OREANDA-NEWS. November 17, 2015. Fitch Ratings has affirmed Asti PMI S.r.l. notes as follows:

EUR284.4m class A notes, due July 2064: affirmed at 'AA+sf'; Stable Outlook
EUR273.2m class B notes, due July 2064: not rated

The transaction is a static cash flow securitisation of mortgage and non-mortgage loans disbursed to Italian SMEs by Cassa di Risparmio di Asti S.p.A. (CRA), the originator and servicer.

KEY RATING DRIVERS

Since closing in November 2014 the class A notes have amortised by EUR 125.6m (30.6% of the initial outstanding balance). As a result credit enhancement CE has increased to 50.9% from 41.9% during this period. Amortisation has been rapid as the notes benefit from full excess spread trapping, under which no payments are made to the class B notes until the class A notes are paid in full and all interest and principal collections are paid to the class A notes after senior expenses have been deducted.

The portfolio exhibits large amounts of loans delinquent by more than 90 days at 6.7%, more than double since January 2015. The delinquencies are concentrated in a fairly small number of loans; however, this is the highest amount of delinquencies Fitch has observed at this stage in the life of an Italian SME. CRA attributed the high delinquencies to 10 large obligors (totalling EUR14m) which were reported as more than 90 days in arrears in the the July 2015 investor report. Since September 2015 only EUR7.4m remained in arrears.

The class A notes have been affirmed despite the high delinquencies, due to rapid amortisation and the resulting increase in CE.

The portfolio is highly concentrated by industry and geography, with 44.7% of the pool in real estate and 99% in northern Italy. This level of concentration is typical in with portfolios originated by Italian regional banks such as CRA.

The transaction is capped at six notches above the rating of the Republic of Italy, which was last affirmed on 23 October 2015 at (BBB+/Stable/F2). The class A notes' rating is at the cap.

RATING SENSITIVITIES
Increasing the default rate by 1.25x to all assets in the portfolio would not result in the downgrade of the class A notes. Reducing the recovery rate by 0.75x to all assets in the portfolio would also not result in the downgrade of the class A notes.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by Banca Di Asti as at 30 June 2015
-Loan-by-loan data provided by EDWIN as at 30 June 2015
-Transaction reporting provided by BNP Paribas as at 20 July 2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Asti PMI S.r.l. - Series 2014 - Appendix, dated 1 December 2014 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.