DBRS Confirms Ratings on Claris ABS 2011 S.r.l.
RMBSDBRS 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 2 May 2016 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 S.p.A. (Veneto Banca), Banca Apulia S.p.A. (Banca Apulia) and Cassa di Risparmio di Fabriano e Cupramontana S.p.A. (merged into Veneto Banca), all part of Veneto Banca, which also operates as the Servicer of the portfolio. The transaction closed in February 2012 and the mortgage pool is relatively well seasoned (over six years).
As of the 2 May 2016 payment date, the current 90+ delinquency ratio as a percentage of the current balance of the portfolio was 2.89%, and the cumulative default ratio (as a percentage of the original balance of the portfolio) was 4.07%, trending upward from the 3.11% recorded on the April 2015 payment date.
Credit enhancement to the Class A Notes (as a percentage of the performing collateral balance) consists of subordination of the Class B1, Class B2 and Class B3 Notes (45.10%). The transaction also benefits of a Cash Reserve Fund initially funded via a subordinated loan. The Cash Reserve Fund is equal to EUR 36.45 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-collateralise 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 Minimum Institution Rating given the rating assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions”, methodology.
The DBRS private rating of J.P. Morgan Securities plc is above the First Rating Threshold as described in DBRS’s “Derivative 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”.
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 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.
This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies
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 and data from the European DataWarehouse GmbH.
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.
The last rating action on this transaction took place on 22 May 2015, when DBRS confirmed the rating on the Class A Notes at AAA (sf). The lead responsibilities for this transaction have been transferred to Antonio Di Marco.
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 7.25% and 34.89%, respectively. At the AAA (sf) rating level, the corresponding PD is 29.89% and the LGD is 54.22%.
-- 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 A 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 A 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 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: Clare Mezzanotte
Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Erin Stafford, Managing Director
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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
-- 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
-- Derivative Criteria for European Structured Finance Transactions
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
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