OREANDA-NEWS. Fitch Ratings has affirmed Provide Gems 2002-1-plc as follows:

EUR5,705,365 class D notes (XS0145701875) at 'Csf'; Recovery Estimate (RE) revised to 0% from 50%

EUR140 class E notes (XS0145702170) at 'Dsf'; Recovery Estimate (RE) 0%

The transaction is a synthetic residential mortgage backed security referencing German second-lien mortgages loans. The debt instruments were originated by Rheinische Hypothekenbank AG (WD) and are serviced by Commerzbank AG (BBB+/F2/Stable).

The transaction was called in 1Q16 with only the class D and E notes left outstanding in an amount equal to the outstanding overdue reference claims on the call date. As the assets have not changed, new losses from the total portfolio of EUR63.6m are possible.

KEY RATING DRIVERS

No Write-ups on Notes Expected

Substantial losses have already been written against the outstanding class D notes. As no unjustified loss allocations were made at least over the last four years and given Fitch's expectation of further losses being written against the notes, a default on the class D notes is inevitable. This is reflected in the affirmation of the rating at 'Csf'.

Uncertain Timing of Principal Amounts

Potential principal amounts that could be attributed to the notes are based on further removal of delinquent loans, foreclosure proceeds or cures of defaulted loans. Yet, Fitch regards the timing of such payments exceeding new defaults difficult to estimate. This is reflected in the recovery estimates of 0%. However, if the removal of delinquent claims and foreclosure proceeds remain in line with most recent quarters, while only a limited amount of reference claims becomes overdue, further principal will be repaid to the noteholders.

The class E notes have been affirmed at 'Dsf' with 0% recovery estimate, as Fitch does not expect the write-down against the notes to be reversed.

RATING SENSITIVITIES

Significant unjustified losses that are returned to the noteholders could lead to a rating upgrade.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch did not undertake a review of the information provided about the underlying asset pool 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 and together with the assumptions referred to above, 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 Commerzbank AG as at 4 May 2016

-Transaction reporting provided by Commerzbank AG as at 25 May 2016