we believe is a front-loaded loss curve. The results of this scenario are as follows: The CNL trigger is breached in month 12, and the overcollateralization target steps up to 41.50% plus 1.50% of the current and initial pool, respectively. The transaction traps all cash in the structure but is unable to build above the initial target overcollateralization because excess spread was used to cover losses. Scenario two: moderate stress scenario with a back-loaded loss curve We ran 1.35x our maximum 28.00% base-case loss (37.80%) through the transaction's life using a 20/30/25/15/10 loss curve, which we consider a back-loaded loss curve. The CNL trigger is not breached in this scenario. Sensitivity Analysis Besides analyzing break-even cash flows, we conducted a sensitivity analysis to determine whether under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A and B notes would remain within one rating category of the assigned preliminary ratings for one year and our ratings on the class C and D notes would remain within two rating categories of the assigned preliminary ratings for one year (see table 8). Table 8 Sensitivity Analysis Summary: Moderate 'BBB' Stress (1.35x Base Case) Cumulative net loss level (28.00% x 1.35) (%) Loss timing by months outstanding (12/24/36/48) (%) Fast loss curve Slow loss curve 40/40/10/10 21/30/25/15/9 Voluntary ABS (%) Recoveries (%) Recovery lag (mos.) 4 4 Servicing fee (%) 4 4 Coverage of remaining losses Class A (AAA (sf)) Class B (AA (sf)) Class C (A (sf)) Initially 2.15x, and continues to grow thereafter Initially 1.85x, and continues to grow thereafter Initially 1.47x, and continues to grow thereafter Initially 2.21x, and continues to grow thereafter Initially 1.91x, and continues to grow thereafter Initially 1.53x, and continues to grow thereafter MAY 12,

16 Table 8 Sensitivity Analysis Summary: Moderate 'BBB' Stress (1.35x Base Case) (cont.) Class D (BBB (sf)) ABS--Absolute prepayment speed. Fast loss curve Initially 1.09x, then grows to 1.18 in month 12, and continues to grow thereafter Slow loss curve Initially 1.15x, then increases marginally to 1.18x in month 8, and then decreases thereafter before increasing again after month 31 Our sensitivity analysis indicates that in a moderate stress scenario the ratings on the class A, B, and C notes will remain within one rating category of the assigned preliminary ratings over the first year, and the rating on the class D notes will remain within two rating categories of the assigned preliminary rating over the first year. This is in line with our credit stability criteria, which state that the maximum deterioration associated with 'AAA' and 'AA' ratings within the first year of issuance is a one-category reduction and the maximum deterioration associated with 'A' and 'BBB' ratings within the first year of issuance is a two-category reduction (see charts 2 and 3 for the coverage multiples over the first three years for the class A through D notes under a moderate ['BBB'] stress scenario). In addition, class D receives full principal payment in the front- and back-loaded scenarios of our 'BBB' sensitivity run. Chart 2 MAY 12,

17 Chart 3 Money Market Tranche Sizing The proposed money market tranche's (class A-1's) legal final maturity date is May 15, To test whether the money market tranche can be repaid by its maturity date, we ran cash flows using assumptions to delay the principal collections. We assumed zero defaults and a zero absolute prepayment speed for our cash flow run, and we confirmed that approximately 11 months of principal collections would be sufficient to pay off the money market tranche. Legal Final Maturity To test the legal final maturity dates set for the long-dated tranches (classes A-2 through C), we determined when the respective notes would fully amortize in a zero-loss and zero-prepayment scenario and then added three months to the result. For the longest-dated security (class D), we added 12 months to the tenor of the longest receivable in the pool to accommodate extensions on the receivables. Furthermore, in the break-even scenario for each rating level, we confirmed that credit enhancement was sufficient to both cover losses and repay the related notes in full by the legal final maturity date. MAY 12,

18 Santander Consumer USA Inc. SC was established as an independent entity under the "Drive Financial Services" name on Aug. 18, Before being acquired by Banco Santander S.A. (A-/Stable/A-2) on Dec. 7, 2006, Drive Financial Services was 64.5% owned by BoS (USA) Drive Inc., a wholly owned subsidiary of HBOS Group PLC, and 35.5% owned by Drive Financial Services' management. Banco Santander S.A. completed its acquisition of Drive Financial Services on Dec. 7, 2006, for $771 million in cash, resulting in a 91.5% ownership of the company. New partners were incorporated into SC in October 2011, increasing its capital by approximately $1.15 billion. Sponsor Auto Finance Holdings Series L.P., an entity held by funds affiliated with Warburg Pincus LLC, Kohlberg Kravis Roberts & Co. L.P. (KKR & Co. L.P.), and Centerbridge Partners L.P., invested $1 billion in the company and DDFS LLC invested approximately $150 million. Following this transaction, Santander Holdings U.S.A. Inc. had a 65% stake in SC; KKR & Co. L.P., Warburg Pincus LLC, and Centerbridge Partners L.P. (through Sponsor Auto Finance Holdings Series L.P.) had a 25% stake, and DDFS LLC had a 10% stake. SC filed Form S-1 with the SEC on July 3, 2013, for its initial public offering (IPO). SC's selling stockholders, which included Sponsor Auto Finance Holdings Series L.P. and DDFS LLC, offered approximately 75,000,000 shares of common stock on Jan. 22, Warburg Pincus LLC and KKR & Co. L.P. both sold their remaining stake in SC on Sept. 10, 2014, leaving Centerbridge Partners L.P. as the remaining shareholder in Sponsor Auto Finance Holding Series L.P., which then exited its ownership stake entirely when Centerbridge Partners L.P. sold its outstanding interest on Feb. 10, Following the IPO and subsequent stock sales, Santander Holdings U.S.A. Inc., a wholly owned direct subsidiary of Banco Santander S.A., remains the largest shareholder of SC, currently owning approximately 59.0% of the common stock. In July 2015, SC's CEO resigned and, pending regulatory approval, Santander Holdings U.S.A. Inc. will acquire his stake, increasing its ownership by approximately 10%. SC and Chrysler Group LLC entered into an agreement in February 2013 to form Chrysler Capital, serving as the automaker's preferred lender. The companies agreed on a 10-year deal effective May 1, Banco Santander S.A., headquartered in Madrid, is a worldwide banking organization that was established in 1857 and is a European leader in consumer finance with activities in 13 European countries, particularly Spain, Germany, Italy, and Poland. Banco Santander S.A. owns 100% of Santander Holdings U.S.A. Inc. (BBB+/Stable/A-2), which now has approximately 59.0% equity interest in SC. Banco Santander S.A. is the largest financial institution by assets in Spain, and the credit rating is related to the sovereign credit ratings on Spain (BBB+/Stable/A-2). Related Criteria And Research Related Criteria Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 Methodology: Criteria for Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015 Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, MAY 12,

19 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 General Methodology And Assumptions For Rating U.S. Auto Loan Securitizations, Jan. 11, 2011 General Criteria: Understanding Standard & Poor's Rating Definitions, June 3, 2009 Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Select Issues Criteria, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Criteria Related To Asset-Backed Securities, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9 Criteria, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Securitizations By Code Transferors, Oct. 1, 2006 Related Research Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, July 2, 2014 In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework Methodology And Assumptions," June 25, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, The primary analyst would like to thank Jenna Cilento and Jie Liang for their analytical contributions to this presale report. MAY 12,

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