OREANDA-NEWS. Fitch Ratings has affirmed Red & Black Auto Germany 2, as follows:

EUR149.6m class A notes: affirmed at 'AAAsf'; Outlook Stable

This transaction is a securitisation of German auto loans originated by Bank Deutsches Kraftfahrzeuggewerbe GmbH (BDK). BDK is a 51% subsidiary of ALD Lease Finanz, which is part of the Societe Generale Group (A/Stable/F1). The class A notes are euro-denominated and pay a floating rate.

KEY RATING DRIVERS

Increased Credit Enhancement (CE) From Amortisation

CE for the class A notes is provided through overcollateralisation and a cash reserve. Due to the sequential redemption of the notes, CE for the class A notes has significantly increased to 40.5% from 9.5% at closing in October 2013, providing additional support to the senior notes against losses.

Performance Slightly Above Expectations

Since closing the performance of the asset pool has been stable and slightly above expectations. Cumulative defaults and losses to date are 1.0% and 0.3% of the closing balance, respectively. Fitch has kept the lifetime default base case at 2.0%. Due to a strong recovery performance Fitch has increased its recovery assumptions from 59.5% to 70%, resulting in a loss base case of 0.6%.

Stable Asset and Country-Specific Economic Outlook

The rating is further supported by Germany's stable economy and record low unemployment. Additionally, the ABS rating outlook for the country is Stable to Positive.

Protection Against Counterparty Failure

The transaction documents contain remedial actions regarding the account bank, servicer and swap counterparty, which are in line with our counterparty criteria. There is no back-up servicer in place but the documents foresee the appointment of one should the credit quality of Societe Generale, the ultimate parent of the servicer, deteriorate.

RATING SENSITIVITIES

Expected impact upon the note rating of increased defaults and decreased recoveries:

Current Ratings: 'AAAsf'

Increase default base case by 25%; reduce recovery base case by 25%: 'AAAsf'.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the 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 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:

- Monthly investor report provided by Deutsche Bank up to the June 2016 collection period.

- Loan level data provided by the European Data Warehouse as at 31 May 2016