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Rating Action:

Moody's assigns the following definitive ratings to German Consumer ABS notes issued by SC Germany Consumer 11-1 Limited

14 Apr 2011

Euro 433.1 million ABS notes rated

Frankfurt am Main, April 14, 2011 -- Moody's Investors Service has assigned the following definitive ratings to notes issued by SC Germany Consumer 11-1 Limited:

- Aaa (sf) to the EUR 350.8 million Class A notes due Dec 2021

- Baa3 (sf) to the EUR 82.3 million Class B notes due Dec 2021

RATINGS RATIONALE

The transaction is a static cash securitisation of consumer loans extended to obligors in Germany by Santander Consumer Bank AG (not rated) which is a wholly-owned subsidiary of Santander Consumer Finance S.A. (Baa1/P-2). This is the eleventh public securitization transaction sponsored by Santander Consumer Bank AG. The seller also acts as servicer of the portfolio, however, a back-up servicer facilitator is appointed at close (Wilmington Trust SP Services Frankfurt GmbH) and the structure requires a back-up servicer to be appointed at loss of Baa3 of Santander Consumer Finance S.A. or if the parent no longer controls at least 75% of the servicer.

The portfolio of underlying assets consists of consumer loans distributed through branches of the originator as well as via mail advertising and the internet. These amortising loans are for various purposes and 38.7% are collateralized. As at March 2011 the portfolio consists of 35,591 loans with a weighted average seasoning of 5 months.

According to Moody's, the transaction benefits from various credit strengths such as a granular portfolio, standard structure and a reserve fund of 5% at inception which can cover liquidity shortfalls and losses. The structure is static. However, Moody's notes that the transaction features some credit weaknesses such as an unrated servicer, commingling risk and set-off risk. Various mitigants have been included in the transaction structure such as a back-up servicer facilitator which is obliged to appoint a back-up servicer if certain triggers are breached. Commingling risk and set-off risk are mainly mitigated by the funding of a commingling reserve at closing due to the current rating of Santander Consumer S.A. and a set-off reserve at loss of Baa3.

Moody's analysis focused, amongst other factors, on historical portfolio performance information; performance of past transactions; the credit enhancement provided by the reserve fund, subordination and excess spread; the liquidity support available in the transaction by way of principal to pay interest and the reserve fund; the appointment of a back-up servicer facilitator at closing; the independent cash manager and calculation agent and the legal and structural integrity of the transaction.

Moody's assumed a mean cumulative default of 6.5% for the portfolio and a default volatility measured as coefficient of variation of 40%. These assumptions together with an expected recovery rate of 15% are the main input for Moody's cash flow model ABSROM.

The V-score analysis for the transaction is Low/Medium which is in line with the sector. In particular, the disclosure of securitization performance score is considered medium as the performance reports will not contain any data on restructured loans, where significant increases may be a sign of potential credit concerns. V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. For more information, the V-Score has been assigned accordingly to the report "V Scores and Parameter Sensitivities in the Non-U.S. Vehicles ABS Sector", published in January 2009.

The principal methodologies used in this rating were The Lognormal Method Applied to ABS Analysis, published in July 2000 and the Historical Default Data Analysis for ABS Transactions in EMEA, published in December 2005.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on yield to investors.

Moody's used its excel based cash-flow model Moody's ABSROM as part of its quantitative analysis of the transaction. Moody's ABSROM model enables users to model various features of a standard European ABS transaction -- including the specifics of the default distribution of the assets, their portfolio amortization profile, yield as well as the specific priority of payments, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM User Guide, available on Moody's website, covers the functionality of the model and provides a comprehensive index of the user inputs and outputs.

In rating consumer loan ABS, default rate and recoveries are two key inputs that determine the lognormal distribution. Parameter sensitivities for this transaction have been tested in the following manner: Moody's tested nine scenarios derived from a combination of mean default: 6.5% (base case), 6.75% (base case + 0.25%), 7.0% (base case + 0.5%) and recoveries: 15% (base case), 10% (base case - 5%), 5% (base case - 10%). The results for Class A under these scenarios vary from Aaa (base case) model output to Aa1 (model output where the mean default is 7.0% and recoveries are 5%). Parameter sensitivities provide a quantitative/model indicated calculation of the number of notches that a Moody's rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather how the initial model output of the security mighty have differed if the two parameters within a given sector that have the greatest impact were varied.

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The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, and public information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of assigning a credit rating.

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Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Frankfurt am Main
Armin Krapf
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns the following definitive ratings to German Consumer ABS notes issued by SC Germany Consumer 11-1 Limited
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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