Single Member Company Limited by Quotas

Transcription

1 Single Member Company Limited by Quotas Via V. Alfieri, n. 1 Conegliano (Treviso) Quota Capital 10, fully paid in Registered in the Register of Companies of Treviso Registration, Taxpayer I.D. and V.A.T. Code Registered in the list of Securitisation SPVs maintained by the Bank of Italy FINANCIAL STATEMENTS AS AT DECEMBER 31, 2015

2 BOARD OF DIRECTORS Sole Director Andrea Perin BOARD OF STATUTORY AUDITORS Chairwoman Ivana Rinalducci Standing Auditor Flavio Cermola Standing Auditor Alberto De Luca On the date of approval of the financial statements 2

3 DIRECTORS REPORT ON OPERATIONS 1 GENERAL INFORMATION Locat SV S.r.l. is a securitisation company established on November 23, 2004 pursuant to Article 3 of Law 130 of April 30, 1999 (hereinafter, Law 130/1999) and included on April 28, 2005 in the general list of financial intermediaries active in the financial sector as required by Article 106 of Italian Legislative Decree no. 385/93 under no (hereinafter, also the Company ). The Company applied for and, on November 3, 2005, was granted registration in the special list, as provided for in Article 107 of the aforesaid TUB (Consolidated Banking Law). In its Resolution of September 25, 2009, published in the Official Gazette on October 20, 2009, the Bank of Italy ordered the official removal from the special list, as set forth in Law 107 of the Consolidated Banking Law, of loan securitisation companies (SPVs). In a subsequent Resolution of April 29, 2011, published in the Official Gazette of May 13, 2011 (fully replaced by Resolution of October 1, 2014), the Bank of Italy also ordered removal from the list, as set forth in Article 106 of Italian Legislative Decree 385 of September 1, 1993, of the same SPVs which were already registered in the aforementioned list on the effective date of the same Resolution (May 13, 2011). As a result, the Company is registered only in the List of Securitisation SPVs, held at the Bank of Italy, as of May 14, By resolution of the Quotaholders Meeting held on October 31, 2006, the Company changed its corporate name to the current Locat SV S.r.l.. The Company s registered office is at via Alfieri no. 1, Conegliano (Treviso). The quota capital of 10,000 fully paid in has been fully underwritten by SVM Securitisation Vehicles Management S.r.l. with registered office at via Alfieri no. 1, Conegliano (Treviso). As established by the Bylaws, the Company s sole purpose is the execution of one or more loan securitisation transactions pursuant to Law 130/1999 and subsequent implementation provisions by the purchase, for consideration, of pecuniary loans, both existing and future, or groups of pecuniary loans identified in block, financed by the issue of securities pursuant to Article 1, paragraph 1(b) of Law 130/1999 in a manner excluding the assumption of any credit risk. According to the Bylaws, and in keeping with the aforementioned Law and related implementation provisions, the loans purchased by the Company as a part of each transaction represent assets which, for all intents and purposes, are segregated from those of the Company and those related to other transactions. No action may be carried out with respect to such assets by any creditors other than holders of the securities issued to finance the purchase of such assets. 3

