DBRS Ratings Limited (DBRS) assigned a rating of A (sf) to the Class A Notes issued by SC Germany Mobility 2019-1 (haftungsbeschränkt) (the Issuer). The rating addresses the timely payment of interest and ultimate repayment of principal by the legal maturity date. DBRS does not rate the Class B Notes (together with the Class A Notes, the Notes) in this transaction.
The Notes are backed by a pool of receivables related to automotive loan contracts granted to private and commercial borrowers residing in Germany by Santander Consumer Bank AG (SCB or the Seller). The collateral portfolio will also be serviced initially by SCB (as Servicer).
The 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’s operational risk review of SCB’s premises, which deemed 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 transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, and 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.
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.
An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis is based on the worst-case replenishment criteria set forth in the transaction legal documents.
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: https://www.dbrs.com/research/333487/rating-sovereign-governments.
The sources of data and information used for this rating include data sourced from SCB and provided through the transaction arranger, Société Générale S.A.:
--Quarterly static default and recovery data from Q1 2009 to Q1 2019;
--Monthly dynamic delinquency data from January 2009 and February 2019; and
--Monthly dynamic prepayment data from January 2009 to February 2019.
DBRS also received summarised stratification tables in relation to the initial loan pool as of 31 May 2019.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
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 2.3%, a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Recovery Rate of 26% at the A (sf) stress level, a 25% and 50% decrease in the base case
-- Expected loss given default (LGD) of 74% at the A (sf) stress level, a 25% and 50% increase in the base case LGD.
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 for the Class A Notes under the eight stress scenarios are:
BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (high) (sf), BBB (low) (sf) and BB (sf).
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: Alex Garrod, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 June 2019
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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
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 email@example.com.