The FINANCIAL -- London-04 August 2011: Fitch ratings has upgraded Zugspitze 2008-1's
class A notes and Rhoen 2008-1's class A notes to 'AAAsf' from 'AAsf'.
The agency has also affirmed Spessart 2009-1's class A notes at 'AAsf'. The Outlook for the three transactions is stable.
The transactions are securitisations of loans granted to private and business clients originated via DB PGK AG's real estate-related retail lending business. Due to the transactions' structures, the notes do not benefit from recovery proceeds.
For the initial rating analysis, Fitch derived a cumulative loan termination curve for each transaction, reflecting the loss expectation in a base case. Zugspitze 2008-1, Rhoen 2008-1 and Spessart 2009-1 are performing in line with initial expectations when comparing these expected loss curves with observed losses.
For Zugspitze 2008-1 and Rhoen 2008-1, the credit enhancement for the class A notes has increased since closing due to the amortisation of the class A notes. The upgrade of Zugspitze 2008-1 and Rhoen 2008-1 reflects the improved credit protection and losses in line with the agency's base case assumption. At the same time, concerns about the economic environment in Germany have diminished.
Spessart 2009-1 has a replenishment period until February 2012. The transaction provides for a rolling three-month average arrears trigger that can suspend the replenishment period and a cumulative loss trigger that can terminate the replenishment period. Given the current trigger levels it is expected that the replenishment period does not end early. Credit enhancement for Spessart 2009-1's class A notes has slightly decreased since closing due to loss allocation to the class B notes, while the class A notes have not yet begun amortising. The rating Outlook is Stable.
In its analysis, the agency has used data regularly provided in the form of reports which supplement the publicly available investor reports and provide detailed information on the performance of the transactions.
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