(Repeat for additional subscribers)
Feb 20 (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
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.
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.