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 of the amendments to certain transaction documents. The amendments include:

• Change of the annual fees to be paid to some agents of the securitisation and the introduction of an additional servicing fee that will cover certain costs arising from the sub-delegation to third parties of the special servicing activities in relation to a portion of the securitised portfolio.
   
• Changes of the exclusive powers of the investor committee in relation to i) the sale, set-off, settlement, discounted payoffs, rescheduling and restructuring arrangements relating to single or a pool of receivables and ii) the approval of some expenses that exceed the applicable maximum budget.
   
• The introduction of some duties of the master servicer in relation to the supervision and the management of the recovery expenses reserve.
   
• A more comprehensive description of the amounts that are credited and debited into the collection account.
   
• Changes of certain definitions of the special servicing agreements, the master servicing agreement, the conditions of the notes, the intercreditor agreement and the cash allocation, management and payments agreement.

The amendments relative to the master and special servicing agreements were signed on 4 August 2021, while the amendments relative to the other transaction documents will be signed in the following weeks (as some amendments are subject to the consent of the GACS guarantor).

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 applicable for the reviewed rating (General Structured Finance Rating Methodology, 14 December 2020; Non-Performing Loan ABS Rating Methodology, 9 September 2020; Methodology for Counterparty Risk in Structured Finance, 13 July 2021) 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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