Investor Report CLARIS RMBS 2011 SRL. Cover Page. Pay Date: 29/02/2016. Primary Contacts:

Transcription

1 Cover Page CLARIS RMBS 2011 SRL Investor Report Primary Contacts: Milan Office Via Carducci 31 Milan, Tel:

2 Deal Specific CLARIS RMBS 2011 SRL CONTENTS Page 1: Page 2: Page 3: Page 4: Page 5: Page 6: Page 7: Page 8: Page 9: Page 10: Page 11: Page 12: Page 13: IPD Details Note level data Note level data (continued) Note level data (continued) Note level data (continued) Sources of Funds Pre-Acceleration Order of Priority Pre-Acceleration Order of Priority (continued) Acceleration Order of Priority Acceleration Order of Priority (continued) Collateral Account Priority of Payments / Swaps Accounts and Reserve Funds Contact details IPD DETAILS Currency EURO Collection Period Start Date (inclusive) November 01, 2015 Collection Period End Date (inclusive) January 31, 2016 Payment Date February 29, 2016 Accrual Beginning Date (inclusive) November 30, 2015 Accrual Ending Date (exclusive) February 29, 2016 Calculation Date February 22, 2016 Days in Current Interest Period 91 Interest Basis Actual 360 EURIBOR this period % Legal Maturity November, 2060 Stock Exchange Irish Stock Exchange Page 1

3 NOTE LEVEL DATA Class A1 Notes ISIN Class A1 Original Moodys Class A1 Rating IT Aaa Current Moodys Class A1 Rating - Original Fitch Class A1 Rating AAA Current Fitch Class A1 Rating - Currency EURO Denomination 100,00 Number of Notes 1,75 Total Original Balance 175,000,00 Total Original Balance / Note 100,00 Total Beginning Balance Prior to Distributions Total Beginning Balance Prior to Distributions / Note Total Ending Balance Subsequent to Distributions Total Ending Balance Subsequent to Distributions / Note Total Principal Distributions Total Principal Distributions / Note Euribor Rate 0% Notes Margin 000% Rate of Interest 000% Previous Period Interest Arrears Interest Accrued Interest Accrued / Note Total Interest Due Total Interest Due / Note Total Interest Distributions Total Interest Distributions / Note Interest Arrears Carried Forward Beginning Principal Factor Ending Principal Factor Total Interest and Principal Distributions Class A2 Notes ISIN Class A2 Original Moodys Class A2 Rating Current Moodys Class A2 Rating IT Aaa Aa2 Page 2

4 Original Fitch Class A2 Rating Current Fitch Class A2 Rating Currency AAA AA+ EURO Denomination 100,00 Number of Notes 3,85 Total Original Balance 385,000,00 Total Original Balance / Note 100,00 Total Beginning Balance Prior to Distributions Total Beginning Balance Prior to Distributions / Note Total Ending Balance Subsequent to Distributions Total Ending Balance Subsequent to Distributions / Note Total Principal Distributions Total Principal Distributions / Note Euribor Rate % Notes Margin % Rate of Interest % Previous Period Interest Arrears Interest Accrued Interest Accrued / Note Total Interest Due Total Interest Due / Note Total Interest Distributions Total Interest Distributions / Note Interest Arrears Carried Forward Beginning Principal Factor Ending Principal Factor Total Interest and Principal Distributions Class A3 Notes ISIN Class A3 Original Moodys Class A3 Rating Current Moodys Class A3 Rating Original Fitch Class A3 Rating Current Fitch Class A3 Rating Currency IT Aaa Aa2 AAA AA+ EURO Denomination 100,00 Number of Notes 5, Total Original Balance 591,200,00 Page 3

5 Total Original Balance / Note 100,00 Total Beginning Balance Prior to Distributions 584,953, Total Beginning Balance Prior to Distributions / Note 98, Total Ending Balance Subsequent to Distributions 542,724, Total Ending Balance Subsequent to Distributions / Note 91, Total Principal Distributions 42,229, Total Principal Distributions / Note 7, Euribor Rate % Notes Margin % Rate of Interest % Previous Period Interest Arrears Interest Accrued 726, Interest Accrued / Note Total Interest Due 726, Total Interest Due / Note Total Interest Distributions 726, Total Interest Distributions / Note Interest Arrears Carried Forward Beginning Principal Factor Ending Principal Factor Total Interest and Principal Distributions 42,955, Class B Notes ISIN Class B Original Moodys Class B Rating Current Moodys Class B Rating Original Fitch Class B Rating Current Fitch Class B Rating Currency IT unrated unrated unrated unrated EURO Denomination 1,00 Number of Notes 203, Total Original Balance 203,188,00 Total Original Balance / Note 1,00 Total Beginning Balance Prior to Distributions 203,188,00 Total Beginning Balance Prior to Distributions / Note 1,00 Total Ending Balance Subsequent to Distributions 203,188,00 Total Ending Balance Subsequent to Distributions / Note 1,00 Total Principal Distributions Page 4

