RevoCar 2024-1 note ratings affirmed as credit support offsets weaker loan performance
German auto loan securitization RevoCar 2024-1 keeps its existing note ratings after credit enhancement improved even as portfolio performance deteriorates over the past 12 months. The transaction, backed by receivables originated by Bank11 für Privatkunden und Handel GmbH, is Fitch's 14th public securitization under the RevoCar platform.
Highlights
- Fitch affirmed RevoCar 2024-1 notes at AAAsf, AAsf, Asf, and BBB+sf despite ongoing deterioration in asset performance.
- Fitch raised the base case remaining default assumption to 2.1% from 1.5% and lowered the 'AAA' multiple to 4.5x from 6.25x.
- Fitch incorporated an expected switch to sequential note redemption in 2027 if the cumulative net loss trigger is breached.
Rating review reflects weaker collateral trends
As reported by Fitch Ratings, the agency has affirmed RevoCar 2024-1's class A, B, C and D notes at AAAsf, AAsf, Asf and BBB+sf, respectively.The transaction closed in April 2024 and consists of a static pool of German auto loan receivables granted to private and commercial customers to finance new and used vehicles. The notes have been amortizing on a pro rata basis since closing.
Fitch says asset performance has worsened over the last 12 months, with defaults and losses running above its initial expectations. In response, the agency has raised its base case remaining default assumption to 2.1% from 1.5%, while lowering its 'AAA' multiple to 4.5x from 6.25x under its through-the-cycle approach because it views the weaker performance as mainly driven by macroeconomic factors.
Fitch also assumes the deal switches to sequential note redemption in 2027 once an irreversible trigger tied to the cumulative net loss ratio is breached. That assumption is already incorporated into the affirmations.
In our earlier article on Fitch’s rating of Hainan Rubber’s proposed subordinated perpetual sustainable securities, we explained how the BBB- assessment reflects the notes’ junior ranking in the capital structure and the issuer’s ability to defer coupons. We also outlined Fitch’s view of the group’s leverage and liquidity profile, and the role of parent support in the overall rating framework.
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