4 1.1 MANAGEMENT OF THE COMPANY AND OF SEGREGATED ASSETS On October 14, 2005, with the help of UniCredit Banca Mobiliare S.p.A. London Branch (formerly UniCredit Markets & Investment Banking - Bayerische Hypo - und Vereinsbank AG - London Branch; now UniCredit Bank AG London Branch) in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A., formerly Locat S.p.A. (hereinafter, also "UCL" or "Assignor") an Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered personal property (Pool 1), unregistered personal property (Pool 2) and real property (Pool 3) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999, for the sum of principal payments not yet matured on October 31, 2005 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 2,000,000,136. To finance the purchase of these loans, on November 18, 2005 the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated by Moody s Investors Service Inc. and Standard & Poor s Ratings Services with a nominal value of 1,993,000,000 and securities with a limited guarantee and a nominal value of 7,000,136, the latter underwritten by the Assignor, thus carrying out the first securitisation transaction ( Locat SV Series 2005 ). On November 14, 2006, with the help of UniCredit Banca Mobiliare S.p.A. London Branch (formerly UniCredit Markets & Investment Banking - Bayerische Hypo - und Vereinsbank AG - London Branch; now UniCredit Bank AG London Branch) in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A., a second Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered personal property (Pool 1), unregistered personal property (Pool 2) and real property (Pool 3) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999, for the sum of principal payments not yet matured on December 1, 2006 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 1,972,909, To finance the purchase of these loans, on December 14, 2006 the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated by Moody s Investors Service Inc. and Standard & Poor s Ratings Services with a nominal value of 1,964,000,000 and securities with a limited guarantee and a nominal value of 8,909,866, the latter underwritten by the Assignor, thus carrying out the second securitisation transaction ( Locat SV Series 2006 ). On April 14, 2008, with the help of UniCredit Markets & Investment Banking - Bayerische Hypo - und Vereinsbank AG London Branch (now UniCredit Bank AG London Branch) in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A. a third Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered personal property (Pool 1), unregistered personal property (Pool 2) and real property (Pool 3) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999, for the sum of principal payments not yet matured on April 15, 2008 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 2,488,922,538. To finance the purchase of these loans, on May 22, 2008 the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated by Moody s Investors Service Inc. and Standard & Poor s Ratings Services, with a nominal value of 2,141,000,000 of Senior Securities, with a nominal value of 202,000,000 of Mezzanine Securities underwritten by the Assignor and securities with a limited guarantee and a nominal value of 145,922,536, the latter underwritten by the Assignor, thus carrying out the third securitisation transaction ("Locat 4

5 SV Series "). For this third transaction, on December 13, 2010 the Optional Redemption clause envisaged in the contractual document, was exercised. Therefore, UniCredit Leasing S.p.A. took steps to repurchase the loan portfolios. The securities issued within the framework of the aforementioned transaction were reimbursed on December 15, On November 6, 2008, with the help of UniCredit Markets & Investment Banking - Bayerische Hypo- und Vereinsbank AG London Branch (now UniCredit Bank AG London Branch) in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A., a fourth Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered personal property (Pool 1), unregistered personal property (Pool 2) and real property (Pool 3) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999, for the sum of principal payments not yet matured on April 15, 2008 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 2,596,454,676. To finance the purchase of these loans, on November 20, 2008 the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated by Moody s Investors Service Inc. and Standard & Poor s Ratings Services with a nominal value of 2,300,500,000 and securities with a limited guarantee and a nominal value of 295,954,676, the latter underwritten by the Assignor, thus carrying out the fourth securitisation transaction ("Locat SV Series "). For this fourth transaction, on December 13, 2010 the Optional Redemption clause envisaged in the contractual document, was exercised. Therefore, UniCredit Leasing S.p.A. took steps to repurchase the loan portfolios. The securities issued within the framework of the aforementioned transaction were reimbursed on December 15, On February 3, 2011, with the help of UniCredit Bank AG London Branch, in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A. a fifth Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered personal property (Pool 1), unregistered personal property (Pool 2), real property (Pool 3) and nautical assets (Pool 4) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999, for the sum of principal payments not yet matured on February 3, 2011 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 5,150,822, To finance the purchase of these loans, the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated AAA by Standard & Poor s Ratings Services and DBRS Ratings Limited with regard to the Senior Note ( Series 2011 Class A Securities ) with a nominal value of 3,502,500,000, and securities with a limited guarantee ( Series 2011 Class B Securities or Junior Securities ) and a nominal value of 1,648,322,515, underwritten by the Assignor, thus carrying out the fifth securitisation transaction (Locat SV Series 2011). In 2014, with the help of UniCredit Bank AG London Branch in its capacity as Arranger, and of the law firm Clifford Chance, the Company purchased outright and without recourse from UniCredit Leasing S.p.A., a sixth Initial Portfolio of pecuniary loans represented by leasing contract payments. The purpose of these contracts is the use of registered vehicles (Pool 1), machinery (Pool 2) and real property (Pool 3) identified on the basis of objective criteria pursuant to Article 1 of Law 130/1999. To this end, on June 27, 2014, the Company purchased an Initial Portfolio for the sum of principal payments not 5

