(Repeat for additional subscribers)
Feb 20 (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
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
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
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.