Morningstar DBRS Removes Santander Consumo 6 FT's Credit Ratings From Under Review With Negative Implications, Downgrades Class E Notes to B (low) (sf) From BB (sf)

DBRS Ratings GmbH (Morningstar DBRS) took credit rating actions on the notes listed below (the Rated Notes) issued by Santander Consumo 6 FT (the Issuer):

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

These rating actions conclude and resolve the period of Review with Negative Implications of the Class B, Class C, Class D, and Class E Notes where they were placed on 20 December 2024.

The credit ratings on the Class A, Class B, Class C, and Class D Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit rating on the Class E Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date.

The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the March 2025 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the Rated Notes to cover the expected losses at their respective credit rating levels.

The transaction is a securitisation of Spanish unsecured personal consumer loans granted to individuals residing in Spain by Banco Santander SA (Banco Santander), which closed in May 2024. Banco Santander also services the portfolio (the Servicer) and acts as the issuer account bank. At closing, the initial collateral consisted of loans totalling EUR 1.2 billion and the transaction envisaged a 7-month revolving period, which ended in December 2024. As of the March 2025 payment date, the outstanding performing collateral portfolio stood at EUR 1.1 billion.

PORTFOLIO PERFORMANCE
As of March 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.7% and 0.3% of the portfolio balance, respectively, while loans more than 90 days delinquent amounted to 0.9% of the portfolio balance. The cumulative default ratio increased to 0.9% of the aggregate original portfolio balance from 0.1% in September 2024.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS updated its base-case PD and LGD assumptions to 4.5% and 85.0%, respectively, from 4.0% and 20.0%, respectively, following a review of updated historical collateral performances. This marks a noticeable deterioration in both the historical cumulative defaults and the related recoveries, which was already reflected in the expected default and expected recovery assumptions Morningstar DBRS applied to Santander Consumo 7 FT and Santander Consumo 8, issued on 14 November 2024 and on 28 May 2025, respectively.

CREDIT ENHANCEMENT
The subordination of the junior notes provides credit enhancement to the Rated Notes. As of March 2025 payment date, the Class A, Class B, Class C, and Class D Notes' credit enhancement remained unchanged since issuance at 17.0%, 13.0%, 9.8%, and 4.8%, respectively, because of the pro rata amortisation of the notes. If a sequential redemption event is triggered, the principal repayment of the notes will become sequential and nonreversible.

The transaction benefits from an amortising cash reserve available to cover shortfalls in senior expenses, senior swap payments, and interest on the Class A, Class B, Class C, Class D Notes and, if not deferred, the Class E Notes. The reserve was funded to EUR 24 million at closing through the issuance of the Class F Notes. The cash reserve is currently at its target amount of EUR 24 million.

Banco Santander acts as the account bank and the swap counterparty for the transaction. Morningstar DBRS has a public Long-Term Issuer Rating and a public Long-Term Deposits Rating of A (high) and a public Long Term Critical Obligations Rating (COR) of AA with Stable Trend on Banco Santander. Based on Morningstar DBRS' public ratings and on the downgrade provisions outlined in the transaction's documents together with other mitigating factors inherent in the transaction's structure, Morningstar DBRS considers the risk arising from the exposure to the account bank and the swap counterparty to be consistent with the credit ratings assigned to the Rated Notes, as described in Morningstar DBRS' "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 transactions' 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 term under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND 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 Environmental, Social, and Governance 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/454196.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit ratings are: Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080 and Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024) https://dbrs.morningstar.com/research/439583.

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

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

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 the historical data provided by Banco Santander and transaction reports provided by Santander de Titulización, SGFT, S.A. and loan-level data provided by 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 affect 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 this transaction took place on 20 March 2025, when Morningstar DBRS maintained the Under Review with Negative Implications status on the Class B, Class C, Class D, and Class E Notes, where they were placed on 20 December 2024.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.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 for the Issuer are 4.5% and 85.0%, respectively.

Scenario 1: A 25% increase in LGD
Scenario 2: A 50% increase in LGD
Scenario 3: A 25% increase in PD
Scenario 4: A 50% increase in PD
Scenario 5: A 25% increase in PD and 25% increase in LGD
Scenario 6: A 25% increase in PD and 50% increase in LGD
Scenario 7: A 50% increase in PD and 25% increase in LGD
Scenario 8: A 50% increase in PD and 50% increase in LGD

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios are as follows:
Series A Risk Sensitivity:
-- Class A Notes: AA (sf), AA (sf), AA (low) (sf), A (high) (sf), A (high) (sf), A (high) (sf), A (sf), and A (sf).
-- Class B Notes: AA (low) (sf), AA (low) (sf), A (high) (sf), A (sf), A (sf), A (sf), A (low) (sf), and A (low) (sf).
-- Class C Notes: A (high) (sf), A (high) (sf), A (sf), BBB (high) (sf), A (low) (sf), A (low) (sf), BBB (sf), and BBB (sf).
-- Class D Notes: BBB (high) (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (low) (sf), BBB (low) (sf), BB (sf), and BB (sf).
-- Class E Notes: below B (low) (sf) for all scenarios.

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: María López, Senior Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 6 May 2024

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81, Plantas 26 & 27
28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
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D-60311 Frankfurt am Main
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 this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- 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
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196

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.