6 yet matured on June 27, 2014 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 919,493, Subsequently, on September 18, 2014, the Company purchased a Second Portfolio for the sum of principal payments not yet matured on September 2, 2014 (Valuation Date), plus the share of interest accrued and not paid on such a date, totaling 380,506, To finance the purchase of these loans, the Company issued asset-backed securities pursuant to Article 5 of Law 130/1999, listed on the Irish Stock Exchange and rated by Moody s Investors Service Inc. and Standard & Poor s Ratings Services with a nominal value of 715,000, ( Series 2014 Class A Securities or Senior Securities ) and securities with a limited guarantee and a nominal value of 585,000, ( Series 2014 Class B Securities or Junior Securities ), the latter underwritten by the Assignor, thus carrying out the sixth securitisation transaction ( Locat SV Series 2014 ). The securities were issued for their total nominal value on September 12, 2014 and, as provided for by the transaction's documentation, were partly underwritten for an amount of 505,599, by the underwriters of the Senior Securities and for an amount of 413,893, by UniCredit Leasing S.p.A. as underwriter of the Junior Securities, for an initial total payment of 919,493, (Securities Initial Installments Payments) aimed at financing the purchase of the Initial Portfolio. Subsequently, on September 30, 2014 a further 209,400, were underwritten by the underwriters of the Senior Securities and 171,106, by UniCredit Leasing S.p.A. as underwriter of the Junior Securities, for Securities Further Installment Payments of 380,506, aimed at financing the purchase of the Second Portfolio. Following the additional underwriting, the entire nominal value that had originally been has been fully underwritten by the Securities Holders. Within the scope of the aforesaid transactions, UniCredit Leasing S.p.A. took on the role of Servicer for the loan portfolio pursuant to Article 2 of Law 130/1999 and was charged with collecting the assigned loans and ensuring that such transactions be performed in observance of the law and the prospectus, in compliance also with the provisions of the Regulatory Instructions. As reported in the Notes to the Financial Statements, the loans involved in such transactions are assets which, for all intents and purposes, are segregated from those of the Company, pursuant to Law 130/1999; therefore, consistently with the transaction s peculiar asset independence, the accounting representation and reporting of the progress thereof take place separately in observance of the provisions issued by the Bank of Italy through its Resolution of February 14, 2006, as fully replaced by resolution of December 15, As for the Locat SV Series 2005, Locat SV Series 2006 and Locat SV Series 2011 and Locat SV Series 2014, an Optional Redemption may also be likely, by giving written notice thereof to the Securities Holders Representative under the contractually agreed terms. The optional redemption may be implemented not earlier than 18 months from the date the securities were issued and may be exercised as from the time the residual loan portfolio falls below 10% of the Initial Portfolio. In the event of an exercise, all classes of securities are fully redeemed (if the special purpose vehicle s liquidity allows it, in accordance with the applicable priority of payment). Due to the segregated nature of each securitised asset, a complete disclosure of the securitisation transaction s financial position is provided in Part D Section F of the Notes to the Financial Statements, in observance of the provisions set forth in specific Bank of Italy Resolutions. 6

7 The Financial Statements as at December 31, 2015 show a balanced result due to net financing costs being charged back to segregated assets PERFORMANCE OF THE REFERENCE MARKET IN 2015 During 2015, there was a turnaround as Italy recorded positive Gross Domestic Product (GDP) growth, although with a modest +0.8% (forecast figure to be confirmed), which is still among the lowest of the Euro area, recording instead a GDP growth figure of about double this amount. The "Economic Bulletin" issued by the Bank of Italy in January 2016 forecasts modest economic recovery for 2016 and 2017, estimating an increase in GDP of around 1.5%. The ongoing prolonged situation of recession still has very significant impacts on the asset quality of banks, which result in the growing trend marked by impaired exposures. In this difficult general context and with a banking market in turmoil, extraordinary measures are being developed in order to relieve the banks of bad loans recorded in their financial statements. The recent agreements between the Italian government and the European institutions have ruled out the establishment of a single bad bank, stimulating instead the creation of individual securitisation transactions involving a Public Guarantee covering Bank Bad Loans Securitisation (GACS) on "senior" securities (those with lower risk and lower return) issued by the individual securitisation companies as long as they obtain a proper rating. 1.3 SIGNIFICANT EVENTS DURING THE YEAR With regard to the transaction Locat SV Series 2005: - It should be noted that, following the increase of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 23, 2015 the aforementioned rating agency upgraded the rating of Class B securities from Baa2(sf) to A3(sf). With regard to the transaction Locat SV Series 2006: - following the upgrade of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 24, 2015 the aforementioned rating agency increased the rating of Class A2 securities from A2(sf) to Aa2(sf), that of Class B securities from Baa3(sf) to A1Caa1Caa2(sf) and that of Class C securities from Caa1(sf) to Caa2(sf); - following the change of rating criteria by the agency Standard & Poor s, on March 13, 2015 the aforementioned rating agency upgraded the rating of Class B securities from BBB-(sf) to BBB(sf). - Class A2 securities were fully reimbursed on September 14, 2015; - on July 20, 2015 an agreement was signed between the Company and UniCredit Leasing S.p.A. modifying the Servicing Agreement in order to allow that any consequences forecast, following the lowering of the rating level by Moody's rating agency and included in the Servicing Agreement, be related to UniCredit S.p.A., parent company of UniCredit Leasing S.p.A., rather than to the Servicer, in line 7

