Morningstar DBRS Comments on Siena NPL 2018 S.r.l. Following Amendments

DBRS Ratings GmbH (Morningstar DBRS) reviewed the impact of certain amendments to the servicing agreements entered into between Siena NPL 2018 S.r.l. (the Issuer), Master Gardant S.p.A., Special Gardant S.p.A., Cerved Credit Management S.p.A., doValue S.p.A., and Prelios Credit Solution S.p.A. (collectively, the Amendments) effective on 16 April 2025 and concluded that the Amendments, in the form submitted to Morningstar DBRS, do not in and of themselves result in a credit rating downgrade or discontinuation and withdrawal of Morningstar DBRS' BB (high) (sf) credit rating with a Stable trend on the Class A notes.

At issuance, the notes were backed by a EUR 24.1 billion portfolio by gross book value (GBV) 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 held by Italian small and medium-sized enterprises (81.0% of total GBV).

The receivables are serviced by Special Gardant S.p.A. (formerly Credito Fondiario S.p.A.), doValue S.p.A. (formerly Italfondiario S.p.A.), Cerved Credit Management S.p.A. (formerly Juliet S.p.A), and Prelios Credit Solution S.p.A. (collectively, the Special Servicers) as well as Master Gardant S.p.A. (formerly Credito Fondiario S.p.A.; the Master Servicer.

The Amendments reduce the overall servicing fees (base fee and collections fee) to be paid to the Special Servicers from 1 March 2025 (included) onwards under the special servicing agreements.

Morningstar DBRS believes that the Amendments will not negatively affect the total proceeds flowing to the Issuer. Morningstar DBRS considers the risk that lower servicing fees might potentially lower the Special Servicers' incentive to improve the portfolio's performance to be mitigated by several factors: (1) all servicers have already triggered the Special Servicer Fee Subordination Event, meaning that a portion of the servicing fees (other than the base fees) is already subordinated in the priority of payments, yet their performance has remained stable over the past 24 months; (2) the expected future collections and related collection fees remain significant; and (3) the portfolio is at an advanced legal stage, which increases the proportion of collections received directly through court processes, thereby reducing reliance on servicer intervention.

More information on the transaction is available at: https://dbrs.morningstar.com/issuers/23147

Notes:
All figures are in euros unless otherwise noted.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

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