DBRS Upgrades Rating on SC Germany Consumer 2013-1 UG (haftungsbeschränkt)

DBRS Ratings Limited (DBRS) has today upgraded to AAA (sf) from AA (low) (sf) the rating on the EUR 74,246,896 Class A Notes issued by SC Germany Consumer 2013-1 UG (haftungsbeschränkt) (the Issuer).

The rating action reflects an annual review of the transaction, based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the March 2016 payment date, in line with DBRS’s initial expectations.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The current available credit enhancement to the notes to cover expected losses assumed in line with the AAA (sf) rating level for the Class A Notes.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Legal Maturity Date in March 2024.

The Issuer is a securitisation collateralised by a pool of consumer loans granted to individuals resident in Germany. The portfolio was originated and is serviced by Santander Consumer Bank AG. The deal follows the standard structure under the German Securitisation Law and closed on 27 March 2013.

The portfolio is performing in line with DBRS’s expectations. As of the March 2016 payment date, 31- to 60-day delinquencies and 61- to 90-day delinquencies were 0.69% and 0.37% of the portfolio principal balance, respectively, while delinquencies greater than 90 days were 0.24%. The cumulative gross default ratio was 2.77% of the original balance, with cumulative recoveries of 12.62%.

Credit enhancement for the Class A Notes is provided by the subordination of the Class B Notes and the Reserve Fund. Current credit enhancement of the Class A Notes is equal to 78.27%.

The transaction structure includes a non-amortising Reserve Fund, funded at closing with the proceeds of the Funding Loan provided by Santander Consumer Finance SA. This reserve is available to cover senior expenses and missed payments on the Notes (interest and principal). The reserve fund is currently at the initial and target level of EUR 19.00 million.

Bank of New York Mellon - Frankfurt Branch is the Account Bank for this transaction. The DBRS private rating of Bank of New York Mellon - Frankfurt Branch complies with the Minimum Institution Rating given the rating assigned to the Notes, as described in DBRS’s Legal Criteria for European Structured Finance Transactions methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

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. This 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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at 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 available to it for the purposes of providing these ratings 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 Issuer took place on 8 April 2015, when DBRS confirmed the rating assigned to the Class A Notes at AA (low) (sf).

The lead responsibilities for this transaction have been transferred to Vito Natale.

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

To assess the impact of changing transaction parameters on the rating, at closing DBRS considered the following stress scenarios 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 portfolio based on a review of the current assets. 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 below illustrates the ratings expected for Class A Notes if the PD and LGD increase by a certain percentage over the base case assumptions. For example, if the LGD increases by 50%, the rating of Class A Notes would be maintained at AAA (sf), all else being equal. If the PD increases by 50%, the rating of Class A Notes would be maintained at AAA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating of Class A Notes would be maintained at AAA (sf), all else being equal.

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (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

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies 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.