OREANDA-NEWS. Fitch Ratings has assigned SC Germany Auto 2016-1 asset-backed class A notes the following expected rating:

EUR556.5m class A notes, 'AAA(EXP)sf'; Outlook Stable
EUR43.5m class B notes, 'NR(EXP)sf'
EUR6m Subordinated loan, 'NR(EXP)sf'

The transaction is a repeat securitisation of auto loans originated by Santander Consumer Bank AG (SCB), an indirectly wholly-owned subsidiary of Santander Consumer Finance S.A. (SCF, A-/Stable/F2). SC Germany Auto 2016-1 UG (haftungsbeschraenkt) is a special purpose company incorporated with limited liability under German law.

The final rating will be contingent upon the receipt of final transaction documents conforming to the information already received to support the agency's analytical approach.

KEY RATING DRIVERS
The expected rating is based on Fitch's assessment of SCB's origination and servicing procedures, the agency's expectations of future asset performance, the available credit enhancement and the transaction's legal structure.

Fitch applied a default base case of 1.4% for the transaction compared with 1.75% for the previous SC Germany Auto 2014-1. Furthermore, the agency determined a base case recovery rate of 40%. The lower default base case is due to the continuing strong performance of the latest vintages, Fitch's expectations of a stable economic environment and the satisfactory performance of previous SC Germany Auto transactions. Fitch applied a higher 'AAA' rating default multiple of 7.3x, reflecting the low absolute level of default base case and a stable macroeconomic outlook applied in deriving the default base case, which does not incorporate any significant stress.

The originator, SCB, is an experienced auto loan underwriter in Germany, with a good servicing track record. Previous SC Germany Auto transactions continue to perform within or better than Fitch's initial expectations.

SCB is the servicer for the transaction. Cash reserves will be funded at closing to cover the potential risks stemming from: (i) commingling; and (ii) set-off (arising from customer deposits and insurance-related set-off claims).

Fitch expects the performance of German auto loans to remain stable over the next two years. The unemployment rate - an important risk factor for German auto transactions - has reached historically low levels and Fitch expects it to remain low over the next two years.

RATING SENSITIVITIES
Expected impact upon the note rating of increased defaults (Class A):
Original Rating: 'AAAsf'
Increase base case defaults by 10%: 'AAAsf'
Increase base case defaults by 25%: 'AA+sf'
Increase base case defaults by 50%: 'AAsf'

Expected impact upon the note rating of decreased recoveries (Class A):
Original Rating: 'AAAsf'
Reduce base case recovery by 10%: 'AAAsf'
Reduce base case recovery by 25%: 'AAAsf'
Reduce base case recovery by 50%: 'AA+sf'

Expected impact upon the note rating of increased defaults and decreased recoveries (Class A):
Original Rating: 'AAAsf'
Increase default base case by 10%; reduce recovery base case by 10%: 'AAAsf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AA+sf'
Increase default base case by 50%; reduce recovery base case by 50%: 'AA-sf'

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch expects to review the results of a third party assessment conducted on the asset portfolio information prior to transaction closing.

Fitch conducted a review of a small targeted sample of SCB's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan information on the transaction portfolio as of 31 March 2016 including pool stratifications.
- Origination volumes since 2004 for all sub-portfolio combinations of new/used vehicles, balloon/amortising loans, and vehicle type.
- Dynamic delinquency data since 2004 for the total portfolio and new/used vehicles.
- Static default and recovery vintages since 2004 for the total portfolio, new/used vehicles, and balloon/amortising loans.
- Dynamic prepayment data since 2004 for the total portfolio.
- Scheduled amortisation profile of the portfolio.
- Performance data of the outstanding Fitch rated SC Germany Auto transactions.