DBRS Assigns New Ratings to Santander Prime Auto Issuance Notes 2018-A

DBRS, Inc. (DBRS) assigned new ratings to the following classes of notes (the Notes) issued by Santander Prime Auto Issuance Notes 2018-A (SPAIN 2018-A or the Issuer):

-- $1,156,563,000 Class A Notes rated AAA (sf)
-- $51,640,000 Class B Notes rated AA (sf)
-- $98,850,000 Class C Notes rated A (sf)
-- $49,430,000 Class D Notes rated BBB (sf)
-- $35,410,000 Class E Notes rated BB (sf)
-- $55,330,000 Class F Notes rated B (sf)

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

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of subordination, the reserve account amount and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity dates.
-- Santander Consumer USA Inc.’s (SC) history as an originator in the retail auto loan business, its capabilities with respect to underwriting and servicing and its ownership by Banco Santander S.A. (Banco Santander; rated “A” with a Stable trend by DBRS).
-- DBRS has performed an operational risk review of SC and considers the entity to be an acceptable originator and servicer of prime and near-prime automobile loan contracts with an acceptable backup servicer.
-- The SC senior management team has considerable experience and a successful track record within the auto finance industry.
-- Santander Holdings USA, Inc. (SHUSA) owns approximately 68.1% of SC. SHUSA is 100% owned by Banco Santander.
-- The credit quality of the collateral and performance of SC’s prime and near-prime auto loan portfolio.
-- As of the Cut-Off Date, the collateral pool has a weighted average (WA) non-zero FICO score of 738, a WA loan-to-value ratio of 98.20%, a WA payment-to-income ratio of 8.78% and a WA debt-to-income ratio of 27.94%.
-- The pool comprises SC originations from Q3 2017 through Q1 2018 with a WA seasoning of less than two months and a WA remaining term of approximately 68 months.
-- Approximately 4.31% of the balance of the collateral pool are commercial loans with co-obligors or guarantors.
-- Approximately 4.37% of the balance of the collateral pool have original loan terms from 76 months to 84 months.
-- The rating analysis for SPAIN 2018-A assumes note coupons for the Class A Notes, Class B Notes, Class C Notes and Class D Notes that are less than the U.S. Treasury 3 Month Bill Money Market Yield, which was published on Bloomberg as of February 21, 2018.
-- The Notes are supported by a pool of loans originated by SC via the Chrysler Capital brand. SC is a wholly-owned subsidiary of Banco Santander. Banco Santander is the initial purchaser of the Notes.
-- SPAIN 2018-A provides for Class F Notes with an assigned rating of B (sf). While the DBRS “Rating U.S. Retail Auto Loan Securitizations” methodology does not set forth a range of multiples for this asset class for the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS stress analysis for a B (sf) rating is 1.10-1.25.
-- The Issuer is a Section 110 Securitisation Company in Ireland. The legal structure and presence of legal opinions address the true sale of the assets from SC to the Issuer, the non-consolidation of the special-purpose vehicle with SC, 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.” The legal structure and presence of opinions address the issuance of the Notes by the Issuer is consistent with the DBRS “Legal Criteria for European Structured Finance Transactions.”

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

The principal methodology is Rating U.S. Retail Auto Loan Securitizations, which can be found on dbrs.com under Methodologies.

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

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

This rating is endorsed by DBRS Ratings Limited for use in the European Union

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.