8 with the provisions for the securitisation transaction carried out by the Company in September With regard to the transaction Locat SV Series 2011: - on December 18, 2014 the rating agency Standard & Poor s downgraded the longterm rating assigned to UniCredit S.p.A. to BBB- and the short-term rating to A-3. Following the aforementioned downgrade, the adoption of one of the alternative remedies referred to in point 4.3 of the servicing contract became necessary. As a result, on January 27, 2015 an amendment agreement to the servicing contract was signed in order to "modulate" the minimum rating levels set out for the Servicer and UniCredit S.p.A. based on the rating allocated by Standard & Poor s from time to time to Senior Securities (in line with the "Counterparty Risk Framework Methodology and Assumptions" criteria of June 25, 2013). With regard to the transaction Locat SV Series 2014: - It should be noted that, following the increase of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 24, 2015 the aforementioned rating agency upgraded the rating of Class A1 securities, Class A2 securities and Class A3 securities from A2(sf) to Aa2(sf). 1.4 REPORT ON CORPORATE GOVERNANCE AND OWNERSHIP STRUCTURE Under Article 123-bis of Italian Legislative Decree 58 of February 24, 1998, the report on operations of companies who are issuers of securities listed for trading on regulated markets must contain a specific section, called Report on corporate governance and ownership structure, in which, pursuant to paragraph 2(b) of that same article, information is provided concerning the main features of risk management and internal control systems related to financial reporting procedures, including consolidated reporting, where applicable. The Company does not have employees. In pursuit of its own business purpose and therefore also for the activities concerned with risk management and internal control systems related to financial reporting procedures, the Company uses ad hoc agents. The contractual documentation for each securitisation transaction governs the appointment and specifies the activities that each of the Company s agents is required to carry out. This information is also contained in Part D, Section F.3 of the Notes to the Financial Statements. Agents for a transaction are appointed from among persons that are professional practitioners of the activity entrusted to them by the Company. This task must be performed by agents in accordance with applicable law and in a manner that allows the Company to fulfill promptly its obligations under the transaction s documentation and the law. The main roles of these agents are as follows: (i) the Servicer, who is responsible, among other things, for the administration of the acquired loans; (ii) the Corporate Servicer, who is responsible for the Company s administrative and accounts management; 8

9 (iii) the Cash Manager, the Computation Agent and the Paying Agent that perform the services of managing, calculating and making cash payments. In particular, the Servicer is the person responsible for the collection of assigned loans and the cash and payment services as required by Article 2, paragraph 3(c) of Law 130/1999. According to Article 2, paragraph 6, of Italian Law 130/1999 the role of the Servicer may be performed by banks or intermediaries registered in the single register of financial intermediaries as provided for in Article 106 of Italian Legislative Decree 385 of September 1, 1993 and they shall verify that transactions comply with the law and the prospectus. Also, according to the Bank of Italy s Regulation of August 23, 2000, Servicers are responsible both for tasks of an operational nature and for guaranteeing the correct execution of securitisation transactions, in the interests of holders of the securities and, in general, of the market. Finally, with regard to financial information, it appears that this is prepared by the Corporate Servicer, mainly using data supplied by the person responsible for the management of the acquired loans. As an issuer of securities listed for trading on EU-regulated markets, the Company is subject to the duties required by Directive 2004/109/EC (the Transparency Directive). The Company, which has chosen as its Member State of origin the country where its own stock is listed, is responsible for fulfilling the obligations imposed by legislation adopting this Directive in such country. On July 16, 2012, the Company confirmed its selection of Ireland as home member state. As a result of the coming into force of Italian Legislative Decree 39/2010, securitisation vehicles, if and as issuers of securities listed for trading on Italian - or European Union - regulated markets and thus classified as Public Interest Entities by the aforesaid decree, are by law required to charge an auditing firm, or legal auditors, with carrying out a legal audit in accordance with the procedure laid down by the decree itself. On November 14, 2014 the Company appointed the auditing firm Deloitte & Touche S.p.A GOING CONCERN In preparing the financial statements, the Directors made an evaluation of the Company s ability to continue operating as a going concern. In determining whether this assumption applies, they took into account all the information available on the future with a timeframe of at least twelve months after the date of reference of the financial statements, and in particular they took into account the specifics of the activity engaged in by the company, the sole purpose of which, in observance of Law 130 of April 30, 1999, is the implementation of one or more loan securitisation transactions. The financial statements at December 31, 2015 were thus prepared from the standpoint of continued operation, since we are not aware, under the current state of affairs and going forward, of significant uncertainties due to events or conditions that could cause concerns to arise regarding the Company s ability to continue operating as a going concern. The reasonable expectation that the Company will continue its operational existence in the foreseeable future is therefore noted. 1.6 RESEARCH AND DEVELOPMENT The Company has not borne research and development costs. 9

