30.11.2012 14:48
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Moody's assigns definitive rating to ABS notes issued by Bilkreditt 3 Limited ABS notes

EUR670 million and NOK1.1 billion ABS notes rated, relating to a portfolio of Norwegian auto loans

London, 30 November 2012 -- Moody's Investors Service has today assigned definitive ratings to the following asset-backed securities (ABS) notes issued by Bilkreditt 3 Limited.

Aaa(sf) to the EUR670,000,000 Class A Series A1 floating rate notes due April 2027

Aaa(sf) to the NOK1,096,100,000 Class A Series A2 floating rate notes due April 2027

A subordinated and unrated Class B is also expected to be issued.

RATINGS RATIONALE

Today's rating assignment reflects the transaction's structure as a static cash securitisation of auto loans extended to obligors in Norway by Santander Consumer Bank AS (not rated), which is a wholly owned subsidiary of Santander Consumer Finance S.A. (Baa2/P-2). This is the second public securitisation transaction sponsored by Santander Consumer Bank AS that is rated by Moody's. The seller also acts as servicer of the portfolio.

The portfolio of underlying assets consists of auto loans distributed through dealers (84% of the portfolio as at 31 October 2012) as well as via telephone and the internet (16%) to individual borrowers (89%) and corporate entities (11%). These loans finance new cars (29%) and used cars (71%). As at October 2012 the portfolio consists of 38,929 loans with a weighted average seasoning of 6.7 months.

Moody's analysis focused, amongst other factors, on (i) historical portfolio performance information; (ii) performance of past transactions; (iii) the servicer obligation to reset interest on the underlying auto loans to comply with a 3% minimum margin obligation; (iv) the credit enhancement provided by the reserve fund and subordination (15% class B notes); (v) the liquidity support available in the transaction by way of the 1% liquidity reserve and supplementary liquidity, principal to pay interest and the reserve fund; (vi) the appointment of a back-up servicer facilitator at closing; (vii) the independent cash manager and calculation agent; and (viii) the legal and structural integrity of the transaction.

According to Moody's, the transaction benefits from various credit strengths such as a granular portfolio, a reserve fund of 3% including a 1% liquidity reserve. The structure is static. However, Moody's notes that the transaction features some credit weaknesses such as an unrated servicer, commingling risk and insurance cancellation risk. Various mitigants have been envisioned such as a back-up servicer facilitator which is appointed at close (Banco Santander S.A. (Baa2/P-2)) and the structure envisions the appointment of a back-up servicer should Santander Consumer Finance S.A. be downgraded below Baa3 rating. Commingling risk and insurance cancellation risk are mainly mitigated by the funding of a commingling reserve and a CPI reserve at closing and were considered in Moody's analysis.

Moody's assumed a mean cumulative default of 4.5% for the portfolio and a default volatility measured as coefficient of variation of 50%. These assumptions together with an expected recovery rate of 40% are the main input for Moody's cash flow model ABSROM. In its base case scenario, Moody's also assumed a constant prepayment rate of 20% and a sinus-shape timing of defaults.

The V-score analysis for the transaction is Medium which is higher than the German/French auto sector. In particular, quality of historical data has been assigned a medium/high score, higher than the auto sector score for this category, given the limited amount of ABS auto transaction in Norway, general limited availability of historical data on performance of auto loan pools in Norway and certain limits to the data provided by the originator/servicer (i.e. dynamic recoveries). V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. For more information, the V-Score has been assigned according to the report "V Scores and Parameter Sensitivities in the Non-U.S. Vehicles ABS Sector", published in January 2009.

The principal methodology used in this rating was "Moody's Approach to Rating European Auto ABS", published in November 2002. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Other factors used in this rating are described in "The Lognormal Method Applied to ABS Analysis", published in July 2000.

In rating this transaction, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's analysis encompasses the assessment of stressed scenarios.

In rating auto loan ABS, default rate and recoveries are two key inputs that determine the lognormal distribution. Parameter sensitivities for this transaction have been tested in the following manner: Moody's tested nine scenarios derived from a combination of mean default: 4.5% (base case), 4.75% (base case + 0.25%), 5.0% (base case + 0.5%) and recoveries: 40% (base case), 35% (base case - 5%), 30% (base case - 10%). The results for class A1 under these scenarios vary from Aaa (base case) model output to Aa1 (model output where the mean default is 5.0% and recoveries are 30%). Parameter sensitivities provide a quantitative/model indicated calculation of the number of notches that a Moody's rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather how the initial model output of the security might have differed if the two parameters within a given sector that have the greatest impact were varied.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on yield to investors.

Provisional ratings have been assigned on 9 November 2012. Please note that the notes issuance amounts has changed from provisional ratings due to the final portfolio securitised but in substance remains consistent from a credit analysis perspective.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF308726

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Mehdi Ababou Vice President - Senior Analyst Structured Finance Group Moody's France SAS 96 Boulevard Haussmann Paris 75008 France JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Alex Cataldo Associate Managing Director Structured Finance Group Telephone:+39-02-9148-1100 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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