28 July 2021 Structured Finance

Semi-annual Italian NPL performance report: sector will under-perform into the medium term Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Italian NPL collection volumes look to be stabilising at 25% below average pre-pandemic levels. Performance has deteriorated slightly Analysts since Scope’s last report: 60% of transactions were performing below servicers’ original expectations in the second quarter of 2021, Rossella Ghidoni against 56% previously (based on Q3 2020 data1). The outlook is weak and risks remain to the downside. +39 02 94758 746 Indeed, weakness in the underlying market is reflected by the NPL Performance Index. The NPI, which tracks cumulative collections against [email protected] servicers’ original projections, stands at 94 and Scope expects it to remain below the baseline of 100 into the medium term. Meanwhile, notes are Paula Lichtensztein expected to amortise in six to eight years, based on the Scope NPL Dynamic Coverage Index (SCI), which tracks the speed of note amortisation. +49 30 27891 224 [email protected] The share of positions closed by servicers remains low and on those positions that have closed, median profitability has been 87%, below Scope expectations at closing. Vittorio Maniscalco +39 02 94758 456 Scope believes the Italian NPL sector will continue to under-perform into the medium term as the consequences of the pandemic have not yet worked [email protected] themselves through the economy. By the fourth quarter of 2021, Scope estimates that the share of transactions with collection volumes lagging Antonio Casado servicers’ forecasts will align with second quarter 2021 figures. +49 30 27891 228 Roughly EUR 4bn of Italian NPL securitisations have been issued in 2021 to-date, but Scope expects that volumes could rise to EUR 17bn by the end [email protected] of the year. Team leader David Bergman

+39 02 9475 8940 This report provides a detailed analysis of the performance of transactions with at least one interest-payment date as of May 2021. This covers 30 transactions with [email protected] an aggregated gross book value of EUR 73 bn. See Appendix II for the performance snapshot.

Scope Ratings GmbH Lennéstraße 5 D-10785 Berlin Phone +49 30 27891 0 Fax +49 30 27891 100

[email protected] www.scoperatings.com

1 As represented in Scope’s NPL report dated Dec-20 (68% of Italian NPL securitisations set to under-perform by Q1 2021). Bloomberg: RESP SCOP

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Performance of Italian NPL securitisations

The chart measures transactions’ gross performance versus business plan gross expected collections. Source: Scope computations on servicers and payment reports.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Table of Contents

1. Scope Outlook ...... 4

1.1 Performance ...... 4

1.2. New issuance ...... 7

2. Performance against servicers’ projections ...... 7

2.1 Cumulative collection volumes ...... 7

2.2 Cumulative profitability of closed positions ...... 9

2.3 Dynamic collection volumes and profitability analysis – since closing ...... 11

2.4 Performance drivers ...... 15

3. Recovery strategy analysis ...... 16

4. Recovery expenses analysis ...... 19

5. Structural performance triggers ...... 22

Appendix I. Summary of trigger metrics ...... 23

Appendix II. Summary of transaction performance ...... 24

Appendix III. NPL securitisations rated by Scope ...... 25

Appendix IV. Data disclaimer ...... 27

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

1. Scope Outlook 1.1. Performance 18 of 30 transactions will Scope expects the material under-performance of the NPL sector to persist at current levels of -25%. Eighteen out of 30 transactions were under-perform by Q4 21 lagging servicers’ projections at the end of the first half of 2021; Scope does not expect this to change by the fourth quarter. Poor performance is not just a function of poor overall market conditions, however. Servicers that are nimbler in adapting to the conditions brought about by the pandemic and have selected the best-suited workout strategies have counteracted some Covid-19 impacts and improved transaction performance. Extra-judicial strategies like discounted-pay-offs and note-sales have helped compensate for slower court proceedings so far and we expect this trend to continue in the short to medium term until courts fully recover from backlogs.

NPL indexes reflect market Scope’s NPL indices (Figures 1 and 2) reflect the dynamic performance of the Italian NPL transactions covered in this report. Appendix II weakness provides more detail on performance, including specific structural features.

The NPL Performance Index (NPI) tracks the ratio between transactions’ aggregated cumulative proceeds (net of servicing fees and costs) and original cumulative business plan net forecasts. The NPI, which is computed on a set of 29 transactions, is at 94% of servicers’ expectations. In the last quarter, the Index bottomed out, but we expect it to remain below the 100% baseline in the medium term. Since economic conditions remain weak and uncertain, we are not expecting a recovery to pre-pandemic levels in the near term. In fact, risks remain to the downside as any rise in infections from Covid-19 variants could force the Italian government’s hand and lead to the re-imposition of restrictions.