6 Total Principal Distributions / Note Euribor Rate % Notes Margin % Rate of Interest % Previous Period Interest Arrears 34,016, Interest Accrued 1,484, Interest Accrued / Note 7.31 Total Interest Due 35,500, Total Interest Due / Note Total Interest Distributions Total Interest Distributions / Note Interest Arrears Carried Forward 35,500, Total Additional Return Distributions Total Additional Return Distributions / Note Beginning Principal Factor Ending Principal Factor Total Interest, Additional Return and Principal Distributions Page 5

7 SOURCES OF FUNDS Issuer Available Funds Means, in respect of each Payment Date, the aggregate (without duplication) of: (i) all the Collections received by the Issuer through the Servicer, during the immediately preceding Collection Period; 45,700, (ii) all other amounts transferred during the preceding Period from the Transitory Collection and Recoveries Account into the Account; (iii) all the amounts credited to the Principal Accumulation Account on the immediately preceding Payment Date; (iv) all interest on the amounts standing to the credit of each of the Accounts during the immediately preceding Period and any profit on Eligible Investments made out of the funds standing to the credit of the Accounts in the immediately preceding Collection Period; (v) all interest accrued and paid on the amount from time to time standing to the credit of the Expenses Account during the immediately preceding Collection Period and paid into the same; (vi) all amounts due and payable to the Issuer in respect of such Payment Date under the terms of the Swap Agreement; (vii) all amounts received from the Originator, if any, pursuant to the Warranty and Indemnity Agreement and/or the Transfer Agreement, all amounts received by the Issuer as indemnities for the renegotiation of the Loan Agreements and any payment made to the Issuer by any other party to the Transaction Documents during the immediately preceding (viii) any amounts paid into the Payments Account during the immediately preceding Collection Period, other than the Issuer Available Funds utilised on the preceding Payment Date; (ix) any Swap Collateral Account Surplus paid into the Payments Account in accordance with the Collateral Account Priority of Payments; (x) the Cash Reserve; and 40,631,64 (xi) in relation to the Optional Redemption and the Redemption for Taxation, the funds from the non interest bearing limited recourse loan that may be granted by the Originator to the Issuer pursuant to the Funding Agreement or the proceeds from the sale of the Portfolio, but excluding, for the avoidance of doubt, any Interest Accruals. (xi A) Monte Titoli Rounding from last period 4.84 TOTAL 86,332, Page 6

8 PRE - ACCELERATION ORDER OF PRIORITY Available Distribution Amount: 86,332, Distributed as follows: The Issuer Available Funds shall be applied on each Payment Date in making the following payments in the following order of priority (in each case, only if and to the extent that payments of a higher priority have been made in full): (i) First, to pay pari passu and pro rata to the extent of the respective amounts thereof (a) all costs, taxes and expenses required to be paid in order to preserve the corporate existence of the Issuer or to maintain it in good standing or to comply with the applicable legislation and (b) all costs and taxes required to be paid to maintain the rating of the Class A Notes and in connection with the registration and deposit of the Notes, or any notice to be given to the Noteholder (ii) Second, to pay pari passu and pro rata to the extent of the respective amounts thereof the fees, expenses and all other amounts due to the Representative of Noteholders and the Security Trustee (iii) Third, to pay into the Expenses Account the amount (if any) necessary to ensure that the balance standing to the credit of the Expenses Account as at such Payment Date is equal to the Retentio (iv) Fourth, to pay pari passu and pro rata to the extent of the respective amounts thereof the fees, expenses and all other amounts due to the Cash Manager, the Computation Agent, the Irish Paying the Agent Bank, the Operating Bank, the Transaction Bank, the Principal Paying Agent, the Custodian Bank and the Corporate Services Provider; 2, , , , (v) Fifth, to pay all amounts due and payable to the Swap Counterparty under the terms of the Swap Agreement; 2,543, (vi) Sixth, to pay any fees and expenses of the Servicer as provided under the Servicing Agreement; 124, (vii) Seventh, to pay pari passu and pro rata the Interest Amount on the Principal Amount Outstanding of the Class A Notes; (a) Class A1 Notes; (b) Class A2 Notes; (c) Class A3 Notes; 726, (viii) Eighth, to credit the Target Cash Reserve Amount on the Cash Reserve Account; 40,631,64 (ix) Ninth, (pari passu and pro rata according to the amounts then due) (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit an amount equal to the Principal Amount Outstanding of the Class A1 Notes to the Principal Accum (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class A1 Notes to the Class A1 Noteholders ; (x) Tenth, (pari passu and pro rata according to the amounts then due) (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit an amount equal to the Principal Amount Outstanding of the Class A2 Notes to the Principal Accum (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class A2 Notes to the Class A2 Noteholders ; (xi) Eleventh, (pari passu and pro rata according to the amounts then due) (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit an amount equal to the Principal Amount Outstanding of the Class A3 Notes to the Principal Accum (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class A3 Notes to the Class A3 Noteholders ; (i) Monte Titoli Rounding Difference for Class A3 Notes ; 42,229, Page 7

