DBRS Assigns Ratings to Chrysler Capital Auto Funding II LLC

DBRS, Inc. (DBRS) has today assigned a rating of A (high) (sf) to the Loans pursuant to the Loan and Security Agreement (the Transaction) dated as of October 7, 2016, between Chrysler Capital Auto Funding II LLC and the Conduit Lenders, Committed Lenders, Group Agents and Barclays Bank PLC as Administrative Agent.

The Transaction includes a derivative counterparty with an investment-grade rating below the first threshold level of A (high) (sf) set forth in the DBRS “Legal Criteria for U.S. Structured Finance” methodology. Furthermore, the Transaction documents include provisions which facilitate the replacement of the derivative counterparty if such party is downgraded below the BBB level. DBRS believes that the creditworthiness of the derivative counterparty and interest rate hedging structure set forth in the transaction documents are consistent with the assigned rating of A (high) (sf).

The ratings are based on DBRS’s review of the following analytical considerations:

-- Transaction capital structure, form and sufficiency of available credit enhancement and the assigned rating. The transaction benefits from credit enhancement in the form of overcollateralization, implied excess spread and a full turbo structure during amortization. Credit enhancement levels are sufficient to support the DBRS-expected loss under various stress scenarios.
-- 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 prime and sub-prime auto loans.
-- DBRS was provided with 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 borrower, 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 the 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.