KBRA Places Four Motor Securities Ratings on Watch Downgrade and Comments on Other Motor Securities Transactions
2 Nov 2026 | London
KBRA UK (KBRA) has placed on Watch Downgrade the BBB (sf) ratings on Tranche D and the Class D Credit Linked Notes (CLNs) of Motor Securities 2023-1 DAC and the BBB- (sf) ratings on Tranche D and the Class D CLNs of Motor Securities 2024-1 DAC. The Watch Placements follow the identification of a reporting issue involving the calculation of credit protection claims, which may have resulted in an understatement of historical losses.
The issuers recently announced that the Cash Administrator had identified a reporting issue in the treatment of certain Guaranteed Future Value (GFV) balances used to calculate credit protection claims. The reporting issue may have resulted in an understatement of losses and potentially reduced the protection payments due from the issuers, which could adversely affect the credit enhancement available to the notes. The Cash Administrator (Santander Consumer (UK) PLC) on both transactions is reviewing the impact of the reporting issue, including verification of the underclaimed losses and whether the corrected losses would have resulted in earlier breaches of certain transaction triggers and changes to the historical operation of the transactions.
Motor Securities 2025-1 DAC has also been affected by the reporting issue, although its exposure to GFV-related losses is limited and the reported impact to date is low. Motor Securities 2022-1 DAC is unaffected as it is not exposed to GFV-related losses. Neither transaction has been placed on Watch.
On 30 October 2026, the issuers further announced that Noteholders had agreed to defer the interest payments due on 25 October 2026 until at least 25 November 2026, or such later date as notified by the Protection Buyer. Corresponding protection fee payments and certain reporting obligations have also been deferred while the review continues.
Separately, given prevailing used vehicle market dynamics, KBRA expects voluntary termination (VT) losses to increase.
The Watch Placements reflect the uncertainty surrounding the final loss amounts and the potential impact of the corrected calculations on the transactions' credit enhancement, amortisation and cashflows, and the potential for increased VT losses.
KBRA will seek to resolve or update the Watch Placements within 90 days, following completion of the Cash Administrator’s review and receipt of updated transaction reporting.