RPT-Fitch affirms Zugspitze 2008-1 & Rhoen 2008-1

Thu Feb 20, 2014 8:00am EST

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

Fitch Ratings has affirmed Zugspitze 2008-1 GmbH's class A notes and Rhoen 2008-1 GmbH's class A notes at 'AAAsf' with Stable Outlooks.

The transactions are securitisations of loans granted to private and business clients originated via Deutsche Bank Privat- und Geschaeftskunden AG's real estate-related retail lending business. Due to the transactions' structures, the notes do not benefit from recovery proceeds.

KEY RATING DRIVERS

Stable Performance

The ratings reflect the transactions' robust performance. The share of loans with three or more missed instalments in the outstanding portfolio for Zugspitze 2008-1 stands at 0.35% and at 0.6% for Rhoen 2008-1 as of December 2013. The balance of defaulted loans in the two transactions was recognised as losses and allocated to the junior notes. As of December 2013 losses in the two transactions accounted for 1.9% (Zugspitze) and 2.2% (Rhoen) of the original pool balance.

Credit Enhancement Increasing

The deleveraging of the two portfolios has led to an increase in the credit support available to the rated tranches. As of December 2013, credit enhancement for the class A notes was calculated at 59.0% and 68.1%, for Zugspitze and Rhoen, respectively.

RATING SENSITIVITIES

The transactions are both well protected to withstand a strong rise in arrears and defaults as a result of the build-up in credit enhancement over time which more than doubled since issuance in 2008. In addition, the agency expects that the stable economic environment in Germany will continue, translating into continued stable performance of the underlying assets.

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