The Scope NPL Dynamic Coverage Index (SCI) shows the percentage of senior and mezzanine notes that has been repaid2 on a yearly basis. The index is used to infer the average remaining years needed for transactions to amortise, assuming the annual pace of collections remains stable. The performance of transactions, when measured against business-plan expectations, may not be comparable as underlying business plan assumptions may not be consistent. The SCI addresses this limitation by measuring collections against the size of the outstanding notes. The index shows that note amortisation has remained moderately stable over time because of the effect of transactions’ structural features such as interest subordination and under-performance events that, at times of low collections, drive faster amortisation of the senior notes. We project that the average number of years needed for transactions to amortise will remain in the range of six to eight years. The SCI, computed on a set of 30 transactions, is expected to increase during transaction lifetimes if collections remain relatively stable or increase while repaying the notes.

2The index is based on the median of transactions’ coverage ratios. The coverage ratio is the ratio between transaction’s net yearly collections and the sum of the senior and mezzanine outstanding amount of the notes along with their unpaid interests (if any). Transaction’s yearly proceeds are net of servicing fees and legal costs. The index excludes transactions with only up to two interest payment dates as of May 2021.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Servicers have so far closed positions with a median profitability3 of 87% versus B case scenario assumptions at closing, without considering any discounting effects. This metric still covers a relatively small portion of securitised portfolios as servicers have so far closed, on average, 5.4% of portfolios’ original GBVs (6.0% of total number of borrowers). However, we expect profitability to become a progressively more relevant metric, as servicers progress their work-out activity. Figure 3 shows Scope profitability on closed positions, for a subset of 14 transactions, which have at least a 5% share of closed borrowers’ GBV.

Figure 1: NPL Performance Index (NPI) Figure 2: Scope NPL Dynamic Coverage Index (SCI)

NPL Performance Index # of Transactions Scope NPL Dynamic Coverage Ratio Index # of Transactions Years to amortise 115% 35 20% 35 30 18% 29 110% 28 29 30 30 26 16% 25 25 26 27 14% 25 105% 20 20 12% 21 20 18 18 19 19 19 20 10% 15 100% 14 8% 15 15 10 10 6% 11 10 7.8 7.8 8.4 8.2 95% 4% 6.4 6.5 6.8 6.8 7.2 7.2 5 5 2% 90% 0 0% 0 Q1 - 19 Q2 - 19 Q3 - 19 Q4 - 19 Q1 - 20 Q2 - 20 Q3 - 20 Q4 - 20 Q1 - 21 Q2 - 21 Q1-19 Q2-19 Q3-19 Q4-19 Q1-20 Q2-20 Q3-20 Q4-20 Q1-21 Q2-21

Source: Scope computations on servicers and payment reports. Source: Scope computations on servicers and payment reports.

3 The median profitability is computed in the context of Scope’s monitoring analysis, conducted until 31 May 2021. The metric is therefore available for a sample of 25 transactions,

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure3: Scope profitability under B case scenario assumptions

12%

11% BCC NPLS 2018 S.r.l. Riviera NPL S.r.l.

Aragorn NPL 2018 S.r.l.

10%

9% Bari NPL 2 S.r.l.

8% Maggese S.r.l. Aqui SPV S.r.l.

Futura 2019 S.r.l. 2Worlds S.r.l. Shareof GBV closed 7% Red Sea SPV S.r.l.

4Mori Sardegna S.r.l. ELROND NPL 2017 S.r.l. 6% Leviticus SPV S.r.l.

Siena NPL 2018 S.r.l.

5% MAIOR SPV S.r.l.

4% 50% 60% 70% 80% 90% 100% 110% Scope profitability at B case scenario

Source: Scope computations on servicers and payment reports.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

1.2. New issuance Scope expects EUR 14bn- Scope is forecasting total volume of new Italian NPL securitisations of EUR 14bn- EUR 17bn by year-end, with increased activity in the second EUR 17bn of securitisation half of the year due to the renewal of the GACS scheme (extended to June 2022) and the deleveraging needs of banks. volumes for 2021 Figure 4: Italian NPL securitisations rated by Scope and 2021 forecast

H2-21 forecast GBV (lhs) Nb. of Italian securitisations rated by Scope (rhs) 60 16 50 14 12 40 10

30 8 GBV (EUR bn) (EUR GBV 48 14-17 20 6 4 24 10 16 2 2 0 4 0 2017 2018 2019 2020 2021

Source: Scope computations on public data.

