TEXT-Fitch affirms BPM Securitisation 2 S.R.L.
Feb 4 - Fitch Ratings has affirmed BPM Securitisation 2 S.r.l., as follows: Series Class A2 (ISIN IT0004083025): affirmed at 'AAAsf'; Outlook Negative Series Class B (ISIN IT0004083033): affirmed at 'AAsf'; Outlook Stable Series Class C (ISIN IT0004083041): affirmed at 'BBBsf'; Outlook Stable The affirmation reflects the sufficient level of credit enhancement (CE) available to the rated notes and the performance of the underlying assets, which remains in line with Fitch's expectations. The transaction is backed by loans originated by Banca Popolare di Milano S.c.a.r.l. ('BBB'/Negative/'F3'). The assets in the underlying portfolio are highly seasoned (108 months as of January 2013). The pool has now deleveraged to 28% of its initial pool balance with loans in arrears by more than three months at 2.1% of the current portfolio. The servicer has reported cumulative gross defaults (defined as loans in arrears by more than six months) at 1.8% of the initial pool balance. To date, defaulted loans have been fully provisioned using gross excess spread generated by the structure. Since the July 2010 IPD, the built up of CE available to the rated notes was limited, due to the combined pro-rata amortisation of the notes principal and the reserve fund amortisation (2.34% of the current note balance). At the current annualised prepayment rate of 16%, Fitch expects the reserve to reach its floor of EUR10m in the next 18 months, which will then lead to a further build-up of CE available to the notes. Fitch understands that the issuer appointed Zenith Service SpA as a back-up servicer (BUS) facilitator in December 2012. At the time, the servicer also revised the triggers outlined in the transaction documentation which now requires an appointment of a BUS once the servicer reaches a 'BBB-' rating, as opposed to the initial 'BBB' level. The agency believes that the appointment of a BUS facilitator has reduced the risk of payment interruption, thus resulting in the affirmation of the ratings. Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. Sources of information - in addition to those mentioned in the applicable criteria, the sources of information used to assess these ratings were investor reports. Applicable criteria, 'Global Structured Finance Rating Criteria', dated 06 August 2012, 'EMEA Residential Mortgage Loss Criteria' dated 07 June 2012; 'EMEA Residential Mortgage Loss Criteria Addendum - Italy' dated 30 July 2012; 'Counterparty Criteria for Structured Finance Transactions' and 'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May 2012 are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Structured Finance Rating Criteria EMEA Residential Mortgage Loss Criteria EMEA Criteria Addendum - Italy - Mortgage and Cashflow Assumptions Counterparty Criteria for Structured Finance Transactions Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
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