DBRS Morningstar Takes Rating Actions on Santander Synthetic Prime Auto Issuance Notes 2019-A and Resolves DBRS Morningstar’s Error

DBRS, Inc. (DBRS Morningstar) took rating actions on the following classes of notes (the Notes) issued by Banco Santander SA (the Issuer) in connection with Santander Synthetic Prime Auto Issuance Notes 2019-A (the Transaction):

-- Class C Notes downgraded to A (high) (sf) from AA (high) (sf)
-- Class D Notes downgraded to A (sf) from AA (low) (sf)
-- Class E Notes downgraded to A (low) (sf) from A (high) (sf)
-- Class F Notes confirmed at BBB (high) (sf)

The Transaction is a synthetic risk transfer transaction with the credit ratings reflecting the credit quality of Banco Santander SA, as the Issuer, in conjunction with the credit quality of the underlying reference assets (U.S. auto loans). The Class C, D, and E Note downgrades resulted from a correction made to the misapplication of a rating methodology related to the November 2021 surveillance rating action. The error does not relate to the Transaction’s collateral performance nor to the data and information provided by the Issuer to DBRS Morningstar.

The DBRS Morningstar credit ratings address the timely payment of interest, and the ultimate payment of principal, on the Notes in accordance with the terms of the Transaction documents pursuant to which the Notes were issued. The DBRS Morningstar credit ratings are also based on the following analytical considerations:

-- The DBRS Morningstar credit rating of the Issuer at A (high) with a Stable trend, its continued rating stability, and evidence of its ability to make payments of interest and principal. For more information related to the DBRS Morningstar credit rating of Banco Santander SA, please refer to: https://www.dbrsmorningstar.com/research/385364.

-- Payments of principal and interest are unsecured liabilities of the Issuer.

-- Payment of principal on the Notes is subject to both the terms and conditions related to the Reference Portfolio as well as the ability and willingness of the Issuer, Banco Santander SA, to make payments.

-- Collateral performance as of the December 2021 quarterly distribution date and DBRS Morningstar's assessment of future performance, including downward revisions to the expected cumulative net loss assessment of the reference securities.

-- As of the December 2021 quarterly distribution date, with respect to the reference securities, the credit enhancement was 22.74%, 18.66%, 16.35%, and 14.78% for the Class C Notes, Class D Notes, Class E Notes, and Class F Notes, respectively. The pool factor was 21.17%, and total delinquencies were 2.82% of the outstanding aggregate reference pool balance. The cumulative credit event losses were 1.65%.

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive.

The credit ratings on the Notes may be affected by migration in the credit ratings of Banco Santander SA, as the Issuer.

Classes A, B, G, and H Notes were also issued as part of the Transaction. DBRS Morningstar has not issued any credit ratings on those four classes of notes.

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’s Master U.S. ABS Surveillance Methodology (January 27, 2022), 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 committee on this transaction took place on November 19, 2021, when DBRS Morningstar upgraded the ratings on the Class C Notes, Class D Notes, Class E Notes, and Class 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, U.S. ABS Surveillance, Global Structured Finance
Rating Committee Chair: Chris D’Onofrio, Managing Director, Head of U.S. ABS, Global Structured Finance
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 (January 27, 2022)
https://www.dbrsmorningstar.com/research/391316/dbrs-morningstar-master-us-abs-surveillance