DBRS Morningstar Upgrades Ratings on Santander Synthetic Prime Auto Issuance Notes 2019-A

DBRS, Inc. (DBRS Morningstar) upgraded its ratings on the following securities issued by Santander Synthetic Prime Auto Issuance Notes 2019-A. The performance of the transaction is such that credit enhancement is sufficient to cover the DBRS Morningstar loss expectation on the Reference Portfolio at the current rating level.

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

As of the September 25, 2021, Quarterly Distribution Date, credit enhancement was 22.08%, 17.97%, 15.64%, and 14.05% for the Class C Notes, Class D Notes, Class E Notes, and Class F Notes, respectively. The Reference Portfolio pool factor was 26.09% and total delinquencies were 2.28% of the outstanding aggregate Reference Portfolio Balance. Cumulative net losses of the Reference Portfolio were 1.50%.

The rating actions are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns, published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although COVID-19 remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to COVID-19 may nonetheless bring other risks to the forefront in coming months and years.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected cumulative net loss (CNL) assumptions.

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 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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 December 21, 2020, when DBRS Morningstar confirmed the ratings issued by Santander Synthetic Prime Auto Issuance Notes 2019-A.

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: Mark Zelmanovich, Senior Vice President, US ABS Surveillance, – Global Structured Finance
Rating Committee Chair: Chris D’Onofrio, Managing Director, Head of US ABS, Global Structured Finance, DBRS Morningstar

Initial Rating Date: July 1, 2019

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 26, 2021) https://www.dbrsmorningstar.com/research/379005/dbrs-morningstar-master-us-abs-surveillance