DBRS Confirms Ratings on Claris ABS 2011 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the Class A Notes issued by Claris ABS 2011 S.r.l. (the Issuer) at AAA (sf).

The confirmation of the rating on the Class A Notes is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the April 2015 payment date.
-- Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) rating level.

Claris ABS 2011 S.r.l. is a securitisation of Italian residential mortgages (portfolio of EUR 2.6 billion at closing) originated by three Italian banks: Veneto Banca Scpa, bancApulia S.p.A. and Cassa di Risparmio di Fabriano e Cupramontana S.p.A. (now merged into Veneto Banca Scpa), all part of the Veneto Banca Scpa, which also operates as the Servicer of the portfolio. The transaction closed in February 2012, and the mortgage pool is relatively well seasoned (over five years).

As of the 30 April 2015 payment date, the current 90+ delinquency ratio as a percentage of the current balance of the portfolio was 2.4%, in line with the 3.42% recorded in the October 2014 payment date. The cumulative default ratio was 3.11% as of the 30 of April 2015 payment date, trending upward from the 2.26% recorded in October 2014 and the 1.48% of the April 2014 payment date. This trend has been incorporated into DBRS expectations for the current analysis.

Credit enhancement to the Class A Notes (as a percentage of the collateral balance) consists of subordination of the Class B1, Class B2 and Class B3 Notes (40.48%) and a Cash Reserve Fund initially funded via a subordinated loan. The Cash Reserve Fund is equal to EUR 45.34 million, its target amount. Funds from each originator are distributed in accordance with separate priority of payments; however, the waterfall could combine, and available funds will cross-collaterise if a performance trigger is breached. No performance trigger is currently breached.

Bank of New York Mellon (Luxembourg) S.A. Italian Branch (the “Account Bank”) holds the Treasury Account for the transaction. The DBRS public rating of the Account Bank complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release and may be found at
http://www.dbrs.com/about/methodologies.

A review of the transaction legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

The sources of information used for this rating include investor reports provided by BNY Mellon and loan level data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed upon Procedures (AUP) are included in the requested documentation. DBRS was not supplied with AUP documents. Data checks were performed, and DBRS did not apply additional cash flow stresses in its scenarios.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 23 May 2014, when DBRS confirmed the rating on the Class A Notes at AAA (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- DBRS expected a lifetime base case probability of default (PD) and loss given default (LGD) for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of mortgages for the Issuer are 6.86% and 10.20%, respectively. At the AAA (sf) rating level, the corresponding PD is 29.22% and the LGD is 33.10%.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration in a central repository, see
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 13 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Mary Jane Potthoff

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.
The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions.
-- Derivative Criteria for European Structured Finance Transactions.
-- Master European Structured Finance Surveillance Methodology.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model for European Securitisations.
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda.