Current ratings on the transaction are available here.

The current performance of Siena NPL 2018 S.r.l has no rating impact. The rating of class A continues to be supported by the strong structural protection and remains constrained by the relatively limited liquidity protection. Scope’s review was based on available payment information and investor and servicer reporting as of 31 March 2019.

Siena NPL 2018 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) that were extended to companies and individuals in Italy. The loans were originated by Banca Monte dei Paschi di Siena S.p.A., MPS Capital Services Banca per le Imprese S.p.A. and MPS Leasing & Factoring S.p.A. The transaction closed on 10 May 2018 and the class A legal maturity is in January 2033.

Aggregate gross collections since the cut-off date have amounted to EUR 920.8m, which represent around 13% of Scope’s expected lifetime collections. The timing of collections has also outpaced Scope’s expectations. As a result, class A credit enhancement relative to the portfolio’s outstanding gross book value has increased to 89.6% from 87.9%.

On the other hand, the average recovery rate on closed positions was slightly below Scope’s base case expectation (36.1% vs 37.8%). Closed positions since the cut-off date represent around 1.8% of the portfolio’s gross book value. At this stage, Scope does not consider the underperformance in terms of profitability to have a material impact on the rated notes, given the strong structural protection available to the class A noteholders.

Transaction performance continues to rely on four independent special servicers: Credito Fondiario S.p.A (also the master servicer), Italfondiario S.p.A., Juliet S.p.A. and Prelios Credit Servicing S.p.A. Profitability on closed positions, at 102%, is slightly outperforming the level in the initial business plan, while aggregate gross collections since the cut-off date are below expectations at 89.5%. As of March 2019, three special servicers failed to collect at least 85% of the amount targeted in their initial business plans. This resulted in a 10% haircut being applied on the servicing fees of those special servicers.

Most collections have so far stemmed from judicial proceedings (58% of total collections). Additionally, Scope observed a decrease of the share of secured loans under the initial phases of legal proceedings (48.1% vs 52.6% at closing) and an increase of secured loans under the final distribution phase (22.5% vs 6.7% at closing), which are credit-positive for the transaction.

The transaction is also exposed to i) BNP Paribas Securities Services, Milan Branch (the parent company, BNP Paribas SA, is rated AA-/S-1 by Scope) as account bank and paying agent; ii) Intesa Sanpaolo S.p.A. (rated A/S-1 by Scope) as operating bank; iii) Securitisation Services S.p.A, which acts, inter alia, as calculation agent and representative of the noteholders; and iv) HSBC Bank Plc and Mediobanca S.p.A. as the interest rate cap providers. All counterparties continue to be supportive for the rating.

Scope continuously monitors Siena NPL 2018 S.r.l.

Ratings and research are freely available at www.scoperatings.com.