9 (xii) Twelfth, to pay any due but unpaid Subordinated Swap Counterparty Termination Payment; (xiii) Thirteenth, to pay to the Originator any amount due and payable in respect of purchase price adjustments due in relation to the Claims under the Transfer Agreement, and any amount due and pay (xiv) Fourteenth, to pay to (a) the Originator, any amount due and payable as restitution of the insurance premia and relevant expenses advanced by the Originator under the Transfer Agreement in relation to the Portfolio and (b) to VB, under any role other than the Originator, any amount due and payable pursuant to the Transaction Documents, and not expressly set forth in any other items; (xv) Fifteenth, to repay any amounts of principal due and payable to the Subordinated Loan Provider under the Subordinated Loan Agreement; (xvi) Sixteenth, to pay the Interest Amount on the Class B Notes; (xvii) Seventeenth, (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit the Principal Amount Outstanding of the Class B Notes, in an amount not exceeding the Scheduled (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class B Notes, in an amount not exceeding the Schedu (xviii) Eighteenth, to pay the Additional Return, to the Class B Noteholders; (xix) Nineteenth, after full and final settlement of all the payments due under this Order of Priority and full redemption of all the Notes, to pay any surplus remaining on the balance of the Transi provided, however, that should the Computation Agent not receive the Semi-Annual Servicing Report within the third Business Day following the Semi-Annual Servicing Report Date, (i) it shall prepare Page 8

10 ACCELERATION ORDER OF PRIORITY Available Distribution Amount: Distributed as follows: Following the delivery of a Trigger Notice, the Issuer Available Funds shall be applied on each Payment Date in making the following payments in the following order of priority (in each case, only i (i) First, to pay pari passu and pro rata to the extent of the respective amounts thereof (a) all costs, taxes and expenses required to be paid in order to preserve the corporate existence of the Issuer or to maintain it in good standing or to comply with the applicable legislation and (b) all costs and taxes required to be paid to maintain the rating of the Class A Notes and in connection with the registration and deposit of the Notes, or any notice to be given to the Noteholder (ii) Second, to pay pari passu and pro rata to the extent of the respective amounts thereof the fees, expenses and all other amounts due to the Representative of Noteholders and the Security Trustee (iii) Third, to pay into the Expenses Account the amount (if any) necessary to ensure that the balance standing to the credit of the Expenses Account as at such Payment Date is equal to the Retentio (iv) Fourth, to pay pari passu and pro rata to the extent of the respective amounts thereof the fees, expenses and all other amounts due to the Cash Manager, the Computation Agent, the Agent Bank, t (v) Fifth, to pay all amounts due and payable to the Swap Counterparty under the terms of the Swap Agreement, other than (1) any Swap Tax Credit Amounts (which amounts shall be paid when due in acco (vi) Sixth, to pay any fees and expenses of the Servicer as provided under the Servicing Agreement; (vii) Seventh, to pay the Interest Amount on the Principal Amount Outstanding of the Class A1 Notes, the Class A2 Notes and the Class A3 Notes; (viii) Eighth, (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit an amount equal to the Principal Amount Outstanding of the Class A1 Notes, the Class A2 Notes an (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class A1 Notes, the Class A2 Notes and the Class A3 (ix) Ninth, only to the extent the amounts paid pursuant to the Collateral Account Priority of Payments are insufficient to pay any Subordinated Swap Counterparty Termination Payment in full, to pay (x) Tenth, to pay to the Originator any amount due and payable in respect of purchase price adjustments due in relation to the Claims under the Transfer Agreement, and any amount due and payable by (xi) Eleventh, to pay to (a) the Originator, any amount due and payable as restitution of the insurance premia and relevant expenses advanced by the Originator under the Transfer Agreement in relation to the Portfolio and (b) to VB, under any role other than the Originator, any amount due and payable pursuant to the Transaction Documents, and not expressly set forth in any other items; (xii) Twelfth, to pay pari passu and pro rata, according to the amounts then due, any amount of principal due and payable to the Subordinated Loan Provider under the Subordinated Loan Agreement; (xiii) Thirteenth, to pay the Interest Amount on the Class B Notes; (xiv) Fourteenth, (a) on each Payment Date, up to (but excluding) the Payment Date falling on November 2012, to credit the Principal Amount Outstanding of the Class B Notes, in an amount not exceeding the Scheduled (b) on each Payment Date starting from (and including) the Payment Date falling on November 2012, to pay the Principal Amount Outstanding of the Class B Notes, in an amount not exceeding the Schedu (c) following full redemption of the Class B Notes, in or towards repayment of any amount due to the Originator under the Funding Agreement; Page 9

