DBRS Morningstar Finalizes Provisional Ratings on Drive Auto Receivables Trust 2021-3

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by Drive Auto Receivables Trust 2021-3 (the Issuer):

-- $208,800,000 Class A-1 Notes at R-1 (high) (sf)
-- $391,700,000 Class A-2 Notes at AAA (sf)
-- $161,670,000 Class A-3 Notes at AAA (sf)
-- $152,470,000 Class B Notes at AA (sf)
-- $167,600,000 Class C Notes at A (high) (sf)
-- $194,420,000 Class D Notes at BBB (high) (sf)

The ratings are based on DBRS Morningstar’s review of the following analytical considerations:
-- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date.
-- The credit quality of the collateral and performance of Santander Consumer USA Inc.'s (SC or the Company) auto loan portfolio.
-- The pool includes approximately 80.9% of used and 19.1% of new auto loans.
-- The loans in the pool has a weighted-average FICO score of 575 and a weighted-average annual percentage rate of 18.32%.
-- Approximately 47.2% of the collateral pool are vehicles with mileage below 35,000.
-- The DBRS Morningstar CNL assumption is 18.25% based on the Statistical Cut-Off Date pool composition.
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although the coronavirus pandemic remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to the coronavirus pandemic may nonetheless bring other risks to the forefront in coming months and years.
-- The capabilities of SC with regard to originations, underwriting, and servicing.
-- DBRS Morningstar performed a telephone operational risk review of SC and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts.
-- The consistent operational history of SC and the strength of the overall Company and its management team.
-- The SC senior management team has considerable experience and a successful track record within the auto finance industry.
-- SC's track record and history issuing asset-backed security transactions under Drive Auto Receivables Trust, Santander Drive Auto Receivables Trust, Santander Retail Auto Lease Trust, and Santander Consumer Auto Receivables Trust.
-- The quality and consistency of historical static pool data and performance of the auto loan portfolio.
-- DBRS Morningstar used the static pool approach to generate static pool projected losses.
-- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with SC, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

The rating on the Class A Notes reflects 51.00% of initial hard credit enhancement provided by subordinated notes in the pool (33.75%), the reserve account (1.00%), and OC (16.25%). The ratings on the Class B, C, and D Notes reflect 41.00%, 30.00%, and 17.25% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

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 in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Retail Auto Loan Securitizations (May 10, 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

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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