2. Performance against servicers’ projections Most transactions are under-performing servicer’s original projections (as shown by their cumulative performance versus servicers’ estimates) but they show good profitability on closed positions compared with servicers’ target prices as shown by NPV Profitability Ratios (NPVPRs). 2.1 Cumulative collection volumes Figure 5 compares transaction performance against business plan expectations. In terms of net collections (i.e. net of servicing fees and legal costs), 16 out of 30 under-perform. Given the way recovery expenses are generated through a transaction’s life cycle (see Section 4), net collections may become a better measure of performance. Indeed, available proceeds to pay due amounts under the notes are net of legal costs and servicing fees. Subordination and under-performance events are typically triggered by ratios measured at net rather than gross levels (CCRs and NPVPRs).

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 5: Cumulative performance against business plans – gross and net4 levels

The chart measures transaction performance versus business plan expected collections

Source: Scope computations on servicers and payment reports

4 Net levels refer to gross collections net of recovery and servicing expenses.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

2.2 Cumulative profitability of closed positions Profitability on closed positions5 is measured as the ratio between the net collections allocated to a borrower whose position has been closed by the servicer, and the respective net recovery proceeds that were expected at closing according to the business plan. The NPVPR metric measures the profitability of closed borrowers and is computed on a net present value basis.

NPVR above 100% for 24 out Although Figure 6 shows that 24 out of 30 transactions are currently over-performing6, the profitability of closed borrowers remains below Scope of 30 transactions expectations (see Figure 3).

Under-performance events are typically based on NPVPR. Transactions’ NPVPR levels have generally remained above 100%, as a result of a contained level of discounts7 compared to business plan’s original projections, and the discounting effect.

5 A position is closed if the servicer does not expect any additional cash flows. 6The NPVPR is not reported for Siena NPL 2018 S.r.l., as this ratio is not responsible for any event (i.e. subordination and under-performance events). We in any case computed the profitability ratio on the last interest-payment date; this results into an under-performance of 95%. The NPVPR is not available for Marathon SPV S.r.l.. This leads to a set of 29 out of 30 transactions, as referenced in Figure 6. 7 As part of their recovery strategy servicers sell part of the portfolio to a third party. These sales accelerate recovery timing and upfront collections volumes.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 6: Cumulative profitability against business plans (NPVPR)

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

2.3 Dynamic collection volumes and profitability analysis – since closing Median Cumulative Collection Ratios (CCRs), the ratio between realised cumulative collections and business plan expectations, have declined since transactions have closed, while NPVRs have exhibited a more volatile trend (see Figures 7 and 9). Declining CCRs have been driven by two main factors:

1) after the first interest payment dates, the proceeds from assets that were sold pre-closing (i.e. cash-in-court) are typically cashed in. When cash-in-court amounts are collected faster than servicers expect, there is an initial over-performance that gradually decreases if not compensated by portfolio collections;

2) the pandemic has had different impacts on transaction performance. The CCRs of transactions issued after the Covid-19 outbreak have been more resilient to the crisis as servicers’ projections have naturally factored in Covid-19 effects. The CCRs of transactions issued before the pandemic, `by contrast, have shown subdued volumes against business plan projections.

The NPVPR is computed on a closed borrower portion of the portfolio and is particularly subject to the discretion of the servicer on closing of positions. The CCR is a more robust measure of total portfolio performance, particularly during the first years of a transaction, when closed positions represent a small share. However, it has its limitations as a measure of transaction performance as its definition varies across transactions. It is generally computed considering collections net of legal costs. However, for certain transactions it is computed at a gross level.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 7: CCR trend since closing

Siena NPL 2018 S.r.l. and Marathon SPV S.r.l. pay quarterly, the remainder pays semi-annually.

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 8: CCR as of the last interest payment date

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 9: NPVPR trend since closing

Siena NPL 2018 S.r.l. and Marathon SPV S.r.l. pay quarterly, the remainder pays semi-annually. For Siena NPL 2018 S.r.l. the ratio was computed by Scope and resulted into 95%, for Marathon the ratio was not envisaged by transaction’s documents.

