OREANDA-NEWS. Fitch Ratings has affirmed RevoCar 2014 UG (haftungsbeschraenkt)'s EUR191.7m class A notes (ISIN XS1073062934) at 'Asf' with a Stable Outlook.

The transaction was the first securitisation of auto loans originated by Bank11 fuer Privatkunden und Handel GmbH. RevoCar 2014 UG (haftungsbeschraenkt) is a special purpose company incorporated with limited liability under German law.

KEY RATING DRIVERS
Fitch considers a maximum rating of 'Asf' appropriate for the transaction, unchanged from our view in the initial analysis. The limitation is due to limited data history since Bank11 was only established in 2011. Hence, the originator's historical book data does not yet cover a full product cycle. We also deem the available transaction performance data to be of insufficient quantity to alter our view on the maximum rating, despite the fact that available credit enhancement (CE) would justify a higher rating.

The affirmation reflects the transaction's stable performance, which is within Fitch's expectations. According to our calculations, based on the investor report as of 28 February 2015, the cumulative default rate since closing in May 2014 is 0.16%, while the loss rate to date is 0.12%. Accounts delinquent for more than 30 days make up 0.65% of the current portfolio balance. Fitch's outlook for the German economy is stable. Therefore, we do not expect any significant performance deterioration in the transaction, which is reflected in the Stable Outlook on the class A notes.

The transaction started amortising sequentially at closing, which has resulted in an increase in CE for the class A notes to the current 24.3% from 17.4% at closing. This available CE is almost completely made up of overcollateralisation from subordination of the class B notes (24.2%), while the remainder stems from an amortising reserve fund. In addition, the class A notes benefit from substantial excess spread that has been sufficient to cover realised defaults to date.

The current pool composition is comparable to that at closing. Loan contracts backed by new cars represent about 58.9% of the portfolio, while the remaining loans are backed by used vehicles. Due to slower amortisation of contracts that include a balloon payment at maturity, the share of these balloon contracts has increased slightly to 38.7%, while the remainder of the current portfolio is made up of fully-amortising loans.

Since transaction closing, Fitch has encountered some data issues in the monthly investor reports. However, the agency's surveillance analysis was not negatively affected by these inconsistencies as we noted improvements in the servicer's reporting.

The transaction's structure includes a commingling reserve, an amortising liquidity reserve, and a contracted back-up servicer. We consider these structural features provide adequate protection against counterparty risks.

RATING SENSITIVITIES
Fitch has maintained its lifetime default base case at 4.5%, and the recovery rate base case is unchanged at 40.0%. The unchanged expectations regarding defaults and recoveries lead to an unchanged lifetime loss base case expectation of 2.7%.

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

The notes' rating is not sensitive to an isolated increase (reduction) of 25% in defaults (recoveries).