DBRS Assigns Ratings to the Class A Notes Issued by Asti Finance PMI S.r.l.

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AA (low) (sf) to the EUR 384,300,000 Class A Asset Backed Floating Rate Notes due 2062 (the “Class A Notes” or the “Rated Notes”), issued by Asti Finance PMI S.r.l. (the “Issuer”). The Issuer is a limited liability company incorporated under the laws of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium Sized Enterprises (“SMEs”) which were originated by Cassa di Risparmio di Asti S.p.A. (the “Originator” or “C.R. Asti”). The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Maturity Date, on the Interest Payment Date occurring in October 2062. DBRS does not rate the EUR 289,976,000 Class B Asset Backed Floating Rate Notes due 2062 (the “Class B Notes” or the “Junior Notes”). The Class A Notes and the Class B Notes together are referred to as the “Bonds”.

As of 31 March 2012, the transaction portfolio consisted of the aggregate of 5,921 loans extended to 5,234 individual borrowers or borrower groups. The par balance of the loan portfolio is EUR 642,772,072, which consisted of (i) EUR 630,947,080 of loans that are either not in arrears or in arrears no more than 30 days, and (ii) EUR 11,824,992 of loans that are in arrears more than 30 days. In addition to the loan portfolio, there was EUR 31,505,747 of principal proceeds originating from amortisations of the loans in the portfolio since the Valuation Date. The par balance of the loan portfolio and the funds from the amortisation of the loans are funded by the aggregate issuance of the Bonds.

In addition to the Bonds, there is a Subordinated Loan provided by C.R. Asti that is used for upfront costs of the transaction and to fund the following three reserve accounts, which will be held in BNP Paribas Securities Services, London Branch (the “Transaction Bank”). The remaining balances in all three reserve accounts will be used to pay down the Class A Notes on the Interest Payment Date on which the Class A Notes can be fully redeemed when using the proceeds from the reserve accounts.
• The Cash Reserve will have an initial balance of EUR 15,373,480. This reserve will be maintained at the Target Cash Reserve Amount, which, on each first Interest Payment Date, is the greater of (i) 4.0% of the outstanding balance of the Class A Notes, and (ii) EUR 1,000,000. If the Cash Reserve is used to pay fees senior in the Priority of Payments or interest on the Class A Notes, it will be replenished in the Priority of Payments. The amount that the Cash Reserve is greater than the Target Cash Reserve will be released as proceeds to the transaction.
• The Commingling Account has an initial balance of EUR 20,700,000 and will be maintained at the Target Commingling Reserve Amount, which will be, on each Interest Payment Date, 3.0% of the Portfolio Outstanding Amount. The amount that the Commingling Reserve Amount exceeds the Target Comingling Reserve Amount, the Excess Commingling Reserve Amount, will be released as proceeds to the transaction.
• The Set-off Reserve Account will be funded on the Issue Date and the Set-off Amount on the Issue Date will be EUR 15,000,000. The Target Set-off Reserve Amount will decrease as the set-off exposure the Issuer has to the borrowers with deposits in the Originator is reduced and this excess, if not used, will also be released as proceeds to the transaction.

C.R. Asti acts as the Originator and Servicer of the portfolio, and as such collects all payments from the borrowers before transferring the proceeds to the Transaction Bank. BNP Paribas Securities Services, London Branch is the Transaction Branch and BNP Paribas Securities Services, Milan Branch is the Italian Account Bank.

The rating of the Rated Notes is based upon DBRS’s review of the following considerations:
• Transaction structure, the form and sufficiency of available credit enhancement, the portfolio characteristics and the cash trapping mechanisms.
-- The credit enhancement for the Class A Notes is equal to the excess above the outstanding principal of the Class A Notes of the aggregate of (i) the performing asset balance, (ii) the balance in the Cash Reserve Account and (iii) the amortisation proceeds of the loans prior to the Issue Date. The credit enhancement of the Class A Notes at the Issue date is therefore EUR 293,523,828.
-- In addition, the Cash Reserve provides protection to the Class A Notes by ensuring that fees and costs that are senior in the Pre-Trigger Priority of Payments to the interest of the Rated Notes are paid. The Cash Reserve Account is replenished in the Priority of Payments before principal payments are made to the Class A Notes.
-- The credit enhancement and other protections for the Class A Notes enable them to return the scheduled principal and interest payments under projected default and recovery scenarios.
-- Note that though the Set-off Amount and the Commingling Reserve Amount will be used to pay off the Class A Notes when the outstanding balance of the Class A Notes is less that the money available including these two reserve funds, DBRS does not include them in the credit enhancement analysis as they are set aside for specific risks that are otherwise not addressed in the cash flow modeling of the transaction.

• The Issuer has not entered into any hedging contracts.
-- The Issuer is at risk due to the potential mismatch between (i) the reference index of the Class A Notes and the reference indices of the assets, (ii) the payment frequencies of the assets and the quarterly payments of the Class A Notes and (iii) the difference in the reset dates between the Class A Notes and the assets.
-- The potential risk due to a payment frequency mismatch between the liabilities and the loan collateral is, however, mitigated by the proportion of loans of the performing portfolio that pay, irrespective of the underlying reference index, quarterly, 11.04%, and monthly, 61.50%.
-- The remaining risks due to not having any hedges have been addressed by the sizing of the Cash Reserve Amount and the overall level of subordination in the structure.

• Over the life of the transaction, C.R. Asti, as the Servicer, has the authority to modify the loans in the portfolio, depending on the situation of the borrower. The Servicer would do this if, in its judgment, it would most likely get a more favorable outcome than if no relief were offered. These modifications, or renegotiations, include reductions in interest rates, payment holidays, extension of the loan term and switching from fixed to floating interest rates at a lower level. However, these renegotiations will, in general, be disadvantageous to the Issuer in the short term, leading to a loss, even if they produce a better overall outcome in the long term. This transaction has no mechanism to compensate the Issuer for these losses; therefore, DBRS stressed the transaction parameters additionally to account for this.

• Review of the legal structure and operational capabilities of key transaction participants.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. Interest and principal payments on the Notes will be made quarterly, generally on the 27th day of January, April, July and October. The first Payment Date will be 29 October 2012.

• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, Cassa di Risparmio di Asti S.p.A., the Issuer, Asti Finance PMI S.r.l., and their agents.

DBRS considers the information available to it for the purposes of providing this rating was of average quality. DBRS adjusted its analysis to account for the quality of information provided. The source of our concern is the historical information provided for DBRS to determine the average annual default rate of corporate borrowers. The average annual default rate for corporate borrowers is a key input parameter in DBRS analysis, and is derived by DBRS from information provided to it by C.R. Asti. C.R. Asti provided historical default and delinquency information based on the notional amount and number of loans it had originated since 2005, but this did not match the definition and form that DBRS bases its analysis on. The definition of default in the Italian market is defined by the Bank of Italy and is different to the European Central Bank standard of 90 days. The C.R. Asti data reflected the Bank of Italy standard.

Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at
http://www.dbrs.com/research/235269.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Rating Date: 9 May 2012

Note:
All figures are in Euros unless otherwise noted.