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

2.4 Performance drivers The table below summarises the most relevant performance drivers:

Performance drivers

Under-performance

1. Difficult servicer on-boarding processes delaying servicers’ activities

2. Judicial proceedings: partial suspension and bigger backlog, as a consequence of Covid-19

3. Deterioration in borrower affordability and liquidity conditions

4. Real estate market risk

5. Note sales conducted with high discounts

Over-performance

1. Collections from cash-in-court positions or from loans that were already in advanced legal stages and resolved faster than expected

2. Sales prices above expectations resulting from conservative property appraisals

3. Servicer´s ability to reach extra-judicial agreements resulting in front-loading of collections compared to original judicial forecasts

4. Borrowers’ improved financial standing

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

3. Recovery Strategy Analysis Collections as a percentage of GVB range between 1% and 18% across transactions.

Figure 10: Cumulative collections on original GBV-

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Servicers follow different recovery strategies, including discounted-pay-offs (DPOs), judicial claims and note sales. Recovery strategies are generally tailored to portfolio characteristics and economic considerations on loan profitability. However, the sudden increase of certain strategies such as note sales might represent a warning signal that transaction performance is poor. For example, when judicial routes take longer than servicers expect and transaction volumes are poor, selling credits helps front-load collections, increasing the CCR. This helps avoid the occurrence of subordination and/or under-performance events that are typically linked to the CCR. Other strategies might be deployed with the same rationale of avoiding the occurrence of events that impact servicers’ fees and class B noteholders.

Figure 11 shows the share of indemnity proceeds, which may arise from a breach of representations and warranties provided by sellers at the closing date8. For example, indemnities may be requested due to inaccuracy of the data tape information or to a breach of representations given in respect of portfolio exposures.

A high share of indemnity proceeds is a warning signal regarding the lack of accuracy in portfolio information, and it may impact servicers’ original strategies and business plans. However, indemnity proceeds have been limited so far.

Judicial routes as core So far, the core recovery strategy of servicers has been the judicial route, with an average of 44.9% of transaction collections, followed by DPOs recovery strategy (25.7%), and note sales (8.3%). See Figure 11. Other recovery sources such as REO disposals through the implementation of Real Estate Owned Companies (ReoCo) structures and execution of guarantees (e.g. Confidi) have occasionally been adopted.

8 Issuers have the right to request indemnities during a limited period from the closing date. The indemnity period is transaction specific, and generally ranges between 12 and 24 months.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 11: Cumulative collections per recovery strategy, as of latest interest-payment date

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

4. Recovery expenses analysis Recovery expenses are mainly distributed between servicing fees and legal costs (Figure 12). On average, 59% of recovery expenses stem from servicing fees and 41% from legal procedures.

On the initial interest payment dates, recovery expenses are typically low as servicers are mostly focused on the completion of portfolio on- boarding, which may delay recovery costs. Additionally, in the initial periods, servicers might focus on cash-in-court proceeds that do not typically have high associated expenses. The choice of recovery strategies is an important driver of expenses, as some strategies are costlier than others (e.g. judicial versus note sales).

Increasing trend of median Figure 13 shows that on the first interest payment dates, cumulative recovery expenses have a median value of 1.6% of total gross collections. recovery expenses but still Their value increases up to a median of 5.3% in subsequent interest payment dates. below business-plan projections Current recovery expense rates are likely an under-estimation of expected lifetime recovery expense rates, as reported expenses are expected to rise in subsequent periods as work-out strategies progress. Additionally, business plans are crafted assuming judicial work-out strategies, while the servicer typically applies also extra-judicial strategies such as DPOs (see Section 3) that bear costs that are significantly lower than the judicial ones. This explains why servicers have sustained recovery costs that were below their original projections, with median values varying between 35% and 70% of the original projections, across all interest-payment-dates9.

9 The median is computed considering 28 transactions out of 30 of the sample, as for Siena NPL 2018 S.r.l. the expenses of the business plan are not directly reported, while for Summer SPV S.r.l. no recovery expenses were expected as of the first interest payment date.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 12: Cumulative expenses per type

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Figure 13: Recovery expense ratio–trend since closing and distribution

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

5. Structural performance triggers Transaction structures generally feature the following interest and servicing fee deferral events: an interest subordination event (which triggers the deferral of class B interest after class A principal payments in the transaction order of priority) and a servicer under-performance event that typically results in the partial deferral of servicing fees below class A.

