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 agreement signed by the issuer with a third-party purchaser for the disposal of a pool of receivables worth around EUR 297.4m by gross book value (as of 30 September 2020).

Under this disposal agreement, the issuer will receive both an upfront payment and recurring payments. The recurring amount will be paid semi-annually and will be equal to 50% of the realised collections in each semester (after deducting recovery expenses).

Scope’s analysis only covers the credit impact associated with the disposal agreement 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 agreement.

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 applicable for the reviewed rating (General Structured Finance Rating Methodology, published on 14 December 2020, Non-Performing Loan ABS Methodology, published on 9 September 2020, Methodology for Counterparty Risk in Structured Finance, published on 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Leonardo Scavo, Senior Analyst

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