OREANDA-NEWS. Fitch Ratings has placed four RMBS transactions, originated and serviced by Banca Monte dei Paschi di Siena (BMPS; B-/Stable/B), on Rating Watch Negative (RWN). A full list of rating actions is available at the end of this commentary.

KEY RATING DRIVERS

The RWN follows the downgrade of BMPS to 'B-' from 'BBB' on 19 May 2015. In line with Fitch's structured finance counterparty criteria, the bank is no longer eligible to support the current ratings in the four transactions in its role as the swap provider. In Fitch's view, the large presence of loans paying fixed rates or capped floating rates, as well as modular loans, imply that the structures are heavily reliant on their current hedging arrangements.

BMPS has proposed remedial actions and is expected to deliver further information shortly. Fitch will analyse the proposed structures and will take rating actions accordingly, with the intention of resolving the RWN in the next six months.

RATING SENSITIVITIES
Failure to mitigate the interest rate exposure may trigger negative rating actions.

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

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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

SOURCES OF INFORMATION
Counterparty role information from Banca Monte dei Paschi di Siena.

MODELS
None used

Siena Mortgages 07-5 S.p.A.
Class A (ISIN IT0004304223): 'AA+sf'; placed on RWN
Class B (ISIN IT0004304231): 'Asf'; placed on RWN
Class C (ISIN IT0004304249): 'BBB-sf'; placed on RWN

Siena Mortgages 07-5 S.p.A. Series 2
Class A (ISIN IT0004353808): 'AA+sf'; placed on RWN
Class B (ISIN IT0004353816): 'Asf'; placed on RWN
Class C (ISIN IT0004353824): 'BBB-sf'; placed on RWN

Siena Mortgages 09-6 S.r.l.
Class A (ISIN IT0004488794): 'AA+sf'; placed on RWN
Class B (ISIN IT0004488810): 'Asf'; placed on RWN
Class C (ISIN IT0004488828): 'BBB-sf'; placed on RWN

Siena Mortgages 09-6 S.r.l. Series 2
Class A (ISIN IT0004520646): 'A+sf'; placed on RWN
Class B (ISIN IT0004520687): 'A-sf'; placed on RWN