Banca Monte dei Paschi di Siena S.p.A. (hereinafter "BMps") as issuer pursuant to and by effect of Consob communication no. DEM/DME/9053316 of 8 June 2009, in compliance with art. 114, paragraph 5, Legislative Decree no. 58/1998, under the terms set out in Section III, Title II, Paragraph I of Consob resolution no. 11971 of 14 May 1999 and following amendments, announces that
WHEREAS
1. BMps issued and ‘Poste Italiane S.p.A. – sole shareholder company – Patrimonio BancoPosta’ (hereinafter “Poste Italiane S.p.A.”) placed the «Banca Monte dei Paschi di Siena S.p.A. 2011/2017 “TassoMisto Cap&Floor BancoPosta, Series 3" bonds, ISIN code IT0004739576 (hereinafter the “Bonds”);
2. Poste Italiane S.p.A. signed a placement agreement with BMps backed by a liquidity support provider agreement and repurchase obligations for the issuer;
3. the intermediaries providing liquidity support are the counterparties who have entered into bond swap agreements with BMps (hereinafter the “Price Makers”);
4. Poste Italiane S.p.A. selects, from among them, one or more intermediaries to act as Price Makers by way of a repurchase agreement with the issuer under which the latter has undertaken to repurchase - also through Montepaschi Group’s MPS Capital Services S.p.A. (hereinafter “MPSCS”) as party delegated by the issuer to comply with the repurchase obligations - up to 14% of the amount of Bonds placed (hereinafter the "Maximum Repurchasable Amount"), at a price reflecting, in terms of interest rate spreads, the creditworthiness of the issuer at the time of issuance (hereinafter “at-issue spread Price Makers”);
5. other intermediaries, on the recommendation of Poste Italiane S.p.A., may quote bid prices based on market rates (hereinafter “at market-rate Price Makers”);
6. the at-issue spread Price Makers shall purchase the Bonds on the market under the price terms set forth in the mandate conferred to them by Poste Italiane S.p.A. for up to the aforementioned percentage in those cases where:
(a) the issuer's creditworthiness deteriorates with respect to the Bond issuance date; or
(b) the issuer's creditworthiness does not deteriorate with respect to the Bond issuance date but the price quoted by the at-market rate Price Makers is lower than that quoted by the at-issue spread Price Makers;
7. during the life of the Bonds, Poste Italiane S.p.A. may have each Price Maker replaced or supplemented with one or more Price Makers, on a best quote basis;
8. on 22 December 2011, access to trading by MPSCS as at-issue spread Price Maker on the Mercato Telematico delle Obbligazioni (MOT, Electronic Government Bonds and Securities Market) was disclosed to the market;
9. on 13 January 2012, access to trading by BNP Paribas as at-issue spread Price Maker in addition to MPSCS was disclosed to the market; 10. on 25 January 2012, disclosure was given to the market that the 25% threshold of the Maximum Repurchasable Amount had been reached on 23 January 2012, at a price reflecting, in terms of interest rate spread, BMps creditworthiness at the time of issuance; and
11. on 8 June 2012 disclosure was given to the market that, effective as of 6 June 2012, against bonds purchased for an amount equal to the maximum amount repurchasable by MPSCS, the at-issue spread Price Maker mandate of MPSCS had been revoked and the purchased amount threshold of 50.22% of the Maximum Repurchasable Amount had been attained at a price reflecting, in terms of interest rate spread, BMps creditworthiness at the time of issuance;
THEREFORE
– As at 16 July 2012, BNP Paribas is the at-issue spread Price Maker trading on the Mercato Telematico delle Obbligazioni (MOT, Electronic Government Bonds and Securities Market) and bonds have been purchased for an amount of Euro 43,061,000, at a price reflecting, in terms of interest rate spread, BMps creditworthiness at the time of issuance.
The purchased amount accounts for 75.02% of the Maximum Repurchasable Amount - corresponding to Euro 57,400,000 - at a price reflecting, in terms of interest rate spread, BMps creditworthiness at the time of issuance.
As at 16 July 2012, the value of BMPS 5-year[1] Credit Default Swap (CDS) [2] stood at 766 bps; this same indicator was 524 bps at Bond issuance date.
It is the responsibility of BMps, or persons specifically appointed by BMps, to inform the market when, as a result of purchases by the at-issue spread Price Makers, the thresholds of 100% of the Maximum amount of Bonds Repurchasable at the aforementioned price terms is reached.
Once the at-issue spread Price Maker reaches a level of bonds repurchased corresponding to the Maximum Amount Repurchasable at the aforementioned price terms, the purchase price quoted by the Price Maker on the listing or trading market shall reflect all market conditions, including the creditworthiness of the issuer at that time, and may be lower than the at-issue spread price.
[1] The 5-year CDS rate was quoted on Bloomberg WCDS page.
[2] The Credit Default Swap (CDS) is an indicator of the issuer's degree of solvency as expressed by the market and consists in a swap hedging the issuer's risk of default.
