DBRS Ratings GmbH (DBRS) assigned ratings to the following bonds issued by RevoCar 2019 UG (haftungsbeschränkt) (the Issuer):
-- AAA (sf) to the Class A Notes
-- A (sf) to the Class B Notes
-- BBB (sf) to the Class C Notes
-- BB (sf) to the Class D Notes
DBRS does not rate the Class E Notes in the transaction.
The ratings are based on DBRS’s review of the following analytical considerations:
-- The transaction capital structure, including form and sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The Originator/Servicer’s capabilities with respect to originations, underwriting and servicing.
-- An operational risk review of Bank 11 für Privatkunden und Handel GmbH (Bank11), which DBRS deems to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The sovereign rating of the Federal Republic of Germany, currently rated AAA with a Stable trend by DBRS.
-- The consistency of the transaction’s legal structure with DBRS’s Legal Criteria for European Structured Finance Transactions methodology, the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the seller.
The transaction structure was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: Rating European Consumer and Commercial Asset-Backed Securitisations.
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 is based on the worst-case replenishment criteria set forth in the transaction legal documents.
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: https://www.dbrs.com/research/333487/rating-sovereign-governments.
The sources of data and information used for the ratings include performance data relating to the receivables provided by Bank11 via the Arranger UniCredit Bank AG. DBRS received the following historical performance data:
--Monthly dynamic delinquency data from January 2013 to December 2018;
--Monthly static prepayment data from January 2013 to December 2018;
--Monthly static default data from January 2013 to December 2018; and
--Monthly static recovery data from January 2013 to December 2018.
DBRS was also provided with detailed stratification tables as at 31 March 2019 and its related contractual amortisation profile.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
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 these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.
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:
-- Probability of Default Rate (PD) used: expected PD of 1.8%, a 25% and 50% increase on the expected PD.
-- Loss Given Default (LGD): expected LGD of 60%, a 25% and 50% increase on the expected LGD.
Scenario 1: A 25% increase in the expected PD.
Scenario 2: A 50% increase in the expected PD.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected PD and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected PD and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected PD and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected PD and 50% increase in the expected LGD.
DBRS concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AA (sf), AA (low) (sf), AA (sf), A (high) (sf), A (high) (sf), AA (low) (sf), A (high) (sf), A (low) (sf)
-- Class B Notes: A (low) (sf), BBB (sf), A (low) (sf), BBB (sf), BB (high) (sf), BBB (sf), BB (high) (sf), BB (sf)
-- Class C Notes: BB (high) (sf), BB (low) (sf), BB (high) (sf), BB (low) (sf), B (high) (sf), BB (low) (sf),B (high) (sf), B (sf)
-- Class D Notes: B (high) (sf), B (low) (sf), B (sf), CCC (sf), CCC (sf), CCC (sf), CC (sf), CC (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 GmbH are subject to EU and US regulations only.
Lead Analyst: Ronja Dahmen, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 24 April 2019
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: http://www.dbrs.com/about/methodologies.
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses 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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.
This press release was amended on 1 May 2019 to correct the following disclosure, which previously omitted the US: "Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only".