Banca Monte dei Paschi di Siena is in the market with a €3.47 billion ($4.9 billion) Italian RMBS deal, a rarity among a primarily U.K. and Dutch dominated European RMBS market.
The deal, Siena Mortgages 10-7 S.r.l. (Siena 7), is the eleventh securitization of residential mortgage loans originated by banks in the Banca Monte dei Paschi di Siena group.
Both Moody's Investors Service and Fitch Ratings have assigned the new deal a triple-A equivalent ratings across the capital structure.
The deal will offer an A1 class with a 1.58-year weighted average life and an A2 class with a three- to 3.5-year weighted average life, although the size of the tranches still have to be determined. The A3, B and C classess will not be offered.
JPMorgan and Royal Bank of Scotland will reportedly manage the sale with MPS Capital Services.
According to Fitch, the credit enhancement for the class A notes is 26.5%, which will be provided by the subordination of the class B notes (23.5%) and a cash reserve. The reserve will be equal to 3% of the initial balance of the class A and B notes.