Press Release

DBRS Confirms Rating on Class A Notes Issued by Mercurius Funding N.V. / S.A.

Structured Credit
June 20, 2019

DBRS Ratings GmbH (DBRS) confirmed its AA (sf) rating on the Class A notes issued by Mercurius Funding N.V. / S.A. (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, defaults and losses, as of the June 2019 payment date.
-- Base Case Probability of default (PD), and updated recovery rates on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.

The rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Class A notes’ Final Maturity Date in April 2035.

The Issuer is a securitisation collateralised by a portfolio of secured and unsecured loans originated and serviced by Belfius Bank SA/NV (Belfius Bank) to small and medium-sized enterprises (SMEs) and self-employed individuals based in Belgium.

The transaction closed in May 2012, and in May 2014 (the Closing Date) new Class A and Class B notes were issued while the notes issued in 2012 were fully redeemed. In June 2018, an amendment to the transaction structure became effective, including changes to the principal priority of payments, introduction of performance triggers, reduction of the Reserve Fund Required Level and decrease of the Class A and B notes’ coupon.

As of the 24 June 2019 payment date, the structure consisted of EUR 605.6 million of Class A notes and EUR 645.9 million of Class B notes, backed by a EUR 1,212.1 million portfolio (excluding written-off loans).


As of June 2019, loans in arrears between 31 days and 60 days and loans in arrears between 61 days and 90 days represented 0.19% and 0.20% of the principal outstanding balance of the portfolio, respectively, while delinquencies greater than 90 days were 0.62%. Cumulative written-off loans were 1.0% of the portfolio balance as at the Closing Date, with recoveries of 56.5%.


DBRS conducted a loan-by-loan analysis on the remaining pool and updated its portfolio default and recovery assumptions on the outstanding portfolio to 35.1% and 58.2%, respectively, at the AA (sf) rating level.


As of the June 2019 payment date, the CE for Class A notes decreased to 53.3% from 54.7% in June 2018 after the restructuring. The CE of the Class A notes considers the balance of the portfolio (excluding written-off loans) and the Reserve Fund account.

The Reserve Fund is available to cover senior expenses, missed interest payments on the Class A notes and the amounts of principal deficiency ledgers while the Class A notes are outstanding. The target amount of the Reserve Fund is defined in two stages: the Reserve Fund Level 1 (EUR 15.0 million) is replenished after the interest on the Class A notes has been paid, while the Reserve Fund Required Amount (EUR 40.0 million) is funded after the payment of the balance of principal deficiency ledgers.

Based on the account bank reference rating of Belfius Bank at A (high), which is one notch below the DBRS public Long-Term Critical Obligations Rating of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A notes, as described in DBRS'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 has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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 “Rating Sovereign Governments” methodology at:

The sources of data and information used for this rating include investor reports provided by Belfius Bank and loan-by-loan data provided by the 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 20 June 2018, when DBRS confirmed its rating on the Class A notes at AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

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

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 (PD) Rates Used: base case PD of 2.4%, a 10% increase of the base case and a 20% increase of the base case PD.
-- Recovery Rates Used: base case recovery rates of 58.2% at the AA (sf) rating 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 either a hypothetical increase of the base case PD by 20%, a hypothetical decrease of the recovery rate by 10%, or 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 lead to a confirmation of the Class A notes at AA (sf). A hypothetical decrease of the recovery rate by 20%, ceteris paribus, or a scenario combining both an increase in the base case PD by 20% and a decrease in the base case recovery rate by 20%, ceteris paribus, would also lead to a confirmation of the Class A notes at AA (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: web/statistics/defaults.xhtml.

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

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 8 May 2012

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Germany
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

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

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