OREANDA-NEWS. Fitch Ratings has affirmed Eurohome Mortgage 2007-1 plc's class A to X notes as follows:

Class A (ISIN XS0309227279): affirmed at 'CCCsf'; Recovery Estimate 90%

Class B (ISIN XS0309230497): affirmed at 'CCsf'; Recovery Estimate 0%

Class C (ISIN XS0309232196): affirmed at 'Csf'; Recovery Estimate 0%

Class D (ISIN XS0309232600): affirmed at 'Csf'; Recovery Estimate 0%

Class E (ISIN XS0309233244): affirmed at 'Csf'; Recovery Estimate 0%

Class X (ISIN XS0309234309): affirmed at 'Csf'; Recovery Estimate 0%

The transaction is a securitisation of Italian and German residential mortgages. The debt instruments were originated by Deutsche Bank AG via its German platform (32.5% of the current pool) and its Italian platform DB Mutui S. p.A. (67.5% of the current pool).

KEY RATING DRIVERS

Weak Asset Performance

The performance of the underlying assets in the two portfolios remains weak. Loans in arrears by more than three months in the Italian portion of the portfolio reached 39.1% (of the Italian collateral) in May 2016, while the portion of borrowers with three or more missed instalments in the German pool have been broadly stable at 19.2% since the beginning of 2011.

Limited Recoveries

Fitch notes that the recoveries collected by servicers to date are fairly low compared with the amount of defaulted loans. The timing and amount of future recoveries remain uncertain, especially for the Italian portion of the portfolio as the recovery process in Italy is lengthy and cumbersome.

Increasing Principal Deficiency Ledger (PDL)

The weak performance of the underlying assets and the insufficient excess spread has meant that the reserve fund, which was fully utilised in February 2009, remains depleted. In recent quarters the PDL has stopped accumulating, but remains at an elevated level filling up almost the entire class B PDL sub ledger.

Analytical Assumptions

For the modelling of the underlying assets, Fitch made assumptions to account for the weak performance of the assets to date via a lender adjustment (2.2 for Germany, 3.8 for Italy) and to account for the lower realised than model calculated recovery rates via a recovery rate cap for the Italian loans. We have assumed parts of the outstanding portfolio balance, whose default date is longer ago than the average base case recovery time for the respective jurisdiction are fully lost.

Model Implied Ratings

Fitch has not fully followed the Surveillance Model implied ratings due to the recovery rates. So far there is insufficient evidence that the ResiEMEA model calculated recovery rates can be achieved.

RATING SENSITIVITIES

Reducing PDL from material recoveries or excess spread may lead to positive rating action on the notes.

Increasing credit enhancement from class A redemption may lead to an upgrade, specifically for the class A notes.

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 pools 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 AG as at 31 March 2016

- Transaction reporting provided by Deutsche Bank AG as at 31 March 2016