OREANDA-NEWS. Fitch Ratings has assigned Swiss Auto Lease 2016-1 GmbH's asset-backed class A and B notes the following final ratings:

Class A notes: 'AAAsf'; Outlook Stable

Class B notes: 'A+sf'; Outlook Stable

Sub-certificate: not rated

This is the fourth transaction backed by a pool of Swiss auto lease receivables originated by Cembra Money Bank AG, advanced to consumer and commercial borrowers for the use of new and used vehicles. The transaction has a 3.75-year revolving period.

The class A and B notes are denominated in Swiss francs and pay fixed interest annually during the revolving period. The notes' coupons will double when the transaction enters amortisation. As the receivables also pay fixed interest in francs, there are no interest rate or currency mismatches.

KEY RATING DRIVERS

Residual Value Drives Risk

The securitisation comprises the residual value (RV) component of the leases, which could constitute up to 40% of the outstanding balance during the revolving period. This is a significant loss driver. Dealers are obliged to pay the contractual RV to the issuer. However, a dealer default could expose the issuer to RV losses. Fitch assumed 'AAA' RV losses of 10.1%.

Worst-case Portfolio Modelling

The transaction has a 3.75-year revolving period, which is slightly shorter than the previous transaction. Fitch factored in a higher-risk, worst-case portfolio composition, based on the transaction's replenishment criteria, instead of the actual composition. Fitch views the performance triggers as appropriate for halting the revolving period in case of higher-than-expected defaults and delinquencies.

Moderate Lessee Credit Risk

Fitch assumed weighted average default and recovery base cases of 1.7% and 61.3%, respectively, on lease instalments, based on the worst-case portfolio composition of different product types. The low default expectation reflects the historically low defaults experienced by each sub-pool, limited migration potential to higher-risk assets during the revolving period and Fitch's expectation of a benign economic environment in Switzerland. The 'AAA' loss assumption is 7.3%.

RATING SENSITIVITIES

Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate or a decrease in the base case recovery rate for the portfolio, combined with an increase in market value stresses for used vehicles returned at lease contract maturity. The model-implied sensitivities indicate that a 50% increase in the base case default rate and market value stresses, together with a 50% decrease in the base case recovery rate, may result in a downgrade of the class A notes to 'AA-sf' and the class B notes to 'BBB+sf'.

TRANSACTION CHARACTERISTICS

During the replenishment phase, the issuer will use collections from the receivables portfolio to purchase additional assets from Cembra Money Bank, subject to certain replenishment criteria being met.

DUE DILIGENCE USAGE

Fitch received a third party assessment conducted on the asset portfolio information prior to the transaction announcement.

DATA ADEQUACY

At the last operational review, Fitch conducted a review of a small targeted sample of Cembra Money Bank's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis:

- Line-by-line information on the transaction portfolio, including pool stratifications.

- Origination volumes since the beginning of 2007 for all sub-portfolio combinations of private/commercial lessees and new/used vehicles, and detailed origination characteristics such as the development of loan-to-value ratios and contractual RV bands.

- Dynamic, quarterly delinquency data from January 2007 for all sub-portfolio combinations of private/commercial lessees and new/used vehicles.

- Static, quarterly default and recovery vintages since the beginning of 2007 for all sub-portfolio combinations of private/commercial lessees and new/used vehicles.

- Dynamic, quarterly prepayment data from January 2007 for all sub-portfolio combinations of private/commercial lessees and new/used vehicles.

Fitch has also used performance data from Swiss peer transactions rated by the agency and from peer originators to supplement the data provided by the originator.