DBRS Confirms Class A Notes of Geldilux-TS-2015 S.A.

DBRS Ratings Limited (DBRS) has today confirmed the A (high) (sf) rating on the Class A Notes issued by Geldilux-TS-2015 S.A. (Geldilux or the Issuer).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults.
-- Probability of default (PD) rate for the collateral pool.
-- The credit enhancement (CE) available to the rated notes to cover the expected losses at the A (high) (sf) rating level.

Geldilux is a cash flow-revolving securitisation collateralised by a portfolio of short-term loans (maturities ranging from a few days to one year) to German large corporates, small and medium-sized enterprises, entrepreneurs, self-employed individuals and private individuals. The loans are originated under the UniCredit EGON Loan Program (EGON) whereby the loans (bullet in interest and principal) are arranged by UniCredit Bank AG (UCB or the Originator) and extended by UniCredit Luxembourg S.A. (UCL or the Seller).

The transaction is currently in its initial 62-month revolving period, during which the Seller has the option to sell new EGON loans to the Issuer. Given the short-term nature of the loans, the portfolio is replenished on a daily basis using the same random procedure used at closing, subject to the loan Eligibility Criteria and Portfolio Limits. The purchase price of new loans is usually paid by setting off the principal proceeds collected by the Transaction Servicer and Servicer (UCL and UCB, respectively) during the previous day. To date, all the performance and replenishment triggers have passed.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The portfolio’s performance is stable since the last review. As of 31 June 2017 payment date, there are no losses or defaulted loans (more than 29 days overdue reported). As the transaction is still revolving and the performance is within DBRS’s expectation, DBRS has maintained the base-case PD rate assumption for the collateral pool at 1.42%.

CREDIT ENHANCEMENT
The CE available to the Class A Notes remains unchanged at 8.5% as the transaction is revolving. The CE is provided through the subordinated Class B, C and D Notes.

Citibank N.A., London Branch is the main Account Bank provider of the transaction. DBRS private rating of Citibank N.A., London Branch complies with the Minimum Institution Rating, given the rating assigned to Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

UCL is the swap counterparty to the transaction. The DBRS private rating of UCL meets the swap counterparty rating requirements, given the rating assigned to the Class A Notes, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

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

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

An asset and a cashflow 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 UCL, 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 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 1 August 2016, when DBRS upgraded the Class A Notes to A (high) (sf) from A (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):

-- Probability of Default Rates Used: base case PD of 1.42% a 10% increase of the base case and a 20% increase of the base case PD.

-- Recovery Rates Used: base case recovery rates of 26.25% at the A (high) (sf) stress level, 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 concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a confirmation of the Class A Notes at A (high) (sf) and a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would also lead to a confirmation of the Class A Notes at A (high) (sf). A scenario combining both an increase in the base case PD by 10% and a decrease in the base case 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 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: Alfonso Candelas, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 18 December 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
-- Rating CLOs Backed by Loans to European SMEs
-- Rating CLOs and CDOs of Large Corporate Credit
-- 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
-- Cash Flow Assumptions for Corporate Credit 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