The reference portfolio amortisation is in line with expectations. The sequential deleveraging of the transaction off-sets the loss potential from a growing delinquency pipeline for the rated tranche. Delinquent assets amount to 12.1% of the outstanding portfolio balance as of 31 December 2018. To date BP Bari has not filed a loss claim to the EIF. However, 53.0% of all delinquent assets are more than 90 days in arrears, the default definition of the transaction.

Scope’s review considers the uncertainties related to the fragile macroeconomic situation in Italy and the generally weaker economic profile of the obligors from the Italian south.

The financial guarantee provided by the European Investment Fund (EIF) to Banca Popolare di Bari (BP Bari) is an EU sponsored risk transfer transaction of Italian SME credit rights, i.e. loans and mortgages, in the context of the European Investment Bank (EIB) Group SME initiative for Italy. The credit rights were originated and will be serviced by BP Bari.

Scope continuously monitors the rating of the outstanding senior risk cover. Ratings and research are available free of charge at www.scoperatings.com.