OREANDA-NEWS. Fitch Ratings has affirmed 10 tranches of four prime Italian RMBS originated and serviced by Veneto Banca Group (VB), as follows:

Claris Finance 2007 S.r.l. (C2007)
Class A (ISIN IT0004189160) affirmed at 'AA+sf'; Outlook Stable
Class B (ISIN IT0004189178) affirmed at 'AAsf'; Outlook Stable
Class C (ISIN IT0004189186) affirmed at 'BBBsf'; Outlook Stable

Claris Finance 2008 S.r.l. (C2008)
Class A (ISIN IT0004380694): affirmed at 'AA+sf'; Outlook Stable
Class B (ISIN IT0004380702): affirmed at 'Asf'; Outlook revised to Positive from Stable

Claris RMBS 2011 S.r.l. (C2011)
Class A2 (ISIN IT0004700867): affirmed at 'AA+sf'; Outlook Stable
Class A3 (ISIN IT0004700875): affirmed at 'AA+sf'; Outlook Stable

Claris RMBS 2014 S.r.l. (C2014)
Class A1 (ISIN IT0005002933): affirmed at 'AA+sf'; Outlook Stable
Class A2 (ISIN IT0005003139): affirmed at 'AA+sf'; Outlook Stable

KEY RATING DRIVERS
Sufficient Credit Enhancement
The affirmation reflects adequate credit enhancement available to the rated notes, due to the swift portfolio amortisation at an average annual rate between 14.1% (C2007) and 20.9% (C2011). In Fitch's view the available credit support is adequate to withstand associated rating stresses.

Asset Performance within Expectations
Asset performance improved slightly for the more seasoned transactions, as late-stage arrears (loans with three or more monthly payments overdue) declined to 2% in C2011, 2.3% in C2007 and 2.4% in C2008 of the current pool balance, from 2.7% (C2011), 4.1% (C2007) and 3.4% (C2008). Despite this, gross cumulative defaults increased by around 1 p.p. in each transaction and are currently reported at 3% of the original balance in C2011, 6.9% in C2007 and 7.1% in C2008. Fitch expects that asset performance will stabilise in the next payment dates as a result of high seasoning, between 77 (C2011) and 133 (C2007) months, and an improving economic environment in northern Italy, where the pool is concentrated.

Claris 2014 has shown a weaker performance with rapidly increasing late-stage arrears at 1.6% of the current pool and gross cumulative defaults at 1% of the initial pool.

Exposure to SME Loans
Over the last 12 months mortgages granted to SMEs in the C2008 portfolio decreased to 14.5% of the total from 17.75%. Although these loans have outperformed the residential sub-pool, Fitch has applied a higher probability of default to these loans, consist with the ones applied for Claris SME 2015, and a steeper market value decline to underlying properties to factor in the higher risk associated with SME loans, compared with pure residential loans.

Lower Recovery Rate
Fitch capped principal and interest recovery at a maximum rate of 100% of the defaulted balance. This assumption reflects the small amount of recoveries collected to date, which are between 27% (C2008) and 4% (C2014) of cumulative gross defaults. The agency believes that recovery income will remain subdued over the next quarters in response to long tribunal timing.

Increasing Principal Deficiencies
Fitch observes that the pipeline of un-provisioned defaults has increased to 2.8% of the rated notes from 1.95% in August 2014. Principal deficiencies are detrimental to the structure as they increase carry cost. Nevertheless, Fitch considers that at present the effect is not material and the available credit support is adequate to withstand this stress.

Adequate Liquidity
Fitch found that the combination of cash reserves and appointed back-up servicers (Securitisation Services for C2014 and Banca Popolare dell'Alto-Adige for the rest) across transactions are sufficient to cover senior fees, swap payment and interest on notes for more than a payment date under a rising Euribor scenario.

RATING SENSITIVITIES
Changes to Italy's Long-term Issuer Default Rating (BBB+/Stable) and the rating cap for Italian structured finance transactions, currently 'AA+sf', could trigger rating changes on the notes rated at this level.

Deterioration in asset performance beyond Fitch's standard assumptions could also trigger negative rating actions.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Applicable to C2007, C2008 and C2011
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Applicable to C2011 and C2014
Prior to the transactions' closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Applicable to C2014
Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Transaction reporting provided by Veneto as of 31 July 2015 (C2007), 22 June 2015 (C2008), 28 August 2015 (C2011) and 11 September 2015 (C2014).
- Loan-by-loan information provided by European Data Warehouse as of 21 August 2015 (C2008), 31 July 2015 (C2011) and 31 August 2015 (C2014) and provided by Veneto Banca as of 31 October 2015 (C2007).

REPRESENTATIONS AND WARRANTIES
A comparison of the transactions' Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Claris RMBS 2014 S.r.l. - Appendix, dated 16 April 2014 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.