11 (xv) Fifteenth, to pay the Additional Return due and payable on the Class B Notes; (xvi) Sixteenth, to pay any surplus to the Originator (including any surplus remaining on the balance of the Expenses Account). Page 10

12 COLLATERAL ACCOUNT PRIORITY OF PAYMENTS Available Distribution Amount: Distributed as follows: upon or immediately following the designation of an Early Termination Date in respect of the Swap Agreement where (A) such Early Termination Date has been designated following an Event of Default (a (i) first, in or towards payment of any Replacement Swap Premium (if any) payable by the Issuer to a replacement swap counterparty in order to enter into a replacement swap agreement with the Issuer (ii) second, in or towards payment of any termination payment due to the outgoing Swap Counterparty; and (iii) third, the surplus (if any) (a 'Swap Collateral Account Surplus') on such day to be transferred to the Payments Account and deemed to form Issuer Available Funds; SWAPS (1) Claris RMBS SRL - Fixed Rate - Reference No Party A Floating Rate Payer: JPMCB TOTAL DUE TO 2,328, Party B Fixed Rate Payer: Claris RMBS TOTAL DUE TO -68, TOTAL NET AMOUNT DUE TO: JPMCB 2,397, (2) Claris RMBS SRL - Floating Rate - Reference No Party A Floating Rate Payer: JPMCB TOTAL DUE TO 7, Party B Floating Rate Payer: Claris RMBS TOTAL DUE TO -138, TOTAL NET AMOUNT DUE TO: JPMCB 145, TOTAL AMOUNT OF SWAP LEGS DUE TO PARTY A: JPMCB 2,335, TOTAL AMOUNT OF SWAP LEGS DUE TO PARTY B: Claris RMBS 207, OVERALL TOTAL NET AMOUNT DUE TO: JPMCB 2,543, Page 11

13 ACCOUNTS & RESERVE FUNDS Principal Accumulation Account Previous Balance Net Balance Increase Net Balance Decrease Ending Balance (Waterfall Paid items (ix) (a), (x) (a), (xi) (a), and (xvii) (a)) Cash Reserve Beginning Balance 40,631,64 Net Balance Increase Net Balance Decrease Ending Balance (Waterfall Paid item (viii)) 40,631,64 Cash Reserve Target Amount 40,631,64 Scheduled Class B Notes Repayment Amount Final Maturity Date? Final Redemption Date? Pay Class B Notes down in full? NO NO NO Current Principal Amount Outstanding of the Class B Notes; 203,188,00 10% of the Initial Principal Amount Outstanding of the Class B Notes; 20,318,80 Difference to pay down 182,869,20 The Issuer Available Funds remaining after payment of items First to Sixteenth of the Pre-Acceleration Order of Priority; Scheduled Class B Notes Repayment Amount (subject to Available Funds) 182,869,20 Subordinated Loan Beginning Balance 40,701,64 Principal Payments Interest Accrued not applicable Ending Balance 40,701,64 Page 12

14 CONTACT INFORMATION Relationship Manager: Silvia Milanesi phn +39 (0) fax +39 (0) Trust Associate: Marco Crippa phn +39 (0) fax +39 (0) Page 13

