DBRS Assigns Ratings to Popolare Bari NPLS 2016 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned the following ratings to the Class A and Class B Notes (the Notes) issued by Popolare Bari NPLS 2016 S.r.l. (the Issuer):

-- EUR 126,500,000 Class A at BBB (high)
-- EUR 14,000,000 Class B at B (high)

The notes are backed by a portfolio consisting of unsecured and secured non-performing loans originated by Banca Popolare di Bari s.c.p.a. (BPB), Banca Caripe S.p.A. (Banca Caripe) and Banca Tercas S.p.A. (Banca Tercas). In July 2016, Banca Caripe and Banca Tercas were consolidated into BPB. All loans in the portfolio defaulted between 2000 and 2015 and are in various stages of resolution. The portfolio will be serviced by Prelios Credit Servicing S.p.A. (Prelios). Most of the secured loans included in the portfolio are backed by properties primarily concentrated in the southern regions of Italy, which typically have a longer bankruptcy and settlement process. In its analysis, DBRS assumed that all loans are disposed through the auction process, which generally has the longest resolution timeline.

The Class B Notes, which represent mezzanine debt, may not be repaid until the Class A Notes are repaid in full.

The ratings are based on DBRS’s analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of the servicer, Prelios, the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, the cap agreement with J.P. Morgan Securities plc and the transaction’s legal and structural features. DBRS’s BBB (high) and B (high) ratings assume a haircut of 24.03% and of 17.45%, respectively, to Prelios’s business plan for the portfolio.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: Rating European Non-Performing Loans Securitisations. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release. This 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 information used for this rating include Banca Popolare di Bari S.c.p.a. and Prelios Credit Servicing S.p.A.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was supplied with third party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument.

This is the first DBRS rating on this financial instrument.

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

To assess the impact of the 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”):

-- Recovery Rates Used: Cumulative Base Case Recovery Amount of EUR 157,078,463 at the BBB (high) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.
-- Recovery Rates Used: Cumulative Base Case Recovery Amount of EUR 170,665,375 at the B(high) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BBB (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (high) (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class B Notes to B (low) (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would each lead to a downgrade of the transaction to CCC (sf) for the Class B Notes.

For further information on DBRS historic 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.

Initial Lead Analyst: Alessio Pignataro, Vice President, EU ABS
Initial Rating Date: 12 August 2016
Initial Rating Committee Chair: Erin Stafford, Managing Director, Global CMBS

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

Rating European Non-Performing Loans Securitisations
Rating European Consumer and Commercial Asset-Backed Securitisations
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
European CMBS Rating Methodology
Operational Risk Assessment for European Structured Finance Servicers
Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions

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