OREANDA-NEWS. Fitch Ratings has affirmed Red & Black Auto Germany 2, as follows:

EUR370.5m class A notes: 'AAAsf'; Outlook Stable

This transaction is a true sale securitisation of German auto loans originated by Bank Deutsches Kraftfahrzeuggewerbe GmbH (BDK). BDK is a 51% subsidiary of ALD Lease Finanz, which is part of the Societe Generale Group (A/Stable/F1). The class A notes are denominated in EUR and pay a floating rate.

KEY RATING DRIVERS

Performance has been stable and in line with expectations, leading Fitch to reduce the lifetime base case only slightly to 2%. Thirty-to-90 day and 90+ delinquencies are currently at 2% and 0.01% respectively of the collateral balance, . Cumulative defaults and losses to date are respectively 0.74% and 0.33% of the closing balance.

The transaction started amortising directly at closing in October 2013 with sequential allocation towards the notes. This has led to an increase in the available credit enhancement of the senior notes; currently credit enhancement stands at 20.86%, which is 11pps higher than at closing.

Fitch last affirmed Germany's rating at AAA/Stable/F1+ mid-July and we expect GDP to grow above potential in 2015 and 1.7% yoy in 2016. Further, unemployment rates are expected to decrease further gradually from the current historical lows to 4.4% in 2017.

There is no back-up servicer (BUS) in place at present but the documents foresee the appointment of a BUS should the credit quality of Societe Generale, the ultimate parent of the servicer, deteriorate lower than the rating trigger of 'BBB-'.

In line with performance Fitch has maintained the recovery base case of 59.5%, resulting in a loss base case of 0.81%.

RATING SENSITIVITIES

Fitch has determined a remaining lifetime default base case of 3.01%, while changing the lifetime default base case to 2%.

Expected impact upon the note rating of increased defaults:
Current Rating: 'AAAsf'
Increase base case defaults by 25%: 'AAAsf'

Expected impact upon the note rating of reduced recoveries:
Current Rating: 'AAAsf'
Reduce base case recovery by 25%: 'AAAsf'

Expected impact upon the note rating of increased defaults and decreased recoveries:
Current Ratings: 'AAAsf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AAAsf'

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.

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 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.

SOURCES OF INFORMATION

The information below was used in the analysis.
- Monthly investor report provided by Deutsche Bank as at 7 July 2015
- Loan level data provided by the European Data Warehouse as at 8 July 2015