DBRS Confirms and Discontinues Rating on Claris SME 2015 S.r.l.

DBRS Ratings Limited (DBRS) confirmed its rating on the Class B Notes issued by Claris SME 2015 S.r.l. (the Issuer) at A (high) (sf) and subsequently discontinued the rating.

The rating was discontinued by DBRS at the explicit request of the Issuer. The remaining balance was EUR 248,513,296.00.

DBRS upgraded the rating of the Class B Notes on 19 July 2018, following an annual review of the transaction. The confirmation of the rating prior to the discontinuation incorporates updated information as of the October 2018 payment date and continues to be based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Probability of default (PD) rate, recovery rate and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the Class B Notes to cover the expected losses at the A (high) (sf) rating level.

The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-sized enterprises, large corporates, producer families and non-business entities. The loans were originated by Veneto Banca S.c.p.a. (VB) and BancApulia S.p.A. Effective from 26 June 2017, following liquidation of VB, the servicing and operating activities of the transaction were transferred to Intesa San Paolo SpA.

PORTFOLIO PERFORMANCE
As of October 2018, the one- to three-month arrears represented 3.8% of the outstanding portfolio balance, the 90+ delinquency ratio was 7.3% and the cumulative default ratio was 3.9%.

PORTFOLIO ASSUMPTIONS
DBRS maintained the PD and recovery assumptions of the outstanding portfolio at 45.2% and 60.4%, respectively, at the A (high) (sf) rating level.

CREDIT ENHANCEMENT
As of the October 2018 payment date, the CE of the Class B Notes was 55.6% and considered the balance of the performing portfolio and the cash reserve accounts.

BNP Paribas Securities Services S.C.A., Milan branch (BNP Paribas, Milan) acts as the Transaction Account Bank. On the basis of DBRS’s private ratings of BNP Paribas, Milan, the downgrade provisions outlined in the transaction documents and structural mitigants, DBRS considers the risk arising from the exposure to the Transaction Account Bank to be consistent with the rating of the Class B Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating 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.

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 www.dbrs.com at: http://www.dbrs.com/about/methodologies.

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: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include investor and servicer reports provided by Securitisation Services S.P.A., and loan-level data from 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 23 November 2018, when DBRS discontinued the rating of the Class A Notes. Prior to that, on 19 July 2018, DBRS confirmed its rating on the Class A Notes at AAA (sf) and upgraded its rating of the Class B Notes to A (high) (sf) from A (low) (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):

-- PD Rates Used: Base case PD of 25.9%, a 10% increase of the Base Case and a 20% increase of the Base Case PD.
-- Recovery Rates Used: Base Case recovery rate of 60.4% at the A (high) (sf) stress level for the Class B Notes. There is a 10% and 20% decrease in the Base Case recovery rates for the Class B Notes, respectively. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.

DBRS concludes that a hypothetical increase of the Base Case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class B Notes at A (high) (sf). 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 also lead to a confirmation of the Class B Notes at A (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) 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 and US regulations only.

Lead Analyst: Francesco Amato, Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 10 August 2012

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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Rating CLOs Backed by Loans to European SMEs
-- Rating CLOs and CDOs of Large Corporate Credit
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions
-- Cash Flow Assumptions for Corporate Credit Securitizations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.