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Rating Action:

Moody's assigns definitive ratings to ABS SME notes issued by Asti Finance PMI S.r.l.

09 May 2012

EUR 384.3 million of debt securities rated

Frankfurt am Main, May 09, 2012 -- Moody's Investors Service has assigned definitive ratings to Notes issued by Asti Finance PMI S.r.l.:

....EUR 384.3 M Class A Asset Backed Floating Rate Notes due 2062, Assigned Aa3 (sf)

Asti Finance PMI S.r.l. is a cash securitisation of secured and unsecured loans to small and medium-sized enterprises (SME) domiciled in Italy and extended by Cassa Di Risparmio Di Asti S.p.A. (NR) ("C.R.Asti").

RATINGS RATIONALE

According to Moody's, the ratings take account of, among other factors, (i) the concentrated portfolio in terms of borrowers' sector of activity (i.e. acc. to Moody's industry sector analysis the top 2 sectors account for more than 60% of the pool with 46.8% relating to the Construction & Buildings sector and 14.8% to the Beverage, Food and Tobacco industry) and regions (more than 83% of borrowers are located in Piedmont and, further 14% of the pool are based in Lombardy) with an overall effective number of 504, which is explained by the small and regional originator, (ii) the lack of an objective default definition (i.e. defaults are defined according to the rather subjective Bank of Italy definition of "sofferenza"), (iii) the strongly sequential priority of payment structure defining that all cash collections (reduced by senior fees) are first paid as interest and principal (incl. any excess spread) to the Class A note holders and only after the repayment of Class A notes, the junior notes will receive interest and principal amounts and (iv) the fact that the amortising set-off and commingling reserves (both funded at closing date) do not only cover potential set-off and commingling losses, but the cash resulting from amortisation of these reserves (incl. the remaining reserve amounts upon redemption of Class A notes) is also available to repay Class A notes (if not used for set-off or commingling losses before). Furthermore, Moody's values positively that a back-up servicer, namely Banca Etruria Società Cooperativa, is appointed as of the closing date. Finally, Moody's notes that the transaction is exposed to fixed-floating interest rate risk as well as basis risk given the discrepancy between the interest rates paid on the loans compared to the rate payable on the notes and no hedging arrangements being in place for the structure.

Given the level of granularity of the underlying portfolio Moody's main modeling assumption for this transaction is a transaction specific default distribution that is derived from a Monte Carlo simulation performed with Moody's CDOROM v2.8 tool based on loan-by-loan data input. The major inputs for the simulation are (i) the obligors' credit quality, (ii) loan specific data such as weighted average life and outstanding amount and (iii) correlations. Based on (i) the rather subjective default definition for this transaction, (ii) the characteristics of the underlying portfolio (such as for instance industry and regional concentrations), (iii) the historical performance data, and (iv) the currently stressed macroeconomic environment in Italy, we expect the average default probability of the pool to be a B1/B2 Moody's equivalent (translating into 17.3% cumulative default rate over the portfolio's weighted average life of 4.7 years). The correlation framework applied is in line with the standard ABS SME framework. Specifically, we assume a 6% global correlation (due to regional concentrations in the portfolio), with 12% intra-industry correlation and a 15% over-concentration endpoint stress. These inputs lead to a standard deviation over mean ratio of 58.6% and an implied asset correlation of 15.6%, which is clearly above the average for granular SME portfolios, but is explained by the high sector concentration. Furthermore, Moody's assumed stochastic recoveries with a mean recovery rate of 50% reflecting that 58% of the loan receivables are collateralized with 1st lien mortgages. The prepayments are assumed to be at a level of 6% p.a. .

Moody's also tested other set of assumptions under its Parameter Sensitivities analysis. The results show that the model output would be 2 notches lower if the mean default rate assumption was to increase to 22.9% (i.e. B2/B3 Moody's equivalent), all other parameters being kept unchanged. Similarly, the model output would be 3 notches lower if the recovery rate mean assumption was to decrease to 30%. For more details, please refer to the full Parameter Sensitivity analysis included in the New Issue Report of this transaction.

The main source of uncertainty in the analysis relates to (i) the rather subjective default definition applicable to the structure and (ii) the high concentration of borrowers in the more vulnerable Construction & Buildings sector. Otherwise, the uncertainty is comparable to other recently rated Italian SME loan receivable securitizations and as such the transaction was assigned a Medium V-Score, which is in line with the Italian SME ABS sector V-Score. This transaction shows in two sub-categories of the "Governance" aspect worse values than the sector and similarly in 1 category a better than average score. For more details please refer to the New Issue Report of this transaction.

As the Euro area crisis continues, the rating of the structured finance notes remains exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of the notes. For more information please refer to the Rating Implementation Guidance published on 13 February 2012 "How Sovereign Credit Quality May Affect Other Ratings". Please also refer to the recent rating actions on banks published on 15 February 2012, (please see "Moody's Reviews Ratings for European Banks" and "Moody's Reviews Ratings for Banks and Securities Firms with Global Capital Markets Operations" for more information).

The methodologies used in this rating were Moody's Approach to Rating CDOs of SMEs in Europe published in February 2007, Refining the ABS SME Approach: Moody's Probability of Default Assumptions in the rating analysis of granular Small and Mid-sized Enterprise portfolios in EMEA published in March 2009, Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa published in June 2007, and Historical Default Data Analysis for ABS Transactions in EMEA published in December 2005. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Other Factors used in this rating are described in V Scores and Parameter Sensitivities in the EMEA Small-to-Medium Enterprise ABS Sector published in June 2009.

For rating this transaction Moody's used the following models: (i) ABSROM (v.3.0) to model the cash flows and determine the loss for each tranche and (ii) CDOROM (V.2.8) to simulate the default definition applicable to this transaction.

More specifically, Moody's ABSROM cash flow model evaluates all default scenarios that are then weighted considering the probabilities of such default scenarios as defined by the transaction-specific default distribution (as simulated in CDOROM). On the recovery side Moody's assumes a stochastic (normal) recovery distribution which is correlated to the default distribution. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's analysis encompasses the assessment of stressed scenarios.

Moody's used CDOROM to simulate the default distribution for this transaction. The Moody's CDOROM™ model is a Monte Carlo simulation which takes borrower specific Moody's default probabilities as input. Each borrower reference entity is modelled individually with a standard multi-factor model incorporating intra- and inter-industry correlation. The correlation structure is based on a Gaussian copula. In each Monte Carlo scenario, defaults are simulated.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284040.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

However, the rating was based on limited historical data.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Silvia Baumann
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Thorsten Klotz
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive ratings to ABS SME notes issued by Asti Finance PMI S.r.l.
No Related Data.
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