Siena Lease S.r.l.

Transcription

1 Siena Lease S.r.l. Investors Report Securitisation of lease agreements entered into by Monte dei Paschi di Siena Leasing & Factoring, Banca per i Servizi Finanziari alle Imprese S.p.A. 761,300,000 Class A Asset Backed Floating Rate Notes due September ,500,000 Class B Asset Backed Floating Rate Notes due September ,500,000 Class C Asset Backed Floating Rate Notes due September ,000,000 Class D Asset Backed Floating Rate Notes due September ,530,000 Junior Asset Backed Residual Return Notes due September 2040 Contacts Antonio di Nuzzo / Ivana Milano sienalease15-2@finint.com Tel.: / 595 Via V. Alfieri, Conegliano (TV) Reporting Dates from to Collection Period 01/12/ /02/2017 Interest Period 28/12/ /03/2017 Payment Date 27/03/2017 This Investors Report is prepared by Securitisation Services in accordance with the criteria described in the Transaction Documents. Certain information included in this report is provided by the Parties. Please be advised that Securitisation Services will have no liability for the completeness or accuracy of such information.

2 1. Transaction overview Parties Issuer Originator / Servicer / Subordinated Loan Provider Representative of the Noteholders Calculation Agent / Back-up Servicer Back-up Servicer Delegates Paying Agent / Account Bank Corporate Servicer Cash Manager Listing Agent Cap Counterparty Joint Lead Managers Arranger Legal Advisors Siena Lease S.r.l. Monte dei Paschi di Siena Leasing & Factoring, Banca per i Servizi Finanziari alle Imprese S.p.A. Securitisation Services S.p.A. Securitisation Services S.p.A. Agenzia Italia S.p.A. / Trebi Generalconsult S.r.l. BNP Paribas Secutities Services, Milan Securitisation Services S.p.A. Banca Monte dei Paschi di Siena S.p.A. BNP Paribas Secutities Services HSBC Bank plc Banca IMI S.p.A. / HSBC Bank plc / Unicredit Bank AG Banca Monte dei Paschi di Siena S.p.A. Linklaters LLP Main definitions Payment Date Interest Period Business Day Delinquent Receivables Defaulted Receivables Priority Event One Priority Event Two Priority Event Three (a) Prior to the delivery of a Trigger Notice, the twenty-seventh day of March, June, September and December in each year and, if such day is not a Business Day, the immediately following Business Day, and (b) following the delivery of a Trigger Notice, any Business Day on which any payment is required to be made by the Representative of the Noteholders in accordance with the Post Trigger Notice Priority of Payments, the Conditions and the Intercreditor Agreement. Each period from (and including) a Payment Date to (but excluding) the next following Payment Date. Any day on which banks are generally open for business in Milan, Siena, Luxembourg and London and on which TARGET2 is open. Receivables which are not Defaulted Receivables and in relation to which there is at least one Delinquent Instalment. Receivables in relation to which (A) the relevant Lease Agreement has been terminated, or (B) in relation to those Lease Agreements under which Instalments are paid, (i) on a monthly basis, there are 6 or more Delinquent Instalments; (ii) on a bi-monthly basis, there are 4 or more Delinquent Instalments; (iii) on a quarterly basis, there are 3 or more Delinquent Instalments; (iv) on a four-monthly basis, there are 2 or more Delinquent Instalments; and (v) on a semi-annual basis, there are 2 or more Delinquent Instalments. The event occurring if, on any Calculation Date prior to the full redemption of the Class C Notes and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted Receivables (as at the date on which they have been classified as such) is equal to or higher than 15 per cent. of the of the Portfolio as at the Issue Date. The event occurring if, on any Calculation Date prior to the full redemption of the Class B Notes and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted Receivables (as at the date on which they have been classified as such) is equal to or higher than 25 per cent. of the of the Portfolio as at the Issue Date. The event occurring if, on any Calculation Date prior to the full redemption of the Senior Notes and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted Receivables (as at the date on which they have been classified as such) is equal to or higher than 35 per cent. of the of the Portfolio as at the Issue Date. Page 2

