DBRS Upgrades Ratings on SC Germany Consumer 2013-1 UG

DBRS Ratings Limited (“DBRS”) has reviewed SC Germany Consumer 2013-1 UG (“the Issuer”) and upgrades the rating on the Class A Notes to AA (low) (sf) from ‘A’ (sf).

The upgrade of the ratings on the Class A Notes is based upon the following analytical considerations:
• Portfolio performance, in terms of defaults and delinquencies, as of the March 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• Current available credit enhancement to the Class A Notes to cover the expected losses at the AA (low) (sf) rating level.

SC Germany Consumer 2013-1 UG is a securitisation of a pool of German unsecured (or partially secured) consumer loans granted to retail customers. The portfolio was originated and is serviced by Santander Consumer Bank AG. The transaction follows the standard structure under German Securitisation Law and closed in March 2013. The original collateral pool is very granular without significant exposure to single borrowers and geographically well diversified across Germany. The portfolio is static.

The portfolio is performing well as both delinquencies and defaults are very low. As of the March 2014 payment date, the cumulative default ratio was 0.83%. Delinquencies greater than 90 days were 0.18%. Cumulative recoveries to date are low, but in line with DBRS assumptions from its initial rating analysis.
Credit enhancement for the Class A Notes is provided by subordination of the Class B Notes and a non-amortising cash reserve of EUR 19 million set up at transaction close. The current credit enhancement for the Class A Notes as a percentage of the outstanding performing balance of the portfolio is 19.27%, up from 10.47% at the initial rating in March 2013. The cash reserve of EUR 19 million, equal to 1.84% of the aggregate balance of the Class A and Class B Notes, is at the initial and target level.

The Bank of New York Mellon, Frankfurt branch is the account bank for the transaction. The DBRS private rating of The Bank of New York Mellon, Frankfurt branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

The sources of information used for this rating include investor reports provided by Santander Consumer Bank AG. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 27 March 2013, when DBRS assigned the ratings of ‘A’ (sf) to the Class A Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 7.44% and 83.00%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to be AA (low) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to fall to BBB (high) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to fall to BBB (high) (sf), all else being equal.

Class A Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (low) (sf).
• 50% increase in LGD, expected rating of AA (low) (sf).
• 25% increase in PD, expected rating of ‘A’ (sf).
• 50% increase in PD, expected rating of BBB (high) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of ‘A’ (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of ‘A’ (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 27 March 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: 27 March 2013

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Rating European Consumer and Commercial Asset-Backed Securitisations