OREANDA-NEWS.  Fitch Ratings has assigned Asti Group RMBS S.r.l.'s asset backed floating rate notes a final rating as follows:

EUR456.6m class A notes, due in December 2072: 'AA+sf'; Outlook Stable
EUR96.8m class B notes, due in December 2072: not rated

The transaction is a securitisation of residential mortgage loans originated and serviced by Cassa di Risparmio di Asti S.p.A. (CR Asti) and its affiliate Cassa di Risparmio di Biella e Vercelli - Biverbanca S.p.A. (Biver).

KEY RATING DRIVERS
Portfolio Features
The pool has a weighted average original loan-to-value ratio of 62.0%, within the Italian average (60%-65%), and about 99% was originated in Northern Italy. In addition to individuals, 30% of the borrowers are self-employed, of which 13.4% are artisans or family-run businesses. 14bps of the pool is in arrears, although by less than 60 days, and 14.3% of the loans have been disbursed for liquidity purposes.

Weak Mortgage Book Performance
CR Asti's residential mortgage book shows increasing 90+ arrears, standing at above 5%, higher than Fitch's Italian average (about 1.6%). However, Fitch has noted that 90+ delinquencies also include 'incagli' (soft defaults) in light of the bank's very late definition of default. Biver's historical default data for loans originated in 2005-2008 still show an increasing trend instead of flattening. Fitch factored this into the default assumptions.

Slow Recovery Performance
Recovery data from the originators revealed that the enforcement procedure had been completed for about 70% of the defaulted claims after seven years, with the remainder still unresolved. As a result, the agency has distributed its expected recoveries over 14 years.

Cap on Senior Notes' Coupon
The senior notes coupon rate is capped at 5%, and this provides a partial hedge against the fixed rate share of the portfolio (28.7%) as well as floating rate loans with a cap (11.1%) and optional loans that could switch to fixed rate in a rising interest rate scenario (15.4%). No other hedging is in place. We note that the structure is vulnerable to bespoke rising Euribor paths.

Full Excess Spread Trapping
Both interest and principal collections are allocated to the class A notes after senior expenses are paid. Neither interest nor principal payments are made to the junior unrated notes until the class A notes are fully redeemed.

Sovereign Country Ceiling
The class A notes' rating is the highest achievable for Italian transactions, six notches above Italy's sovereign Issuer Default Rating (BBB+/Stable/F2).

RATING SENSITIVITIES
Unexpected increases in the default rate and loss severity on defaulted loans could produce loss levels higher than Fitch's assumptions and could result in negative rating actions on the rated notes. Fitch evaluated the sensitivity of the rating to increased credit losses over the life of the transaction. In particular, Fitch's analysis found that an increase of 30% in the default probabilities of the underlying obligors in combination with a 30% decrease in the assumed recovery rates could result in a downgrade of four notches for the class A notes.

As the rating of the class A notes is constrained at Italy's Country Ceiling, changes to the Country Ceiling may lead to changes to the rating of the class A notes.

Key Rating Drivers and Rating Sensitivities are further described in the new issue report, which will shortly be available at www.fitchratings.com.

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

DATA ADEQUACY
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 were immaterial to this analysis.

Fitch conducted a review of a small targeted sample of CR Asti and Biver's 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.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.