OREANDA-NEWS. Fitch Ratings has affirmed Zugspitze 2008-1 GmbH's and Rhoen 2008-1 GmbH's class A notes at 'AAAsf' with Stable Outlooks.

The transactions are securitisations of loans granted to private and business clients originated via Deutsche Bank Privat- und Geschaeftskunden AG's real estate-related retail lending business. Due to the transactions' structures, the notes do not benefit from recovery proceeds.

KEY RATING DRIVERS

Stable Performance
The ratings reflect the transactions' robust performance. Loans with three or more missed instalments for Zugspitze 2008-1 stood at 0.31% (as of end-November 2014) and at 0.41% for Rhoen 2008-1 (as of end-December 2014)

The balance of defaulted loans in the two transactions has been recognised as losses and is allocated to the respective unrated class B notes. Losses incurred by Zugspitze 2008-1 and Rhoen 2008-1 accounted for 2% (as of end-November 2014) and 2.3% (as of end-December 2014), respectively

Credit Enhancement Increasing
The deleveraging of the two portfolios has led to a build-up in the credit support available to the rated tranches with credit enhancement for the class A notes, reaching 72.6% (Zugspitze) and 76.9% (Rhoen), more than tripled since issuance in 2008.

RATING SENSITIVITIES

The transactions have sufficient protection to withstand a strong rise in arrears and defaults, as a result of the build-up in credit enhancement over time. In addition, Fitch expects that the stable economic environment in Germany will continue, translating into continued stable performance of the underlying assets. As a result, any future rating changes would most likely be driven by factors other than asset portfolio risk, e.g. counterparty risk.