Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website. 

Scope completed a monitoring review of the following notes issued by Red & Black Auto Germany 6 UG on 11 October 2022 and considered the investor reporting up to August 2022 payment date. The credit ratings remain as follows:

Class A: EUR 243.2m outstanding amount: AAA_SF

Class B: EUR 17.5m outstanding amount: AA+_SF

Class C: EUR 6.5m outstanding amount: A-_SF

Class D: EUR 4.4m outstanding amount: BBB-_SF

Red & Black Auto Germany 6 UG is the sixth auto ABS transaction of Bank Deutsches Kraftfahrzeuggewerbe GmbH (BDK). The transaction is a static cash securitisation of German auto loans, originated and serviced by BDK. The current portfolio (EUR 276.6m versus EUR 1,000.0m at closing) is comprised of private clients (90.1%) and commercial clients (9.90%) based in Germany, who used the loans to acquire new (20.8%), newly used (44.01%) and used (35.19%) vehicles. The notes amortisation has recently switched to pro-rata from sequential, as the following conditions have been met: the class A credit enhancement has exceeded 11% and the net loss ratio remains below 1.1%. Amortisation may revert to sequential if such conditions, among other performance triggers, ceased to be met.

The review was conducted considering available investor reports up to the August 2022 payment date. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

The ratings are supported by the positive portfolio performance and by the transaction´s structural features. The notes have amortised to 27.7% of their initial balance. The level of cumulative defaults is low at 0.63% of initial pool balance, with a cumulative recovery rate of 72.7%. The current levels of credit enhancement (excluding the reserve fund) stand at 12.1%, 5.8%, 3.4% and 1.8%, for classes A to D, respectively. The reserve fund remains fully funded and the level of excess spread (including stressing of fees applied by Scope) has been stable at around 1.4% since closing.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; Consumer and Auto ABS Rating Methodology, 3 March 2022; Counterparty Risk Methodology, 14 July 2022) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Elom Kwamin, Specialist

Potential conflicts
See www.scoperatings.com under Governance & Policies/EU Regulation/Disclosures for a list of potential conflicts of interest related to the issuance of Credit Ratings. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

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