Morningstar DBRS Places Credit Ratings of Santander Consumo 6 FT Under Review with Negative Implications

DBRS Ratings GmbH (Morningstar DBRS) placed the credit ratings of four classes of notes issued by Santander Consumo 6 FT Under Review with Negative Implications (UR-Neg.) as follows:

-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated A (low) (sf)
-- Class E Notes rated BB (sf)

Morningstar DBRS did not take rating action on the Class A Notes (rated AA (sf)) also issued in the transaction.

The credit rating of the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class B Notes, Class C Notes, and the Class D Notes address the ultimate payment of interest (timely when most senior) and the ultimate repayment of principal by the legal final maturity date. The credit rating of the Class E Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date.

The transaction, issued in May 2024, is a securitisation of a portfolio of fixed-rate, unsecured, amortising personal loans granted without a specific purpose to private individuals domiciled in Spain and serviced by Banco Santander SA (Santander).

CREDIT RATING RATIONALE
The UR-Neg. rating actions follow a review of updated historical collateral performances with a noticeable deterioration in both the historical cumulative defaults and recoveries that were already reflected in the expected default and expected recovery assumptions applied to Santander Consumo 7 FT issued on 14 November 2024.

As the transaction's revolving period is scheduled to end on 21 December 2024, Morningstar DBRS considers it is prudent to assess the potential cash flow impact from revised asset assumptions when the transaction´s portfolio becomes static.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit ratings are:
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583,
-- Master European Structured Finance Surveillance Methodology (19 November 2024), https://dbrs.morningstar.com/research/443204,

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Morningstar DBRS is undertaking a review and will remove the credit rating from this status as soon as it is appropriate.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include the historical data provided by the Santander as below and in previous Santander consumer loan transactions:
-- Quarterly static cumulative default data from Q1 2012 to Q2 2024
-- Quarterly static cumulative recovery data from Q1 2012 to Q2 2024

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

At the time of the initial credit rating, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

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

The last credit rating action on this transaction took place on 29 May 2024, when Morningstar DBRS finalised its credit ratings on the Class A, Class B, Class C, Class D, and Class E Notes at AA (sf), AA (sf), A (high) (sf), A (low) (sf), and BB (sf), respectively.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

These credit ratings are Under Review with Negative Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS' historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: María López, Senior Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 6 May 2024

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27 28046 Madrid, Spain
Tel. +34 (91) 903 6500

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 credit rating methodologies used in the analysis of this transaction can be found at https://dbrs.morningstar.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024)
https://dbrs.morningstar.com/research/439583
-- Master European Structured Finance Surveillance Methodology (19 November 2024), https://dbrs.morningstar.com/research/443204
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.