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TEXT-Fitch rates Red & Black Auto Germany 1 UG
March 1, 2012 / 5:31 PM / 6 years ago

TEXT-Fitch rates Red & Black Auto Germany 1 UG

(The following statement was released by the rating agency)

Link to Fitch Ratings' Report: Red & Black Auto Germany 1 UG (haftungsbeschrÃ_rnkt) here March 1 - Fitch Ratings has assigned Red & Black Auto Germany 1 UG's (haftungsbeschraenkt) class A notes 'AAAsf' ratings with a Stable Outlook. The rating reflects the pool's expected asset performance, the transaction's legal structure and the class A notes' available credit enhancement. In Fitch's view, potential set-off risks related to insurance contracts and handling fees have been adequately covered by credit enhancement. The issuance proceeds will be used to purchase a portfolio of auto loan receivables originated by Bank Deutsches Kraftfahrzeuggewerbe (BDK) and secured by the financed vehicles. The transaction is static and will start amortising from the beginning. The portfolio consists of 96,687 loans, with an outstanding aggregate principal balance of EUR749.9m. Around 87% of the loans in the pool are granted to private clients while the remaining 13% are granted to commercial clients. To determine the base case default assumption Fitch focused on the most recent default data. This is because underwriting standards and systems changed in early 2009 and therefore older vintages could not directly be compared. In Fitch's view, the changes did not lead to a deterioration in observed defaults. The derived base case default and recovery assumptions are in line with the assumptions for other Germany auto loan transactions. The credit enhancement for the class A notes is 12.3% and is provided by overcollateralisation via the subordination of the class B notes (11.0%) and by a reserve fund sized at EUR10m (1.3%). The reserve fund will also provide liquidity support and will not amortise during the transaction's lifetime. The transaction also benefits from excess spread to cover defaults. BDK is a first-time issuer and is a subsidiary of ALD Lease Finanz, which is part of the Societe Generale Group. Fitch performed an originator review as part of its analytical process and deems the underwriting and servicing processes to be in line with market standard. A new issue report, including further details related to the analysis for Red & Black Auto Germany 1 UG, is available at (Caryn Trokie, New York Ratings Unit)

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