OREANDA-NEWS. Fitch Ratings has affirmed Yapi Kredi DPR series 2011-A, 2011-B, 2011-C, 2011-D and 2011-E, series 2013-A, 2013-B, 2013-C, 2013-D and 2013-E, 2014-A and 2015-A, 2015-B, 2015-C, 2015-D, 2015-E, 2015-F and 2015-G notes at 'A-'. The Outlooks are Stable. The outstanding note balance was USD2.06bn as of April 2016.

KEY RATING DRIVERS

GCA Score Supports Rating

Fitch has a Going Concern Assessment (GCA) score of GC1 on Yapi ve Kredi Bankasi A. S. (YKB), based on its position as the fifth-largest privately owned bank in the financial system and its role in the Turkish economy. YKB had unconsolidated assets of USD75.5bn at end-December 2015, representing about 10% of total assets of banks in the financial system, according to the Banks Association of Turkey. The GC1 has enabled Fitch to apply a two-notch uplift on the DPR notes' ratings from YKB's Local Currency IDR of 'BBB'.

Sovereign Risk Reduced

When contemplating ratings above a country's Long-Term IDR, Fitch considers potential sovereign risk events consistent with the rating. These risks include transfer and convertibility, devaluation and, to some degree, nationalisation and expropriation. Any controls on transfer or conversion of foreign exchange are mitigated in this transaction, as payments from the obligors are collected offshore. Fitch evaluated the potential for payment diversion risk in this transaction and believes this risk is mitigated on several levels such as acknowledgement agreements signed by specified correspondent banks.

Adequate Coverage Levels

The quarterly tested collections debt service coverage ratio (DSCR) was 95.4x and the monthly tested collections DSCR was 95.8x, both as of May 2016, well above the trigger levels of 6x and 4x, respectively. Furthermore, the proportion of quarterly collections from designated depository banks, which signed non-cancellable acknowledgement agreements, is 75% YTD, above the 60% trigger. All other early amortisation trigger tests are being comfortably passed.

RATING SENSITIVITIES

The most significant parameters affecting the transaction's rating are YKB's credit quality, its GCA score and the Turkish sovereign rating (BBB-/Stable). Additionally, the 'AA-' ratings of The Bank of New York Mellon Corporation (BONY) as issuer account bank may constrain the ratings of the DPR notes if BONY is downgraded below the then ratings of the DPR notes and no remedial action is taken. We revised YKB's Outlook to Negative from Stable on 31 March 2016, mirroring the rating action on its parent entity UniCredit S. p.A.

Although coverage levels are also a key input, the DSCRs have been consistently high, and therefore the transaction should be able to withstand a significant decline in DPRs without affecting the ratings. Nevertheless, Fitch will analyse a change in any of these variables to assess the possible impact on the transaction's rating.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the DPR programme. There were no findings that were material to this analysis. Fitch has neither requested any third party assessment of the information about DPR flows nor conducted a review of origination files because there is no existing asset portfolio to assess in future flow transactions.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Investor reports and information provided by Yapi ve Kredi Bankasi A. S. as at 08 June 2016