Link to Fitch Ratings' Report: Bilkreditt 3 LimitedNov 9 - Fitch Ratings has assigned Bilkreditt 3 Limited's notes, backed by
Norwegian auto loan receivables originated by Santander Consumer Bank AS (SCB,
not rated), expected ratings, as follows:
EUR500.0m Class A1: 'AAAsf(EXP)'; Outlook Stable
NOK1,096.1m Class A2: 'AAAsf(EXP)'; Outlook Stable
NOK840.0m Class B: NR
Final ratings are contingent upon the receipt of final documents conforming to
information already received.
The ratings are 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. SCB is a fully owned
subsidiary of Santander Consumer Finance S.A. ('BBB+'/Negative/'F2'). Credit
enhancement is provided to the rated notes by overcollateralisation and a cash
reserve account funded at closing. The class A1 and A2 notes benefit from 18.0%
credit enhancement (15.0% overcollateralisation, 3.0% cash reserve).
Overcollateralisation is provided by the class B note (unrated) sized at
At closing, the proceeds of the class A and B notes will be applied to purchase
an amortising pool of Norwegian auto loan receivables from the originator. The
portfolio will be acquired with a total principal value of NOK5,600m. Pool data
was provided to Fitch as at 30 September 2012, where the pool totalled NOK7,936m
and comprised 42,827 loans with an average current balance of NOK185,317
(approximately EUR25,290). Vehicle types are split into 84.0% cars, 5.0%
caravans and trailer tents, 8.5% light commercial vehicles and 2.5% motorcycles.
The pool contains 71.5% used and 28.5% new vehicles. Obligor type is 88.9%
individuals and 11.1% companies. The weighted average (WA) original term was
78.1 months and the WA remaining term was 72.7 months.
Fitch analysed obligor credit risk and formed a base case default assumption of
4.5% and a recovery assumption of 55.0%. These assumptions were stressed
according to the notes' rating. The agency considers unemployment and interest
rates to be key drivers of asset performance.
Fitch analysed detailed originator-specific, as well as general market
performance data. A feature of the Norwegian economy is the relatively high
number of high income and high indebted households. During 2012 and 2013, Fitch
expects a stable level of unemployment and an increase in interest rates.
Overall, auto loan performance is expected to remain stable compared with
The interest rate on the assets is variable and determined from time to time by
the servicer, without a direct link to NIBOR. Under the servicing agreement, the
servicer has committed to maintaining a minimum margin of 3% over NIBOR. Fitch's
asset analysis has incorporated this minimum margin and stressed it in different
SCB will act as servicer. Commingling and servicer continuity risks are
mitigated by downgrade triggers referencing the rating of the parent company.
The issuer bank accounts are held with Deutsche Bank AG, London Branch
('A+'/Stable/'F1+'), which also provides a cross currency swap to the issuer.
A presale report, including further information on transaction related stress
and sensitivity analysis, and material sources of information that were used to
prepare the credit rating is available at www.fitchratings.com.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Sources of information: transaction documentation and data provided by the
Applicable criteria, 'EMEA Consumer ABS Rating Criteria', dated 12 July 2012;
'Counterparty Criteria for Structured Finance Transactions', dated 12 March
2012; and 'Counterparty Criteria for Structured Finance Transactions:
Derivatives Addendum', dated 12 March 2012 are available at
Applicable Criteria and