OREANDA-NEWS. January 19, 2016. Fitch Ratings has affirmed DFS Funding Corp's (DFS) series 2011-A, 2011-B, 2011-C, 2011-D and 2011-E and series 2014-A, 2014-B, 2014-C, 2014-D, 2014-E and 2014-F notes at 'BBB'. The Outlooks are Stable. The outstanding note balance was USD555m as of November 2015.

DFS is a securitisation of diversified payment rights (DPR) denominated in US dollars, euros, and sterling originated by Denizbank A.S. (Denizbank, BB+/Stable/B). DPRs refer to rights of payment in respect of payment orders intended for third-party beneficiaries processed through Denizbank where the ultimate beneficiary is a customer of the originator holding a Denizbank account.

Denizbank is Turkey's sixth-largest privately hold bank as at end-September 2015 on an unconsolidated basis. We affirmed Denizbank's IDRs on 26 March 2015, which are driven by their intrinsic strength, although the bank is 99.85% owned by Sberbank of Russia (BBB-/Negative/F3).

KEY RATING DRIVERS
Denizbank's Going Concern Assessment (GCA) score of 3 (GC3), indicating its relative importance to the Turkish financial system, remains unchanged. This allows the DPR notes to have a rating uplift of up to two notches from the bank's local currency IDR given that it reflects the bank's intrinsic credit profile. Considering also the healthy volume and diversity of the DPRs, Fitch affirmed the notes at 'BBB', two notches above Denizbank's local currency IDR. The ratings of the DFS series remain two notches above the bank's VR.

The quarterly tested collections debt service coverage ratio (DSCR) was 66x as of September 2015 and the monthly tested collections DSCR was 61.8x as of November 2015, 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, was 86.5% in 3Q15, 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 Denizbank'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.

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.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Investor reports and information provided by Denizbank A.S. as at 05 December 2015