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I AGREE
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.
REGULATORY DISCLOSURES
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.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
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
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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.
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