Scope assigns mandated ratings to UniCredit-arranged Asti Group Italian RMBS
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Scope’s ABS mandates continue to grow with Asti Group RMBS IV, a securitisation of prime Italian residential mortgages arranged by UniCredit. The mandate follows the ECB’s inclusion of Scope’s ABS ratings in its credit assessment framework (ECAF).
Benoit Vasseur, CFA , Head of Structured Finance Primary Ratings at Scope Ratings, said: “We are delighted to have been mandated to rate this transaction using our newly published Residential Mortgage-Backed Securities Rating Methodology. With our ECAF status and our ABS ratings accepted in the Eurosystem, our mission is to support the growth and development of European capital markets, offering an independent credit view rooted in European realities.”
Rossella Ghidoni, EMBA , Director, Structured Finance, at Scope Ratings, said: “Our RMBS methodology is built off a comprehensive credit risk framework that includes an extensive analysis of originators and servicers. Importantly, as mortgage market idiosyncracies are embedded in our portfolio analysis, we do not mechanistically cap a transaction’s rating at the sovereign rating of the country in which the assets are located.”
Paolo Canale , Chief Financial Officer of Cassa di Risparmio di Asti, said: We are delighted to have involved Scope in the rating process of our RMBS transactions for the first time, enlarging the base of rating agencies involved for this kind of transaction. We are certain that Scope’s expertise will be invaluable in ensuring increased confidence from investors thanks to the achievement of the highest rating achievable, which plays a critical role in enhancing the transparency and credibility of this securitisation.”
Andrea Modolo , Managing Director at UniCredit, said: “The involvement of Scope in Asti Group RMBS IV further strengthens the transaction’s overall credit profile, providing investors with an additional layer of confidence given the AAASF rating achieved. AAA investors who are looking for Italian portfolios can now invest in ABS that are recognised as eligible collateral by the ECB. Therefore we expect growth in demand for Italian AAA ABS.”
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Asti Group RMBS IV is a granular, static securitisation of loans originated by Cassa di Risparmio di Asti S.p.A. (CR Asti), an Italian bank located in Piedmont in the northwest of Italy. CR Asti has issued 11 securitisations of residential mortgages and SME loans. This latest transaction saw the issuance of three classes of notes: Class A1, Class A2 (both rated by Scope) and Class J (unrated). The initial portfolio amount is EUR 665m with an annual weighted average yield of 5.0% an estimated weighted average residual maturity of 18.9 years.
Scope assigned AAASF ratings to the EUR 365.7m Class A1 and EUR 186.1m Class 2 notes. The Republic of Italy’s long-term local and foreign-currency issuer ratings were affirmed in July at BBB+. Read Scope’s rating report on Asti Group RMBS IV here.
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