Subordination and/or under- A total of 14 out of 30 transactions have reported the occurrence of subordination and/or under-performance events (Figure 14). Both events, performance events occurred once triggered, were typically not cured at following interest payment dates. These events are structural features aimed at protecting the position in 14 out of 30 transactions of senior noteholders whenever a transaction is performing significantly below servicer’s projections in terms of CCR and/or NPVPR. As shown by the SCI, these events have helped stabilise note amortisation during the crisis (Figure 2).

Figure 14: Subordination and under-performance events

Source: Scope computations on servicers and payment reports

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Appendix I. Summary of trigger metrics

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Appendix II. Summary of transaction performance

Performance metrics vs. Scope’s projections Servicer’s projections Events* Transaction Name / Metric Scope B case Profitability Gross performance vs BP Net performance vs BP Performance on NPVR Performance on CCR (S / U) 2Worlds S.r.l. Under Under Under Over Under 4Mori Sardegna S.r.l. Under Under Under Over Under S Aqui SPV S.r.l. Over Under Under Over Under Aragorn NPL 2018 S.r.l. Under Under Under Under Under S/U Bari NPL 2 S.r.l. Under Under Under Under Under U BCC NPLS 2018 S.r.l. Under Under Under Under Under U BCC NPLs 2018-II S.r.l. Under Under Under Over Under BCC NPLs 2019 S.r.l. Under Over Over Over Over Belvedere NPL S.r.l. Under Under Under Over Under Diana SPV S.r.l. Under Over Over Over Over ELROND NPL 2017 S.r.l. Under Under Under Over Under U Futura 2019 S.r.l. Under Over Over Over Over IBLA S.r.l. Under Under Under Over Under S ISEO SPV S.r.l. Under Under Under Over Under S/U Juno 1 S.r.l. Under Over Over Over Over Juno 2 S.r.l. Over Over Over Under Over Leviticus SPV S.r.l. Under Under Under Over Under Maggese S.r.l. Under Under Under Over Under S MAIOR SPV S.r.l. Under Under Under Over Under Marathon SPV S.r.l Over Over Over N.a. Over POP NPLs 2018 S.r.l. Under Over Over Over Over POP NPLs 2019 S.r.l. Under Over Over Over Over POP NPLs 2020 S.r.l. N.a. Over Over Over Over Prisma SPV S.r.l. N.a. Under Under Over Under U Red Sea SPV S.r.l. Under Under Over Over Over Riviera NPL S.r.l. Under Under Under Under Under S/U Siena NPL 2018 S.r.l. Under Under N.a. N.a. Under U Sirio NPL S.r.l. N.a. Over Over Over Over Spring SPV S.r.l. N.a. Over Over Over Over Summer SPV S.r.l. N.a. Over Over Over Over *S and U stands for subordination and underperformance events respectively.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Appendix III. NPL securitisations rated by Scope

Deal name/Link to Scope class A rating Scope class B rating Coupon A/B GACS (Y/N) Country Issuance Seller F* Servicer (master and special) GBV (mn) Rating report At closing Current At closing Current Cerved Credit Management SpA,

Elrond NPL 2017 Srl 17-Jul-17 Credito Valtellinese SpA, Credito Siciliano SpA S 1,422 BBB- B+ B+ CCC 6mE+0.5%/ 6mE+6% Y Italy Securitisation Services SpA 17-Dec- Banca Popolare di Bari Scpa, Cassa di

Bari NPL 2017 Srl S Prelios Credit Servicing SpA 345 BBB B- B+ C 6mE+0.3%/ 6mE+6% Y Italy 17 Risparmio di Orvieto SpA GBV of GACS eligible securitisations rated by Scope 2017 (EUR million)-Italy 1,767 GBV of securitisations rated by Scope 2017 (EUR million) - Italy 1,767 GBV of securitisations rated by Scope 2017 (EUR million) - All 1,767 Monte dei Paschi di Siena SpA, MPS Capital 18-May- Juliet SpA, Italfondiario SpA, Credito

Siena NPL 2018 Srl Services Banca per le Imprese SpA, MPS Q 24,070 BBB+ BBB+ Not Rated Not Rated 3mE+1.5%/ 3mE+8% Y Italy 18 Fondiario SpA, Prelios Credit Servicing SpA Leasing & Factoring SpA Credito Fondiario SpA, Cerved Credit

