OREANDA-NEWS. November 03, 2015.  Fitch Ratings has affirmed the Popolare Bari RMBS series. A full list of rating actions is at the end of this commentary.

The series comprises three Italian RMBS originated and serviced by Banca Popolare di Bari.

KEY RATING DRIVERS
Solid Credit Support
The affirmation reflects the robust credit support available to the rated notes, which is mainly due to the swift amortisation of the underlying loans, currently at an average annual rate between 17.2% in 2013 PB and 18.2% in the other deals.

Fitch's analysis showed that for 2011 PB and 2013 PB, the available credit enhancement is adequate to support the ratings and associated stresses. The available credit enhancement for PBM is sufficient to support higher ratings, but the rating triggers associated with the account bank, swap counterparty and eligible investments permit a maximum rating of 'A+sf' according to Fitch's counterparty risk criteria. These factors explain the affirmations.

Weak Asset Performance
Asset performance has remained weak over the past 12 months in response to the fragile economic background currently prevailing in Southern Italy, where between 70% (2011 PB and 2013 PB) and 87% (PBM) of the portfolio is concentrated. To date, late stage arrears (loan with three or more monthly instalments overdue) are reported between 1.3% (2013 PB) and 2% (PBM and 2011 PB) of the current pool, compared with between 0.2% (2013 PB) and 1.8% (2011 PB) 12 months ago. The volume of gross defaults, defined as loans with more than 15 monthly, five quarterly and three semi-annual payments overdue, has also increased quickly to 2.1% (PBM) and 2.8% (2011 PB) of the initial pool from 1.2% in PBM and 1.4% in 2011 PB. No defaults were reported in 2013 PB last year, whereas they now stand at 0.4%.

In Fitch's view, the asset performance is likely to remain weak in the coming months in response to the economic environment in Southern Italy.

Exposure to Payment Holidays and Maturity Extensions
Fitch notes that loans in payment holidays are currently between 0.8% (2011 PB) and 1.3% (2013 PB) of the current pool. The pools contain also loans whose maturity has been extended and represent between 0.4% and 6.1% of the current portfolio. Fitch has associated a higher default probability to these loans to factor in the likely deteriorated borrower profile. The transactions were resilient to such stress.

RATING SENSITIVITIES
Tighter counterparty rating triggers, in line with Fitch's counterparty risk criteria, could lead to positive rating action on PBM.

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 to the senior tranches of 2011 PB and 2013 PB.

Deterioration of the asset performance beyond Fitch's expectations and recovery proceeds lower than the agency's implied stresses would result in negative rating action across the series.

An abrupt increase in reference interest rates beyond Fitch's stresses could also result in negative rating actions on 2011 PB and 2013 PB. This is because it would jeopardise the performance of loans originated in a low interest rate environment (41% in 2011 PB and 61.6% in 2013 PB).

The rating actions are as follows:

Popolare Bari Mortgages S.r.l. (PBM)
Class A (ISIN IT0004440613) affirmed at 'A+sf'; Outlook Stable

2011 Popolare Bari SPV S.r.l. (2011 PB)
Class A1 (ISIN IT0004780810) affirmed at 'AA+sf'; Outlook Stable
Class A2 (ISIN IT0004780802) affirmed at 'AA+sf'; Outlook Stable

2013 Popolare Bari SPV S.r.l. (2013 PB)
Class A1 (ISIN IT0004998040) affirmed at 'AA+sf'; Outlook Stable
Class A2 (ISIN IT0004998347) affirmed at 'AA+sf'; Outlook Stable

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 pools and the transactions. 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 PBM and 2013 PB
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 2011 PB
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the mortgage product type (ie a small portion of loans were constant instalment-variable maturity loans) information. These findings were not considered in this analysis as they are immaterial.

Prior to the transaction 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:
-Loan-by-loan data provided by European Data Warehouse as of 30 June 2015.
-Transaction reporting dated 31 July 2015 (PBM and 2011 PB) and 30 June 2015 (2013 PB) and provided by Banca Popolare di Bari.

MODELS

EMEA RMBS Surveillance Model.

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 2011 Popolare Bari SPV S.r.l. - Appendix, dated 12/01/2012 and 2013 Popolare Bari RMBS S.r.l. - Appendix, dated 23/04/2014 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.