OREANDA-NEWS. Fitch Ratings has upgraded 2014 Popolare Bari SME S. r.l.'s class B notes as follows:

EUR39.7m Class A2a (IT0005042681): affirmed at 'AA+sf'; Outlook Stable

EUR4.9m Class A2b (IT0005042699): affirmed at 'AA+sf'; Outlook Stable

EUR35m Class B (IT0005042707): upgraded to 'AA+sf' from 'AAsf'; Outlook Stable

The transaction is a static cash flow SME CLO originated by Banca Popolare di Bari S. c.p. a. and its subsidiary, Cassa di Risparmio di Orvieto S. p.A.

KEY RATING DRIVERS

The upgrade reflects a substantial increase in the credit protection available for the class B notes since the last annual review, due to the rapid deleveraging of the portfolio, which has offset the deterioration in the portfolio. Credit enhancement (CE) for the class B notes was 64.3% as of March 2016, up from 50.6% in June 2015. The class A2 notes have amortised by EUR56.4m over the past year, increasing CE to 81.4% from 64.0%. The rating of both classes is capped at 'AA+sf' by Italy's sovereign rating.

In the first two years since closing, the portfolio factor decreased to 60.8%, but the portfolio remained granular. The largest 10 obligors in the portfolio represent 9.3% of the performing balance, and obligors amounting more than 50 bps represent 9.8%. Delinquencies over 90 days and 180 days have increased substantially to 5.9% and 3.9% from 3.9% and 2.6%, respectively. The first defaults were registered in June 2015 and have increased to 4.8% of the current portfolio balance. No material recoveries are expected at present, given the limited time since the defaults occurred.

RATING SENSITIVITIES

Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to all assets in the portfolio would not result in any rating action on the rated notes. However, a change in the rating of Italy might lead to a rating action, as the transaction's ratings are capped by the Italian sovereign rating.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis.

-Investor report as of 31 March 2016 provided by Securitisation Services

-Loan-by-loan data as of 29 February 2016 sourced from the European Data Warehouse