OREANDA-NEWS. Fitch Ratings has affirmed E-Carat S.A., Compartment 7's class A and B notes and revised the Outlook on the class B notes to Positive, as follows:

EUR235.5m class A notes (ISIN: XS1081212208), due March 2022: affirmed at 'AAAsf'; Outlook Stable
EUR12.4m class B notes (ISIN: XS1081213511), due March 2022: affirmed at 'AAsf' Outlook revised to Positive from Stable

The transaction is a German auto loan structure of Opel Bank GmbH (formerly GMAC Bank GmbH; BBB-/Stable/F3). The transaction has been amortising from the issue date in August 2014. The notes amortise sequentially.

KEY RATING DRIVERS
The revision of the Outlook on the class B notes to Positive reflects the increase in credit enhancement as a result of the quick portfolio amortisation and the portfolio's solid performance since issuance. However, the limited seasoning of the transaction prevents an upgrade of the class B notes.

The stable labour market in Germany with a moderate unemployment rate supports a limited increase in defaults (cumulative defaults to date stand at 0.08%). Furthermore, the transaction has been reporting low delinquencies and 100%+ recoveries due to the group's sales managers achieving sales above the defaulted amount, and all the cash, including that above the defaulted amount, being passed to the SPV. The reported defaults and losses are lower than Fitch's expectations. However, given the short performance history, we have maintained the original default assumption of 1.7%.

The portfolio had amortised down to EUR265.7m as of the July 2015 portfolio data from the original amount of EUR355.2m in August 2014. The portfolio's composition has remained largely unchanged, with the exception of a slight increase in balloon loans to 83.09% from 79.9%. This is due to proportionally smaller amortisation before maturity of this loan type compared with amortising loans. We have taken the balloon risk into consideration in our analysis by applying a high default multiple of 7.8x.

The proceeds from pool amortisation have been applied to redeem the senior class A notes, which has led to an increase in credit enhancement for the class A notes to 13.3% from 10.4% and to 8.6% from 6.9% for the class B notes since issue. Fitch views the strictly sequential amortisation of the notes as a strength as it further increases credit enhancement.

RATING SENSITIVITIES
The ratings would be sensitive to a sharp increase in the unemployment rate causing significantly higher default rates. However, the transaction has built up credit enhancement through deleveraging, which would reduce downward pressure on the rated notes resulting from an unlikely increase in unemployment rate and defaults.

The ratings would also be sensitive to significantly lower than expected recoveries from defaulted loans, e.g. in case of a severe downturn of the German used car market.

Expected impact upon the note rating of increased defaults and reduced recoveries:
Class A:
Current Rating 'AAAsf'
Increase base case defaults by 25%: 'AAAsf'; reduce base case recoveries by 25%: 'AAAsf'

Class B:
Current Rating: 'AAsf'
Increase base case defaults by 25%: 'AAsf'; reduce base case recoveries by 25%: 'AAsf'

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue report dated 18 August 2014 at www.fitchratings.com.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
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.

SOURCES OF INFORMATION
Monthly investor reports provided by GMAC UK Plc - monthly investor report July-2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see E-Carat S.A., Compartment 7 - Appendix, dated 18 August 2014 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website."