OREANDA-NEWS. Fitch Ratings has assigned RevoCar 2015 UG (haftungsbeschraenkt)'s EUR290.9m class A notes a final rating as follows:

EUR290.9m fixed rate, asset-backed class A notes (ISIN XS1209511143), due January 2025: 'Asf'; Outlook Stable
EUR55.4m fixed rate, asset-backed class B notes (ISIN XS1209511812), due January 2025: not rated

The transaction is the second securitisation of auto loans originated by Bank11 fuer Privatkunden und Handel GmbH. RevoCar 2015 UG (haftungsbeschraenkt) is a special purpose company incorporated with limited liability under German law.

KEY RATING DRIVERS
The rating is based on Fitch's assessment of Bank11's origination and servicing procedures, our expectations of asset performance, the available credit enhancement and the transaction's legal structure.

The originator, established in 2011, is a new bank operating in the competitive and saturated German car financing market. The originator's business strategy and risk-management processes have not yet been tested in a stressed environment. However, the originator has undergone a review conducted by Fitch's Financial Institutions department.

Fitch derived a default rate base case of 4.5%, the highest in the German auto ABS sector. Fitch also considered the "Auto Schufa" score used by the originator to analyse potential borrowers to back-test its assumption. The agency derived a recovery rate base case of 40%, one of the lowest across German auto securitisations. Fitch also considered the historical performance of peer portfolios. The credit assumptions are unchanged from RevoCar 2014.

Similar to RevoCar 2014, the agency considers a maximum rating of 'Asf' for the class A notes appropriate due to limited historical performance data, which do not cover a full product cycle and derive from a benign economic environment.

A back-up servicer contracted at closing and a reserve providing liquidity address servicer continuity and payment interruption risks should the servicer default.

Fitch expects the performance of German auto loans to remain stable. The unemployment rate - seen as one of the main risk factors for German auto transactions - has reached historically low levels and is expected to remain stable over the next two years.

TRANSACTION CHARACTERISTICS
The issuance proceeds from the class A and B notes were used to purchase a portfolio of auto loan receivables originated by Bank11. The receivables are secured by the financed vehicles and are granted exclusively to German residents. The transaction is static and amortising from closing.

The portfolio consists of 32,617 loan contracts, with an outstanding aggregate principal balance of EUR346.2m and a weighted average remaining term of 53 months. The loans have been granted by Bank11 to buyers of new (63.3%) and used (36.7%) vehicles. The portfolio is highly granular in terms of debtor concentration, with the top 25 obligors accounting for 0.52% of the portfolio notional. Balloon loans make up 38% and amortising loans make up 62% of the pool. Balloon principal, due at a balloon contract's maturity, makes up 19% of the total pool.

The notes amortise sequentially. At closing, credit enhancement for the class A notes was equal to 16%, made up of overcollateralisation through subordination (16%). Additionally, the transaction benefits from excess spread that provides a first layer of default protection and from a EUR2m amortising reserve fund.

Of the overall reserve amount, EUR1.3m is specifically dedicated to addressing potential liquidity disruptions, while the remainder addresses handling fee exposure but could also be applied to cover liquidity shortages. Taking the overall amount into consideration, Fitch found the initial coverage of interest payments and issuer expenses through the reserve to be four months. There is no explicit floor for the amortising liquidity reserve fund. However, due to the sequential note amortisation, the fund will be about EUR103,000 over the period in which the rated class A is redeemed.

The transaction is exposed to set-off risk from securitised insurance premiums which amounted to 4.8% as of the date of the respective loans' origination. We did not assume such risk as a loss in our cash flow modelling, since the realisation of such loss is considered unlikely. Fitch tested the sensitivity to a loss from insurance set-off and found the notes' rating to be insensitive to a materialisation of the risk, even under the most conservative assumptions.

RATING SENSITIVITIES
Expected impact upon the note rating of increased defaults (class A):
Current Rating: 'Asf'
Increase base case defaults by 10%: 'Asf'
Increase base case defaults by 25%: 'Asf'
Increase base case defaults by 50%: 'A-sf'

Expected impact upon the note rating of reduced recoveries (class A):
Current Rating: 'Asf'
Reduce base case recovery by 10%: 'Asf'
Reduce base case recovery by 25%: 'Asf'
Reduce base case recovery by 50%: 'Asf'

Expected impact upon the note rating of increased defaults and reduced recoveries (class A):
Current Rating: 'Asf'
Increase default base case by 10%; reduce recovery base case by 10%: 'Asf'
Increase default base case by 25%; reduce recovery base case by 25%: 'Asf'
Increase default base case by 50%; reduce recovery base case by 50%: 'BBBsf'