OREANDA-NEWS. Fitch Ratings has affirmed Svensk Autofinans WH 1 Limited's SEK4,455m class A notes at 'AAsf' with a Stable Outlook.

The transaction is a securitisation of auto loan receivables originated to Swedish individuals and companies by the Swedish branch of Norwegian Santander Consumer Bank AS (SCB; A-/Stable/F2).

After closing in December 2013, the transaction had an initial revolving period of 18 months, which was extended in June 2015 for a further 12 months until June 2016. The issuer has extended the transaction's revolving period by an additional 12 months from June 2016, in line with transaction documentation.

The issuer has also implemented a set of changes in the documentation, which was agreed by the investor. These include a change in the class A notes' interest rate index to three-month STIBOR from one-month STIBOR. In addition, the issuer has introduced a portfolio concentration limit of 15% and 20% for Volkswagen AG and Volkswagen Group vehicles, respectively. The latter includes Volkswagen, Audi, Seat, Skoda, Bentley, Bugatti, Lamborghini, Porsche and Ducati branded vehicles. Finally, the minimum required rating for the transaction account bank has been amended to 'A-' and 'F1' from the previous requirement of 'A' and 'F1'.

Fitch considered the minimum required rating update in the context of its currently outstanding Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds and concluded that the new requirement is also commensurate with the notes' rating under these criteria.

The agency conducted an on-site originator review in May 2016 as well as a full review of the transaction's performance so far and concluded that the extension of the revolving period and the amendments have no impact on the notes' rating.

KEY RATING DRIVERS

The affirmation reflects that the performance of the transaction since the last review in May 2015 has been within our expectations.

As of the May reporting date, the class A notes' balance was marginally below the SEK4,455m pre-committed level, up from SEK3,024.4m at closing. The current portfolio's composition includes more balloon loans and loans financing new cars compared with the initial one. It is otherwise largely unchanged.

Cumulative defaults and 30-days plus delinquency ratios have been low since inception. Recoveries are in line with expectations. Credit enhancement has been maintained at 11.5% and the cash reserve is at the required 1% of the total note balance.

Fitch has kept its lifetime base case assumptions for defaults and recoveries unchanged for each of the sub-portfolios (new amortising, used amortising, new balloon and used balloon agreements). However, we revised the weight of each sub-portfolio into the total stressed portfolio, which resulted in an updated weighted average base case of 2.72% and 45.9% for defaults and recoveries, respectively. These figures had been 2.81% and 45.8% since closing.

RATING SENSITIVITIES

Rating sensitivity to increased default rate assumption upon class A notes' rating

Current rating: 'AAsf'

Increase in default rate by 10%: 'AA-sf'

Increase in default rate by 25%: 'A+sf'

Increase in default rate by 50%: 'A-sf'

Rating sensitivity to reduced recovery rate assumption upon class A notes' rating

Current rating: 'AAsf'

Decrease in recovery rate by 10%: 'AA-sf'

Decrease in recovery rate by 25%: 'AA-sf'

Decrease in recovery rate by 50%: 'A+sf'

Rating sensitivity to multiple factors upon class A notes' rating

Current rating: 'AAsf'

Increase in default rate by 10%, decrease in recovery rate by 10%: 'A+sf'

Increase in default rate by 25%, decrease in recovery rate by 25%: 'Asf'

Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBB+sf'

DUE DILIGENCE USAGE

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Fitch conducted a review of a small targeted sample of the origination files prior to the transaction closing and during the originator review of August 2015. In both cases, the agency 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 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.

-Monthly investor reports provided by SCB until May 2016

-Stratifications provided by SCB as of March 2016

-Historical defaults and recoveries from January 2007-March 2016 provided by SCB

-Historical arrears from January 2007-March 2016 provided by SCB

-Historical dynamic yield from January 2007-March 2016 provided by SCB

-Historical dynamic prepayments from January 2007-March 2016 provided by SCB

-Historical monthly data on refinanced contracts from January 2007-March 2016 provided by SCB

-Historical monthly data on balloon payments from January 2007-March 2016 provided by SCB