DBRS Ratings Limited (DBRS) upgraded its rating of the Series 2015-1-A Notes issued by Claris Lease 2015 S.r.l. (the Issuer) to A (high) (sf) from A (sf) and upgraded its rating of the Series 2015-1-B Notes to BBB (high) from BBB (sf).
The ratings of the Series 2015-1-A Notes and Series 2015-1-B Notes (the Rated Notes) address the timely repayment of interest and ultimate repayment of principal on or before the legal final maturity date.
The upgrades follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the January 2019 payment date;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement (CE) to the Rated Notes to cover the expected losses at their respective rating levels.
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 2019, two- to three-month arrears represented 0.0% of the outstanding portfolio balance, down from 0.1% in January 2018. Leases more than 90 days in arrears represented 0.5% of the outstanding portfolio balance, up from 0.1% in January 2018. The cumulative default ratio was 1.3%.
DBRS conducted an analysis of the remaining pool of receivables and increased its base case cumulative net loss assumption to 14.4% from 13.7%. The main driver for the increased loss assumption is the increased proportion of real estate leases in the remaining collateral pool.
CREDIT ENHANCEMENT AND RESERVES
As of the January 2019 payment date, CE to the Series 2015-1-A Notes was 59.8%, up from 27.6% at the DBRS initial rating. CE to the Series 2015-1-B Notes was 38.3%, up from 18.1% at the DBRS initial rating. CE consists of subordination of the junior notes.
The transaction benefits from a Reserve Fund of EUR 5.6 million which covers senior fees and interest on the Rated Notes.
BNP Paribas Securities Services SCA/Milan acts as the account bank for the transaction. Based on the DBRS private rating of BNP Paribas Securities Services SCA/Milan, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Series 2015-1-A Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for these ratings include servicing reports and investor reports provided by Claris Leasing S.p.A. and Securtisation Services S.p.A, as well as loan-level data provided by the 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 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 these ratings 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 5 March 2018, when DBRS confirmed the ratings of the Series 2015-1-A Notes and Series 2015-1-B Notes at A (sf) and BBB (sf), respectively.
The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.
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 PD and 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 16.4% and 87.8%, 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 to 100%, the rating of the Series 2015-1-A Notes would be expected to fall to A (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Series 2015-1-A Notes would be expected to remain at A (high) (sf), assuming no change in the LGD. Furthermore, if the PD increases by 50% and the LGD increases to 100%, the rating of the Series 2015-1-A Notes would be expected to fall to A (sf).
Series 2015-1-A Notes Risk Sensitivity:
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- Increase in LGD to 100%, expected rating of A (sf)
-- 25% increase in PD and increase in LGD to 100%, expected rating of A (sf)
-- 50% increase in PD and increase in LGD to 100%, expected rating of A (sf)
Series 2015-1-B Notes Risk Sensitivity:
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- Increase in LGD to 100%, expected rating of BBB (high) (sf)
-- 25% increase in PD and increase in LGD to 100%, expected rating of BBB (high) (sf)
-- 50% increase in PD and increase in LGD to 100%, expected rating of BBB (high) (sf)
For further information on DBRS historic default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 April 2015
DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.
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
-- Interest Rate Stresses for European Structured Finance Transactions
-- 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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.