OREANDA-NEWS. Fitch Ratings has assigned ROOF Leasing Austria S. A., Compartment 2016 notes and schuldschein the following ratings:

EUR150m Class A Notes, credit enhancement (CE) of 9.5%: 'Asf'; Stable Outlook

EUR250m Schuldschein Loan, CE of 9.5% and ranking pari passu with the class A notes: 'Asf'; Stable Outlook

EUR37.8m Class B Notes: not rated

EUR3.6m Subordinated Loan: not rated

The transaction is a securitisation of auto lease receivables to Austrian private and commercial customers, originated by three entities of the Austrian Raiffeisen-Leasing Group (RLG). A four-year revolving pool of EUR437.9m was financed through proceeds from the notes issued by ROOF Leasing Austria S. A., Compartment 2016, a schuldschein and a subordinated loan. Further proceeds from the subordinated loan were applied towards funding a reserve fund. The notes and receivables pay floating interest rates in euro.

KEY RATING DRIVERS

Experienced Originator; Debut Issuance

This is RLG's first public securitisation. The originator has been in business for about 45 years and will service the portfolio from closing. Fitch conducted an operational review at the originator's premises and deems RLG a capable servicer. A back-up servicer was contracted at closing; the entity is also part of the Raiffeisen Banking Group. In Fitch's view, the cash reserve and structural features provide adequate means to bridge any time required for a replacement servicer to assume the servicing tasks.

Mixed Private/Corporate Exposure

The initial transaction portfolio comprises about 30% of leases granted to private customers, while the remainder of the pool is represented by commercial customer leases, by majority to small - and medium-sized companies and some larger corporates. Fitch has analysed the transaction under the application of its consumer ABS criteria since the portfolio concentrations are limited, despite the commercial exposures that are present. In Fitch's view, the risk of migration to substantially higher concentrations is limited.

Residual Value (RV) Adds Risk

Securitised lease payments include the RV at contract maturity. Unlike other Fitch-rated auto lease transactions, the materialisation of RV losses is conditional upon a lessee default. During the revolving period, a replenishment criterion limits increases in RV exposure. Fitch has taken into account the structural features to derive a stressed RV exposure of 60% of the migrated portfolio, compared to 38% initially.

CE Covers Commingling Risk

The transaction includes structural features to reduce commingling risk in case of servicer insolvency, including pledged collection accounts and an advance mechanism for collections. RV and prepayment collections are not subject to advances. Fitch assumed additional losses to the transaction from the commingling of funds, amounting to 2% of the initial asset balance.

Fitch's determination of commingling losses involved a variation from its counterparty criteria. Fitch considers commingling risk for scheduled payments collected on the first business day of a month and transferred to the SPV on the third business day as immaterial despite clustered collections on this day. We considered further structural features reducing commingling risk, including the fact that the collection accounts are pledged to the issuer and the presence of different collection account banks. The class A notes' and schuldschein's rating without application of the criteria variation would have been two notches lower.

RATING SENSITIVITIES

Expected impact upon the note rating of increased defaults (class A/schuldschein):

Current rating: 'Asf'

Increase base case defaults by 10%: 'A-sf'

Increase base case defaults by 25%: 'BBB+sf'

Increase base case defaults by 50%: 'BBBsf'

Expected impact upon the note rating of decreased recoveries (class A/schuldschein):

Current rating: 'Asf'

Reduce base case recovery by 10%: 'A-sf'

Reduce base case recovery by 25%: 'BBB+sf'

Reduce base case recovery by 50%: 'BBBf'

Expected impact upon the note rating of increased defaults and market value stress and decreased recoveries (class A/schuldschein):

Current rating: 'Asf'

Increase default base case and market value stress by 10%; reduce recovery base case by 10%: 'BBB+sf'

Increase default base case and market value stress by 25%; reduce recovery base case by 25%: 'BBBsf'

Increase default base case and market value stress by 50%; reduce recovery base case by 50%: 'BBsf'

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

DATA ADEQUACY

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis.

Fitch conducted a review of a small targeted sample of Raiffeisen Leasing'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 preliminary transaction portfolio, and detailed pool stratifications for the initial transaction portfolio.

- Origination volumes since the beginning of 2005 for the sub-portfolios Private/Commercial/Other lessees and for new and used vehicles, and detailed origination characteristics, including the development of down-payment ratios, lease contract types, internal lessee ratings and contractual RV bands.

- Dynamic, monthly delinquency data from January 2005 until June 2016 for the overall vehicle leasing portfolio.

- Static, monthly default vintages from January 2005 until June 2016 for all sub-portfolio combinations of Private/Commercial/Other lessees and new and used vehicles.

- Static, monthly recovery vintages from January 2006 until May 2016 for all sub-portfolio combinations of Private/Commercial/Other lessees and new and used vehicles.

- Dynamic, monthly prepayment data from January 2005 until December 2015 for the overall vehicle leasing portfolio.

REPRESENTATIONS AND WARRANTIES

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.