(Repeat for additional subscribers)
April 17 (The following statement was released by the rating agency)
Fitch Ratings has affirmed Red & Black Auto Lease Germany 1 S.A.'s notes as below:
EUR400m class A notes affirmed at 'AAAsf' with Stable Outlook The transaction is a securitisation of auto lease receivables originated by ALD Auto Leasing D GmbH (ALD), which is wholly owned by Societe Generale (SG; A/Negative/F1).
KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance, which is in line with Fitch's expectations. According to the investor report as of April 2014, the observed cumulative default rate since closing in May 2013 is a low 0.33% of the initial pool balance, including additionally purchased assets. The cumulative loss rate for the same period is 0.21%.
The transaction features a one-year revolving period since closing. Thus, it will continue replenishing until May 2014 unless early amortisation is triggered following an early termination event. This is unlikely as neither of the early amortisation triggers is close to being breached.
The rated notes benefit from credit enhancement consisting of overcollateralisation through subordination (30%) and a non-amortising reserve fund (1%). Additionally, the transaction benefits from substantial excess spread that has been sufficient to cover the losses realised so far. To consider potential pool deterioration over the revolving period, Fitch constructed a worst-case portfolio subject to the replenishing criteria, which shows that the notes are able to withstand the stress without its rating being affected. The current pool as of April 2014 is comparable to the one at closing.
Currently, the total pool amount is EUR571.4m, which is spread over 38,802 lease contracts. Of the balance, 81.2% are passenger car leases and 18.8% light commercial vehicle leases. The pool is subject to lessee concentration, as the largest lessee accounts for 2% of the total pool balance and the top 20 lessees comprise about 14%.
In addition to the amortising lease component, the transaction also securitises residual values (RV). Hence, the performance of the class A notes is dependent on credit risk and RV risk of the underlying lease contracts. The current RV share is 57.6% as of the April 2014 reporting date, which is just slightly below the maximum RV of 58% that is allowed according to the replenishing criteria and that Fitch assumed when constructing the worst-case portfolio at closing. The transaction features diverse contingent reserves that will be funded in case SG is downgraded below 'A'/'F1' or upon an insolvency of ALD.
Fitch has maintained its base case assumptions set at the transaction closing date.
Due to the material RV amount in the pool, the transaction performance is primarily sensitive to the RVs and hence, to a potential deterioration of the German used car market. Fitch expects continued growth for the German economy, which will also be supportive for used car prices. German used car prices bottomed out in 2009/2010.
The pool is revolving hence, the initial rating sensitivities are the same as at transaction closing and are further described in the new issue report dated 23 May 2013 at www.fitchratings.com.