DBRS Confirms the Ratings of SC Germany Vehicles 2013-1 UG (haftungsbeschränkt)

DBRS Ratings Limited (DBRS) has today confirmed the rating of the Class A notes of SC Germany Vehicles 2013-1 UG (haftungsbeschränkt) (the Issuer) at A (sf).

The confirmation of the rating on the Class A notes is based upon the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of defaults and delinquencies, as of the August 2015 payment report.
-- Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
-- Credit enhancement currently available to the Class A notes to cover the expected losses assumed in the stress scenario associated with the A (sf) rating level.

SC Germany Vehicles 2013-1 UG (haftungsbeschränkt) is a static cash securitisation of auto loan receivables extended by Santander Consumer Bank AG to corporate and commercial clients in Germany. The purpose of the loans was to purchase new (45.02%) or used (54.98%) vehicles as of August 2015.

The cumulative gross default ratio (calculated on the initial collateral balance) is currently 0.84%. The 90+ delinquency ratio is currently 0.19% as per the August 2015 payment date.

The Class A notes are supported by subordination of the Class B notes. Credit enhancement for the Class A notes is currently equal to the initial level of 10.00% because of the fact that the transaction is still within its three-year revolving period.

The deal benefits from a EUR 7.0 million Fund, which provides liquidity support to the notes. The target amount of the Cash Reserve will remain at EUR 7.0 million.

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 Transactions.”

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology,” which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies.

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’s legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include monthly investor reports provided by Santander Consumer Bank AG.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information made available to it for the purposes of providing this rating to have been 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 10 October 2014, when DBRS confirmed the rating of A (sf) on the Class A notes.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with 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 6.49% and 59.68%, 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 increases by 50%, the rating for the Class A notes would be expected to remain at A (sf), all else being equal. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at A (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 decrease to A (low) (sf), all else being equal.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf).
-- 50% increase in LGD, expected rating of A (sf).
-- 25% increase in PD, expected rating of A (sf).
-- 50% increase in PD, expected rating of A (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 A (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 A (low) (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: David Sanchez Rodriguez
Initial Rating Date: 23 October 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte

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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.

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375