Morningstar DBRS Confirms Credit Ratings on Asti Group RMBS III S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit ratings on the Class A1 and Class A2 Notes (together, the Class A Notes) notes issued by Asti Group RMBS III S.r.l. (the Issuer).

The credit ratings on the Class A Notes address the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in December 2082.

CREDIT RATING RATIONALE
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the September 2024 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the rated notes to cover the expected losses at the AAA (sf) credit rating level.

The transaction is a securitisation of Italian residential mortgages originated and serviced by Cassa di Risparmio di Asti S.p.A. (CR Asti), which originated 85.4% of the initial mortgage pool, and Cassa di Risparmio di Biella e Vercelli S.p.A. (BiverBanca), a previously wholly owned subsidiary of CR Asti, which originated 14.6% of the initial pool. Effective from November 2021, Biverbanca was merged by incorporation into CR Asti.

The transaction closed in December 2021 and included a 28-month ramp-up period, which was scheduled to end in March 2024 but was terminated early on the September 2023 payment date.

PORTFOLIO PERFORMANCE
As of the August 2024 cut-off date, loans that were 30 to 60 days, and 60 to 90 days delinquent represented 0.7% and 0.3% of the outstanding principal balance, respectively, while loans more than 90 days delinquent represented 1.1%.
Gross cumulative defaulted loans amounted to 0.4% of the aggregate initial portfolio balance, of which 3.1% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 6.6% and 21.5%, respectively.

CREDIT ENHANCEMENT
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement to the Class A Notes. As of the September 2024 payment date, credit enhancement to the Class A Notes increased to 21.2% from 18.1% as of the September 2023 payment date.

The transaction benefits from a cash reserve, funded at closing at EUR 7.8 million using a subordinated loan granted by CR Asti. The reserve provides liquidity support and is available to cover senior expenses and interest payments on the Class A Notes. The reserve is amortising with a target balance equal to 1.5% of the outstanding balance of the Class A Notes, subject to a floor of EUR 6.95 million. As of the September 2024 payment date, the reserve was at its target of EUR 10.2 million.

BNP Paribas Succursale Italia (BNP Paribas Italy) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on BNP Paribas Italy, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings" at: https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the: "Master European Structured Finance Surveillance Methodology (19 November 2024), https://dbrs.morningstar.com/research/443204.

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

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit 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 Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by KPMG Fides Servizi di Amministrazione S.p.A., servicer reports and additional information provided by CR Asti, and loan-level data provided by the European DataWarehouse GmbH.

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

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

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

Morningstar DBRS 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 2 December 2023, when Morningstar DBRS upgraded its credit ratings on the Class A Notes at AAA (sf) from AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Alice Comastri.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transactions parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

--Morningstar DBRS expected a lifetime base - case PD and LGD for the pool based on a review of the current assets.
Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit rating.
-- The base case PD and LGD of the current pool of loans for the Issuer are 6.6% and 21.5%, respectively.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Alice Comastri, Senior Analyst
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 2 December 2021

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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443204.
-- European RMBS Insight Methodology (18 September 2024) and European RMBS Insight model v 10.0.0.0,
https://dbrs.morningstar.com/research/439573
-- European RMBS Insight: Italian Addendum (30 September 2024),
https://dbrs.morningstar.com/research/440245
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024)
https://dbrs.morningstar.com/research/437781.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com