DBRS Confirms Class A Notes of Wendelstein 2015-1 UG (haftungsbeschränkt)

DBRS Ratings Limited (DBRS) has today confirmed the AA (sf) rating on the Class A Notes issued by Wendelstein 2015-1 UG (haftungsbeschräkt) (Wendelstein 2015-1).

Today’s rating action follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies, defaults and losses.
-- Portfolio default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining collateral pool.
-- The credit enhancement (CE) available to the rated notes to cover the expected losses at the AA (sf) rating level.

Wendelstein 2015-1, closed in July 2015, is a securitisation of a portfolio of German residential mortgage loans originated and serviced by Deutsche Bank Privat und Geschäftskunden Aktiengesellschaft (DB Private), a subsidiary of Deutsche Bank AG (rated A (high)/R-1 by DBRS). The transaction is currently in the Replenishment Period, which will end on 17 July 2020 or when the Replenishment Termination Event occurs.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The portfolio’s performance is stable since the last review. As of 31 May 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance remained low at 0.07% and loans more than 30 days delinquent were at 0.21%. There is currently no realised loss on the portfolio. DB Private continues to repurchase loans out of the portfolio. As the transaction is still revolving and the performance is within DBRS’s expectation, DBRS has maintained the PD and LGD assumptions for the collateral pool at 20.12% and 47.30%, respectively, at the AA (sf) rating level.

CREDIT ENHANCEMENT
The CE available to the Class A Notes remains unchanged at 16.0% as the transaction is revolving. The CE is provided through the subordinated Class B Notes.

DB Private is the counterparty on all major roles in the transaction including Servicer, Collection Account Bank, Account Bank and Swap Counterparty. DB Private’s reference rating meets the Minimum Institution Rating criteria, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. The reference rating also meets the swap counterparty first rating requirement, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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 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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for these ratings include the monthly investor reports from Deutsche Bank Treasury – Deal/Deckungsmanagement, and the loan-by-loan data from European DataWarehouse GmbH.

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 purposes 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 15 July 2016, when DBRS confirmed the Class A Notes at AA (sf).

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

To assess the impact of 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):

-- At the AA (sf) rating level, the corresponding PD is 20.12% and the LGD is 47.30%.

-- 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 on the Class A Notes would be expected to be A (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be BBB (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

For further information on DBRS historical 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.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 17 July 2015

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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