Aragorn NPL 2018 Srl 18-Jun-18 Credito Valtellinese SpA, Credito Siciliano SpA S 1,671 BBB- B B CC 6mE+0.5%/ 6mE+7% Y Italy Management SpA Banco BPM SpA and Banca Popolare di Milano

Red Sea SPV Srl 18-Jun-18 S Prelios Credit Servicing SpA 5,097 BBB BBB- Not Rated Not Rated 6mE+0.6%/ 6mE+6% Y Italy SpA

4Mori Sardegna Srl 18-Jun-18 Banco di Sardegna SpA S Prelios Credit Servicing SpA 1,045 A- BBB+ BB- B 6mE+0.9%/ 6mE+8% Y Italy Banco di Desio e della Brianza SpA, Banca Cerved Credit Management SpA, Cerved

2Worlds Srl 18-Jun-18 S 1,002 BBB BB+ B CCC 6mE+0.4%/ 6mE+8% Y Italy Popolare di Spoleto SpA Master Services SpA 21 co-operative banks co-ordinated by Iccrea

BCC NPLS 2018 srl 18-Jul-18 SpA and two banks belonging to ICCREA S Prelios Credit Servicing SpA 1,046 BBB- B+ B+ C 6mE+0.4%/ 6mE+6% Y Italy Banca SpA

Juno 1 Srl 18-Jul-18 Banca Nazionale del Lavoro SpA S Prelios Credit Servicing SpA 957 BBB+ BBB+ Not Rated Not Rated 6mE+0.6%/ 6mE+8% Y Italy Cassa di Risparmio di Asti SpA, Cassa di

Maggese Srl 18-Jul-18 S Prelios Credit Servicing SpA 697 BBB BB Not Rated Not Rated 6mE+0.5%/ 6mE+6% Y Italy Risparmio di Biella e Vercelli-Biverbanca SpA 18-Aug- Unione di Banche Italiane SpA and IW Bank

Maior SPV Srl S Prelios Credit Servicing SpA 2,749 BBB BBB Not Rated Not Rated 6mE+0.5%/ 6mE+6% Y Italy 18 SpA 18-Sep-

IBLA Srl Banca Agricola Popolare di Ragusa ScpA S Italfondiario SpA 349 BBB BBB B B 6mE+0.6%/ 6mE+8% Y Italy 18 Whitestar Asset Solutions S.A., HG PT, Hefesto STC, S.A. – 16/11/201 Banco Santander Totta S.A S Unipessoal, Lda., Proteus Asset 482 BBB- BBB- B- B- 6mE+2.0%/ 6mE+6% N Portugal Guincho Finance 8 Management, Unipessoal, Lda. BPER Banca SpA, Cassa di Risparmio di 18-Nov-

AQUI SPV Srl Saluzzo SpA and Cassa di Risparmio di Bra S Prelios Credit Servicing SpA 2,082 BBB- BB+ Not Rated Not Rated 6mE+0.5%/ 6mE+7% Y Italy 18 SpA 18-Nov- Cerved Credit Management SpA, Cerved

POP NPLS 2018 Srl 17 banks S 1,578 BBB BBB- B B- 6mE+0.3%/ 6mE+6% Y Italy 18 Master Services SpA 18-Dec- Banca Carige SpA and Banca del Monte di 6mE+0.65%/

Riviera NPL Srl S Italfondiario SpA, Credito Fondiario SpA 964 BBB- BB+ B+ CCC Y Italy 18 Lucca SpA 6mE+7% BCC NPLS 2018-2 18-Dec- 73 co-operative banks S Italfondiario SpA 2,004 BBB BBB- B+ B- 6mE+0.3%/ 6mE+6% Y Italy

Srl 18 21-Dec- Gemini SPV Srl, Sirius SPV Srl, Antares SPV Bayview Italia S.r.l. , Prelios Credit Servicing

Belvedere SPV Srl S 2,541 BBB BB+ Not Rated Not Rated 6mE+3.25%/6% N Italy 18 Srl, 1702 SPV Srl, Adige SPV Srl S.p.A. GBV of GACS eligible securitisations rated by Scope 2018 (EUR million)-Italy 45,311 GBV of securitisations rated by Scope 2018 (EUR million)-Italy 47,852 GBV of securitisations rated by Scope 2018 (EUR million)-All 48,334 19-Feb-