10 1.7 TREASURY QUOTAS OR SHARES OF THE PARENT In relation to the provisions of Article 2428 of the Italian Civil Code, we inform you that during the year neither treasury quotas nor parent company shares were acquired, disposed of or held in the portfolio, either directly or through trust companies or through intermediary parties. 1.8 RELATED PARTY AND INTRA-GROUP TRANSACTIONS The Company carried out no transactions with related parties pursuant to IAS 24. More details can be found in Section 6 of the Notes to the Financial Statements, Related-party transactions. 1.9 MANAGEMENT AND COORDINATION ACTIVITIES In relation to the provisions of Article 2357 bis of the Italian Civil Code, we inform you that the sole quotaholder, SVM Securitisation Vehicles Management S.r.l., does not perform management and coordination activities TAX CONSOLIDATION The Company does not apply any tax consolidation rules. 2 SUBSEQUENT EVENTS Please refer to Part A of the Notes to the Financial Statements, Accounting policies Section 3. 3 OUTLOOK At the time this document was prepared, there were no new securitisation transactions planned by the Company. The Company therefore will carry on with its usual administration of segregated assets. 4 RESULT OF OPERATIONS The Financial Statements at December 31, 2015, reported a balanced result after recovering costs incurred for its operations from the segregated assets. With reference to quotaholders equity, we consider that, given the activities performed by the Company, there is no additional information other than that described in the Notes to the Financial Statements. In particular, with regard to performance indicators, we believe that they are insignificant in relation to quotaholders equity; as for the performance of segregated assets, please refer to Part D Other information, Section 1 F of the Notes to the Financial Statements. 5 INFORMATION ON RISKS AND RELATED HEDGING POLICIES Pursuant to Article 2428 of the Italian Civil Code, the Company states that under the provision of Law 130/1999, given the original framework of the transaction and based on 10

11 the transaction s performance as also described in Part D Other information of the Notes to the Financial Statements, the credit, liquidity and rate risks are transferred to the holders of the securities issued. The information indicated below refers to corporate governance and, with regard to segregated assets, please refer to what is set out in Part D "Other Information" - Section 1F of the Notes to the Financial Statements. LIQUIDITY RISK The Company believes it has sufficient cash to meet its financial commitments. INTEREST RATE RISK The Company has no financial assets or liabilities that expose it to any significant interest rate risk. EXCHANGE RATE RISK The Company is active only in the domestic market and is therefore not exposed to exchange rate risks. CREDIT RISK The Company s receivables are mainly from the segregated assets as a result of passing on its administrative costs. Given the revenue forecast from loans in the segregated assets and the priority given to repaying these loans, we do not consider there are any risks in relation to their recoverability. 6 SUBSIDIARY OFFICES The Company does not have any subsidiary offices. 7 EMPLOYEES The Company does not have employees. 11

12 *** PROPOSED ALLOCATION OF PROFIT FOR THE YEAR Dear Quotaholder, We believe that we have adequately described the financial position of the Company at December 31, Therefore, we kindly request that you approve the Financial Statements at December 31, 2015, which closed with a breakeven. Consequently, no profit is to be allocated. Conegliano, March 29, 2016 Locat SV S.r.l. Single-member Company The Sole Director Andrea Perin 12

