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 amount of collections received so far and the high level of credit enhancement. Scope’s review was based on available payment information and investor and servicer reporting as of 30 April 2020.

Siena NPL 2018 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) extended to corporates 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.

The gross cumulative collection ratio stands at 75.8% of the business plan through the eighth interest payment date (30 April 2020). The profitability ratio for closed positions, at 104%, is slightly outperforming the level in the initial business plan. No mezzanine interest subordination event has occurred, since the gross cumulative collection ratio is above the 50% trigger level.

Aggregate gross collections since transfer date amount to EUR 1,487m – 80% of which is from open debtors (i.e., debtors for which the recovery process is still ongoing). This figure is above Scope’s expectations assumed at closing and represents about 21.3% 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 90.8% from 87.9%.

The composition of available gross collections are judicial proceeds (61.4%), out-of-court proceeds (33.5%), notesales proceeds (4.0%) and other types of collections (1.1%). Collections sources for closed positions were mostly out-of-court proceeds (93.2%), judicial proceeds (6.5%) and other (0.3%).

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. As of March 2020, 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.

The transaction is also exposed to i) BNP Paribas Securities Services, Milan Branch as account bank and paying agent; ii) Intesa Sanpaolo S.p.A. as operating bank; iii) Securitisation Services S.p.A 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.