Press Release

DBRS Assigns New Rating to Auto ABS UK Loans plc

December 18, 2018

DBRS Ratings Limited (DBRS) assigned a new rating of AAA (sf) to the Class A4a Notes issued by Auto ABS UK Loans plc.

DBRS also discontinued the AAA (sf) rating on the Class A4b Notes, following their payment in full. The remaining balance of the Class A4b Notes before the payment in full was GBP 305 million, rated at AAA (sf).

Finally, DBRS confirmed the AAA (sf) rating of the Class A3b Notes, following the issuance of the GBP 305 million Class A4a Notes, which rank pro rata and pari passu with one another.

All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset Backed Securitisations”.

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology.

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

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

These may be found on at:

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 Credit Ratings” of the “Rating Sovereign Governments” methodology at:

The sources of data and information used for these ratings, provided by Santander Corporate and Investment Bank, include:
-- Static quarterly cumulative gross loss data from Q1 2006 and up to Q4 2017, split by the inclusion and exclusion of voluntary terminations;
-- Static quarterly recovery data from Q1 2006 and up to Q4 2017, split by the inclusion and exclusion of voluntary terminations;
-- Dynamic portfolio balances and accounts from Q1 2006 and up to Q4 2017;
-- Origination balances and accounts from Q1 2006 and up to Q4 2017;
-- Loan-level and portfolio vehicle realisation data for personal contract purchase (PCP) handbacks from Q4 2006 to Q4 2017; and
-- PCP early settlement/prepayment frequency and maturity data by month from Q1 2006 to Q1 2018.

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

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

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

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

This rating concerns a newly issued financial instrument.

The last rating action on this transaction took place on 27 November 2018 when DBRS confirmed the AAA (sf) ratings on the Class A3b and Class A4b notes and withdrew its rating on the Class A1 notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see:

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Matthew Nyong, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 29 April 2016

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at:

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at