DBRS Confirms Rating on Notes issued by Asti PMI S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its AA (sf) rating on the EUR 249,072,294.00 Class A Notes issued by Asti PMI S.r.l. (the Issuer).

The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-sized enterprises, entrepreneurs, artisans and self-employed individuals. The loans were originated by Cassa di Risparmio di Asti S.p.A. (CR Asti or the Originator).

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in July 2064.

The rating actions reflect an annual review of the transaction. The Class A Notes are currently at 60.75% of their initial balance after almost one year since closing. Given this deleveraging, the current credit enhancement available has increased considerably, while the transaction performance is in line with DBRS’s expectations.

As of the 27 October 2015 payment date, one- to two-month delinquencies, three- to six-month delinquencies and over six-month delinquencies were 1.763%, 0.801% and 4.168% of the collateral principal balance, respectively, while the cumulative gross default ratio was 0.726% of the aggregated original balance.

A Cash Reserve (CR) is available to cover any shortfalls in the senior fees and interest on the Class
A Notes. The CR is amortising and will be maintained at 3.00% of the Class A Notes, with a floor of EUR 1 million. Current balance of the CR is 8.53 million.

CR Asti is the Originator and Servicer for this transaction while BNP Paribas Securities Services, Milan branch is the Transaction Bank and the Principal Paying Agent. DBRS private rating of BNPSS complies with the Minimum Institution Rating given the rating assigned to the notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. Unipol Banca S.p.A. is the Backup Servicer and KPMG Fides Servizi di Amministrazione S.p.A is the Corporate Service for the transaction.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs). 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’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action (closing).

Other methodologies and criteria 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 sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include information provided by BNP Paribas and CR Asti, and loan level data from the European DataWarehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not 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 is the first rating action since the Initial Rating Date. The lead responsibilities for this transaction have been transferred to Alfonso Candelas

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- Probability of default (PD) rates used: base-case PD of 5.90%, and a 10% and 20% increase in the base-case PD.
-- Recovery rates used: base case recovery rates, corresponding to a recovery rate of 52.99% at the AA (sf) stress level for the Class A Notes, a 10% and 20% decrease in the base-case recovery rates.

DBRS concludes that either a hypothetical increase of the base PD by 20% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Class A Notes at their current rating. A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the Recovery Rate by 20% would also lead to model results suggesting a confirmation of the current rating.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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: Maria Lopez
Initial Rating Date: 28 November 2014
Initial Rating Committee Chair: Carlos Silva

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Rating CLOs and CDOs of Large Corporate Credit
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

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.