3 2. Notes and Assets descritpion The Notes Issue Date 28 January 2016 Classes on Issue Currency Final Maturity Date ISIN code Common code Denomination Type of amortisation Indexation Spread Payment frequency Initial Rating Moody's Current Rating Moody's Initial Rating Fitch Current Rating Fitch Class A Notes Class B Notes Class C Notes Class D Notes Junior Notes EUR EUR EUR EUR EUR September 2040 September 2040 September 2040 September 2040 September 2040 IT IT IT IT IT Amortizing Amortizing Amortizing Amortizing Amortizing Euribor 3M Euribor 3M Euribor 3M Euribor 3M - 1,250% 2,750% 4,250% 5,000% - Quarterly Quarterly Quarterly Quarterly Quarterly Aa2(sf) A2(sf) Ba3(sf) Caa2(sf) - Aa2(sf) A2(sf) Ba3(sf) Caa2(sf) - AA+sf BBB+sf Bsf - - AA+sf A+sf BB+sf - - The Portfolio Underlying assets for the Notes: Lease Agreements Initial Portfolio: ,88 Transfer Date: 30 November 2015 Page 3

4 2.1 Class A Notes Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest 28/01/ /03/ /03/ ,00-1,056% , , , ,12-0, /03/ /06/ /06/ ,12-1,009% , , , ,64-0, /06/ /09/ /09/ ,64-0,981% , , , ,35-0, /09/ /12/ /12/ ,35-0,948% , , , ,48-0, /12/ /03/ /03/ ,48-0,934% , , , ,99-0, Pool factor Page 4

5 2.2 Class B Notes Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest 28/01/ /03/ /03/ ,00-2,556% , , ,00-1, /03/ /06/ /06/ ,00-2,509% , , ,00-1, /06/ /09/ /09/ ,00-2,481% , , ,00-1, /09/ /12/ /12/ ,00-2,448% , , ,00-1, /12/ /03/ /03/ ,00-2,434% , , ,00-1, Pool factor Page 5

6 2.3 Class C Notes Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest 28/01/ /03/ /03/ ,00-4,056% , , ,00-1, /03/ /06/ /06/ ,00-4,009% , , ,00-1, /06/ /09/ /09/ ,00-3,981% , , ,00-1, /09/ /12/ /12/ ,00-3,948% , , ,00-1, /12/ /03/ /03/ ,00-3,934% , , ,00-1, Pool factor Page 6

7 2.4 Class D Notes Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest 28/01/ /03/ /03/ ,00-4,806% , , ,00-1, /03/ /06/ /06/ ,00-4,759% , , ,00-1, /06/ /09/ /09/ ,00-4,731% , , ,00-1, /09/ /12/ /12/ ,00-4,698% , , ,00-1, /12/ /03/ /03/ ,00-4,684% , ,00-1, Pool factor Page 7

8 2.5 Junior Notes Interest Period Payment Date Before payments Payments After payments Unpaid Interest Interest Unpaid Interest Pool factor 28/01/ /03/ /03/ , ,00-1, /03/ /06/ /06/ , ,00-1, /06/ /09/ /09/ , ,00-1, /09/ /12/ /12/ , ,00-1, /12/ /03/ /03/ , ,00-1, Page 8

9 3. Collections Collection Period Instalments of the period Instalments of previous periods Prepayments Repurchases Recoveries Various Late charges - movements on Interest Other Interest Other Interest Other Interest Other Interest Other penalty interests instalments 01/12/ /02/ , , , , , , ,42 959, ,25-0, , ,13 01/03/ /05/ , , , , , , , , , , ,14 01/06/ /08/ , , , , , , , , , , , ,69 01/09/ /11/ , , , , , , , , , , , ,61 01/12/ /02/ , , , , , , , , , , , , , ,76 reimbursed Total Collections Page 9

10 4. Issuer Available Funds Collection Period Collections and Recoveries s received from the Originator pursuant to the Transfer and the Warranty and Indemnity Agreement Proceeds from the Eligible Investments Interest paid on the amounts standing to the credit of the Accounts Proceeds from the sale of the Portfolio or of Individual Receivables s from any party to the Transaction Documents Cash Reserve Available and any Cash Reserve Excess standing to the credit of the Cash Reserve Account On the PD on which the Senior and the Class B Notes have been repaid in full, amounts standing to the credit of the Cash Reserve Account s standing to the credit of the Expenses Account and the Adjustment Reserve Account upon its closure Adjustment Reserve Excess paid by the Cap Counterparty under the Cap Agreement Issuer Available Funds 01/12/ /02/ , , , ,05 01/03/ /05/ , , , , ,96 01/06/ /08/ , , , ,01 01/09/ /11/ , , , , ,91 01/12/ /02/ , , , , ,66 Page 10

