DBRS Confirms Rating of Success 2015 B.V.

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

The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.
The confirmation follows an annual review of the transaction and is based on the following considerations:
-- Portfolio performance, in terms of delinquencies and net losses, as of the July 2018 payment date.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the receivables.
-- Current available credit enhancement to the notes to cover the expected losses at the AAA (sf) rating level.
-- No revolving termination events have occurred.

Success 2015 B.V. 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 envisaged a three-year revolving period, scheduled to end after the October 2018 payment date. To date, no early amortisation events have occurred.

PORTFOLIO PERFORMANCE
As of July 2018, two- to three-month arrears represented 0.2% of the outstanding portfolio balance, down from 0.4% in July 2017. The 90+ delinquency ratio was 1.2%, up from 0.8% in July 2017 and the cumulative net loss ratio was 0.0%.

PORTFOLIO ASSUMPTIONS
DBRS conducted an analysis of the pool of receivables and has maintained its base case PD and LGD assumptions at 6.5% and 69.0%, respectively, based on the worst-case portfolio composition.

CREDIT ENHANCEMENT
As of the July 2018 payment date, credit enhancement to the Class A Notes was 29.0%, stable since the DBRS initial rating because of 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 is available to cover senior fees and Class A interest. As of the July 2018 payment date, the Reserve Fund was at the target level of EUR 4.6 million.

Citibank, N.A. acts as the account bank for the transaction. The DBRS public rating of Citibank, N.A. is A (high) and, on the basis of Citibank, N.A.’s rating and the mitigants outlined in the transaction documents, DBRS considers the risk arising from the exposure to Citibank N.A. to be consistent with the rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

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

DBRS did not rely upon third-party due diligence in order to conduct its analysis. At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purpose of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 9 October 2017, when DBRS confirmed the rating of the Class A Notes at AAA (sf).

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

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”):
-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer are 6.5% and 69.0%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to A (sf).

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

Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 9 November 2015

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The rating methodologies 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.