TEXT-Fitch affirms Claris SME 2011 Srl

Mon Dec 10, 2012 12:16pm EST

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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