OREANDA-NEWS. Fitch Ratings has upgraded E-Carat S.A., Compartment 5's (E-Carat 5) and E-Carat S.A., Compartment 6's (E-Carat 6) class B notes to 'AAAsf' and affirmed the class A notes as follows:

E-Carat 5:
EUR47.1m class A notes, due November 2020: affirmed at 'AAAsf' Outlook Stable
EUR30.6m class B notes, due November 2020: upgraded to 'AAAsf' from 'AA+sf'; Outlook Stable

E-Carat 6:
EUR184.6m class A notes, due September 2021: affirmed at 'AAAsf' Outlook Stable
EUR17.5m class B notes, due September 2021: upgraded to 'AAAsf' from 'AA-sf'; Outlook Stable

The transactions are securitisations of auto loan receivables originated by Opel Bank GmbH within Germany.

KEY RATING DRIVERS
The upgrade of E-Carat 5 and E-Carat 6 class B notes in both transactions reflects an increase in credit enhancement as a result of the portfolio's amortisation and its positive performance since issue in March 2013 and February 2014, respectively.

As of November 2015 the portfolio for E-Carat 5 has amortised to EUR105.8m, from the original amount of EUR558.7m and for E-Carat 6 to EUR224.2m from EUR439.6m. The composition in both transaction portfolios has remained largely unchanged over the past 12 months, except for an increase of balloon loans to 90.7% from 83.1% for E-Carat 5 and to 88.2% from 81.9% for E-Carat 6. This is due to the back-loaded nature of balloon loans. Fitch has taken the balloon risk into consideration for both transactions by applying a higher default stress multiple of 7.6x, in line with the latest E-Carat S.A. Compartment 8 transaction, as per Fitch's EMEA Consumer ABS Rating Criteria.

The principal proceeds from the pool amortisation have been applied sequentially to redeem the senior class A notes, which has led to an increase in credit enhancement since the last rating action in January 2015. Credit enhancement for E-Carat 5 has risen to 57.2% from 20.9% for the class A notes and to 28.3% from 11% for the class B notes. In E-Carat 6, credit enhancement is up at 19.5% from 14.2% for the class A notes to and 11.7% from 8.8% for the class B notes to.

Reported defaults and losses have been lower than Fitch's expectations. Therefore, we have revised our default rate expectation for the transaction's remaining portfolio to 1.7% from 2% for E-Carat 6 while maintaining it at 1.7% for E-Carat 5.This has led us to lower the transactions lifetime default base case to 0.8% for both transactions from 2% in E-Carat 5 and from 1.3% in E-Carat 6. Reported recoveries have been higher than Fitch's expectations. Therefore we have revised our recovery assumption for both deals to 65% from 50%. This is in line with the latest E-Carat S.A., Compartment 8 deal.

RATING SENSITIVITIES

The ratings for both transactions are sensitive to a sharp increase in the unemployment rate causing significantly higher default rates. However, this would be cushioned by the credit enhancement that has built up through deleveraging.

The ratings are also 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 for E-Carat 5:
Class A:
Current Rating: 'AAAsf'
Increase base case defaults by 25%: 'AAAsf'; reduce base case recoveries by 25%: 'AAAsf'

Class B:
Current Rating: 'AA+sf'
Increase base case defaults by 25%: 'AAAsf'; reduce base case recoveries by 25%: 'AAAsf'

Expected impact upon the note rating of increased defaults and reduced recoveries for E-Carat 6:
Class A:
Current Rating: 'AAAsf'
Increase base case defaults by 25%: 'AAAsf'; reduce base case recoveries by 25%: 'AAAsf'

Class B:
Current Rating: 'AA-sf'
Increase base case defaults by 25%: 'AAAsf'; reduce base case recoveries 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 transactions' 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 transactions' closing, Fitch conducted a review of a small targeted sample of Opel'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.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Investor reports and information provided by Opel Bank GmbH as at 12 November 2015
-Edwin - European Data Warehouse

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 5 - Appendix, dated 18 March 2013 at www.fitchratings.com and E-Carat S.A., Compartment 6 - Appendix, dated 18 February 2014 at www.fitchratings.com.) In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.