OREANDA-NEWS. Fitch Ratings has affirmed SC Germany Vehicles 2015-1 UG EUR633.5m class A notes at 'Asf' with Stable Outlook.

The transaction is a securitisation of a EUR700m revolving pool of loans originated by Santander Consumer Bank AG, a wholly-owned subsidiary of Santander Consumer Finance S.A. (A-/Stable/F2). The loans are granted to German small commercial and self-employed customers. The transaction features a three-year revolving period. It will continue replenishing until April 2018 unless early amortisation is triggered.

KEY RATING DRIVERS
The rating action reflects the transaction's stable performance since closing in April 2015, which has been in line with Fitch's expectations. The transaction's delinquencies are at low levels with accounts in arrears for more than 30 days at around 0.35% of the portfolio balance. The level of losses is comparable with peers. In Fitch's view, the early amortisation triggers, together with the replenishment criteria, protect the transaction from performance deterioration.

To capture potential pool deterioration over the revolving period, Fitch constructed a worst-case portfolio to address the possible migration towards the revolving limits. The current portfolio composition as of the February 2016 payment date is commensurate with the replenishment criteria.

The class A notes benefit from credit enhancement (CE) consisting of overcollateralisation through subordination (9.5%) and a non-amortising cash reserve (1%). CE has not changed during the revolving period. The transaction benefits from excess spread that has been sufficient to cover defaults so far. In Fitch's view, the asset-liability mismatch trigger in the transaction ensures that full CE will be available at the end of the revolving period.

Counterparty risks in the transaction are adequately addressed. The non-amortising cash reserve is considered to sufficiently cover payment interruption risk. The transaction is exposed to limited deposit and loan handling fee set-off risk. Fitch tested the sensitivity of materialisation of the insurance-related set-off risk and considers the potential impact on the notes' rating limited. The available CE and excess spread are deemed adequate to address the commingling exposure that could arise in case of servicer default.

Fitch expects the transaction to extend its stable performance, as reflected in the Stable Outlook. This expectation is based on the transaction's low delinquency levels, Fitch's Stable Outlook for German consumer ABS, the underlying asset performance and a stable economic environment with the expectation of low corporate insolvencies and a low unemployment rate over the near- to medium term.

RATING SENSITIVITIES
The base case assumptions remained unchanged from our initial analysis with a default base case of 4.1%, recovery base case of 43.5% and loss base case of 2.3%.

Expected impact upon the note ratings of increased defaults and decreased recoveries:

Current Rating class A: 'Asf'
Increase base case defaults by 25% for class A: 'BBB+sf'
Decrease recoveries by 25% for class A: 'A-sf'

Increase base case defaults by 10% for class A: 'A-sf'
Decrease recoveries by 10% for class A: 'A-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's closing, Fitch sought to receive a third party assessment conducted on the asset portfolio information, but none was available for this transaction.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of the originator'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 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 Santander Consumer Bank. Latest report referred to the monthly payment date as of February 2016.