OREANDA-NEWS. December 23, 2015. Fitch Ratings has assigned Rosenkavalier 2015 UG (haftungsbeschraenkt)'s notes final ratings as follows:

EUR1,728,400,000 Class A (deferrable note) (ISIN: DE000A1687E2): 'Asf'; Outlook Stable
EUR788,600,000 Class B (ISIN: DE000A1687F9): not rated

The transaction is a revolving cash flow securitisation of a EUR2.52bn pool of loans granted to small and medium-sized enterprises (SMEs), mid-caps and large corporate borrowers located in Germany. The underlying loans were originated by UniCredit Bank AG (A-/Negative/F2). Despite some mortgage collateral, most of the pool is deemed unsecured. The rating addresses ultimate payment of interest and principal.

KEY RATING DRIVERS
Fitch determined an average annual probability of default (PD) for the originator's book of 1.5%, which is lower than the country PD for Germany of 2.5%. Further, the agency determined an annual average transaction PD of 1.1%, which is lower than the originator's book PD, due to positive selection.

The largest obligor group can make up 1.99% of the total pool balance. Further, obligor groups exceeding 1% of the total balance each can make up as much as 30% of the pool. The agency applied its large obligor stress, as per its SME criteria, to all obligors in excess of 50bp. In Fitch's view, obligor concentration can lead to performance volatility, which is reflected in higher-than-usual portfolio default rates (RDRs). At the 'Asf' rating scenario, the agency calculated a loss rate of 31.32%.

The transaction features a revolving period of up to three years. The risk of changing pool composition and deteriorating pool quality is reduced by certain portfolio limits and stop-revolving performance triggers. In Fitch's view, the portfolio limits are close to their actual corresponding levels in the initial portfolio, with the exception of the weighted average (WA) PD limit and WA life (WAL).

The rated notes can defer non-paid interest, in accordance with the notes' terms and conditions. No liquidity reserve is in place. Hence, timely payment of interest is not ensured and the agency applied a rating cap of 'Asf', in accordance with its rating cap criteria.

No swap is in place to hedge interest mismatch risk that may arise from some floating interest rate assets and the fixed-rate class A notes. However, the pool includes mostly fixed-rate assets; the agency reflected the potential interest mismatch risk by applying the minimum WA pool interest rate.

RATING SENSITIVITIES
Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate and/or a decrease in the base case recovery rate for the portfolio. The model-implied sensitivities indicate that an increase in the base case default rate by 25% together with a decrease in the base case recovery rate by 25% may result in a downgrade of the class A notes, to 'BBB-sf'.

DUE DILIGENCE USAGE
Fitch was provided with a third party asset portfolio assessment in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of the third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Fitch believes the sample size and relevance of the tested fields suggest the data provided by the originator for assigning the ratings was of acceptable quality.

Fitch also conducted a review of a small targeted sample of UniCredit's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool 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:
-Loan-by-loan data tape and amortisation profile for the initial portfolio as at 30 October 2015.
-Historical default vintage data, cure rates and delinquency data for the period 2010-2014.
-Migration matrices showing annual observed default rates by originator's internal rating category for the period 2009-2014.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the new issue report, dated 18 December 2015 at www.fitchratings.com. In addition refer to the special report "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.