Event Publicly Available Information:
Whether:
a) for the purposes of trades entered into using the 2014 ISDA Credit Derivatives Definitions, a Governmental Intervention Credit Event has occurred with respect to Banca Monte dei Paschi di Siena S.p.A.; and
b) for the purposes of trades entered into using the 2003 ISDA Credit Derivatives Definitions, a Restructuring Credit Event has occurred with respect to Banca Monte dei Paschi di Siena S.p.A.,
as a result of the decree of the Ministry of Economy and Finance of Italy published on 28 July 2017, pursuant to which the financial instruments listed in the table in the attached press release are converted into newly-issued ordinary shares of Banca Monte dei Paschi di Siena S.p.A.
| Auction Timeline | Auction in respect of 2003 Transactions (Senior and Subordinated Transactions) Common Event Determination Date: 2 August 2017. Auction Date: 1 November 2017. Auction Settlement Date: 6 November 2017. Auction in respect of 2014 Transactions (Subordinated Transactions only) Common Event Determination Date: 2 August 2017. Auction Date: 21 September 2017. Auction Settlement Date: 26 September 2017. |
| Settlement Terms |
Auction(s) in respect of Updated 2003 Transactions (Senior and Subordinated Transactions) 2017 Banca Monte dei Paschi di Siena S.p.A. 2003 Credit Derivatives Auction Settlement Terms For convenience, the Form of Customer Physical Settlement Request Letter and Form of Notice of Physical Settlement attached as Exhibit 2 and Exhibit 3, respectively, to the 2017 Banca Monte dei Paschi di Siena S.p.A. 2003 Credit Derivatives Auction Settlement Terms are set out below in Word format. Market participants are reminded that any such letter or notice, as well as any other Auction-related letter, notice or submission, should make clear to which Auction Bucket such letter, notice or submission relates. The clarification has been included in the Word formats of the Form of Customer Physical Settlement Request Letter and Form of Notice of Physical Settlement set out below. Banca Monte dei Paschi di Siena S.p.A. Form of Customer Physical Settlement Request Letter Banca Monte dei Paschi di Siena S.p.A. Form of Notice of Physical Settlement
The Auction Date in respect of Updated 2003 Transactions is 1 November 2017. Auction in respect of 2014 Transactions (Subordinated Transactions only) 2017 Banca Monte dei Paschi di Siena S.p.A. 2014 Credit Derivatives Auction Settlement Terms DC Statement - Explanatory Note 20 September 2017 in relation to the Auction in respect of 2014 Transactions (Subordinated Transactions only) Attachment: Banca Monte dei Paschi di Siena Notice to Clearstream and Euroclear For convenience, the Form of Customer Physical Settlement Request Letter and Form of Notice of Physical Settlement attached as Exhibit 2 and Exhibit 3, respectively, to the 2017 Banca Monte dei Paschi di Siena S.p.A. 2014 Credit Derivatives Auction Settlement Terms are set out below in Word format. Banca Monte dei Paschi di Siena S.p.A. Form of Customer Physical Settlement Request Letter Banca Monte dei Paschi di Siena S.p.A. Form of Notice of Physical Settlement |
| Maturity Buckets | Auction(s) in respect of Updated 2003 Transactions (Senior and Subordinated Transactions) Maturity Buckets Note - Auction and Movement Option Information |
| Deliverable Obligation | Auction(s) in respect of Updated 2003 Transactions (Senior and Subordinated Transactions) Submission of Potential Deliverable Obligations and Challenges Timetable: Friday 13 October 2017: publication of Final List Tuesday 17 October 2017: Seller Exercise Cut-off Date Friday 20 October 2017: Buyer Exercise Cut-off Date The DC resolved that any Auction in respect of Updated 2003 Transactions would be held on Wednesday 1 November 2017. For further information, please refer to the DC Statement 09212017. |
| Deliverable Obligation | Auction in respect of 2014 Transactions (Subordinated Transactions only) Asset Package Delivery Each obligation on the Final List constitutes a Deliverable Obligation. Any RAST trade in respect of which the related Notice of Physical Settlement specifies any such obligation on the Final List may be settled by delivering the Asset Package (comprising of ordinary shares with ISIN code IT0005276768 "Burden Sharing Shares"). The Burden Sharing Shares have been allocated a provisional ISIN code of IT0005276768 until the prospectus for the listing of the Burden Sharing Shares has been published. Following publication of the listing prospectus, the Burden Sharing Shares will be allocated the same ISIN code as the Reference Entity’s ordinary shares already in issue (being IT0005218752) at which point the Asset Package will include such ordinary shares. For further background information, please refer to DC Statement 12 September 2017 and DC Statement - Explanatory Note 20 September 2017 and related attachment: Banca Monte dei Paschi di Siena Notice to Clearstream and Euroclear. Expedited Settlement Process In order to increase the likelihood that settlement occurs whilst the Burden Sharing Shares have a different ISIN code (i.e. the provisional ISIN code of IT0005276768) to the MPS ordinary shares already in issue, the Physical Settlement Period for related RAST trades has been shortened:
Deadline for Buyers to deliver Notices of Physical Settlement - Friday 22 September 2017. If Buyer does not deliver a Notice of Physical Settlement by the deadline then Seller can deliver the notice on the next Business Day (i.e. Monday 25 September 2017). For further background information, please refer to DC Statement 12 September 2017. Buy-in provisions: Buy-in provisions under Section 9.7 of the 2014 Definitions would typically apply in circumstances where Buyer has not delivered Deliverable Obligations that are Bonds by the Physical Settlement Date. Buy-in provisions would be equally effective in respect of any RAST trade that has not settled by Delivery of the Asset Package on or prior to the relevant Physical Settlement Date given that the Asset Package comprises of shares, which are transferable instruments similar to Bonds. If settlement of the relevant RAST trade has not been completed by the time the Burden Sharing Shares are allocated the same ISIN code as the ordinary shares of MPS already in issue (i.e. IT0005218752), then settlement of such RAST trade shall take place based on the ordinary shares of MPS with ISIN code IT0005218752. For further background information, please refer to DC Statement 12 September 2017. Submission of Potential Deliverable Obligations and Challenges |
| Deriv/ SERV Triggered Transaction Data | |
| List of Participating Bidders | Auctions in respect of Updated 2003 Transactions (senior and subordinated) |