Press Release

DBRS Morningstar Removes Rating on Asti Group PMI S.r.l. from Under Review with Positive Implications, Upgrades Rating to AA (low) (sf)

Structured Credit
May 04, 2022

DBRS Ratings GmbH (DBRS Morningstar) upgraded its rating on the Class A Notes issued by Asti Group PMI S.r.l. (Asti Group PMI) to AA (low) (sf) from A (high) (sf). Additionally, DBRS Morningstar removed the rating from Under Review with Positive Implications (UR-Pos.).

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 October 2092.

This rating action is the result of an entire review of the transaction following DBRS Morningstar’s re-evaluation of the economic sectors it considers to be most sensitive to the ongoing Coronavirus Disease (COVID-19) pandemic, summarised in its associated commentary “Two Years into COVID-19: Risks to European Structured Credit Transactions” published on 10 February 2022. Please refer to for more information. As a consequence, DBRS Morningstar previously placed the aforementioned Class A Notes UR-Pos. on 11 February 2022.

The upgrade 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 April 2022 payment date;
-- The one-year base case probability of default (PD) and default and recovery rates on the receivables;
-- No early amortisation event;
-- The current available credit enhancement to the notes to cover the expected losses at their AA (low) (sf) rating level; and
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

The transaction 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. and Cassa di Risparmio di Biella e Vercelli S.p.A. CR Asti and BiverBanca (together, the Originators) also act as the Servicers of their respective portfolios. BiverBanca has been part of the CR Asti banking group since 2012 and was merged by CR Asti’s absorption of the entity on 6 November 2021. CR Asti succeeded to all of BiverBanca’s rights and obligations, including the ownership of the portfolios.

In December 2021, the transaction was amended to include: an extension of the revolving period by 24 months to October 2023; changes to certain concentration limits; a change to the cumulative gross default ratio triggers that stop the revolving period; and the repurchase of all defaulted loans and loans in arrears by 31 days or more.

As at the April 2022 payment date, the overall portfolio consisted of 11,519 loans with an aggregate principal balance of EUR 1,184.9 million (excluding defaulted loans).

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 0.40%. The cumulative default ratio was 0.01% of the initial portfolio.

The transaction closed in March 2017 and, following the aforementioned December 2021 amendment, its revolving period is scheduled to end in October 2023. During this period, the Originators 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 Issuer’s inability to fully replenish the cash reserve, and the Originators’ insolvency.

Additionally, if the Issuer terminates the appointment of the Originators as the Servicer or if the bank does not fulfil its own obligations under the transaction documents, the revolving period will end prematurely. 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 62.2% and 33.7%, respectively, at the AA (low) (sf) rating level. The improvement in the final PD assumptions is due to DBRS Morningstar’s removal of some adjustments made in the context of the coronavirus pandemic. DBRS Morningstar estimated that, as of December 2021, 9.6% of the outstanding portfolio balance belonged to industries classified in high-risk economic sectors, down from 20.0% at last annual review.

Credit enhancement to the Class A Notes (42.1%) 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 in respect 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 DBRS Morningstar’s 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 Class A 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 immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many SME transactions. The ratings are based on additional analysis 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, 9.6% of the outstanding portfolio balance represented industries classified in the high-risk economic sectors. This led the underlying one-year PDs to be multiplied by 1.5 times. DBRS Morningstar also conducted an additional sensitivity analysis to determine that the transactions benefit from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of March 2022, Banca C.R. Asti reported that EUR 36,133.50 was under moratoria and EUR 3,398,439.30 was under contractual payment holiday, both of which represent an immaterial portion of the initial portfolio.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 24 March 2022. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: and

On 10 February 2022, DBRS Morningstar updated its 18 May 2020 commentary outlining the impact of the Coronavirus Disease (COVID-19) crisis on the performance of DBRS Morningstar-rated structured credit transactions in Europe almost two years on. For more details, please see: and

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” (2 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at:

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 consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

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 11 February 2022, when DBRS Morningstar placed its rating on the Class A Notes UR-Pos. Prior to that, on 22 December 2021, DBRS Morningstar confirmed its rating on the Class A Notes at A (high) (sf).

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

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 5.1%, a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base case recovery rate of 33.7% at the AA (low) (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 A (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 A (high) (sf). A scenario combining both a hypothetical increase in the PD by 10% and a hypothetical decrease in the recovery rate by 10% would also lead to a downgrade of the Class A Notes to A (high) (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, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 16 March 2017

DBRS Ratings GmbH
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60311 Frankfurt am Main – Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs (2 May 2022) and SME Diversity Model,
-- Master European Structured Finance Surveillance Methodology (8 February 2022),
-- Rating CLOs and CDOs of Large Corporate Credit (26 January 2022),
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
-- Cash Flow Assumptions for Corporate Credit Securitizations (26 January 2022),
-- Legal Criteria for European Structured Finance Transactions (29 July 2021) ,
-- European RMBS Insight Methodology (28 March 2022),
-- European RMBS Insight: Italian Addendum (10 December 2021),
-- Operational Risk Assessment for European Structured Finance Originators (16 September 2021),
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021),
-- 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 [email protected].