DBRS Assigns AAA (sf) Provisional Rating to SC Germany Auto 2018-1 UG (haftungsbeschränkt)

DBRS Ratings Limited (DBRS) assigned a provisional rating of AAA (sf) to the Class A Notes (together with the unrated Class B Notes, the Notes) to be issued by SC Germany Auto 2018-1 (haftungsbeschränkt) (the Issuer).

The rating on the Class A Notes will be finalised upon receipt of an executed version of the governing transaction documents. To the extent that the documents and the information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign a different final rating to the Class A Notes.

The Notes are backed by a static pool of receivables related to auto loan contracts granted to individuals residing in Germany by Santander Consumer Bank AG (SCB, or the Seller The collateral portfolio will be serviced initially by SCB.

DBRS rating is based on the following considerations:
--The transaction’s capital structure, including form and sufficiency of available credit enhancement.
--The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
--SCB’s capabilities with respect to origination, underwriting, servicing and financial strength.
--DBRS conducted an operational risk review of SCB’s premises in Monchengladbach, Germany and deems it to be an acceptable servicer and originator.
--The transaction parties’ financial strength with regard to their respective roles.
--The sovereign rating of the Federal Republic of Germany, currently rated at AAA by DBRS.
--The consistency of the transactions’ legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the Seller.

The transaction structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating European Consumer and Commercial Asset Backed Securitisations”.

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

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 the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include data sourced from SCB and provided through the transaction arranger, UniCredit Bank AG:
--Monthly static default and recovery data from January 2008 to February 2018;
--Quarterly static default and recovery data from Q1 2008 to Q4 2017;
--Monthly dynamic delinquency data from January 2008 and February 2018; and
--Monthly dynamic prepayment data from January 2008 to February 2018.

DBRS also received a set of stratification tables in relation to the preliminary loan pool as of 30 April 2018.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 to the parameters used to determine the rating:
-- Expected default of 1.6%: a 25% and 50% increase.
-- Expected loss given default (LGD) of 53.5%: a 25% and 50% increase.

Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

DBRS concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AAA, AAA, AAA, AAA, AA (high), AAA, AA (high), AA

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 30 May 2018

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.