TEXT-Fitch affirms Claris SME 2011 Srl
Dec 10 - Fitch Ratings has affirmed Claris SME 2011 S.r.l. notes as follows: Class A (IT0004682404): affirmed at 'AAAsf'; Outlook Negative The rating reflects the increased class A credit enhancement due to deleveraging which offsets performance deterioration in the portfolio. As a result, the class A notes are able to withstand Fitch's 'AAAsf' stress. The Negative Outlook on the notes reflects Fitch's Negative Outlook on the sovereign rating. The class A notes began amortising on the August 2012 payment date, the first payment date on which principal collections deposited in the principal accumulation account held at Bank of New York Mellon ('AA-'/Stable/ 'F1+') were released. The portfolio had amortised to 59% of its initial balance as of 31 October 2012, which increased the asset-based credit enhancement for class A notes to 70.4%. Loans delinquent for more than 90 days are 7.6% of the outstanding portfolio balance and the defaulted loans account for 2.2% of the outstanding portfolio balance or 1.3% of the maximum portfolio balance. The transaction is backed by a static portfolio of secured and unsecured loans originated by Veneto Banca (not rated) to Italian small- and medium-sized enterprises. 52.0% of the outstanding pool is secured by real estate properties with 42.5% secured on residential properties and 57.5% secured on commercial properties. Currently the weighted average recovery rate is low at 12.4% of the total defaulted balance since closing. The pool has low obligor concentration that has not increased significantly since closing. The largest obligor in the pool is 0.6% of the outstanding balance and the top 10 obligors represent 4.7%. Additional information is available on www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. Source of information: The information used to assess these ratings was sourced from periodic investor reports and the trustee. Applicable criteria 'Global Structured Finance Criteria', dated 6 June 2012; 'Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs)', dated 27 November 2012; 'Counterparty Criteria for Structured Finance Transactions', dated 30 May 2012; 'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May 2012; 'EMEA SC Issuer Report Grades', dated 14 November 2011; 'Criteria for Rating Caps in Global Structured Finance Transactions', dated 2 August 2012, are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Structured Finance Rating Criteria Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs) Counterparty Criteria for Structured Finance Transactions Counterparty Criteria for Structured Finance Transactions: Derivative Addendum EMEA SC Issuer Report Grades Criteria for Rating Caps in Global Structured Finance Transactions
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