Morningstar DBRS Upgrades and Confirms Credit Ratings on FT RMBS Santander 6 and FT RMBS Santander 7

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the bonds issued by FT RMBS Santander 6 (Santander 6) and FT RMBS Santander 7 (Santander 7):

Santander 6
-- Class A notes confirmed at AAA (sf)
-- Class B notes upgraded to BBB (low) (sf) from BB (high) (sf)

Santander 7
-- Class A Notes confirmed at AA (high) (sf)
-- Class B Notes confirmed at BB (high) (sf)

The credit ratings on the Class A notes in both transactions address the timely payment of interest and the ultimate repayment of principal by the respective legal final maturity date in December 2059 (Santander 6) and December 2063 (Santander 7). The credit ratings on the Class B notes in both transactions address the ultimate payment of interest and principal by the respective legal final maturity dates.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults, and losses as of the respective latest payment dates (February 2025 for both transactions);
-- Updated portfolio default rates (PD), loss given default (LGD), and expected loss assumptions on the remaining pools of receivables; and
-- Current available credit enhancement to the rated notes in both transactions to cover the expected losses at their respective credit rating levels.

The transactions are securitisations of Spanish first-lien residential mortgage loans originated by Banco Santander SA (Santander), Banco Popular Español, S.A., and Banco Español de Crédito, S.A. (Banesto). The mortgage loans are secured over residential properties located in Spain. Santander acts as the servicer of the portfolios of both transactions.

PORTFOLIO PERFORMANCE
Santander 6
As of the February 2025 payment date, loans two to three month in arrears represented 0.3% of the outstanding portfolio balance, down from 0.5% in May 2024. Loans more than 90 days in arrears represented 1.5%, down from 1.7% in the same period, while the cumulative default ratio increased to 4.5% from 3.8%.

Santander 7
As of the February 2025 payment date, loans two to three month in arrears represented 0.3% of the outstanding portfolio balance, down from 0.4% in May 2024. Loans more than 90 days in arrears represented 1.2%, unchanged in the same period, while the cumulative default ratio increased to 3.7% from 3.1%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pools of receivables in both transactions and updated its base case PD and LGD assumptions to 5.4% and 34.5%, respectively, for Santander 6, and to 5.2% and 30.8%, respectively, for Santander 7.

CREDIT ENHANCEMENT
In both transactions, the credit enhancement to the Class A notes is provided through the subordination of the Class B notes and the reserve fund. The credit enhancement to the Class B notes is provided through the reserve fund.

As of the February 2025 payment date, the credit enhancements to the Class A and Class B notes in Santander 6 were 35.1% and 6.8%, respectively, up from 31.1% and 5.6%, respectively, in May 2024. As of the February 2025 payment date, the credit enhancements to the Class A and Class B notes in Santander 7 were 21.7% and 6.4%, respectively, up from 18.9% and 4.9%, respectively, in May 2024.

The transactions benefit from reserve funds with a target level of EUR 225 million (Santander 6) and EUR 265 million (Santander 7), which are available to cover senior expenses as well as interest and principal payments on the rated notes until they are paid in full. The reserve funds in both transactions were funded at closing via a subordinated loan and were scheduled to start amortising three years after closing, up to a floor of EUR 112.5 million and EUR 132.5 million, respectively. The reserve funds do not amortise if certain performance triggers are breached, if they were used on any payment date and are under their target level, or until they reach 10% of the outstanding balance of the Class A and Class B notes in each transaction.

As of the February 2025 payment date, the reserve funds were at EUR 172.3 million for Santander 6 and EUR 220.8 million for Santander 7. Both reserve funds were below their respective target levels as they were used to meet the respective Class A notes target amortisation amounts according to the transaction documents.

Santander acts as the account bank for both transactions. Based on Santander's reference rating of AA (low), which is one notch below Morningstar DBRS's Long Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the notes in both transactions, as described in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at: https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transactions structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

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

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating actions.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include transaction reports provided by Santander de Titulización, SGFT, S.A. and loan-level data provided by the European DataWarehouse GmbH.

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

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

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

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

The last credit rating action on these transactions took place on 5 July 2024, when Morningstar DBRS confirmed the credit ratings on the Class A and Class B notes in both transactions as follows: the Class A notes at AAA (sf) and the Class B notes at BB (high) (sf) in Santander 6; the Class A Notes at AA (high) (sf) and the Class B Notes at BB (high) (sf) in Santander 7.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the Base Case):
-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans are 5.4% and 34.5%, respectively for Santander 6.
-- The base case PD and LGD of the current pool of loans are 5.2% and 30.8%, respectively for Santander 7.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Santander 6
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)

Santander 7
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Baran Cetin, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Dates:
Santander 6: 9 July 2020
Santander 7: 8 July 2021

DBRS Ratings GmbH
Neue Mainzer Straße 75
D-60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781
-- European RMBS Insight Methodology (19 February 2025) and European RMBS Insight Model v 10.1.0.0, https://dbrs.morningstar.com/research/448235
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.