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 (together, the Rated Notes) follow an annual review of the transaction and are based on the following analytical considerations as described more fully below:
-- Portfolio performance, in terms of delinquencies and defaults, as of December 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.

PORTFOLIO PERFORMANCE
As of December 2016, the 90+ delinquency ratio was at 0.01%. The current cumulative default ratio is low at 0.21%.

PORTFOLIO ASSUMPTIONS
DBRS has conducted a loan-level analysis of the collateral pool and increased its cumulative net loss (CNL) assumption to 13.09% for the Series 2015-1-A Notes and 13.07% for the Series 2015-1-B Notes from 12.36% and 12.34%, respectively. The main drivers for the increased loss assumption are the increased proportion of real estate leases in the remaining collateral pool, and the increased sovereign stress applied in Italian securitisation transactions following DBRS’s downgrade of the Republic of Italy’s Long-Term Foreign and Local Currency Issuer Ratings to BBB (high) from A (low) on 13 January 2017.

CREDIT ENHANCEMENT
As of the January 2017 payment date, credit enhancement to the Series 2015-1-A Notes was 38.80%, up from 27.61% at the DBRS initial rating. Credit enhancement to the Series 2015-1-B Notes was 25.47%, 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 Rated 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 DBRS’s 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.

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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.
The sources of data and information used for this rating include quarterly reports provided by Claris Leasing S.p.A. and Securitisation Services S.p.A, and loan-level data from 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 not 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 8 April 2016, when DBRS confirmed the rating of A (sf) on the Series 2015-1-A Notes and confirmed the rating of BBB (sf) on the Series 2015-1-B Notes.

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 loans for the Issuer are 14.92% and 87.74%, 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 remain at A (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 (high) (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 BBB (sf).

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

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

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 24 April 2015

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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations
-- Rating CLOs and CDOs of Large Corporate Credit

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