Press Release

DBRS Morningstar Confirms Rating of Class A Notes Issued by Rosenkavalier 2015 UG

Structured Credit
November 27, 2019

DBRS Ratings GmbH (DBRS Morningstar) confirmed its rating of the Class A Notes issued by Rosenkavalier 2015 UG (the Issuer) at A (high) (sf).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of level of delinquencies and defaults, as of the October 2019 payment date.
-- Base case probability of default (PD) and updated default and recovery rates on the remaining receivables.
-- The fact that no early amortisation event has occurred.
-- Current available credit enhancement to the Class A Notes to cover the expected losses assumed in line with the A (high) (sf) rating level.

Rosenkavalier is a cash flow securitisation transaction backed by a portfolio of loans originated and serviced by UniCredit Bank AG (UCB) to large corporations, small and medium-sized enterprises, entrepreneurs and self-employed individuals based in Germany. The transaction includes a three-year revolving period, which is scheduled to end in December 2021 (it was scheduled to end in December 2018 at closing but was extended following a transaction restructuring executed on 30 November 2018). During the revolving period, UCB has the option to sell new loans at par to the Issuer so long as the eligibility criteria and replenishment criteria are complied with. However, the revolving period could end prematurely based on the occurrence of Replenishment Termination Events, including if the cumulative default rate exceeds 1.0% of the initial portfolio balance or the cumulative delinquency rate exceeds 5.5% of the initial portfolio balance. To date, no Replenishment Termination Events have occurred.

The transaction cash flow structure resembles that of a typical synthetic rather than a cash securitisation as excess spread cannot be used to cover principal defaults. Once a loan loss has been realised, it will be allocated to reduce the principal balance of the notes in reverse order of priority (i.e., starting from the most junior to the most senior).

The interest of the Class A Notes can defer and is ultimately extinguishable without resulting in an event of default under the agreements. Principal collections can also be used to cover interest shortfalls. DBRS Morningstar’s rating of the Class A Notes addresses the likelihood of ultimate payment of interest and principal on or before the maturity date in November 2045.

The portfolio is performing within DBRS Morningstar’s expectations. As of October 2019, no cumulative defaults were reported, and the cumulative delinquency ratio remained low at 0.1%.

DBRS Morningstar’s maintained its annualised base case PD assumption at 1.9%. DBRS Morningstar’s conducted an analysis on the worst-case portfolio created based on the Eligibility Criteria and Replenishment Criteria and updated its portfolio default and recovery assumptions on the outstanding portfolio to 33.2% and 23.2%, respectively, at the A (high) (sf) rating level.

As of the October 2019 payment date, credit enhancement to the Class A Notes was 39.9%, unchanged from the last surveillance review because of the revolving period. Credit enhancement of the Class A Notes considers the subordination of the Class B Notes.

UCB is the main account bank provider of the transaction. Based on DBRS Morningstar’s private rating of UCB, the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS Morningstar considers the risk arising from the exposure to UCB to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating CLOs Backed by Loans to European SMEs”.

DBRS Morningstar 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 at:

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 “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include reports and information provided by UCB.

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

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS Morningstar 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 30 November 2018 when DBRS Morningstar confirmed its rating of the Class A Notes at A (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on

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

-- Probability of default rates used: Base case PD of 1.9%, a 10% and 20% increase on the base case PD.
-- Recovery rates used: Base case recovery rate of 23.2% at the A (high) (sf) rating level for the Class A Notes, a 10% and 20% decrease in the base case recovery rates. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.

DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class A Notes at A (high) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10%, ceteris paribus, would also lead to a confirmation of the Class A Notes at A (high) (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 18 December 2015

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at [email protected].