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., now Gardant 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.

Siena NPL 2018 S.r.l. intends to implement a real estate operating company (ReoCo) structure, which will be established according to the provisions of article 7.1 paragraph 4 of Law 130 of 1999. Cerved Credit Management Group S.r.l., doValue S.p.A. and Prelios Credit Solutions S.p.A. will be appointed as the ReoCo servicers to carry out all the ReoCo servicing activities.

The overall amount of debt assumed by the ReoCo will be limited to EUR 800 million on a revolving basis. This means that after an asset is sold, even if sold at a loss, the total allowable exposure will not be reduced.

The ReoCo activity will be financed through three sources: ReoCo cash reserve, ReoCo expenses reserve and third-party financing. The ReoCo cash reserve will be funded through additional subscription payments on the Class J which, for that purpose, will be restructured into partially paid notes with an increase of their aggregate face value up to Euro 655,000,000, provided that the amount of such additional subscription payments on the Class J during any given interest period shall not exceed the interest amount actually paid under the Class B notes. The ReoCo expenses reserve will be funded exclusively with the proceeds generated by the ReoCo activity. Third-party financing, which has not been requested as of the date of this publication, may be provided to the ReoCo by counterparties unrelated to the Issuer or to the ReoCo.

If issuer available funds are not enough to pay Class B interest or Class B interest deferral trigger is hit, the ReoCo cash reserve will not be replenished. Under this scenario, the ReoCo may not be able to continue operating in case no other sources of financing are available. Class B interest would be subordinated if the cumulative collection ratio falls below 50%. As of 02.11.2021, the cumulative collection ratio was at 55.67%.

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 ,11 December 2021; Non-Performing Loan ABS Methodology, 6 August 2021; 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: Rossella Ghidoni, Director

Potential conflicts*
See www.scoperatings.com under Governance & Policies/EU Regulation/Disclosures for a list of potential conflicts of interest related to the issuance of Credit Ratings. One of the General Managers of Scope Ratings, who joined the organisation on 1 December 2021, has a significant relationship with an affiliate of Deutsche Bank AG, a related third party to this transaction.

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*Editor's note: The 'Potential Conflicts' section was added on 2 February 2022.