EUR 606.9 million of debt securities rated
Milan, February 25, 2011 -- Moody's Investors Service has assigned definitive ratings to Notes issued
by Claris SME 2011 S.R.L.:
EUR606.9M A Note, Assigned Aaa (sf)
Claris SME 2011 S.r.l.is a cash securitization of
commercial loans (both secured and unsecured) extended mainly to small
and medium businesses in Italy. Borrowers may also include small
entrepreneurs that get financing for the running of their commercial activity.
The originator and servicer of these loans is Veneto Banca S.c.p.a.
The initial portfolio of approx. EUR 933.6 million of underlying
assets is composed of 5,242 borrower groups, either small
and middle-sized borrower groups. Assets are represented
by loans belonging to two different pools: mutui ipotecari or secured
mortgage loans to SMEs (54.4%) and mutui chirografari or
unsecured loans (45.6%). All the loans are direct
debit, with the vast majority consisting of monthly or quarterly
amortising repayment schedules.
Moody's notes that the transaction features a number of credit strengths,
including a very granular portfolio with the largest and 10 largest borrowers
representing 0.4% and 3.5% respectively,
with no loans in arrears for more than 30 days included as of the cut
off date. The structure does not include a revolving period during
which additional portfolios may be sold to the SPV. This feature
limits portfolio performance volatility caused by additional portfolio
purchase In addition, 54.4% of the portfolio is secured
by some type of real estate asset (with the majority of these, approx.
42% of the initial portfolio, backed directly by first lien
Moody's notes that the transaction also features a number of credit weaknesses,
such as the sector exposure to the building and real estate sector (according
to Moody's industry classification). However, loans
must be fully drawn and construction loans are excluded. This feature
has been taken into account in Moody's quantitative analysis.
In addition, historical performance data provided was limited and
does not cover a full economic cycle. Therefore, the default
assumption was mainly derived from the probability of default resulting
from the weighted-average rating assumption and life of the portfolio
inferred from the characteristics of the portfolio.
Moody's analysis focused primarily on (i) an evaluation of the underlying
portfolio of loans; (ii) historical performance information on both
originator portfolio and other statistical information; (iii) the
credit enhancement provided by the pool spread, the cash reserve
and the subordination of the notes; and (iv) the legal and structural
integrity of the transaction.
The principal methodologies used in this rating were Refining the ABS
SME Approach: Moody's Probability of Default assumptions in the
rating analysis of granular Small and Mid-sized Enterprise portfolios
in EMEA, published in March 2009 and Moody's Approach to Rating
Granular SME Transactions in Europe, Middle East and Africa,
published in June 2007.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Moody's used its ABSROM cash-flow model to determine the
potential loss incurred by the notes under each default scenario.
In parallel, Moody's also considered non-modeled risks
(such as counterparty risk). The resulting key assumptions of Moody's
analysis for this transaction are a mean default of 12.6%
with a coefficient of variation of 48% and a stochastic mean recovery
rate of 56%.
The ratings address the expected loss posed to investors by the legal
final maturity of the notes (August 2050). In Moody's opinion,
the structure allows for the timely payment of interest and ultimate payment
of principal on the Class A notes at par on or before the final legal
maturity date. Moody's ratings address only the credit risks
associated with the transactions. Other non-credit risks
have not been addressed, but may have a significant effect on yield
The V Score for this transaction is Medium, which is in line with
the score assignable to the Italian Leasing sector and representative
of the volatility and uncertainty in the Italian Leasing Sector.
Moody's notes that the Transaction Complexity is Low: very simple
structure single waterfall, static structure, and cash reserves
provides liquidity only during lifetime of the deal, all cash used
to pay class A notes interest and principal first followed by the subordinated
class B. V-Scores are a relative assessment of the quality
of available credit information and of the degree of dependence on various
assumptions used in determining the rating. For more information,
the V-Score has been assigned accordingly to the report "V
Scores and parameter Sensitivities in the EMEA Small-to-Medium
Enterprise ABS Sector" published in June 2009.
Moody's Parameter Sensitivities: Moody's principal portfolio model
inputs are Moody's cumulative default rate assumption and the recovery
rate. Moody's tested 9 scenarios derived from different combinations
of mean default rate and recovery rate. Specifically, Moody's
tested for the mean default rate: 12.6% as base case,
13.6% (base case plus 1%) and 14.6%
(base case +2%), and for the recovery rate: 56%
as base case, 51% as well as 46%. The model
sensitivity output indicated that Class A would have achieved a Aaa rating
even if the cumulative mean default probability had been as high as 13.6%
and the recovery rate as low as 51% (all other factors being constant).
Moody's Parameter Sensitivities provide a quantitative / model-indicated
calculation of the number of rating notches that a Moody's-rated
structured finance security may vary if certain input parameters would
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Vice President - Senior Analyst
Structured Finance Group
Moody's Italia S.r.l
Frankfurt am Main
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
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Moody's Italia S.r.l
Moody's assigns definitive ratings to notes issued by Claris SME 2011 S.R.L.
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