(The following statement was released by the rating agency)
Dec 21 - Fitch Ratings has affirmed Popolare Bari Mortgage S.r.l. (Popolare) and 2011
Popolare Bari SPV S.r.l. (2011 Popolare) as follows:
Class A (ISIN IT0004440613) affirmed at 'A+sf'; Outlook Stable;
Class A1 (ISIN IT0004780802) affirmed at 'AAAsf'; Outlook Negative.
Class A2 (ISIN IT0004780810) affirmed at 'AAAsf'; Outlook Negative.
The affirmations reflect the transactions' stable performance, as well as the
sufficient level of credit enhancement available to support the ratings.
Arrears levels show a slight increasing trend for both transactions, with loans
in arrears by more than three months at 1.2% of the current outstanding balance
for 2011 Popolare on the October 2012 interest payment date (IPD) and 1.0% for
Popolare on the July 2012 IPD. At present, neither transaction has reported any
defaults (defined as loans in arrears by more than 15 months). Given the current
pipeline of loans in three-month plus arrears, Fitch expects some loans to roll
into default in the next 18 months. The agency believes that excess spread
generated by both transactions should remain sufficient to provision for
defaults, thus no reserve fund draws are expected on the upcoming payment dates.
Both transactions are paying down sequentially, with no pro-rata triggers in
place. The reserve funds in both deals are fully funded and not expected to
amortise in the next 18 months. Thus Fitch expects further build-up of credit
enhancement for the rated notes in both transactions.
Loans categorised as performing, but currently in principal payment holiday
schemes make up 1.1% of the outstanding portfolio in 2011 Popolare. In Fitch's
opinion, these loans are potentially linked to weaker borrowers and for this
reason the agency has applied higher default assumptions for these loans.
The servicer, Banca Popolare di Bari S.c.p.a. and the back-up servicer, Banca
Popolare dell'Etruria e del Lazio Societa' Cooperativa for both transactions are
not Fitch-rated entities, and thus commingling and payment interruption risks
have been considered in Fitch's analysis. Fitch found that for both transactions
the liquidity available in the structures was sufficient to cover medium-term
losses or liquidity shortfalls, in particular, 2011 Popolare Bari's structure
incorporates a liquidity account presently funded at EUR20.8m. As a result,
Fitch has affirmed the ratings of the notes.