OREANDA-NEWS. Fitch Ratings has affirmed Retail Consumer CP Germany 2011-1 UG's class A notes (XS0643705295): at 'AAAsf' with a Stable Outlook.

The transaction is a securitisation of an unsecured consumer loan portfolio originated by CreditPlus Bank AG in Germany. The bank is a direct subsidiary of CA Consumer Finance, thus part of the Credit Agricole group (A/Stable/F1).

KEY RATING DRIVERS
The affirmation reflects better-than-expected performance over the last 12 months. The transaction has been amortising since June 2013. Due to rapid amortisation of the portfolio and the strictly sequential waterfall, credit enhancement (CE) for the class A notes has built up rapidly to 76%. CE is provided by over-collateralisation via subordination of the class B as well as by cash reserves, the amortisation amounts of which will be released to the principal waterfall. In addition, the transaction benefits from substantial excess spread, which has so far always exceeded losses.

Cumulative losses, calculated including additional purchased receivables during the revolving period, are 2.7% (according to the investor report as of February 2015), while total delinquencies to date are 1.5%.

To reflect the performance and amortisation to date, Fitch has revised the transaction lifetime base case default rate to 4.7% from 5% a year ago. Base case recovery expectations are unchanged at 38%. The revised default base case takes into account the better-than-expected performance as well as high prepayment rates.

The portfolio includes consumer loans typically without known financing purpose (personal loans, 95% of the portfolio) and loans granted to finance the purchase of different retail products (sales finance, 5%). Fitch notes that the portion of high-risk personal loans has increased slightly from 92% a year ago, and above the agency's assumption when it first assigned the rating to the transaction (92.5%). However, this is not a material risk given the substantial amount of credit protection available to the class A notes.

RATING SENSITIVITIES
The transaction has built up substantial credit enhancement, which will protect the notes against larger losses. For example, an increase in the default base case by 25% and a simultaneous decrease in the base case recoveries by 25% would not have any rating impact.

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. 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 originator'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 information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.