Siena NPL 2018 S.r.l. is a static cash securitisation of a portfolio of Italian non-performing loans (NPLs) initially worth around EUR 24.07bn by gross book value and 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 portfolio is serviced by four special servicers: Credito Fondiario S.p.A. (acting also as master servicer), doValue S.p.A. (former Italfondiario S.p.A.), Juliet S.p.A. and Prelios Credit Solutions S.p.A.

Scope’s announcement addresses the credit impact associated with the amendments to the special servicing agreements and to the master servicer agreement signed on 21 July 2020. The amendments include:

• The acknowledgment among the parties that the updated business plan (with new projections starting from June 2019) will become the reference business plan for all the contractual obligations of the special servicers and will be used to verify the occurrence of a special servicer underperformance event, which means that the business plan made at closing will still be valid a reference for the subordination of Class B interest.
• A more comprehensive description of the process for updating the business plan, which can occur no more than once a year.
• The introduction of new reporting requirements for the special servicers and the master servicer.
• The introduction of additional special servicer underperformance events and amendments of certain conditions related to existing special servicer underperformance events. The occurrence of a special servicer underperformance event will determine a reduction of the servicing fees and the possibility to terminate the appointment of one or more special servicer for a portion of the managed receivables.
• The introduction of an additional special servicer termination event in case of missing fulfilment of the new reporting requirements.

Scope’s analysis only covers the credit impact associated with the amendments described above. Scope Ratings has not addressed other non-credit related effects that may be relevant for investors and/or counterparties when assessing the impact of said amendments.
This announcement does not constitute a rating action nor indicates the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com

The methodologies applied for the analysis, the Non-Performing Loan ABS Rating Methodology (9 September 2020) and the Methodology for Counterparty Risk in Structured Finance (8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This announcement is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.

Analyst Contact: Leonardo Scavo: l.scavo@scoperatings.com
Team Leader: David Bergman: d.bergman@scoperatings.com

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