DBRS Assigns Ratings to SIAF LLC

DBRS, Inc. (DBRS) has today assigned an A (sf) rating to the Class A Notes issued by SIAF LLC (the Notes) pursuant to the Loan Agreement dated July 21, 2016. The Notes are issued pursuant to an amortizing term loan, which is collateralized by auto loan receivables that are nonperforming, have consumers in bankruptcy or have high loan-to-value ratios, high debt-to-income ratios or high payment-to-income ratios.

DBRS sought coverage multiples slightly below DBRS customary multiples in this asset class, which were exceeded by the available coverage. DBRS believes that coverage multiples sought were warranted given the magnitude of expected loss and the structural features of the transaction.

The ratings are based on a review by DBRS of the following analytical considerations:

-- Transaction capital structure, form and sufficiency of available credit enhancement and assigned ratings. The transaction benefits from (1) credit enhancement in the form of overcollateralization, implied excess spread and a full turbo structure, with credit enhancement levels sufficient to support the DBRS expected loss under various stress scenarios; and (2) other benefits provided by the structure, including the following: (a) a discrete pool of assets via specified selection criteria and (b) the application of conservative assumptions assumed in the stress analysis.
-- Strong servicer of the receivables and the financial strength of the servicer’s parent, Banco Santander S.A. DBRS has performed an operational review of the servicer of the receivables and considers the entity to be an acceptable servicer of non-prime and sub-prime auto loans.
-- DBRS was provided sufficient performance data related directly to the type of collateral included in the transaction.
-- The legal structure and presence of legal opinions, which address the true sale of the assets to the issuer, the non-consolidation of the special-purpose vehicle with Santander Consumer USA, and that the trust has a valid first-priority security interest in the assets and consistency with the DBRS “Legal Criteria for U.S. Structured Finance” methodology.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is Rating U.S. Retail Auto Loan Securitizations, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.