Press Release

DBRS Morningstar Confirms Credit Rating on Siena NPL 2018 S.r.l. With Stable Trend

Nonperforming Loans
September 29, 2023

DBRS Ratings GmbH (DBRS Morningstar) confirmed its credit rating on the Class A Notes issued by Siena NPL 2018 S.r.l. (the Issuer) at BB (high) (sf) with a Stable trend on the credit rating.

The transaction represents the issuance of Class A, Class B, and Class J notes as well as a Class X detachable coupon (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before its final maturity date. DBRS Morningstar does not rate the Class B notes, the Class J notes, or the Class X detachable coupon.

At issuance, the notes were backed by a EUR 24.1 billion portfolio by gross book value consisting of a mixed pool of Italian nonperforming residential, commercial, and unsecured loans originated by Banca Monte dei Paschi di Siena S.p.A., MPS Capital Services Banca per le Imprese S.p.A., and Monte dei Paschi di Siena Leasing. The portfolio was composed of secured commercial and residential loans (57.8% of total GBV) and unsecured loans (42.2% of total GBV) mostly due by Italian small and medium-sized enterprises (SMEs) (81.0% of total GBV).

The receivables are serviced by Special Gardant S.p.A. (Special Gardant; formerly Credito Fondiario S.p.A.), doValue S.p.A. (doValue; formerly Italfondiario S.p.A.), Cerved Credit Management S.p.A. (Cerved; formerly Juliet S.p.A.), and Prelios Credit Servicing S.p.A. (Prelios; collectively, the special servicers). Master Gardant S.p.A. (Master Gardant S.p.A.; formerly Credito Fondiario S.p.A.) also operates as the master servicer in the transaction.

The credit rating confirmation follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: An assessment of portfolio recoveries as of 30 June 2023, focusing on (1) a comparison between actual collections and the special servicers’ initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and DBRS Morningstar’s expectations.
-- Portfolio characteristics: The loan pool composition as of June 2023 and the evolution of its core features since issuance.
-- Transaction liquidating structure: The order of priority entails a fully sequential amortisation of the Notes (i.e., the Class B Notes will begin to amortise following the full repayment of the Class A Notes and the Class J Notes will begin to amortise following the repayment of the Class B Notes).
-- Performance ratios and underperformance events: as per the most recent July 2023 payment report, all servicers have breached their special servicer subordination fee event and 10% of their fees above the base fee are subordinated in the priority of payments whereas the mezzanine notes (interest) trigger has not occurred.
-- Liquidity support: The transaction benefits from an amortising cash reserve providing liquidity to the structure and covering potential interest shortfall on the Class A notes. The cash reserve target amount is equal to 3.5% of the Class A notes’ principal outstanding and is currently fully funded.
-- Interest rate risk: The transaction is exposed to interest rate risk in a rising-interest-rate environment because of the underhedging of the Class A notes, which is a result of the underperformance in terms of collections.

According to the latest investor report from July 2023, the outstanding principal amounts of the Class A, Class B, and Class J Notes were EUR 1,055.4 million, EUR 892.2 million, and EUR 565.0 million, respectively. As of the July 2023 payment date, the balance of the Class A Notes had amortised by 63.8% since issuance, and the aggregated transaction balance was EUR 2,512.5 million.

As of June 2023, the transaction was performing below the Servicer’s business plan expectations. The actual cumulative gross collections from the transfer date (20 December 2017) equalled EUR 3,102.5 million whereas the Servicer’s initial business plan estimated cumulative gross collections of EUR 4,200.5 million for the same period. Therefore, as of June 2023, the transaction was underperforming by EUR 1,098.0 million (-26.1%) compared with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 3,067.6 million in the BBB (sf) stressed scenario. Therefore, as of June 2023, the transaction was performing above DBRS Morningstar’s initial stressed expectations.

The business plan assumes total cumulative gross collections from the transfer date of EUR 6,247.8 million. Excluding actual collections, the special servicers’ expected future collections from July 2023 are now EUR 2,047.3 million. The updated DBRS Morningstar BB (high) (sf) rating stress assumes a haircut of 14.7% including actual collections from the transfer date.

The Class A notes would pass higher rating stress scenario; however, DBRS Morningstar believes that higher ratings would not be commensurate with the risk associated with the transaction, given (1) the consolidated underperformance of the portfolio, (2) the recent deteriorating conversion ratio of collections to Class A principal repayments (partially as a result of rising interest rate and GACS fees), (3) the increased interest rate risk as the Class A is currently underhedged, and (4) the reduced liquidity support as the current cash reserve currently covers senior costs and interest for only one quarterly payment date.

The final maturity date of the transaction is in January 2047.

DBRS Morningstar’s credit rating on the Class A Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balance.

DBRS Morningstar’s credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” (4 July 2023) at

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: “Master European Structured Finance Surveillance Methodology” (7 February 2023),

Other methodologies referenced in this transaction are listed at the end of this press release.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at:

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The sources of data and information used for this credit rating include the Issuer, Special Gardant, doValue, Cerved, Prelios, and Banca Finanziaria Internazionale S.p.A. which comprise, in addition to the information received at issuance, the business plan; the investor report as of July 2023; and the quarterly and monthly servicer reports as of June 2023.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 30 September 2022, when DBRS Morningstar confirmed its credit rating on the Class A notes at BB (high) (sf) with a Stable trend.

The lead analyst responsibilities for this transaction have been transferred to Pablo Iturriaga.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the credit rating (the Base Case):
-- DBRS Morningstar concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a confirmation of the Class A Notes at BB (high) (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (high) (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Pablo Iturriaga, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 10 May 2018

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Geschäftsführer: Detlef Scholz
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The credit rating methodologies used in the analysis of this transaction can be found at:

-- Rating European Nonperforming Loans Securitisations (5 June 2023),
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
-- Master European Structured Finance Surveillance Methodology (7 February 2023),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022),
-- European RMBS Insight Methodology (27 March 2023),
-- European RMBS Insight: Italian Addendum (29 September 2022),
-- European CMBS Rating and Surveillance Methodology (14 December 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (4 July 2023),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at