OREANDA-NEWS. Fitch Ratings has affirmed 2012 Popolare Bari SME S.r.l.'s class A1 and class A2 notes, as follows:

EUR168m Class A1: affirmed at 'AA+sf', Outlook Stable
EUR34.6m Class A2: affirmed at 'AA+sf', Outlook Stable

The transaction is a securitisation of Italian SME loans originated by Banca Popolare di Bari S.c.p.A. and Cassa di Risparmio di Orvieto S.p.A.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance since the last review in December 2014. The class A1 notes have amortised by EUR85.7m and are currently 33.8% of their initial balance. Similarly, the class A2 notes have amortised by EUR14m and are 28.8% outstanding. The natural amortisation has resulted in a 10.20% increase in credit enhancement for the class A notes, to 61.15%.

Fitch has increased the annual average probability of default benchmark to 8.0% from 7.5% at last review due to an increase in the bank's observed default frequency. This represents an increase of 2.15% from the 5.85% benchmark at origination.

The pool factor of the underlying loans has fallen to 52.72 % from 65.3% at last review with a current performing balance of EUR454.9m and default balance of EUR38.5m. Delinquencies of over 90 days have fallen substantially to EUR9.6m from EUR26.5m. However, many of the delinquent loans are now classified as defaulted, with the reported current default figure 19.2m higher than at last review. The transaction received recoveries of 6.23m during the period with 5.15m received in the latest report dated 31 July 2015. The portfolio is dominated by loans originated within the real estate industry and the overall concentration is high, with the top 10 obligors representing 8% of the current balance.

RATING SENSITIVITIES
The analysis incorporated two stress tests in order to test the ratings sensitivity to a potential change of underlying assumptions. The first test addressed a reduction of the recovery rates by 25%, whereas the second analysed the rating impact of an increase in default rates. Both tests indicated that no rating action would be triggered on the class A notes.

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.

Prior to the transaction closing, Fitch reviewed the results of an AUP report conducted on the asset portfolio information The subsequent performance of the transaction 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.

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
- Investor reports from 'Securitisation Services'
- European Data Warehouse pool cut dated 30 June 2015.