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 due September ,500,000 Class B Asset Backed Floating Rate due September ,500,000 Class C Asset Backed Floating Rate due September ,000,000 Class D Asset Backed Floating Rate due September ,530,000 Junior Asset Backed Residual Return due September 2040 Contacts Ilaria Maschietto / Diana Busana sienalease15-2@finint.com Tel.: / 477 Via V. Alfieri, Conegliano (TV) Reporting Dates from to Collection Period 01/12/ /02/2016 Interest Period 28/01/ /03/2016 Payment Date 29/03/2016 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 Defaulted 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. which are not Defaulted and in relation to which there is at least one Delinquent Instalment. 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 and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted (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 and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted (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 and with reference to the immediately preceding Collection Date, the aggregate nominal amount of the Defaulted (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. and Assets descritpion The 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 Class B Class C Class D Junior 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 BBB+sf Bsf - - The Portfolio Underlying assets for the : Lease Agreements Initial Portfolio: ,88 Transfer Date: 30 November 2015 The Originator confirms that, as at the date of this report, it continues to hold the net economic interest in the securitisation as disclosed in the Prospectus, in accordance with option (d) of Article 405 of CRR, Part II, Chapter 6, Section IV of the Bank of Italy's Circular No. 285 dated 17 December 2013 (as amended and supplemented from time to time) and article 51 of the AIFMR. Page 3

4 2.1 Class A Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest Pool factor 28/01/ /03/ /03/ ,00-1,056% , , , ,12-0, Page 4

5 2.2 Class B Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest Pool factor 28/01/ /03/ /03/ ,00-2,556% , , ,00-1, Page 5

6 2.3 Class C Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest Pool factor 28/01/ /03/ /03/ ,00-4,056% , , ,00-1, Page 6

7 2.4 Class D Interest Period Payment Date Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Unpaid Interest Pool factor 28/01/ /03/ /03/ ,00-4,806% , , ,00-1, Page 7

8 2.5 Junior Interest Period Payment Date Before payments Payments After payments Unpaid Interest Interest Unpaid Interest Pool factor 28/01/ /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 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 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 have been repaid in full, amounts standing to the credit of the Cash Reserve Account s standing to the credit of 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 Page 10

11 5.1 Pre Trigger Notice Priority of Payments If no Priority due on the As long as there Following the Event Three has Following the After the Senior After the Class B After the Class C Junior up to are Senior If no Priority Event Following the occurence of the Following the Following the Adjustment s If no Priority If no Priority occurred, If no Priority occurence of the have been have been have been due to an amount such that Expenses, up to s due and Class B Three has occurence of the Priority Event Three, occurence of the occurence of the Purchase Price outstanding in Event Three has Event Two has principal due to Event One has Priority Event repaid in full, repaid in full, repaid in full, any Transaction the Residual Return Payment Retention the Adjustment and payable to Interest on the occurred, interest Equivalent Priority Event principal due to the Priority Event Priority Event pursuant to respect of Junior occurred, interest occurred, interest the Subordinated occurred, interest Three, interest Party under the of the on the Junior Residual balance Date and Reserve Target the Cap Class A outstanding, due to the of the Three, interest on Subordinated Loan Two, interest on One, interest on clause of Retained on the Class B on the Class C Loan Provider up on the Class D due to the Equivalent Equivalent Equivalent Transaction Junior is not Agent Fees Counterparty amount up to the Subordinated Loan Class A the Class B Provider up to the the Class C the Class D the Transfer on the to the Cash Subordinated of the of the of the Documents lower than the Junior Target Cash Provider Cash Reserve Agreement Junior Reserve Excess Loan Provider Class B Class C Class D Retained Reserve Excess 29/03/ , , , , , , , , , 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 outstanding on the Class A Interest on the Class B outstanding on the Class B Interest due to the Subordinated Loan Provider due to the Subordinated Loan Provider up to the Cash Reserve Excess Interest on the Class C outstanding on the Class C Interest on the Class D outstanding on the Class D 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 up to the Junior Retained Residual Return on the Junior s outstanding in respect of Junior Retained on the Junior 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 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 Shortfall Page 13

14 7. The Portfolio Quarterly Collection Period unpaid instalments Balance Performing Delinquent Defaulted 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, ,31 6 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 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 Page 15

16 9. Repurchased Quarterly Collection Period Number of During the Collection Period of the % on Portfolio at the Valuation Date % on the at the beginning of the period pursuant to cl of the Transfer Agreement During the Year Number of of the % on Portfolio at the Valuation Date (Limit Ratio: 1,5%) % on the at the beginning of the period Number of Since Valuation Date of the % 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% Quarterly Collection Period Number of pursuant to cl (a) of the Transfer Agreement During the Collection Period During the Year Since Valuation Date of the % on Portfolio at the Valuation Date % on the at the beginning of the period Number of of the % on Portfolio at the Valuation Date (Limit Ratio: 1%) % on the at the beginning of the period Number of of the % on Portfolio at the Valuation Date % on the at the beginning of the period 01/12/ /02/ Quarterly Collection Period Number of pursuant to cl (b) of the Transfer Agreement During the Collection Period During the Year Since Valuation Date of the % on Portfolio at the Valuation Date % on the at the beginning of the period Number of of the % on Portfolio at the Valuation Date (Limit Ratio: 0,5%) % on the at the beginning of the period Number of of the % on Portfolio at the Valuation Date % on the at the beginning of the period 01/12/ /02/ 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 Page 17

18 11. Collateralisation Quarterly Collection Period Class A Class B Class C Class D Junior Total Notional 01/12/ /02/ , , , , , , ,12 Page 18

19 12. Trigger Event Quarterly Collection Period Payment Date Defaulted 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 (a) (b) (a)/(b)>15% (a)/(b)>25% (a)/(b)>35% 01/12/ /02/ /03/ , ,88 0, % NO NO NO NO NO NO Page 19