OREANDA-NEWS. Fitch Ratings has assigned Swiss Auto Lease GmbH 2015-1 ratings as follows:

CHF200m fixed-rate, asset-backed Class A notes (ISIN code: CH0273755824), due March 2025: 'AAAsf'; Outlook Stable
CHF22.6m fixed-rate, asset-backed Class B notes (ISIN code: CH0273755840), due March 2025: 'A+sf'; Outlook Stable
CHF28m subordinated certificate, due March 2025: not rated

This is the third transaction backed by a pool of Swiss auto lease receivables originated by Cembra Money Bank AG (formerly GE Money Bank AG), advanced to consumer and commercial debtors for the use of new and used vehicles. The transaction has a four-year revolving period ending in March 2019.

The ratings are based on Fitch's assessment of Cembra's origination and servicing procedures, Fitch's expectations of asset performance, available credit enhancement (CE), and the transaction's legal structure.

KEY RATING DRIVERS

The performance of the notes depends on the credit risk of the lessees and residual value risk of the leased vehicles, which could increase to 40% of the outstanding balance during the revolving period, from 30.5% currently. 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 assumes 'AAA' RV losses of 8.7%.

The transaction has a four-year revolving period, one year longer than in the previous transaction. Fitch has analysed the obligor credit risk in the portfolio with three sub-pools - new commercial, new private and used private - and assumed migration of the pool to a worst-case sub-pool composition (based on the replenishment limits) during the revolving period. Fitch considers the performance triggers appropriate to stop the revolving period in case of higher-than-expected defaults and delinquencies.

Fitch assumed weighted average default and recovery base cases of 1.6% and 57.5%, respectively, on the lease instalments, based on the worst-case portfolio composition. The low default expectation results from the historical 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%.

Fitch has considered the Swiss National Bank's decision to end the euro/Swiss franc exchange rate floor in its analysis. The agency expects lower recovery collections as a result but foresees no substantial impact on lessees' defaults from the appreciation of the franc.

Credit enhancement for class A is 19.5% and for class B 10.3%. In addition, the notes benefit from excess spread, which is initially 3.5% annualised. The available CE for the notes is above the combined credit and RV loss of 16% in a 'AAA' scenario and 10% in a 'A+' scenario, which is sufficient to cover possible commingling losses.

RATING SENSITIVITIES

Expected impact upon the note rating of increased defaults:
Current ratings: 'AAAsf'/'A+sf'
Increase base case defaults by 10%: 'AAAsf'/'A+sf'
Increase base case defaults by 25%: 'AAAsf'/'Asf'
Increase base case defaults by 50%: 'AAAsf'/'Asf'

Expected impact upon the note rating of decreased recoveries:
Current ratings: 'AAAsf'/'A+sf'
Reduce base case recovery by 10%: 'AAAsf'/'A+sf'
Reduce base case recovery by 25%: 'AAAsf'/'A+sf'
Reduce base case recovery by 50%: 'AAAsf'/'Asf'

Expected impact upon the note rating of increased market value stress:
Current ratings: 'AAAsf'/'A+sf'
Increase market value stress by 10%: 'AAAsf'/'Asf'
Increase market value stress by 25%: 'AAAsf'/'A-sf'
Increase market value stress by 50%: 'AA+sf'/'BBBsf'

Expected impact upon the note rating of increased defaults and market value stress and decreased recoveries:
Current ratings: 'AAAsf'/'A+sf'
Increase default base case and market value stress by 10%; reduce recovery base case by 10%: 'AAAsf'/'Asf'
Increase default base case and market value stress by 25%; reduce recovery base case by 25%: 'AA+sf'/'BBB+sf'
Increase default base case and market value stress by 50%; reduce recovery base case by 50%: 'A+sf'/'BB+sf'