Press Release

DBRS Morningstar Confirms Rating on Class A Notes Issued by Asti Group PMI S.r.l.

Structured Credit
March 16, 2021

DBRS Ratings GmbH (DBRS Morningstar) confirmed its A (high) (sf) rating on the Class A Notes issued by Asti Group PMI S.r.l. (the Issuer or Asti Group PMI).

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The portfolio performance, in terms of level of delinquencies and defaults, as of the January 2021 payment date.
-- No purchase termination events have occurred;
-- The one-year base case probability of default (PD), recovery rate, and expected loss assumptions considering the worst-case portfolio composition allowed under the eligibility criteria;
-- The credit enhancement available to the Class A Notes to cover the expected losses at the A (high) (sf) rating level;
-- The current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal payable on or before the maturity date in April 2090.

Asti Group PMI is a securitisation collateralised by a portfolio of secured and unsecured loans to Italian small and medium-size enterprises (SMEs), entrepreneurs, artisans, and producer families granted by Cassa di Risparmio di Asti S.p.A. (CR Asti; 75.3% of the portfolio as at the January 2021 payment date) and Cassa di Risparmio di Biella e Vercelli S.p.A. (BiverBanca; 24.7% of the portfolio). CR Asti and BiverBanca (together, the Originators) also act as the Servicers of their respective portfolios. As BiverBanca has been part of the CR Asti banking group since 2012, the transaction comprises a single waterfall with full cross-collateralisation between the two portfolios since the closing date.

In March 2020, the transaction was amended to include: an extension of the revolving period by 18 months to October 2021; changes to certain concentration and renegotiation limits; and the repurchase of all defaulted loans as well as loans in arrears by 31 days or more. In February 2021, Banca Valsabbina S.C.p.A. replaced BPER Banca S.p.A. as backup servicer.

As at the January 2021 payment date, the overall portfolio consisted of 10,647 loans with an aggregate principal balance of EUR 1,141.2 million (which excludes EUR 3.5 million of loans classified as defaulted).

The delinquency ratio, defined as the ratio between the outstanding balance of loans in arrears by more than 60 days (excluding defaulted loans) and the outstanding balance of the portfolio as of the end of the previous collection period (including defaulted loans), was 0.3%, down from 1.8% one year ago. The cumulative default ratio was 0.16% of the initial portfolio.

The transaction closed in March 2017, and its revolving period is scheduled to end in October 2021. During this period, each Originator may sell new receivables to the Issuer subject to certain conditions and limitations. The revolving period will end prematurely upon the occurrence of a purchase termination event, which includes gross cumulative defaults exceeding certain thresholds, the inability of the Issuer to fully replenish the cash reserve, and the insolvency of one of the Originators.

Additionally, if the Issuer terminates the appointment of either CR Asti or BiverBanca as the Servicer or if one of the two banks does not fulfil its own obligations under the transaction documents, the revolving period will end prematurely only for the affected Servicer/Originator. However, the unaffected Originator will have to fulfil all the revolving conditions and limitations as these are based on the overall portfolio and not on the single pools. The purchase of new receivables is funded through principal collections as well as excess spread to make up for any defaulted loans. To date, a purchase termination event has not occurred.

DBRS Morningstar maintained the portfolio’s one-year base case PD assumption at 4.9% prior to coronavirus-related adjustments. DBRS Morningstar’s analysis assumed the worst-case portfolio allowed by the eligibility criteria and portfolio limits, as well as the maximum loan-term modifications that allow loans’ maturity extensions. DBRS Morningstar updated its PD and recovery assumptions to 61.0% and 31.0%, respectively, at the A (high) (sf) rating level.

Credit enhancement of 42.1% for the Class A Notes is provided by the subordination of the more junior obligations and the cash reserve account.

A cash reserve account, funded at closing with EUR 14.0 million through the proceeds of the subordinated loan granted by the Originators, is available to cover senior expenses and missed interest payments on the Class A Notes. The required level for the cash reserve is set at 2.0% of the Class A Notes balance, subject to a EUR 7.0 million floor. On the payment date on which the Class A Notes will be redeemed in full, the cash reserve target amount will be reduced to EUR 0.

An additional cash reserve is also available during the revolving period to cover senior expenses, missed interest payments on the Class A Notes, and the acquisition of additional receivables.

The structure also benefits from a set-off reserve account, funded at closing with EUR 17.8 million (1.5% of the initial portfolio balance), which will be available immediately following the occurrence of an insolvency event related to any of the Originators. The target set-off reserve amount is EUR 17.8 million during the revolving period and 1.5% of the portfolio balance afterward.

BNP Paribas Securities Services, Milan branch (BNP Milan) acts as Transaction Bank for the transaction. Based on the DBRS Morningstar private rating on BNP Milan, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in its proprietary Excel-based cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that payment holidays and delinquencies may continue to increase in the coming months for many SME transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus.

For this transaction, DBRS Morningstar increased the expected default rate on receivables granted to obligors operating in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar’s assessment, 3.8% and 19.6% of the outstanding portfolio balance represented industries classified in mid-high and high-risk economic sectors, respectively. This led the underlying one-year PDs to be multiplied by 1.5 times and 2.0 times, respectively, as per DBRS Morningstar’s “European Structured Credit Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” commentary, released on 18 May 2020, wherein DBRS Morningstar discussed the overall risk exposure of the SME sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and more likely to be affected by the fallout of the pandemic on the economy. For more details, please see: and

DBRS Morningstar also conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of December 2020, 48.1% of the collateral balance had been granted payment moratoriums.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020–22 period in select economies. These scenarios were last updated on 28 January 2021. For details, see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating CLOs Backed by Loans to European SMEs” (30 September 2020).

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the surveillance section of the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

DBRS Morningstar conducted a review of the amended Back-Up Servicing Agreement. A review of any other transaction legal documents was not conducted as these 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 at:

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include servicer and investor reports provided by the Originators and BNP Milan, and loan-by-loan data from the European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS Morningstar 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 16 March 2020, when DBRS Morningstar confirmed its rating on the Class A Notes at A (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Helvia Meana.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies is available at

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating (the base case):
-- PD Rates Used: Base case PD of 6.0%, a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base case recovery rate of 31.0% at the A (high) (sf) rating level, a 10% and 20% decrease in the base case recovery rate. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery-rate levels.

DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf). A hypothetical decrease of the recovery rate by 20%, ceteris paribus, would also lead to a downgrade of the Class A Notes rating to BBB (high) (sf). A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the recovery rate by 20% would lead to a downgrade of the Class A Notes to BBB (low) (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Helvia Meana, Senior Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 16 March 2017

DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
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The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs (30 September 2020) and DBRS Morningstar SME Diversity Model,
-- European RMBS Insight Methodology (2 April 2020),
-- European RMBS Insight: Italian Addendum (21 December 2020),
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),
-- Cash Flow Assumptions for Corporate Credit Securitizations (8 February 2021),
-- Rating CLOs and CDOs of Large Corporate Credit (8 February 2021),
-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Master European Structured Finance Surveillance Methodology (8 February 2021),
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020),
-- Operational Risk Assessment for European Structured Finance Originators (30 September 2020),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at

For more information on this credit or on this industry, visit or contact us at