DBRS Morningstar Discontinues Ratings on Eight Santander Transactions

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on eight Banco Santander SA transactions. The discontinuations reflect the full payment of the notes on 5 July 2021 for the RMBS Santander 1, 2, 3, 4, and 5 transactions and on 7 July 2021 for the Santander Hipotecario 7, 8, and 9 transactions. Prior to the repayments, the notes were rated as follows:

FTA RMBS Santander 1:
-- Series A Notes at AAA (sf)
-- Series B Notes at CCC (sf)
-- Series C Notes at C (sf)

FTA RMBS Santander 2:
-- Series A Notes at AA (high) (sf)
-- Series B Notes at BBB (low) (sf)
-- Series C Notes at C (sf)

FTA RMBS Santander 3:
-- Series A Notes at AAA (sf)
-- Series B Notes at BB (low) (sf)
-- Series C Notes at C (sf)

FT RMBS Santander 4:
-- Series A Notes at AA (high) (sf)
-- Series B Notes at B (sf)
-- Series C Notes at C (sf)

FT RMBS Santander 5:
-- Series A Notes at AA (high) (sf)
-- Series B Notes at BB (low) (sf)
-- Series C Notes at C (sf)

FTA, Santander Hipotecario 7:
-- Series A notes at AAA (sf)
-- Series B notes at BBB (high) (sf)
-- Series C notes at C (sf)

FTA, Santander Hipotecario 8:
-- Series A notes at AAA (sf)
-- Series B notes at B (high) (sf)
-- Series C notes at C (sf)

FTA, Santander Hipotecario 9:
-- Series A notes at AA (high) (sf)
-- Series B notes at BB (sf)
-- Series C notes at C (sf)

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

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.

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 euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology” (8 February 2021).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include fund cancellation reports provided by Banco Santander SA.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings for each transaction, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating actions on these transactions took place on 29 September 2020 (RMBS Santander 1 and 3), on 6 April 2021 (RMBS Santander 4 and 5), on 8 April 2021 (Santander Hipotecario 7, 8 and 9), and on 20 May 2021 (RMBS Santander 2).

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

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.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
FTA RMBS Santander 1: 18 June 2014
FTA RMBS Santander 2: 9 July 2014
FTA RMBS Santander 3: 17 November 2014
FT RMBS Santander 4: 24 June 2015
FT RMBS Santander 5: 10 December 2015
FTA, Santander Hipotecario 7: 28 July 2011
FTA, Santander Hipotecario 8: 20 December 2011
FTA, Santander Hipotecario 9: 2 July 2013

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions (6 April 2021), https://www.dbrsmorningstar.com/research/376314/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (8 February 2021), https://www.dbrsmorningstar.com/research/373435/master-european-structured-finance-surveillance-methodology.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- European RMBS Insight Methodology (3 June 2021) and European Asset RMBS Insight Model version 5.2.0.0, https://www.dbrsmorningstar.com/research/379557/european-rmbs-insight-methodology.
-- European RMBS Insight: Spanish Addendum (6 July 2021), https://www.dbrsmorningstar.com/research/381224/european-rmbs-insight-spanish-addendum
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020), https://www.dbrsmorningstar.com/research/370270/operational-risk-assessment-for-european-structured-finance-servicers.
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020), https://www.dbrsmorningstar.com/research/367292/interest-rate-stresses-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrsmorningstar.com/research/278375.

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