Press Release

DBRS Confirms Ratings on Claris RMBS 2014 Srl Class A1 and Class A2 Notes

RMBS
April 14, 2015

DBRS Ratings Limited (DBRS) has today confirmed the following ratings on the Class A1 and Class A2 Notes (collectively, the Notes) issued by Claris RMBS 2014 Srl (the Issuer or Claris 2014):

-- Class A1 Notes at AAA (sf)
-- Class A2 Notes at AAA (sf)

Claris 2014 is a securitisation of first-lien fully amortising mortgage loans originated by BancApulia (BAP) and Veneto Banca (VB). BAP is part of Veneto Banca Group as a result of the merger of BAP and Banca Meridiana in 2010. The portfolio is serviced by VB.

Confirmation of the ratings for each class of Notes is based on the following analytical considerations:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the December 2014 Payment Date.
-- Updated Portfolio Default Rate, Loss Given Default (LGD) and Expected Loss for the remaining collateral pool.
-- Current available credit enhancement to each class of Notes to cover the Expected Losses at the AAA (sf) rating level.

As of the December 2014 payment date, the 90+ delinquency ratio as a percentage of the performing balance of the portfolio stands at 1.78% and has been low since the closing of the transaction.

Cumulative defaults as a percentage of the original balance stand at 0.17%.

Credit enhancement to the Class A1 Notes is provided by subordination of a Class A2 and Class J Notes. Current credit enhancements as a percentage of the performing balance of the portfolio for the Class A1 Notes stands at 40.01%, while credit enhancement for the Class A2 Notes stands at 20.54%.

The Cash Reserve Fund stands at its target balance of EUR 19,712,431 (calculated as 3.0% of Class A1 and A2 Notes with a floor of 1.5% of the initial outstanding amount of the rated notes) and is amortising. The Cash Reserve is available to cover interest shortfalls to the Notes and principal at the payment date on which the rated notes are redeemed in full or cancelled.

The Bank of New York Mellon (Luxembourg) S.A. - Italian Branch acts as Italian Account Bank and Paying Agent, while The Bank of New York Mellon - London Branch acts as English Account Bank. The Backup Servicer is Securitisation Services S.p.A.

The mortgage portfolio consists of loans that have variable interest rates, fixed rates and loans that have the option to change rates from floating to fixed and fixed to floating. The transaction is exposed to basis and fixed interest rate risk of the collateral versus floating rate paid under the rated notes. The Issuer has entered into several hedging agreements with JP Morgan Securities Plc and Natixis SA to mitigate both basis and fixed interest rate risk. The transaction swap documents reflect DBRS swap methodology in respect to fixed to floating swaps but are not in full compliance in respect to basis swaps. DBRS has stressed its cash flow assumptions accordingly.

The ratings of all transaction parties are compatible with the rating of the most senior notes, in accordance with DBRS rating methodologies.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology, which can be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by The Bank of New York Mellon Corporate Trust and 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 audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the 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 LGD for the pool based on a review of the current receivables. 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 5.72% and 8.56%, respectively. At the AAA (sf) rating level, the corresponding PD is 27.98% and the LGD is 31.99%.
-- DBRS assumed that the time of recovery lag was 60 months.
-- 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 on the Class A1 and Class A2 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A1 and Class A2 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating on the Class A1 Notes would be expected to remain at AAA (sf), while the rating on the Class A2 Notes would be expected to be downgraded to AA (high) (sf).

Class A1 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)

Class A2 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 AA (high) (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: David Sanchez Rodriguez
Initial Rating Date: 15 April 2014
Initial Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

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
-- Unified Interest Rate Model for U.S. and European Structured Credit
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations

Ratings

Claris RMBS 2014 Srl
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.