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

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

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the January 2018 payment date;
-- Updated probability of default (PD), loss given default (LGD) and expected loss assumptions for the outstanding collateral pool; and
-- Current credit enhancement (CE) available to the Class A Notes to cover the expected losses at their AA (high) (sf) rating level.

2013 Popolare Bari RMBS 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). Both BPB and CRO are part of the Banco Popolare di Bari group. The transaction closed in April 2014.

As of the January 2018 payment date, the portfolio amounted to EUR 248.7 million and consisted of 3,710 loans extended to borrowers residing in Italy and mostly distributed across southern regions. The three most represented regions were Apulia, Campania and Umbria, with respective percentages of 46.7%, 13.8% and 12.7%. The collateral is amortising relatively quickly with a pool factor of 51.1% after almost four years since closing. The weighted-average current loan-to-value was 47.4%, down from 49.4% in November 2016.

PORTFOLIO PERFORMANCE
The portfolio is performing well and within DBRS’s expectations. As of November 2017 (the cut-off date), loans more than 90 days delinquent accounted for 1.4% of the outstanding collateral pool balance, slightly down from 1.5% in November 2016. Cumulative defaulted loans as a percentage of the initial pool balance were 1.9%, up from 1.4% in November 2016.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the outstanding pool of receivables and updated the PD and LGD assumptions on the remaining collateral pool to 31.7% and 24.2%, respectively, at the AA (high) (sf) rating level.

CREDIT ENHANCEMENT
CE to the Class A Notes is provided by the overcollateralisation of the outstanding collateral portfolio. As of the January 2018 payment date, CE to the Class A Notes was 48.7%, up from 20.0% at closing. The non-amortising Liquidity Reserve is available to cover senior fees and any shortfall of interests on the Class A Notes. The reserve is at its target amount of EUR 15.6 million.

The Bank of New York Mellon SA/NV - Milan Branch and The Bank of New York Mellon SA/NV - London Branch are the Account Banks for the transaction. The DBRS Long-Term Issuer ratings on the Account Banks at AA comply with the Minimum Institution Rating, given the ratings 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 for the transaction and its DBRS private rating complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology. Its rights and obligations are guaranteed by JPMorgan Chase Bank, N.A. under the swap agreement.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include investor and payment reports provided by Securitisation Services S.p.A., servicer reports provided by Banca Popolare di Bari S.C.p.A. and loan-level 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 these ratings 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 2017 when DBRS confirmed the ratings on the Class A Notes at AA (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Ilaria Maschietto.

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”):

-- DBRS expected a base case PD and LGD for the portfolio based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and, therefore, have a negative effect on credit ratings.

-- The Base Case PD and LGD of the current pool of mortgages for the Issuer are 9.4% and 4.7%, respectively. At the AA (high) (sf) rating level, the corresponding PD is 31.7% and the LGD is 24.2%.

-- 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 increased 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 increased 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 increased 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 and US regulations only.

Lead Analyst: Ilaria Maschietto, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 10 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.

-- Interest Rate Stresses for European Structured Finance Transactions
-- 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
-- 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.