DBRS Confirms Ratings on Class A1 and Class A2 Notes of 2013 Popolare Bari RMBS S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Class A1 and Class A2 Notes (Class A Notes) issued by 2013 Popolare Bari RMBS S.r.l. (the Issuer) at AA (high) (sf).

Today’s rating action follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the January 2017 payment date.
-- Updated portfolio default (PD) rate, loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement (CE) for the Class A Notes to cover the expected losses at the AA (high) (sf) rating level.

2013 Popolare Bari RMBS closed in April 2014 and is a securitisation of Italian first lien residential mortgages originated and serviced by Banca Popolare di Bari S.C.p.A. (BPB) and Cassa di Risparmio di Orvieto S.p.A. (CRO; and collectively the Originators and Servicers), which are part of the Banca Popolare di Bari Group. DBRS assigned the AA (high) (sf) ratings to the Class A1 and Class A2 Notes in April 2014.

PORTFOLIO PERFORMANCE
From January 2016 to January 2017, the portion of loans more than 90 days delinquent as a percentage of the outstanding portfolio balance have slightly decreased to 1.5% from 1.6%. Cumulative gross defaults as a percentage of the portfolio original balance during the same period have increased to 1.4% from 0.5%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated the PD and LGD assumptions on the remaining collateral pool. At the AA (high) (sf) rating level, the PD and LGD assumptions including the sovereign adjustment are 33.5% and 26.2%, respectively.

CREDIT ENHANCEMENT
The CE available to the Class A Notes has increased as the transaction continues to repay sequentially. The source of CE is provided through the subordination of the collateralised portion of the Class B Notes and the non-amortising Liquidity Reserve, currently at its target amount. As of the January 2017 payment date, the CE available to the Class A Notes increased to 43.7% from 23.2% as of the last annual review.

The Bank of New York Mellon, (Luxembourg) S.A., Italian Branch and The Bank of New York Mellon S.A./N.V., London Branch are the Account Banks for the transaction and their DBRS ratings comply with the Minimum Institution Rating, given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology..

J.P. Morgan Securities plc is the Swap Counterparty to the transaction and has a DBRS private rating that complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology. Its obligations under the swap agreement are guaranteed by J.P. Morgan Chase Bank N.A.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for these ratings include servicer reports provided by Banca Popolare di Bari S.C.p.A., payments and investor reports provided by Securitisation Services S.p.A. and loan-by-loan data from the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 23 March 2016, when DBRS confirmed the ratings on the Class A1 and Class A2 Notes at AA (high) (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- The base case PD and LGD of the current pool of mortgages for the Issuer are 10.22% and 6.41%, respectively. At the AA (high) (sf) rating level, the corresponding PD is 33.48% and the LGD is 26.22%.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to remain at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AA (high) (sf).

Class A1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 8 April 2014

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375