RPT-Fitch affirms TS Lago One GmbH

Thu Feb 20, 2014 9:30am EST

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Feb 20 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed TS Lago One GmbH's (TS Lago) class A notes (ISIN DE000A0AEHR9) at 'AAAsf' with a Stable Outlook.

TS Lago is a true sale securitisation of German residential mortgage loans originated by Commerzbank AG (A+/Stable/F1+).

KEY RATING DRIVERS

Stable Performance

Loans in arrears by one or more missed payments stand at 0.4% of the current portfolio, while loans in arrears by more than 90 days have historically been repurchased out of the portfolio by Commerzbank. According to the January 2014 investor report, the cumulative amount of repurchased loans since closing equals EUR610m, a large portion of which are loans that are 90 days overdue.

Credit Enhancement Increasing

Deleveraging of the portfolio has led to an increase in credit enhancement for the class A notes. It currently stands at 33.7% compared with 19.2% when Fitch rated the transaction in 2010.

The principal proceeds received from the portfolio are being allocated sequentially and are used to amortise the class A notes, which is expected to lead to a further build up in credit support over the coming quarters.

RATING SENSITIVITIES

The performance of German RMBS transactions is largely dependent on the level of defaults and recovery values of properties once a borrower has defaulted. The German economic environment is currently stable and Fitch expects German mortgage loans to continue to perform well. Furthermore, the transaction is well protected against substantial increases in arrears and defaults as a result of the increased credit enhancement, which is substantially higher than when the ratings were assigned.

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