DBRS Morningstar Takes Rating Actions on Santander Prime Auto Issuance Notes 2018-A

DBRS, Inc. (DBRS Morningstar) upgraded its ratings on the following classes of notes issued by Santander Prime Auto Issuance Notes 2018-A:

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

Additionally, DBRS Morningstar confirmed the Class B Notes at AAA (sf) and discontinued its rating on the Class A Notes due to full repayment.

The performance of the transaction is such that credit enhancement is sufficient to cover the DBRS Morningstar loss expectations for the portfolio at the rating levels outlined above.

As of the December 25, 2021, Distribution Date, credit enhancement was 76.80%, 21.06%, 17.71%, 15.31%, and 11.56% for the Class B, C, D, E, and F Notes, respectively. The pool factor was 12.02%, and total delinquencies were 5.84% of the outstanding aggregate pool balance. Cumulative net losses were 3.04%.

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 December 2021 Update, published on December 9, 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 recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance.

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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 February 22, 2021, when DBRS Morningstar confirmed the ratings on the Class A and B Notes, and upgraded the ratings on the Class C, D, E, and F Notes.

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
Initial Rating Date: February 28, 2018

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