DBRS Ratings GmbH (DBRS Morningstar) assigned provisional credit ratings to the following classes of notes to be issued by Santander Consumer Spain Auto 2023-1 FT: Class A Notes at AA (sf), Class B Notes at A (high) (sf), Class C Notes at A (sf), Class D Notes at BBB (high) (sf), Class E Notes at B (high) (sf).
DBRS Morningstar did not assign a provisional credit rating to the Class F Notes (together with the Rated Notes, the Notes) also expected to be issued.
The provisional 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 provisional credit ratings on the Class B Notes to Class E Notes address the ultimate payment of scheduled interest and the ultimate repayment of principal by the final maturity date.
The provisional credit ratings are based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. These credit ratings will be finalised upon review of the final version of the transaction documents and of the relevant legal opinions.
The Rated Notes are backed by a portfolio of approximately €600 million of fixed-rate receivables related to auto loans granted by Santander Consumer Finance (SCF; the Originator or the Seller) to private individuals and corporates residing in Spain for the acquisition of new or used vehicles. SCF will also service the portfolio (the Servicer).
The transaction allocates payments on separate interest and principal priorities of payments and benefits from an amortising cash reserve funded at closing to an amount equal to 1.75% of the Rated Notes outstanding balance and floored at 1.35% of the Rated Notes’ initial balance. The reserve will also not amortise if it is not funded to the required level or if a subordination event occurs. The cash reserve is part of the available funds and covers senior costs, swap payments, and interests on the Rated Notes as long as there is no interest deferral.
The transaction includes a 14-month revolving period. The repayment of the Rated Notes will start on the first amortisation payment date in March 2025 on a pro-rata basis unless certain events, such as breach of performance triggers or replacement of the Servicer, occur. Under these circumstances, the principal repayment of the Rated Notes will become fully sequential, and the switch is not reversible. Interest and principal payments on the Rated Notes will be made quarterly.
Pérez-Llorca advised Santander Consumer Finance with a team formed by Finance partner Carlos Pérez Dávila (Finance) and lawyers Santiago Bertola and Soledad Mendiola, Tax partner Norma Peña and lawyer Ignasi Montesinos.