Morningstar DBRS Comments on No Impact to Banca Monte dei Paschi di Siena S.p.A. Covered Bonds' Credit Ratings Following Issuer Upgrade

DBRS Ratings GmbH (Morningstar DBRS) notes that its AA credit ratings on the Obbligazioni Bancarie Garantite (OBG; the Italian legislative covered bonds) issued under the Banca Monte dei Paschi di Siena SpA (BMPS or the Issuer) covered bond programme (BMPS OBG1 or the Programme) and its AA (low) credit ratings on the OBG issued under the BMPS OBG2 remain unchanged following Morningstar DBRS' credit rating upgrades on the Issuer.

On 3 April 2025, Morningstar DBRS upgraded its Long-Term Critical Obligations Ratings (COR) on the Issuer to BBB (high) from BBB. For more information, please see the relevant press release at https://dbrs.morningstar.com/research/451465.

The CB Attachment Point (CBAP) for both programmes is the COR, now BBB (high) from BBB. The Legal and Structuring Framework (LSF) Assessment remains at "Very Strong" for both programmes.

Looking at the BMPS OBG1 Programme, the Cover Pool Credit Assessment (CPCA) is A (low). In the LSF matrix of "Very Strong", the current LSF Implied Likelihood (LSF-L) in line with the mentioned CPCA is A (high), which is the same for a CBAP of BBB (high) as well as BBB. As the LSF-L is still A (high), the upgrade on the CBAP did not trigger an upgrade on the CB credit ratings.

Looking at the BMPS OBG2 Programme, the Cover Pool Credit Assessment (CPCA) is BBB. In the LSF matrix of "Very Strong", the current LSF Implied Likelihood (LSF-L) in line with the mentioned CPCA is "A", which is the same for a CBAP of BBB (high) as well as BBB. As the LSF-L is still "A", the upgrade on the CBAP did not trigger an upgrade on the CB credit ratings.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

Credit rating actions on the Issuer are likely to have an impact on this credit rating.

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024; https://dbrs.morningstar.com/research/437781).

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is Global Methodology for Rating and Monitoring Covered Bonds (25 March 2025, https://dbrs.morningstar.com/document/450542).

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

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