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TEXT-S&P affirms Claris Finance 2008 class A notes rtg after review

(The following statement was released by the rating agency)

Oct 05 - OVERVIEW

-- We have affirmed our 'AA- (sf)' rating on Claris Finance 2008's class A notes following our review of the transaction's performance and our cash flow and counterparty risk analysis.

-- Claris Finance 2008 securitizes a pool of mortgage loans granted to individuals and small to midsize enterprises, and secured over residential and small commercial properties located in Italy. The loans are originated by Veneto Banca and Banca Popolare di Intra.

Standard & Poor's Ratings Services today affirmed its 'AA- (sf)' credit rating on Claris Finance 2008's class A notes.

Today's rating action follows our review of the transaction's performance and our analysis of counterparty risk under our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published May 31, 2012).

Performance has been stable since December 2009. Arrears for 90+ days have decreased to 2.2% as of June 2012, compared with an average of 3.3% over the same period. This is partially offset by the increase in 30+ days arrears, which reached 6.6% as of June 2012, compared with an average of 6.2% since June 2009.

Defaults since closing have so far totaled 4.57% of the initial portfolio. After a peak of 1.23% in December 2010, periodic defaults in the initial portfolio have decreased in each subsequent half-year period to 0.46% in June 2012.

When we rated Claris Finance 2008's class A notes, we incorporated into our credit analysis the lower credit quality of this portfolio compared with the Italian market's average, and the higher risk related to loans granted to small and midsize enterprises.

Claris Finance 2008 features combined waterfalls for both principal and interest payments and uses excess spread and the cash reserve to cover defaulted loans. The cash reserve is currently 53.4% of its target, up from 48.8% as of the payment date in December 2011, when the cash reserve reached its lowest level since closing. In addition, credit enhancement for the class A notes has increased to 34.7% from 27.6% as of February 2011.

Deutsche Bank AG (A+/Negative/A-1) replaced the Italian account bank on Sept. 27, 2012, since the Italian bank was no longer considered eligible to act as a bank account provider. The new account bank documents were drafted in line with our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published May 31, 2012).

When we rated the transaction on Feb. 23, 2011, we did not consider the transaction documents relating to the swap provider, JPMorgan Chase Bank, N.A. , to be in line with our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published May 31, 2012). Consequently, our rating on the class A notes is the higher of the issuer credit rating on the swap provider and the result of our additional sensitivities without the benefit of the swap.

Based on our performance and cash-flow model review without the benefit of the swap, we have affirmed our 'AA- (sf)' rating on the class A notes. The rating on the class A notes therefore reflects our analysis and is no longer weak-linked to the rating on the swap provider.

Claris Finance 2008 is backed by a pool of mortgage loans, granted to individuals and small to midsize enterprises and secured over residential and small commercial properties located in Italy. The loans are originated by Veneto Banca SpA and Banca Popolare di Intra SpA.

RELATED CRITERIA AND RESEARCH

-- Economic Research: The Eurozone's New Recession--Confirmed, Sept. 25, 2012

-- Italian RMBS Index Report Q2 2012: Borrowers Are Under Pressure As The Economy Contracts, Aug. 15, 2012

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Various Rating Actions Taken On 340 European Structured Finance Tranches After Eurozone Sovereign Rating Actions, Jan. 23, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

-- Research Update: BNP Paribas Long-Term Rating Lowered To 'AA-'; Ratings Affirmed On Four Large French Banks, SACPs Lowered, Oct. 14, 2011

-- New Issue: Claris Finance 2008 S.r.l., Feb. 23, 2011 -- Principles of Credit Ratings, Feb. 16, 2011

-- Update To The Criteria For Rating Italian Residential Mortgage-Backed Securities, Jan. 6, 2009

-- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008

-- Cash Flow Criteria For European RMBS Transactions, Nov. 20, 2003

-- Criteria For Rating Italian Residential Mortgage-Backed Securities, July 16, 2002

((Bangalore Ratings Team, Hotline: +91 80 4135 5898 satish.kb@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com, Reuters Messaging: satish.kb.thomsonreuters.com@reuters.net))