11 5.1 Pre Trigger Notice Priority of Payments If no Priority Following the due on As long as there Event Three has Following the occurence of the After the Senior After the Class After the Class the Junior Notes up are Senior Notes If no Priority Event Following the Following the Following the Adjustment s If no Priority If no Priority occurred, If no Priority occurence of the Priority Event Notes have been B Notes have C Notes have due to to an amount such Expenses, up to s due and Class B Three has occurence of the occurence of the occurence of the Purchase Price outstanding in Event Three has Event Two has principal due to Event One has Priority Event Three, principal repaid in full, been repaid in been repaid in any Transaction that the Residual Return Payment Retention the Adjustment and payable to Interest on the Notes occurred, interest Equivalent Priority Event Priority Event Priority Event pursuant to respect of Junior Residual occurred, occurred, the Subordinated and the Cap Class A Notes Subordinated occurred, Three, interest due to the full, full, Party under the on the Junior Date Reserve Target outstanding, due to the of the Three, interest Two, interest on One, interest on clause of Notes Retained balance interest on the interest on the Loan Provider up Agent Fees Counterparty Loan residual interest on the due to the Subordinated Loan Equivalent Equivalent Equivalent Transaction of the Notes amount up to the Subordinated Class A Notes on the Class B the Class C the Class D the Transfer on the Class B Notes Class C Notes to the Cash amount Class D Notes Subordinated Provider up to the of the of the of the Documents Junior Notes is not Target Cash Loan Provider Notes Notes Notes Agreement Junior Notes Reserve Excess Loan Provider Cash Reserve Class B Notes Class C Notes Class D Notes lower than the Reserve Excess Junior Notes 29/03/ , , , , , , , , , , /06/ , , , , , , , , , , /09/ , , , , , , , , , , /12/ , , , , , , , , , , /03/ , , , , , , , , , , Page 11

12 5.2 Post Trigger Notice Priority of Payments Payment Date Expenses, Retention and Agent Fees up to the Adjustment Reserve Target Interest on the Class A Notes outstanding on the Class A Notes Interest on the Class B Notes outstanding on the Class B Notes Interest due to the Subordinated Loan Provider due to the Subordinated Loan Provider up to the Cash Reserve Excess Interest on the Class C Notes outstanding on the Class C Notes Interest on the Class D Notes outstanding on the Class D Notes Adjustment Purchase Price pursuant to clause of the Transfer Agreement due to any Transaction Party under the Transaction Documents due and payable on the Junior Notes up to the Junior Notes Retained Residual Return on the Junior Notes s outstanding in respect of Junior Notes Retained on the Junior Notes Residual balance Page 12

13 6. Reserve Payment Date Cash Reserve Initial Opening Balance of the Cash Reserve Account of the Class A and the Class B Notes Target Cash Reserve Cash Reserve Available Cash Reserve Excess Closing balance of the Cash Reserve Account Shortfall Adjustment Reserve Adjustment Reserve Target Adjustment Reserve Excess Closing Balance of the Adjustment Reserve Account (a) Max [2,25%*(a);1,000,000] (a) (b) (c)=(a)-(b) 29/03/ , , , , ,00 FALSO , , ,42 FALSO 27/06/ , , , , , ,85 FALSO , , , ,72 FALSO 27/09/ , , , , , ,53 FALSO , , ,31 FALSO 28/12/ , , , , , ,76 FALSO , , ,60 FALSO 27/03/ , , , , , ,87 FALSO , , ,27 FALSO Shortfall Page 13

