Press Release

DBRS Morningstar Upgrades Credit Rating on Asti Group PMI S.r.l. Following Transaction Amendment

Structured Credit
December 21, 2023

DBRS Ratings GmbH (DBRS Morningstar) upgraded its credit rating on the Class A Notes issued by Asti Group PMI S.r.l. (the Issuer or Asti Group PMI) to AA (sf) from AA (low) (sf).

The credit 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.

The upgrade follows an annual review of the transaction and is based on the following analytical considerations:
-- The amendments to the transaction that became effective on 21 December 2023 (the Amendment);
-- No purchase termination events;
-- The overall portfolio performance as of the October 2023 payment date, particularly with regard to low levels of delinquencies and defaults;
-- The maintained base case assumptions, and the probability of default (PD), recovery rate, and expected loss assumptions considering the worst-case portfolio composition allowed under the eligibility criteria; and
-- The current available credit enhancement to the Class A Notes to cover the expected losses assumed in line with the AA (sf) credit rating level.

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 originally 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 also acted as the servicers of their respective portfolios.

BiverBanca has been part of the CR Asti banking group since 2012. Following its merger into CR Asti on 6 November 2021, BiverBanca's rights and obligations, including the ownership of the portfolios, were assumed by CR Asti. Since then, CR Asti (the originator) has acted as sole servicer of the overall portfolio.

On 21 December 2023, the following amendments were made to the transaction:
-- The revolving period was extended by 36 months to October 2026 and certain concentration limits were changed;
-- The dynamic structure of the cumulative gross default ratio triggers that stop the revolving period was changed, however the maximum ratio was maintained at 4.5%;
-- The definition of defaulted loans was amended to include loans with 12 monthly instalments in arrears;
-- The inclusion of floating rate loans with option to switch every five years within the renegotiation terms; and
-- Defaulted loans and loans in arrears by 31 days or more were repurchased.

Under the terms of the Amendment, the following concentration limits have been modified:
-- Maximum top 1 borrower exposure decreased to 1.5% from 1.8%;
-- Maximum top 10 borrower exposure decreased to 7.0% from 8.0%;
-- Maximum amount of semiannual and annual loans decreased to 25.0% from 30.0%;
-- Maximum top 1 industry exposure decreased to 37.0% from 40.0%.
-- Maximum top 3 industry exposures decreased to 62.0% from 65.0%.

Additionally, the thresholds for the cumulative default trigger, the breach of which will result in the termination of the revolving period, have been modified as follows:
-- 1.0% until the January 2024 payment date, down from 1.5%;
-- 1.25% until the April 2024 payment date, down from 2.0%;
-- 1.5% until the July 2024 payment date, down from 2.5%;
-- 2.0% until the October 2024 payment date, down from 2.5%;
-- 2.5% until the January 2025 payment date, down from 3.0%;
-- 2.75% until the April 2025 payment date, down from 3.5%;
-- 3.0% until the July 2025 payment date, down from 4.0%;
-- 3.5% until the October 2025 payment date, down from 4.5%.
-- 3.75% until the January 2026 payment date;
-- 4.0% until the April 2026 payment date;
-- 4.25% until the July 2026 payment date; and
-- 4.5% until the October 2026 payment date;

The aggregate proceeds that the Issuer receives within the scope of these amendments will be credited to the collection account and will form part of the available funds on the next payment date.

As at the October 2023 payment date, the overall portfolio consisted of 11,837 loans with an aggregate principal balance of EUR 1,185.0 million, which excludes EUR 27.6 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 1.8%. The cumulative default ratio was 2.5% of the initial portfolio.

The transaction closed in March 2017 and, following the Amendment, its revolving period is scheduled to end in October 2026. During this period, the 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 Issuer’s inability to fully replenish the cash reserve, and the originator’s insolvency.

Additionally, if the Issuer terminates the appointment of the originator 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 its base case PD assumption at 4.9%.
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’ maturities extensions. At the AA (sf) credit rating level, DBRS Morningstar applied portfolio default and recovery assumptions of 61.7% and 34.7%, respectively, in its analysis.

Credit enhancement for 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 originator, 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.

Additionally, another 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 originator. 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 Succursale Italia (BNP Italia) acts as the account bank for the transaction. Based on DBRS Morningstar’s private rating on BNP Italia, 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 credit rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar’s credit rating on the Class A Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

DBRS Morningstar’s credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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

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

All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: “Rating CLOs Backed by Loans to European SMEs” (22 October 2023),

Other methodologies referenced in this transaction are listed at the end of this press release.

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

DBRS Morningstar reviewed the legal documents provided in the context of the Amendment, executed on 21 December 2023. A review of any other 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 credit 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 credit rating include servicer and investor reports provided by the originator and BNP Milan and loan-by-loan data from the European DataWarehouse GmbH. DBRS Morningstar also considered information on repurchased loans provided by the originator directly or through the arranger UniCredit Bank AG.

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

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

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

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 4 May 2023, when DBRS Morningstar confirmed its credit rating on the Class A Notes at AA (low) (sf).

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the credit rating (the Base Case):
-- PD Rates Used: Base case PD of 4.9%, a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base case recovery rate of 34.7% at the AA (sf) credit rating level, and 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 base case PD by 20% or a hypothetical decrease of the base case recovery rate by 20%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf) and A (high) (sf), respectively. A scenario combining both an increase in the base case PD by 10% and a decrease in the base case Recovery Rate by 10%, ceteris paribus, would likewise 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: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

This credit 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 (22 October 2023) and SME Diversity Model,
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
-- Master European Structured Finance Surveillance Methodology (11 December 2023),
-- Global Methodology for Rating CLOs and Corporate CDOs (22 October 2023),
-- European RMBS Insight Methodology (27 March 2023),
-- European RMBS Insight: Italian Addendum (2 October 2023),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (4 July 2023),

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].