Morningstar DBRS Assigns Provisional Credit Ratings to Santander Consumo 8 FT

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following notes (the Rated Notes) to be issued by Santander Consumo 8 FT (the Issuer):

-- Class A Notes at (P) AA (sf)
-- Class B Notes at (P) AA (low) (sf)
-- Class C Notes at (P) A (sf)
-- Class D Notes at (P) BBB (high) (sf)
-- Class E Notes at (P) B (low) (sf)

Morningstar DBRS does not rate the Class F Notes (collectively with the Rated Notes, the Notes) also expected to be issued in the transaction.

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

The transaction 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
Morningstar DBRS' provisional credit ratings are based on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued;
-- The credit quality of the collateral, historical and projected performance of Santander's portfolio, and Morningstar DBRS' projected performance under various stress scenarios;
-- An operational risk review of Santander's capabilities with regard to its originations, underwriting, servicing, and financial strength;
-- The transaction parties' financial strength with regard to their respective roles;
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology; and
-- Morningstar DBRS' long-term sovereign credit rating on the Kingdom of Spain, currently at A (high) with a Stable trend.

TRANSACTION STRUCTURE
The transaction includes a 12-month scheduled revolving period. During the revolving period, the originator may offer additional receivables that the Issuer will purchase, provided that the eligibility criteria and concentration limits set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur, such as the originator's insolvency, the servicer's replacement, or the breach of performance triggers.

The transaction allocates payments on a combined interest and principal priority of payments and benefits from an amortising cash reserve equal to 1.5% of the Rated Notes outstanding balance, subject to a floor of 0.5% of the initial Rated Notes amount. The cash reserve is part of the interest funds available to cover shortfalls in senior expenses, senior swap payments, and interest on the Class A, Class B, Class C, and Class D Notes and, if not deferred, the Class E Notes.

The repayment of the Rated Notes after the end of the revolving period will be on a pro rata basis until a sequential amortisation event. Upon the occurrence of a subordination event, the repayment of the Notes will switch to a nonreversible sequential basis. The unrated Class F Notes will begin amortising immediately after transaction closing during the revolving period with a target amortisation equal to 10% of the initial balance on each payment date. Interest and, if applicable, principal payments on the Notes will be made quarterly.

At closing, the weighted-average portfolio yield is expected to be at least 6.5%, which is one of the portfolio concentration limits during the revolving period.

TRANSACTION COUNTERPARTIES
Santander is the account bank for the transaction. Based on Morningstar DBRS' Long-Term Issuer Rating of A (high) on Santander, the downgrade provisions outlined in the transaction documents, and other mitigating factors in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Rated Notes.

Santander is also the swap counterparty for the transaction. Morningstar DBRS' Long-Term Issuer Rating of A (high) on Santander meets Morningstar DBRS' criteria with respect to its role. The transaction also has downgrade provisions that are largely consistent with Morningstar DBRS' criteria.

PORTFOLIO ASSUMPTIONS
Morningstar DBRS established a lifetime expected default of 4.5%, reflecting the historical performance of each loan type, standard loans and preapproved loans. Morningstar DBRS also constructed a portfolio expected recovery of 15.0% or a loss given default (LGD) of 85.0%.

Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each class of the Rated Notes are the related interest amounts and the initial principal amount outstanding.

Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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 methodology applicable to the credit ratings is "Rating European Consumer and Commercial Asset-Backed Securitisations" (18 September 2024) https://dbrs.morningstar.com/research/439583.

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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.

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 following historical data provided by the originator and previous Santander consumer loan transactions:
-- Quarterly static cumulative default data from Q1 2012 to Q4 2024
-- Quarterly static cumulative recovery data from Q1 2012 to Q4 2024
-- Prepayment data from previous Santander consumer loan securitisation transactions

Morningstar DBRS also received a set of stratification tables and loan-by-loan data in relation to the provisional collateral pool and its related contractual amortisation schedule as of 11 March 2025.

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

Morningstar DBRS was not 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 these credit ratings 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.

Provisional credit ratings are not final credit ratings with respect to the above-mentioned securities and may change or be different than the final credit ratings assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings:

-- Expected default of 4.5%
-- Expected LGD of 85.0%

Scenario 1: A 25% increase in the expected default
Scenario 2: A 50% increase in the expected default
Scenario 3: A 25% increase in the expected LGD
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD

Morningstar DBRS concludes that the expected credit ratings under the five stress scenarios are as follows:
-- Class A Notes: A (high) (sf), A (sf), AA (low) (sf), A (sf), A (low) (sf)
-- Class B Notes: A (sf), A (low) (sf), A (high) (sf), A (low) (sf), BBB (high) (sf)
-- Class C Notes: A (low) (sf), BBB (sf), A (low) (sf), BBB (high) (sf), BBB (low) (sf)
-- Class D Notes: BBB (low) (sf), BB (high) (sf), BBB (sf), BB (high) (sf), BB (low) (sf)
-- Class E Notes: below B (low) (sf) for all scenarios

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
Credit Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 6 May 2025

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
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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
-- 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
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024)
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913
-- 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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.