DBRS Ratings Limited Assigns Final Ratings to SC Germany Consumer 2014-1 UG (haftungsbeschränkt)

DBRS Ratings Limited (“DBRS”) has assigned a final rating of ‘A’ (sf) to the Class A Notes issued by SC Germany Consumer 2014-1 UG (haftungsbeschränkt). The Notes are backed by a pool of consumer loans granted to individuals resident in Germany and originated by Santander Consumer Bank AG (“SCB”). The transaction has a 36-month revolving period on which the issuer may purchase additional receivables. During the replenishment period no principal will be paid to the notes, unless an early termination event occurs.

The portfolio is very granular which consists of 121,830 consumer loans with a current principal balance of EUR 1.35bn and EUR 11,081 weighted average current principal loan balance. The portfolio is 14.55 months seasoned and has a weighted average remaining term of 66.67 months.

The ratings are based upon DBRS review of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement. The Class A Notes benefits of 11.74% credit enhancement that consists of EUR 145mn Class B notes and EUR 13.5mn Reserve Fund. The Reserve Fund provides liquidity support to the Class A and the Class B notes according to certain triggers.
• SCB’s capabilities with respect to originations, underwriting, servicing and financial strength.

• DBRS conducted an operational risk update call review of SCB and deems SCB as an acceptable servicer.
• SCB is a subsidiary of Santander Consumer Finance SA Spain (“SCF”) whose ultimate parent is Banco Santander SA, Spain.
  • The credit quality of the collateral, historical and projected performance of SCB’s consumer loan portfolio.
  • The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the European Consumer and Commercial Asset-Backed Securitisations.

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

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

The sources of information used for this rating include SCB, SCF, Banco Santander, SA and their agents. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information upon which DBRS ratings and reports are based, and any other content displayed on the Site, is obtained by DBRS from sources DBRS believes to be accurate and reliable.

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 extent of any factual investigation or independent verification depends on facts and circumstances.

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 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”):

• Base Case Probability of Default (PD) of 7.57%, a 25% and 50% increase on the base case PD.
• Base case Recovery Rate of 17.08% (or a Loss Given Default (LGD) of 82.92%), a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (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: 14/03/2014
Initial Rating Committee Chair: Chuck Weilamann
Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

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

• Rating European Consumer and Commercial Asset Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.