DBRS Confirms Ratings on Claris Lease 2015 S.r.l.

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bonds issued by Claris Lease 2015 S.r.l. (the Issuer):

-- Series 2015-1-A Notes confirmed at A (sf)
-- Series 2015-1-B Notes confirmed at BBB (sf)

The rating actions on the Series 2015-1-A and Series 2015-1-B Notes are based on the following analytical considerations as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of January 2016.
-- Updated default, recovery and loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Series 2015-1-A and Series 2015-1-B Notes to cover the expected losses at the A (sf) and BBB (sf) rating levels, respectively.

The Issuer is a securitisation of real estate, equipment and vehicle lease receivables originated and serviced by Claris Leasing S.p.A.

As of January 2016, two- to three-month arrears were at 0.003%. The current gross cumulative default ratio is low at 0.04%.

As of January 2016, credit enhancement to the Series 2015-1-A Notes was 31.22%, up from 27.61% at the DBRS initial rating. Credit enhancement to the Series 2015-1-B Notes was 20.49%, up from 18.08% at the DBRS initial rating. Credit enhancement is provided by subordination of junior classes of notes.

The transaction benefits from a Debt Service Reserve, currently at the target level of EUR 7.74 million. The Debt Service Reserve covers senior fees and interest on the Series 2015-1-A and 2015-1-B Notes.

BNP Paribas Securities Services, Milan branch is the account bank for the transaction. The DBRS private rating of BNP Paribas Securities Services, Milan branch complies with the Minimum Institution Rating, given the rating assigned to the Series 2015-1-A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.
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 the sovereign risk impact on Structured Finance ratings, please refer to the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.

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’s 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 reports provided by Claris Leasing S.p.A. and Securitisation Services S.p.A.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was not supplied with third-party assessments; however, this did not impact the rating analysis.

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. The lead responsibilities for this transaction have been transferred to Andrew Lynch.

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 leases for the Issuer are 13.65% and 87.36%, respectively.
-- 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 Series 2015-1-A Notes would be expected to fall to A (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Series 2015-1-A Notes would be expected to fall to BBB (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Series 2015-1-A Notes would be expected to fall to BB (high) (sf).

Series 2015-1-A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in LGD, expected rating of A (low) (sf).
-- 25% increase in PD, expected rating of BBB (high) (sf).
-- 50% increase in PD, expected rating of BBB (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf).

Series 2015-1-B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf).
-- 50% increase in LGD, expected rating of BBB (low) (sf).
-- 25% increase in PD, expected rating of BB (high) (sf).
-- 50% increase in PD, expected rating of B (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of B (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of B (low) (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: Marcello Bonassoli, Assistant Vice President
Initial Rating Date: 24 April 2015
Initial Rating Committee Chair: Chuck Weilamann, Managing Director

Lead Surveillance Analyst: Andrew Lynch, Senior Financial Analyst
Rating Committee Chair: Diana Turner, Senior Vice President

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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 (February 2016)
-- Master European Structured Finance Surveillance Methodology (December 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (December 2015)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (October 2015)
-- Unified Interest Rate Model for European Securitisations (October 2015)

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.