Leviticus SPV Srl Banco BPM SpA S Credito Fondiario SpA 7,385 BBB BBB- Not Rated Not Rated 6mE+0.6%/ 6mE+8% Y Italy 19 19-Feb-

Juno 2 Srl Banca Nazionale del Lavoro SpA S Prelios Credit Servicing SpA 968 BBB+ BBB+ Not Rated Not Rated 6mE+0.6%/ 6mE+8% Y Italy 19 Abanca Corporación Bancaria, S.A. and Prosil Acquisition S.A. 30-Jul-19 S Hipoges Iberia S.L 495 BBB- BBB- B- B- 6mE+2.0%/ 6mE+6% N Spain Abanca Corporación División Immobilaria S.L.

Prisma 18-Oct-19 Unicredit SpA S Italfondiario SpA, doValue SpA 6,057 BBB+ BBB+ B- B- 6mE+1.5%/ 6mE+9% Y Italy 05-Dec-

Marathon SPV Srl Marte SPV Srl, Pinzolo SPV Srl Q Hoist Italia Srl, Securitisation Services SpA 5027 BBB+ BBB+ BB BB 1.8%/8% N Italy 19 16-Dec-

Iseo SPV Srl UBI Banca SpA S Italfondiario SpA, doValue SpA 858 BBB BBB Not Rated Not Rated 6mE+0.5% Y Italy 19 16-Dec-

Futura 2019 Srl Futura SPV Srl S Guber Banca SpA 1,256 BBB BBB Not Rated Not Rated 6mE+3.0% N Italy 19 BCC NPLs 2019 S.r.l. 19-Dec- 68 banks S Italfondiario SpA, doValue SpA 1,324 BBB+ BBB+ B- B- 6mE+0.3%/ Y Italy

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

19 6mE+6.5% 23-Dec- 6mE+0.3%/ POP NPLs 2019 S.r.l. 12 banks S Prelios Credit Servicing SpA, Fire SpA 826.7 BBB BBB CCC CCC Y Italy 19 6mE+9.5% GBV of GACS-eligible securitisations rated by Scope 2019 (EUR million) - Italy 17,419 GBV of securitisations rated by Scope 2019 (EUR million) - Italy 23,702 GBV of securitisations rated by Scope 2019 (EUR million) - All 24,197 6mE+0.5%/

Diana SPV Srl 20-Jun-20 Banca Popolare di Sondrio SCpA S Prelios Credit Servicing SpA 1,000 BBB BBB Not Rated Not Rated Y Italy 6mE+9.0% BPER Banca SpA, Banco di Sardegna SpA, 6mE+0.5%/

