The asset percentage (AP) for a newly-established Banco Desio OBG programme has been changed from 77% to 75% after it came to light that incorrect documentation was used as the basis for a AA- expected rating assigned by Fitch last month.

Banco di Desio e Brianza published the Eu3bn soft bullet programme’s prospectus on 21 July and Fitch assigned a AA- rating based on an expected issue size of Eu500m.

However, Fitch’s analysis is understood to have been based on a version of the documentation that had been superseded and, after this was brought to its attention, the rating agency yesterday (Wednesday) issued a statement on the programme after undertaking an updated analysis based on the definitive documentation.

The rating agency cited an inconsistency between English and Italian versions of documentation relating to commingling risk and set-off risk mitigation.

“According to the Italian definitions used in the programme documents, collections potentially subject to commingling and set-off are deducted from the asset coverage test (ACT) upon a downgrade to below BBB or F2 in the Issuer Default Rating (IDR) of Desio, which also acts as master servicer,” it said. “These definitions are inconsistent with the programme documents’ English definitions, which stipulate a commingling and set-off risk deduction upon a downgrade of the master servicer’s IDR to below BBB- or F3.”

According to Fitch, programme documents specify that English terms prevail over Italian terms in case of discrepancies between definitions, and it has therefore taken into account a revised AP of 75% (versus 77% previously) that the issuer has undertaken to apply as a result of Fitch’s breakeven AP for the AA- OBG rating having moved from 78.5% to 76%.

A source close to Desio’s programme said the version now incorporated into Fitch’s analysis is that which the issuer intended to be used.