DBRS Confirms Rating on Success 2015 B.V.

DBRS Ratings Limited (DBRS) has today confirmed the rating on the Class A Notes issued by Success 2015 B.V. (the Issuer) at AAA (sf).

The confirmation of the Class A Notes is based on the following analytical considerations as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of July 2016.
-- Updated default, recovery and loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) rating level.

The Issuer is a securitisation of Austrian equipment and vehicle lease receivables originated and serviced by UniCredit Leasing (Austria) GmbH (UCLA) and some of its Austrian subsidiaries. The transaction is currently in its revolving period, which is scheduled to end in October 2018.

As of July 2016, the 90+ delinquency ratio was 0.31%. The gross cumulative default ratio was 0.16%.

As of the July 2016 payment date, credit enhancement to the Class A Notes was 29.02%, which is stable due to the revolving period. Credit enhancement to the Class A Notes consists of subordination of the Class B Notes.

The transaction benefits from a Reserve Fund, funded from the proceeds of a subordinated loan and available to cover senior fees and Class A interest. As of the July 2016 payment date, the Reserve Fund was at the target level of EUR 4,618,000.

Citibank N.A. acts as account bank for the transaction. The DBRS public rating of Citibank N.A. complies with the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on the worst-case replenishment criteria set forth in the transaction legal documents was assumed.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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

The sources of information used for this rating include reports provided by UCLA and Citibank N.A. (in its capacity as the Cash Manager).

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 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.

This is the first rating action since the Initial Rating Date. The lead responsibilities for this transaction have been transferred to Andrew Lynch.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

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

-- Probability of Default (PD): Base Case of 6.50%, and a 25% and 50% increase on the Base Case PD
-- Loss Given Default (LGD): Base Case of 69.00%, and a 25% and 50% increase on the Base Case LGD
-- Residual Value (RV) Loss: Base Case of 3.85%, and a 25% and 50% increase on the Base Case RV Loss

Class A Notes Risk Sensitivity:
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 25% increase in RV Loss, expected rating of AAA (sf)
-- 50% increase in RV Loss, expected rating of AAA (sf)
-- 25% increase in RV Loss, 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in RV Loss, 50% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in RV Loss, 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in RV Loss, 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Authority (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

Lead Surveillance Analyst: Andrew Lynch, Senior Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director

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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.

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

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