Spring SPV Srl 20-Jun-20 S Prelios Credit Servicing SpA 1,377 BBB BBB Not Rated Not Rated Y Italy Cassa di Risparmio di Bra SpA 6mE+9.5% 30-Nov- 88 BCCs, Banca Ifis S.p.A., Banca Popolare 6mE+0.25/ BCC NPLs 2020 S.r.l. S doValue SpA 2,347 BBB BBB CC CC Y Italy 20 Valconca S.p.A. 6mE+8.0% 11-Dec 6mE+1.5%/ Relais SPV S.r.l. Unicredit Leasing S.p.A. S doValue SpA 1,583 BBB BBB Not Rated Not Rated Y Italy 20 6mE+9.5% 14-Dec- 6mE+0.5%/ Buonconsiglio 3 S.r.l. 38 banks S Guber Banca SpA, Zenith Service S.p.A. 679 BBB BBB Not Rated Not Rated Y Italy 20 6mE+9.5% 16-Dec- 6mE+0.5%/ Sirio NPL S.r.l. UBI Banca SpA S Prelios Credit Servicing SpA 1,228 BBB BBB Not Rated Not Rated Y Italy 20 6mE+9.5% 18-Dec- 3mE+0.5%/ Yoda SPV S.r.l. Intesa Sanpaolo SpA Q Intrum Italy SpA, Banca Finint SpA 6,033 BBB BBB Not Rated Not Rated Y Italy 20 3mE+9.5 23-Dec- 6mE+0.3%/ POP NPLS 2020 Srl 15 banks S Credito Fondiario SpA, Fire SpA 920 BBB BBB CC CC Y Italy 20 6mE+12.0% 28-Dec- Alba Leasing SpA, Release SpA, Banco BPM 6mE+0.5%/ Titan SPV Srl S Prelios Credit Servicing SpA 335 BBB BBB Not Rated Not Rated Y Italy 20 SpA 6mE+8.0% 30-Dec- 6mE+0.5%/ Summer SPV S.r.l. BPER Banca SpA, Banco di Sardegna SpA S Fire SpA 322 BBB BBB Not Rated Not Rated Y Italy 20 6mE+12.0% GBV of GACS-eligible securitisations rated by Scope 2020 (EUR million)- Italy 15,824 GBV of securitisations rated by Scope 2020 (EUR million) - Italy 15,824 GBV of securitisations rated by Scope 2020 (EUR million) - All 15,824 IFIS NPL 2021-1 SPV 19-Mar- Ifis NPL Investing SpA S Ifis Servicing SpA 1,323 A- A- B+ B+ 6mE+2.15%/ 6.0% N Italy Sr.l. 21 Banco Sabadell, Bankia, Caja De Ahorros De Valencia, Castellon Y Alicante (Bancaja), Caja Redwood MS Limited, VicAsset Holdings Retiro Mortgage 31-Mar- BBB+/BB 3mE+2%/3mE De Ahorros Layetana, Caja De Ahorros La S LLC., Redwood Real Estate Spain S.L.U 678 BBB+/BBB- B- B- N Spain Securities DAC 21 B- +2%/3mE + 3% Rioja, Caixa D´Estalvis Laietana,Deutsche (Redwood Spain), VicAsset Holdings LLC Bank 22-Jun- 6mE+0.5%/ Aurelia SPV S.r.l. Banco BPM SpA S Credito Fondiario SpA, CF Liberty SpA 1,510 BBB BBB Not Rated Not Rated Y Italy 21 6mE+8.0% 25-Jun- 6mE+2.5%/6mE Palatino SPV S.r.l. Credito Fondiario SpA S Credito Fondiario SpA 865 BBB BBB Not Rated Not Rated N Italy 21 +3.5%/8% 28-Jun- Not Publicly Not Publicly 6mE+2.8%/6mE + Aporti SPV S.r.l. Aporti S.r.l. S Prelios Credit Servicing SpA 356 BBB BBB N Italy 21 Rated Rated 7.25% GBV of GACS-eligible securitisations rated by Scope 2021 (EUR million) - Italy 1,510 GBV of securitisations rated by Scope 2021 (EUR million) - Italy 4,054 GBV of securitisations rated by Scope 2021 (EUR million) - All 4,732

Total GBV of GACS-eligible securitisations rated by Scope (EUR million) - Italy 81,830 Total GBV of securitisations rated by Scope (EUR million)- Italy 93,198 Total GBV of securitisations rated by Scope (EUR million)- All 94,853 *F stands for frequency of transactions’ interest payment dates.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

Appendix IV. Data disclaimer Useful data for monitoring

To monitor performance, Scope analysed data provided by all relevant counterparties, including servicers, monitoring and paying agents. Servicing reports, updated business plan scenarios and collections at loan or borrower level represent part of the data analysed along with monitoring agent reports, investor reports and payment reports.

The stock of securitisations analysed for monitoring purposes is still recent, with the oldest transactions closed in 2017.

Data assumptions

For sake of comparison, Scope has synthetically computed the CCR, NPVPR and possibly other measures, for certain transactions.

This is applicable for:

• Aqui SPV S.r.l. and Juno 1 S.r.l. for which the NPVPR has been computed as the average between the NPVPR value as trigger for the interest subordination event and the NPVPR value as trigger for the under-performance event

• Belvedere NPL S.r.l. for which, given the presence of two servicers, CCR and NPVPR have been computed weighting each servicer’s ratio with the relevant expected collections for each servicer’s business plan.

• Siena NPL 2018 S.r.l., for which the NPVPR is not reported as it is not responsible for any event (i.e. subordination and under-performance events). We in any case computed the profitability ratio across interest- payment dates.

In transactions for which more than one servicer was mandated, under-performance events were based on the ratios of each servicer. We reported that an under-performance event occurred if it occurred for at least one of the servicers.

Scope has performed an extensive analysis of performance data, based on the information received from all relevant counterparties.

Even though reported data are deemed to be correct, Scope is not liable for any errors in the reported data.

In case certain data are found to be incorrect, please report this directly to the authors of the article.

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Semi-annual Italian NPL performance report: sector will under-perform into the medium term

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