DBRS Assigns New Rating to Success 2015

DBRS Ratings Limited (DBRS) has today assigned a rating to the following notes issued by Success 2015 B.V. (the issuer):

-- Class A Notes at AAA (sf)

The securitised receivables are related to Austrian auto and equipment lease contracts granted by UniCredit Leasing (Austria) GmbH (UCLA) and some of its Austrian subsidiaries listed below (altogether, the originators) to consumers and commercial customers in Austria.

The originators are:

-- UniCredit Leasing (Austria) GmbH
-- EASFINANZ GmbH
-- UniCredit Mobilien und KFZ Leasing GmbH
-- UniCredit KFZ Leasing GmbH
-- UniCredit Zega Leasing-GmbH
-- UniCredit Pegasus Leasing GmbH
-- UniCredit Polaris Leasing GmbH
-- UniCredit Luna Leasing GmbH
-- UniCredit Tech Rent Leasing GmbH
-- BACA HYDRA Leasing GmbH

The ratings are based on review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of subordination and a cash reserve.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) standard for the Class A Notes issued by Success 2015.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The originators’ and UCLA’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- UCLA’s capabilities as master.
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral. DBRS conducted an operational risk review of UCLA and deems UCLA as an acceptable servicer.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance and portfolio data relating to the receivables sourced by UCLA through the transaction arrangers, UniCredit Bank AG. DBRS received historical gross loss and recovery data relating to the originators’ combined originations by half-year vintage on a cumulative basis going back to 2007 and up to and including the end of 2014. Data was also provided relating to quarterly dynamic arrears from 2007. In addition, DBRS received portfolio loan by loan data related to the portfolio selected by the originators as at 1 October 2015 that allowed DBRS to further assess the portfolio.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments; however, this did not impact the rating analysis.

DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

These ratings concern newly issued financial instruments.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the base case):

-- Probability of default (PD) rate used: base-case PD of 6.5% (excluding sovereign stress and residual value (RV) loss if applicable), a 25% and 50% increase on the base-case PD.
-- RV loss and turn-in rate: 19.3% and 100%, respectively, a 25% and 50% increase on the residual value loss.
-- Recovery rate used: base-case recovery rate of 31% (excluding sovereign stress if applicable).
-- Loss given default (LGD): base-case LGD of 69%.

DBRS concludes that, for the Class A Notes:

-- A hypothetical increase of the base-case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the RV loss by 25% or 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the base-case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
-- A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the RV loss by 25% or 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the RV loss by 25% or 50%, ceteris paribus, would not lead to a change of the Class A Notes rating.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 9 November 2015
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations.
-- Legal Criteria for European Structured Finance Transactions.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model Methodology for European Securitisations.

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375