14 7. The Portfolio Quarterly Collection Period unpaid instalments Balance Performing Receivables Delinquent Receivables Defaulted Receivables Unpaid interest instalments Total Nr. of Positions unpaid instalments Balance Unpaid interest instalments Total Nr. of Positions unpaid instalments Balance 01/12/ /02/ , , , , , , , , , ,65 362, , /03/ /05/ , , , , , , , , , ,25 966, , /06/ /08/ , , , , , , , , , , , , /09/ /11/ , , , , , , , , , , , , /12/ /02/ , , , , , , , , , , , , Unpaid interest instalments Total Nr. of Positions Page 14

15 8. Collateral Portfolio Quarterly Collection Period Portfolio at the beginning of the Collection Period collections in the Collection Period on Defaulted Receivables of the Collection Period (net of recoveries) Justified difference Portfolio at the end of the Collection Period Notional (1) (2) (3) (4) (5) = (6) 01/12/ /02/ , , , , ,12 01/03/ /05/ , , , , ,64 01/06/ /08/ , , , , ,80 01/09/ /11/ , , , , ,09 01/12/ /02/ , , , , ,89 Page 15

16 9. Repurchased Receivables Quarterly Collection Period Number of Receivables During the Collection Period of the Receivables % on Portfolio at the Valuation Date % on the at the beginning of the period Receivables pursuant to cl of the Transfer Agreement During the Year Number of Receivables of the Receivables % on Portfolio at the Valuation Date (Limit Ratio: 1,5%) % on the at the beginning of the period Number of Receivables Since Valuation Date of the Receivables % on Portfolio at the Valuation Date (Limit Ratio: 9%) % on the at the beginning of the period 01/12/ /02/ ,95 0,00629% 0,00629% ,95 0,00629% 0,00629% ,95 0,00629% 0,00629% 01/03/ /05/ ,02 0,32164% 0,33677% ,97 0,32793% 0,34336% ,97 0,32793% 0,34336% 01/06/ /08/ ,77 0,03513% 0,03879% ,74 0,36306% 0,40092% ,74 0,36306% 0,40092% 01/09/ /11/ ,89 0,23285% 0,27050% ,45 0,87539% 1,01692% ,45 0,87539% 1,01692% 01/12/ /02/ ,03 0,04302% 0,05262% ,03 0,04302% 0,05262% ,48 0,91841% 1,12329% Quarterly Collection Period Number of Receivables Receivables pursuant to cl (a) of the Transfer Agreement During the Collection Period During the Year Since Valuation Date of the Receivables % on Portfolio at the Valuation Date % on the at the beginning of the period Number of Receivables of the Receivables % on Portfolio at the Valuation Date (Limit Ratio: 1%) % on the at the beginning of the period Number of Receivables of the Receivables % on Portfolio at the Valuation Date % on the at the beginning of the period 01/12/ /02/ /03/ /05/ /06/ /08/ /09/ /11/ /12/ /02/ Quarterly Collection Period Number of Receivables Receivables pursuant to cl (b) of the Transfer Agreement During the Collection Period During the Year Since Valuation Date of the Receivables % on Portfolio at the Valuation Date % on the at the beginning of the period Number of Receivables of the Receivables % on Portfolio at the Valuation Date (Limit Ratio: 0,5%) % on the at the beginning of the period Number of Receivables of the Receivables % on Portfolio at the Valuation Date % on the at the beginning of the period 01/12/ /02/ /03/ /05/ /06/ /08/ /09/ /11/2016 7, ,11 0,00923% 0,01073% 7, ,11 0,00923% 0,01073% 7, ,11 0,00923% 0,01073% 01/12/ /02/ , ,11 0,00923% 0,01129% Page 16

17 10. Portfolio description Quarterly Collection Period Breakdown by Collateral type Breakdown by Frequency of Payment Breakdown by Rate type Breakdown by Borrower type Breakdown by Geographical Area Transport Lease Equipment Lease Real Estate Lease Monthly Quarterly Semi-annual Other Fixed Floating Micro Small Medium Other North Centre South and Islands 01/12/ /02/ , , , , , , , , , , , , , , , ,05 01/03/ /05/ , , , , , , , , , , , , , , , ,97 01/06/ /08/ , , , , , , , , , , , , , , , ,87 01/09/ /11/ , , , , , , , , , , , , , , , ,24 01/12/ /02/ , , , , , , , , , , , , , , , ,61 Page 17

