OREANDA-NEWS. Fitch Ratings has assigned Siena Lease 2016-2 S.r.l.'s notes final ratings, as follows:

EUR761,300,000 Class A: 'AA+sf' ; Outlook Stable
EUR202,500,000 Class B: 'BBB+sf' ; Outlook Stable
EUR202,500,000 Class C: 'Bsf' ; Outlook Stable
EUR251,000,000 Class D: not rated
EUR202,530,000 Junior Notes: not rated

The transaction is a granular cash flow securitisation of a EUR1,62bn static pool of euro-denominated receivables deriving from lease agreements entered into between Italian small and medium sized enterprises, entrepreneurs, artisans and self-employed individuals, and Monte dei Paschi di Siena Leasing and Factoring Banca per i servizi finanziari alle imprese (MPS L&F).

The ratings address the likelihood of investors receiving interest payments in accordance with the terms of the transaction documentation and full repayment of principal by legal final maturity in September 2040.

KEY RATING DRIVERS
High Default Probability
Based on the internal ratings, Fitch determined an annual average probability of default (PD) for the originator's book of 7.5% and 6.7% for the transaction. This implies a positive selection of the securitised portfolio compared with the originator's balance sheet, which was accomplished through the removal of lower credit quality lessees from the securitised portfolio. Fitch expects the credit quality of the originator's book and securitised portfolio to be slightly worse than Fitch's Italian benchmark.

Low Recovery Rate
The originator has transferred all receivables from the sale and/or re-lease of the assets to the SPV, but the ownership of the leased assets was not transferred. Given that the originator is not rated by Fitch and the low rating of the parent company, Fitch gave no credit to recoveries from the sale or re-lease of the assets.

Diversified Portfolio
The securitised portfolio is fairly diversified, with the largest industry and the top 10 lessees accounting for 23.6% and 5.5% of the portfolio, respectively.

No Residual Value Risk
The noteholders will have no exposure to residual value risk as this component of the receivables will not be securitised. However, interest paid by the lessees and received by the SPV will be computed on the basis of the whole outstanding principal balance (inclusive of the residual value component) as it is usually the case for Italian SME leasing deals.

Sovereign Cap
The class A notes are capped at 'AA+sf', driven by sovereign dependency, in accordance with Fitch's Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds.

RATING SENSITIVITIES
As part of its analysis, the agency considered the sensitivity of the notes' ratings to the stresses on defaults, recovery rates and correlation to assess the impact on the ratings.

An increase of 25% of the default probabilities assigned to the underlying obligors could result in a downgrade of up to three notches for the rated notes. A decrease of 25% of their assumed recovery rates would have no impact on the class A notes and could result to a downgrade of one notch for the class B and C notes. Finally a joint stress combining these stresses plus a doubled country correlation could lead to a five-notch downgrade for the class A notes and a four-notch downgrade for the class B notes.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the loans' identifier, industry sector, origination and maturity date, interest rate type and collateral location. These findings were immaterial to this analysis.

Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's representations, warranties and enforcement mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the new issue report. In addition refer to the special report "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" dated 21 January 2016 and available on the Fitch website.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Lease-by-lease data provided by Banca Monte Dei Paschi Di Siena as at 30 November 2015
- Historical performance data provided by Banca Monte Dei Paschi Di Siena for 2005-2015
- Historical default vintage data and recoveries data covering 2005-2014
- Prepayment data covering 2008-2015
- Delinquencies data covering 2011-2015
- Observed default rate covering 2010-2015
- Final prospectus provided by Banca Monte Dei Paschi Di Siena as at 27 January 2016