(The following statement was released by the rating agency)
March 01 - Fitch Ratings has affirmed SC Germany Auto 09-1’s (SCGA 09-1) class A and B notes, as follows:
EUR405.6m class A notes: affirmed at ‘AAAsf’; Outlook Stable;
EUR55m class B notes: affirmed at ‘AA-sf’; Outlook Stable
The affirmations reflect strong underlying asset performance supported by low delinquencies and defaults, high level of excess spread, and increased credit enhancement due to the de-leveraging process.
The transaction is a securitisation of auto loans originated by Santander Consumer Bank AG , a wholly-owned subsidiary of Santander Consumer Finance S.A (‘A’/ Negative/‘F1’) and extended to individuals in Germany to finance the purchase of the vehicles.
Although the transaction’s delinquency ratio has shown an increasing trend since outset, it has only reached a low 0.51%. Fitch’s cumulative default rate (CDR) and cumulative loss rate (CLR) have both remained well below the agency’s expectations to date. As at January 2012, the CDR and CLR stood at 0.53% and 0.48% respectively compared with base cases of 1.35% and 1.05%.
Excess spread for the transaction has remained above 5% since outset and stood at 6.2% as of January 2012. The required reserve fund, which was financed by issuance of the subordinated loan at closing had amortised to EUR27.6m as of January 2012. The reserve will be permitted to amortise in line with the notes until a floor of EUR9m is reached.
A series of recent court decisions regarding loan handling fees for German consumer loans could expose the transaction to additional set-off risk. This potential risk was taken into account in the transaction surveillance analysis, and was considered in light of available excess spread.