13 STATEMENT OF FINANCIAL POSITION ASSETS 60 Loans and receivables Tax assets a) current Other assets TOTAL ASSETS LIABILITIES AND QUOTAHOLDERS' EQUITY 70 Tax liabilities a) current Other liabilities Quota capital TOTAL LIABILITIES AND QUOTAHOLDERS' EQUITY

14 INCOME STATEMENT 40 Fee and commission expense (169) (242) Net commission expense (169) (242) Operating income (169) (242) 110 Administrative costs (238,378) (235,455) a) personnel expense (53,293) (47,503) b) other administrative expenses (185,085) (187,952) 160 Other net operating income 238, ,697 Operating profit Profit (loss) from continuing operations before tax Income tax for the year on continuing operations (231) - Profit (loss) from continuing operations after tax - - Profit (loss) for the year

15 STATEMENT OF COMPREHENSIVE INCOME 10. Profit (loss) for the year - - Other comprehensive income, net of tax without reclassification through profit or loss 20. Property, equipment and investment property 30. Intangible assets 40. Defined benefit plans 50. Non-current assets held for sale Portion of revaluation reserves for equity investments 60. valued using the equity method Other comprehensive income, net of tax with reclassification through profit or loss 70. Hedges of foreign investments 80. Exchange-rate differences 90. Cash-flow hedges 100. Available-for-sale financial assets 110. Non-current assets held for sale Portion of revaluation reserves for equity investments 120. valued using the equity method 130. Total other income components after tax Comprehensive income (item )

16 STATEMENT OF CHANGES IN EQUITY Allo cation of profit (lo ss) fro m previous Changes of the year Balance as at 12/31/2013 Restatement of opening balance Balance as at 01/01/2014 Reserves Dividends and other allocations Increase (decrease) in reserves Quo taho ld ers' eq uity transactio ns New quotas issued Acquisition of treasury quotas Distribution of extraordinary dividends Change in equity instruments Other changes 2014 comprehensive income Quotaholders' equity as at 12/31/2014 Quo ta capital 10, , ,0 0 0 Quo ta premiums - Res erves a) legal res erve b) fro m pro fits (99) (99) (99) Revaluatio n res erves Equity ins truments Treas ury quo tas P ro fit (lo s s ) fo r the year - - Quo taho lders ' equity 10, , ,0 0 0 Allo cation of profit (lo ss) fro m previous Changes of the year Balance as at 12/31/14 Restatement of opening balance Balance as at 01/01/15 Reserves Dividends and other allocations Increase (decrease) in reserves Quo taho ld ers' eq uity transactio ns New quotas issued Acquisition of treasury quotas Distribution of extraordinary dividends Change in equity instruments Other changes 2015 comprehensive income Quotaholders' equity as at 12/31/15 Quo ta capital 10, , ,0 0 0 Quo ta premiums - Res erves a) legal res erve b) fro m pro fits (99) (99) (99) Revaluatio n res erves Equity ins truments Treas ury quo tas P ro fit (lo s s ) fo r the year - - Quo taho lders ' equity 10, , ,

17 CASH FLOW STATEMENT (prepared using the direct method) A - OPERATING ACTIVITIES 1. OPERATIONS interest income collected (+) interest expense paid (-) dividends and similar income (+) net fees and commissions (+/-) (169) (242) - personnel expense (-) (53,293) (47,503) - other costs (-) (185,085) (187,952) - other income (+) 238, ,697 - income tax (-) (231) - - costs/income on disposal groups net of related tax effect (+/-) CASH GENERATED/ABSORBED BY FINANCIAL ASSETS 14,637 (27,334) - financial assets held for trading financial assets at fair value available-for-sale financial assets loans and advances to banks loans and advances to financial institutions due from customers other assets 14,637 (27,334) 3. CASH GENERATED/ABSORBED BY FINANCIAL LIABILITIES (14,941) 27,024 - bank loans and borrowings loans and borrowings from financial institutions payables to customers outstanding securities financial liabilities held for trading financial liabilities at fair value other liabilities (14,941) 27,024 NET CASH GENERATED BY OPERATING ACTIVITIES (304) (310) 17

