OREANDA-NEWS. Fitch Ratings has affirmed Cart 1 Limited's class E notes at 'CCsf' and assigned a Recovery Estimate (RE) of 60%.

The transaction is a partially funded synthetic CDO referencing a portfolio of loans, revolving credit facilities and other payment claims to SMEs and larger companies based predominantly in Germany. The debt instruments were originated by Deutsche Bank AG (A/Negative/F1).

KEY RATING DRIVERS
Scheduled maturity was reached on 15 June 2015, on which date the class A+ through D notes were paid in full. Only the 'CCsf' rated class E notes and the not rated class F notes remain outstanding. The portfolio currently consists solely of non-performing loans.

The cumulative recovery rate since closing is 49.8%. Even if all the remaining defaulted loans are liquidated before the legal maturity in June 2018 (which is unlikely, given the typically long workout process) and the same recovery rate is obtained, this would still be insufficient to completely repay the outstanding class E notes. There is no synthetic excess spread or other potential sources of collections. Therefore, default on the class E notes is probable, which is commensurate with their 'CCsf' rating.

RATING SENSITIVITIES
Fitch assigns REs to all notes rated 'CCCsf' or below. REs are forward-looking, taking into account Fitch's expectations for principal repayments on a distressed structured finance security. The RE of 60% was derived based on Fitch's projection of future recovery prospects and the fact that the majority of the loans are unsecured.

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.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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.
- Loan-by-loan data provided by Deutsche Bank as of 15 September 2015
- Transaction reporting provided by Deutsche Bank as of 15 September 2015