RPT-Fitch affirms Red & Black Auto Germany 1
(Repeat for additional subscribers)
Feb 5 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed Red & Black Auto Germany 1 UG (haftungsbeschraenkt)'s EUR188.7m class A notes at 'AAAsf' with a Stable Outlook.
The transaction is a securitisation of German auto loan receivables originated by Bank Deutsches Kraftfahrzeuggewerbe (not rated), which is owned by Societe Generale (A/Stable/F1). The transaction is static and started amortising immediately after closing.
KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance, which is better than Fitch's original expectation. According to the January 2014 investor report, the observed cumulative default rate since closing is 0.9%, while the reported loss rate to date is 0.3%, representing a recovery rate of 62.0% in line with Fitch's original base case assumption. Delinquencies greater than 30 days represent 2.4% of the outstanding pool.
The reserve fund is fully funded at EUR10m and has not been drawn at any point in the life of the transaction. Excess spread stands at around 3.0%. Due to strictly sequential amortisation, the class A notes' credit enhancement has increased to 34.1% from 12.3% at closing.
There have been no significant changes in portfolio composition since closing. Private individuals constitute the majority of the borrowers in the portfolio (currently 87.0%). German unemployment is currently at a historical low and is expected to remain at this level for the foreseeable future. Therefore, the agency does not expect the transaction's performance to deteriorate, which is reflected in the Stable Outlook.
The lifetime default base case assumption for the transaction has been maintained at 1.4%. At the 2013 review, Fitch revised it to 1.4% from the original 2.6%.
Expected impact upon the note rating of increased losses and reduced recoveries (Class A):
Current Rating: 'AAAsf'
Increase base case losses by 25%; reduce base case recoveries by 25%: 'AAAsf'
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