OREANDA-NEWS. Fitch Ratings has affirmed Silver Arrow S.A. Compartment 5's EUR597m class A notes at 'AAAsf'. The Outlook is Stable.

The transaction is a true sale securitisation of German auto loans granted to small commercial and private customers originated by Mercedes-Benz Bank AG (MBB), a wholly owned subsidiary of Daimler AG. This is the fifth securitisation of German loan receivables under the Silver Arrow brand.

KEY RATING DRIVERS
The affirmation reflects the transaction's sound performance to date. As of end-August 2015, the outstanding class A notes accounted for 59.8% of their initial balance. Credit enhancement, provided by overcollateralisation and a reserve fund, has increased to 12.8% from 8.0% at closing in October 2014.

Cumulative defaults and 30-days plus delinquency ratios have been low since closing and the reserve fund is fully funded at the required amount.

Fitch expects the performance of German consumer ABS transactions to remain stable based on a steady economic outlook. Fitch forecasts GDP growth of 1.7% for 2015, and 1.9% in 2016, according to its September Global Economic Outlook Report. The agency projects annual German unemployment rates at 4.7% in 2015 and 4.6% in 2016.

Based on the amortisation to date and the positive performance, Fitch has revised its lifetime default base case assumption of the transaction down to 1.8% from 2.25% at closing. Other assumptions remain unchanged.

RATING SENSITIVITIES
Expected impact upon the note rating of increased defaults and reduced recoveries (class A):
Current Rating 'AAAsf'
Increase default base case by 25%; reduce recovery base case 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 transaction 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.

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.
- Monthly investor reports provided by Mercedes-Benz Bank, up to 31 August 2015 (September reporting date)

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 Silver Arrow S.A. Compartment 5 - Appendix, dated 22 October 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.