DBRS Morningstar Takes Rating Actions on Santander Prime Auto Issuance Notes 2018-A

DBRS, Inc. (DBRS Morningstar) upgraded its ratings on the following classes of notes issued by Santander Prime Auto Issuance Notes 2018-A:

-- Class C Notes to AA (sf) from A (sf)
-- Class D Notes to A (sf) from BBB (sf)
-- Class E Notes to BBB (sf) from BB (sf)
-- Class F Notes to BB (sf) from B (sf)

DBRS Morningstar also confirmed its ratings on the following classes of notes:

-- Class A Notes at AAA (sf)
-- Class B Notes at AAA (sf)

The performance of the transaction is such that credit enhancement is sufficient to cover the DBRS Morningstar loss expectations for the portfolio at the rating levels outlined above.

As of the February 16, 2021, Distribution Date, credit enhancement was 60.33%, 44.98%, 15.60%, 12.25%, 9.85%, and 6.09% for the Class A, B, C, D, E, and F Notes, respectively. The pool factor was 22.81% and total delinquencies were 3.73% of the outstanding aggregate pool balance. Cumulative net losses were 3.04%.

The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: January 2021 Update,” published on January 28, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on January 28, 2021, and are reflected in DBRS Morningstar’s rating analysis.

The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar 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 United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on this transaction took place on February 24, 2020, when DBRS Morningstar upgraded the Class B Notes to AAA (sf) from AA (sf), and confirmed the Class A, C, D, E, and F Notes at AAA (sf), A (sf), BBB (sf), BB (sf), and B (sf), respectively.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst: Hollie Reddington, Vice President, U.S. ABS – Global Structured Finance
Rating Committee Chair: Christopher D'Onofrio, Managing Director, U.S. ABS – Global Structured Finance
Initial Rating Date: February 28, 2018

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020) https://www.dbrsmorningstar.com/research/361480/dbrs-morningstar-master-us-abs-surveillance.