18 10.1 Portfolio description BREAKDOWN OF OUTSTANDING PRINCIPAL BY TOP 30 OBBLIGOR Debtor Number of Borrower Region Industry (based on NACE Rev.2) Contracts % Top obligor ,64 5,52% LAZIO Retail sale in non-specialised stores with food, beverages or tobacco 2 largest obligor ,37 4,98% LOMBARDIA Buying and selling of own real estate 3 largest obligor ,10 4,72% PUGLIE Construction of residential and non-residential buildings 4 largest obligor ,35 4,70% LOMBARDIA Manufacture of jewellery and related articles 5 largest obligor ,55 4,68% TOSCANA Hotels and similar accommodation 6 largest obligor ,40 4,40% EMILIA-ROMAGNA Manufacture of machinery for mining, quarrying and construction 7 largest obligor ,69 4,29% ABRUZZI Rental and operating of own or leased real estate 8 largest obligor ,38 4,01% VENETO Rental and operating of own or leased real estate 9 largest obligor ,57 4,00% EMILIA-ROMAGNA Printing of newspapers 10 largest obligor ,77 3,93% LAZIO Retail sale in non-specialised stores with food, beverages or tobacco 11 largest obligor ,46 3,45% LAZIO Rental and operating of own or leased real estate 12 largest obligor ,09 3,21% LOMBARDIA Hotels and similar accommodation 13 largest obligor ,52 3,21% LIGURIA Hospital activities 14 largest obligor ,50 3,08% TOSCANA Rental and operating of own or leased real estate 15 largest obligor ,82 3,04% EMILIA-ROMAGNA Production of electricity 16 largest obligor ,81 3,03% EMILIA-ROMAGNA Manufacture of metal forming machinery 17 largest obligor ,12 3,01% PIEMONTE Forging, pressing, stamping and roll-forming of metal- powder metallur 18 largest obligor ,19 3,00% VENETO Buying and selling of own real estate 19 largest obligor ,55 2,98% PUGLIE Non-specialised wholesale trade 20 largest obligor ,49 2,71% CAMPANIA Buying and selling of own real estate 21 largest obligor ,95 2,61% EMILIA-ROMAGNA Temporary employment agency activities 22 largest obligor ,73 2,55% TOSCANA Manufacture of kitchen furniture 23 largest obligor ,16 2,49% EMILIA-ROMAGNA Manufacture of ceramic tiles and flags 24 largest obligor ,01 2,48% VENETO Other transportation support activities 25 largest obligor ,88 2,40% LAZIO Other business support service activities n.e.c. 26 largest obligor ,13 2,38% LAZIO Rental and operating of own or leased real estate 27 largest obligor ,72 2,33% TRENTINO-ALTO-ADIGE Sale of cars and light motor vehicles 28 largest obligor ,89 2,30% LAZIO Activities of head offices 29 largest obligor ,30 2,28% TOSCANA Manufacture of office and shop furniture 30 largest obligor ,82 2,25% VENETO Buying and selling of own real estate ,96 Page 18

19 11. Collateralisation Quarterly Collection Period Class A Notes Class B Notes Class C Notes Class D Notes Junior Notes Total Notes Notional 01/12/ /02/ , , , , , , ,12 01/03/ /05/ , , , , , , ,64 01/06/ /08/ , , , , , , ,80 01/09/ /11/ , , , , , , ,09 01/12/ /02/ , , , , , , ,89 Page 19

20 12. Trigger Event Quarterly Collection Period Payment Date Defaulted Receivables of the Portfolio as at the Issue Date Total Cumulative Gross Defaults Full redemption of the Senior Full redemption of the Class B Full redemption of the Class C Priority Event One Priority Event Two Priority Event Three Notes Notes (a) (b) Notes (a)/(b)>15% (a)/(b)>25% (a)/(b)>35% 01/12/ /02/ /03/ , ,88 0, % NO NO NO NO NO NO 01/03/ /05/ /06/ , ,88 0, % NO NO NO NO NO NO 01/06/ /08/ /09/ , ,88 0, % NO NO NO NO NO NO 01/09/ /11/ /12/ , ,88 1, % NO NO NO NO NO NO 01/12/ /02/ /03/ , ,88 1, % NO NO NO NO NO NO Page 20