OREANDA-NEWS. Fitch Ratings has assigned SC Germany Vehicles 2015-1 UG (haftungsbeschraenkt)'s class A notes a final rating, as follows:

EUR 633.5m class A (ISIN: XS1217133815), due November 2030: 'Asf'; Outlook Stable
EUR 66.5m class B (ISIN: XS1217140356), due November 2030: not rated

The transaction is a securitisation of a EUR700m revolving pool of loans granted to German small commercial and self-employed customers for the financing of predominantly cars, originated by Santander Consumer Bank AG (SCB), a wholly owned subsidiary of Santander Consumer Finance S.A. (SCF, A-/Stable/F2).

KEY RATING DRIVERS
Long Revolving Period
The transaction has a three-year revolving period, during which principal proceeds may be used to purchase additional eligible assets. Fitch has modelled a stressed portfolio to address potential portfolio credit quality migration during the replenishment period, based on specific portfolio covenants. The length of the revolving period translates into potential additional losses and greater exposure to a cyclical downturn. These elements are addressed by higher than median default multiples.

No Delinquency Trigger
The breach of a trigger on defaults (loan termination) net of recoveries of up to 2.25% of the purchased portfolio balance will end the revolving period. However, the transaction has no trigger on delinquencies. We consider this a structural weakness as defaults/losses occur later and are more susceptible to servicer interference than delinquencies. Fitch has quantified potential losses from delinquencies at the end of the revolving period, and believes that such losses would be covered by available excess spread at the beginning of the amortisation period.

Limited Set-off Exposure
The transaction is exposed to limited deposit set-off and insurance-related set-off risk. The seller is obliged to post a set-off reserve upon a specific trigger event, but in Fitch's view this is not quick enough. However, we believe only deposits exceeding statutory protection are exposed. No reserve is posted for set-off risk from securitised insurance contracts (mostly payment protection insurance). Fitch considers the materialisation of this risk unlikely. We tested the sensitivity of materialisation and consider it to be acceptable.

Highly Granular, Homogenous Portfolio
The limit on the largest single obligor is 0.05%. Obligors are mostly small commercial and self-employed clients. However, during the revolving period loans to private customers can also be securitised. As these loans perform comparatively better, this should not adversely affect the portfolio's performance.

RATING SENSITIVITIES
The following are the model-implied sensitivities from a change in selected input variables:
Stress on default rates:
- Increase in default rates by 10%: downgrade to 'A-sf'
- Increase in default rates by 25%: downgrade to 'BBB+sf'

Stress on recovery rates:
- Decrease in recovery rates by up to 25%: downgrade to 'A-sf'

Combined stress
- Decrease in recovery rates by 10% and increase in default rates by 10%: downgrade to 'A-sf'
- Decrease in recovery rates by 25% and increase in default rates by 25%: downgrade to 'BBBsf'

Fitch sought to receive a third party assessment conducted on the asset portfolio information, but none was available for this transaction.

Fitch conducted a review of a small targeted sample of Santander Consumer Bank AG'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.