15 Summary - Collateral Claris RMBS 2011 SRL 02-Mar-2015 Global Portfolio Portfolio Status Number of Loans Principal Outstanding % Arrears Number of Loans Performing Mortgages 8, ,035, % from 6 to 30 days 22 1,270, % Deliquent Mortgages ("Incagli") , % from 31 to 60 days 84 9,411, % Defaulted Mortgages ,616, % from 61 to 90 days 30 2,952, % Total Outstanding Pool 9, ,541, % from 91 to 180 days 83 9,552, % from 181 to 270 days 43 5,151, % from 271 to 360 days 11 1,193, % more than 360 days 4 323, % Total ,854, % Collection from Mortgages Portfolio: Current CP Cumulative Collections Collection from "Defaulted Mortgages": Current CP Scheduled Principal 13,058, ,641, Principal Recoveries 960, ,357, Prepayments 26,814, ,797, Interest Recoveries & Other Recoveries 120, , Interest 4,728, ,206, Total 1,080, ,183, Penalty Interest and other penalties (i.e. 18, , Others (Interest Accruals) - 299, Total 44,619, ,323, Other Collections Current CP Cumulative Collections Interest accrued on bank accounts in Veneto Banca: Current CP Comulative Collections Specify - 523, Interest accrued on the Collection A/C account - - Specify - - Interest accrued on any other account - - Total - 523, Total - - Amounts returned to the SPV Current CP Mortgages transferred which were not elegible at Closir - - Total - - TOTAL COLLECTIONS - - Principal Outstanding % Comulative Collections

16 Summary - Collateral Claris RMBS 2011 SRL 02-Mar-2015 Summary Collateral Maturity Extension related recognitions Comulative Amount Collection Period Amount Principal Outstanding Amount of Renegotiated Loans* 8,144, , Portfolio Principal Outstanding Amount (as of Effective Date) 1,343,850, ,343,850, if a / b < 15 % OK OK *Outstanding Amount at the Effective Date Spread reduction / Fixed Rate reduction Comulative Amount Collection Period Amount Principal Outstanding Amount of Renegotiated Loans* 11,940, ,318, Portfolio Principal Outstanding Amount (as of Effective Date) 1,343,850, ,343,850, if a / b < 25 % OK OK *Outstanding Amount at the Effective Date Total renegotiations (1 and 2) Comulative Amount Collection Period Amount Principal Outstanding Amount of Renegotiated Loans (1 and 2)* 20,084, ,786, Portfolio Principal Outstanding Amount (as of Effective Date) 1,343,850, ,343,850, if a / b < 25 % OK OK *Outstanding Amount at the Effective Date Debt Assumption Comulative Amount Collection Period Amount Principal Outstanding Amount of Debt Assumption related Loans* 15,308, ,399, Portfolio Principal Outstanding Amount (as of Effective Date) 1,343,850, ,343,850, if a / b < 7 % OK OK *Outstanding Amount at the Effective Date Repurchased Loans (defaulted claims excluded) Comulative Amount Collection Period Amount Principal Outstanding Amount of Repurchased Loans* 505, Portfolio Principal Outstanding Amount (as of Effective Date) 1,343,850, ,343,850, if a / b < 4 % OK OK

17 Summary - Collateral Claris RMBS 2011 SRL 02-Mar-2015 Summary Collateral Annual Comulative Amount Repurchased Loans (exept defaulted claims) Principal Outstanding Amount of Repurchased Loans* 505, Portfolio Principal Outstanding Amount as of the last Quarterly Servicing Report Date of the Preceding Calendar Year 951,910, if a / b < 4 % OK OK *Outstanding Amount at the Effective Date Collection Period Amount Repurchased Loans classified as Defaulted Loans pursuant to Bank of Italy regulation Principal Outstanding Amount of Repurchased Loans* - Portfolio Principal Outstanding Amount (as of Effective Date) if a / b < 0.25 % OK OK *Outstanding Amount at the Effective Date Maturity Extension related renegotiations on Defaulted Claims, classified as Default pursuant to the servicing agreement Cumulative Amount Collection Period Amount but not pursuant to Bank of Italy regulation Principal Outstanding Amount of Renegotiated Loans - - if a / b < 15 % OK OK

18 Summary - Collateral Claris RMBS 2011 SRL 02-Mar-2015 BNY Mellon Contacts: Relationship Manager Silvia Milanesi silvia.milanesi@bnymellon.com phn +39(0) fax +39(0) Trust Associates Marco Crippa marco.crippa@bnymellon.com phn +39(0) fax +39(0)