(The following statement was released by the rating agency)
Feb 15 - Fitch Ratings has assigned E-Carat, Compartment No. 5's upcoming issue expected
ratings as follows:
EURTBD class A notes, due November 2020: 'AAAsf(EXP)'; Outlook Stable,
EURTBD class B notes, due November 2020: 'AAsf(EXP)'; Outlook Stable,
EURTBD Subordinated Note, NR(EXP)
The expected ratings are based on Fitch's assessment of the originators'
underwriting and servicing procedures, the agency's expectations of future asset
performance, the available credit enhancement, and the transaction's legal
The final ratings will be contingent upon the receipt of final documents
conforming to the information already received to support the agency's
The issuance proceeds will be used to purchase a portfolio of loan receivables
originated by GMAC Bank GmbH (GMACB; 'BB-'/'B'/Rating Watch Negative) within
Germany. The transaction is static and will amortise from closing in sequential
The credit enhancement for class A and class B is 12.4% and 6.9% respectively.
It is provided by asset overcollateralization through the discounted asset
balance of the preliminary pool cut of EUR590m in excess of the class A and
class B notes, and the liquidity reserve of 2% of the outstanding class A and B
Both class A and class B notes bear a fixed interest rate. Due to the fixed rate
assets and the fixed rate notes, the structure does not face interest rate
mismatches and is not exposed to swap counterparty default risk, which Fitch
sees as a positive.
The liquidity reserve can be used to cover shortfalls for the payment of senior
items and interest on the A and B notes. The liquidity reserve also provides
credit support to the notes, since amounts released through its amortisation can
be used to cure potential principal losses during the life of the transaction.
The liquidity reserve is also available to amortise the notes once all the
assets are matured. In addition, the transaction benefits from excess spread in
excess of 4% p.a.
The preliminary portfolio consists of 52,753 loan contracts. The share of new
car loans is 89.2%, while used car loans make up 10.8% of the preliminary pool.
88.2% of the pool (by balance) is exposed to private clients, whereas 11.8% are
corporate clients. A significant portion of the total pool balance consists of
balloon loans (84.3%) that contain a balloon payment to be paid at contract
Fitch has identified and analysed four sub-pools with different performance
behaviour: balloon loans for financing new cars, balloon loans for financing
used cars, amortising loans for financing new cars and amortising loans for
financing used cars. The agency has derived one historical loss base case of
0.60% that is based on the total book loss data in consideration of the
portfolio composition. Fitch grossed up this historical loss rate by means of a
conservative recovery rate of 70% which resulted in a default base case of 2%.
Subsequently, the agency applied a base case recovery rate of 50% which resulted
in an expected loss base case of 1% for the life of the transaction.
Fitch has also considered the additional risks arising from the balloon loans.
Considering the share of the balloon portion of 43% of the preliminary pool, the
agency derived expected balloon loss amounts of 1.9% in an 'AAAsf" and 1.3% in
an 'AAsf' scenario.
Fitch notes that the transaction benefits from an appointed back-up servicer
(Sitel) which commits to act as the replacement servicer upon termination of the
servicing agreement. In practice Sitel is currently in charge of the servicing
of GMACB's loan portfolio for up to 120 days in arrears and in Fitch's opinion
the appointment of Sitel as a servicer would not have any major impact on loan
E-Carat S.A. is a Luxembourg-based securitisation vehicle. Compartment No. 5 is
the fifth compartment of the issuer. This is the second E-Carat S.A.
securitisation to be rated by Fitch in Germany.
A presale report, including further information on transaction related stress
and sensitivity analysis, and material sources of information that were used to
prepare the credit rating is available at www.fitchratings.com.
Link to Fitch Ratings' Report: E-CARAT S.A., Compartment 5