Fitch Affirms 4 Italian RMBS
Asti Group RMBS
Class A (IT0005124802): affirmed at 'AA+sf', Outlook Stable
Asti RMBS
Class A (IT0004883895): affirmed at 'AA+sf', Outlook Stable
CR Firenze Mutui
Class B (ISIN IT0003391478) affirmed at 'AA+sf', Outlook Stable
Class C (ISIN IT0003391486) affirmed at 'AA+sf', Outlook Stable
Pontormo RMBS
Class A1 (IT0004867823): affirmed at 'AA+sf', Outlook Stable
Class A2 (IT0004867831): affirmed at 'AA+sf', Outlook Stable
Class A3 (IT0004867856): affirmed at 'AA+sf', Outlook Stable
Class A4 (IT0004867849): affirmed at 'AA+sf', Outlook Stable
Class A5 (IT0004867864): affirmed at 'AA+sf', Outlook Stable
KEY RATING DRIVERS
Adequate Credit Support
Avaiable credit enhancement (CE) has increased over the past 12 months as a result of portfolio redemption, which has averaged between 10.0% (Asti RMBS) and 24.7% (CR Firenze Mutui) per year. CE for the most senior tranche ranges between 25.8% (Asti Group RMBS) and 65.5% (CR Firenze Mutui). Fitch's analysis shows that current credit enhancement is sufficient to support the ratings, leading to the affirmations.
Asset Performance Within Expectations
The performance of the more recently originated pools (Asti RMBS and Pontormo RMBS both closed in 2012) has remained within Fitch's expectations over the last 12 months. Loans in late-stage arrears, defined as loans with at least three monthly instalments overdue, range between 0.6% of the current pool in Pontormo RMBS to 3.6% in Asti RMBS. For Pontormo RMBS, there have been no defaulted mortgages, defined as loans with at least 15 unpaid instalments. Fitch believes that the servicers repurchase defaulted assets.
Seasoned Deal Shows Improving Performance
CR Firenze Mutui's performance has been solid, reflected by a small pipeline of total arrears (30+ days past due), equal to 3.5% of the current pool, as well as low gross cumulative defaults, 3.5% of the initial pool, 14 years after transaction closing.
Payment Holidays and Maturity Extensions
Fitch did not receive any information about payment holidays and maturity extensions for Pontormo RMBS and Asti RMBS. The agency assumed that in line with the market data, about 5% of the current pool is on payment holidays or has extended the tenor. Fitch was provided with information that less than 2% of the current loan balance is on payment holidays for CR Firenze Mutui. As these borrowers are expected to have a weaker credit profile, the agency increased the probability of default associated with them, in line with that applied to loans in late stage arrears. This adjustment had no impact on the ratings.
Commingling Risk
As no commingling reserve is available, Fitch reduced the available CE by the estimated one-month commingling loss. The notes' ratings were resilient to this stress.
Capped Recovery Rate
Fitch has capped the recovery rate at 100% of the defaulted balance for Asti Group RMBS, CR Firenze Mutui and Pontormo RMBS, despite the relatively low average current loan to value ratio especially in the latter two transactions, in order to account for the lengthy recovery timing in Italy. The stress had no impact on the ratings.
The recovery rate for Asti RMBS has been capped at 75% of the defaulted balance because according to the servicing agreement, the servicer can repurchase the defaulted assets with a discount of 25% over the defaulted balance. The stress had no impact on the ratings.
Missing Data in CR Firenze Mutui
Some portfolio characteristics were missing in the latest loan by loan data provided for CR Firenze Mutui. Fitch made conservative assumptions or used data from closing in its analysis. Since no delinquency breakdown is reported in the investor reports, Fitch assumed that all the loans marked as delinquent are in arrears for more than 90 days. The stress had no impact on the ratings.
RATING SENSITIVITIES
Changes to Italy's Long-term Issuer Default Rating (BBB+/Stable) and the rating cap for Italian structured finance transactions, currently 'AA+sf', could trigger rating changes on the notes.
Deterioration in asset performance beyond Fitch's standard assumptions could also trigger negative rating action.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Applicable to each transaction
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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.
Applicable to CR Firenze Mutui
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Applicable to Asti RMBS and Pontormo RMBS
Prior to the transactions 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.
Applicable to Asti Group RMBS
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the property value, the rank of the mortgage lien, the property province and the property type. These findings not considered in this analysis as they are immaterial.
Applicable to Asti RMBS, Asti Group RMBS and Pontormo RMBS
Prior to the transactions closing, Fitch conducted a review of a small targeted sample of the originators' origination files and found the information contained in the reviewed files to be adequately consistent with the originators' policies and practices and the other information provided to the agency about the asset portfolio.
Applicable to each transaction
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis:
-Loan-by-loan data provided by the European Data Warehouse at end-February 2016 for Asti RMBS and Asti Group RMBS
-Loan-by-loan data provided by Intesa Sanpaolo at end-May 2016 for CR Firenze Mutui
-Loan-by-loan data provided by the European Data Warehouse as at April 2016 for Pontormo RMBS
-Transaction reporting provided by Cassa di Risparmio di Asti at end-March 2016 for Asti RMBS and also by Biverbanca for Asti Group RMBS
-Transaction reporting provided by Intesa Sanpaolo at end-March 2016 for CR Firenze Mutui
-Transaction reporting provided by KPMG at end-March 2016 for Pontormo RMBS
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