DBRS Places Banca Monte dei Paschi di Siena Programme 2 Covered Bonds Under Review, Negative Implications

DBRS Ratings Limited (DBRS) has today placed the ‘A’ rating on Banca Monte dei Paschi di Siena SpA (“BMPS”) covered bonds issued out of BMPS Programme 2 (“BMPS P2 OBG”) Under Review with Negative Implications.

The rating action follows the October 28, 2014 DBRS placement of the BMPS Senior Long-Term Debt and Deposit Rating of BBB Under Review with Negative Implications (see the related press release regarding the rating action of BMPS ratings in the “Related Research” section).

BMPS P2 OBGs are rated ‘A’ by DBRS based on ‘Rating European Covered Bonds Methodology’ and the rating is based on the following analytical considerations:
• The senior unsecured debt rating of BMPS of ‘BBB’ Under Review with Negative Implications.
• The Legal and Structuring Framework (LSF) assessment of “Very Strong” associated with the BMPS P2 OBG.
• The cover pool credit assessment of BBB.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodologies applicable is: Rating European Covered Bonds.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data and loan by loan level information on the cover pool provided by BMPS. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The last rating action on this transaction took place on August 14, 2014 when DBRS confirmed the rating on BMPS P2 OGB following the completion of a full review of the Programme.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating is Under Review. The review on the covered bonds will be resolved only once the conditions that lead to the assignment of review on the Issuer rating are resolved.

Everything else equal, should BMPS rating be downgraded by one notch to BBB (low), then the covered bonds ratings would be downgraded by one notch to ‘A’ (low).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Valentina Cicerone
Initial Rating Date: 3 September 2013
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 14 August 2014
Lead Analyst: Valentina Cicerone
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
Global Methodology for Rating Banks & Banking Organisations
Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations
Rating European Covered Bonds