18 B - INVESTMENT ACTIVITIES CASH GENERATED BY sale of investments dividends collected on investments sale/repayments of held-to-maturity investments sale of property, equipment and investment property sale of intangible assets sale of business units CASH ABSORBED BY acquisitions of investments acquisitions of held-to-maturity investments acquisitions of property, equipment and investment property acquisitions of intangible assets acquisitions of business units - - NET CASH GENERATED/ABSORBED BY INVESTMENT ACTIVITIES - - C. FINANCING ACTIVITIES issue/repurchase of treasury quotas issue/purchase of equity instruments distribution of dividends and other allocations - - NET CASH GENERATED/ABSORBED BY FINANCING ACTIVITIES - - Reconciliation: NET CASH GENERATED/ABSORBED DURING THE YEAR (304) (310) Opening cash and cash equivalents 9,099 9,409 Total net cash flow generated/absorbed during the year (304) (310) Closing cash and cash equivalents 8,795 9,099 Cash and cash equivalents items also include the positive balance of the current bank account as being similar to cash. 18

19 EXPLANATORY NOTES TO THE FINANCIAL STATEMENTS These Notes to the Financial Statements include the following sections: Part A Accounting policies Part B Notes to the Statement of Financial Position Part C Notes to the Income Statement Part D Other information Each part of the Notes to the Financial Statements is divided into sections that explain every aspect of the management of the Company. The sections contain qualitative and quantitative information. Quantitative information is taken as a rule, from items and tables. The tables have been prepared following models provided by regulations currently in force. The Financial Statements have been prepared using the Euro as the currency of account; the amounts shown in this report are stated in euros, unless otherwise specified. PART A ACCOUNTING POLICIES A. 1 GENERAL PART SECTION 1 DECLARATION OF COMPLIANCE WITH INTERNATIONAL FINANCIAL REPORTING STANDARDS The Company has prepared its financial statements at December 31, 2015 in accordance with the International Financial Reporting Standards ("IFRS"). Italian Legislative Decree 38 of February 28, 2005 has implemented Regulation (EC) 1606/2002 of the European Parliament and of the Council of July 19, 2002 concerning the adoption of international accounting standards (IAS-IFRS) in the preparation of financial statements, both consolidated and separate, of the subjects mentioned in Article 2 of said Decree. The company was included in the list referred to in Article 107 of the Consolidated Banking Act and was an issuer of securities listed on regulated markets, and therefore was among the subjects to which this ruling applied. The Company, despite its delisting in accordance with Article 107 of the Consolidated Banking Act, as an issuer of securities on the regulated markets and for the purpose of 19

20 application continuity, prepared its subsequent financial statements on the basis of these accounting standards. The acronyms IAS/IFRS refer to all the International Accounting Standards (IAS), all the International Financial Reporting Standards (IFRS), and all interpretations of the International Financial Reporting Interpretations Committee (IFRIC), previously called the Standing Interpretations Committee (SIC), that were approved by the European Commission up to December 31, In addition, the Company complied with the provisions of the framework for the preparation and presentation of financial statements (Framework), especially with regard to the principle of the precedence of substance over form and the relevance and significance of information. In continuity with previous years, the Company adopted the formats and the rules for the preparation of financial statements of financial intermediaries set out in the Bank of Italy s Resolution of December 15, 2015 ("Instructions for the preparation of the financial statements of financial intermediaries, payment institutions, electronic money institutions, fund management companies (SGRs) and asset management companies (SIMs)"), which apply as from the financial statements for the year ended December 31, The Bank of Italy Resolution of December 15, 2015 fully replaces the instructions previously in force, issued through Bank of Italy Resolution of December 22, 2014 and subsequent updates. The use of these formats, although mandatory only for financial intermediaries, entities enrolled in the register provided for by Article 106 of the Consolidated Banking Act, as amended by Italian Legislative Decree 141/2010 and relevant implementing provisions, is considered the most reasonable in terms of providing information about the Company's financial position, financial performance and cash flows, necessary for users when making economic decisions and at the same time proven relevant, reliable, compatible and clear, both with regard to Company s operations and with respect to the separate portfolio. SECTION 2 GENERAL STANDARD FOR PREPARATION The financial statements consist of the statement of financial position, the income statement, the statement of comprehensive income, the statement of changes in equity, the statement of cash flows and the Notes to the Financial Statements. They are accompanied by a directors report on the company s operations, economic results and capital position. They have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board (IASB) and the respective interpretations issued by the IFRIC as approved by the European Union on December 31, 2015 and the provisions provided for by the Bank of Italy s Resolution of December 15, 2015 concerning the formats and the rules for preparation of financial statements of financial intermediaries according to the new standards issued in implementation of Article 9 of Italian Legislative Decree 38 of February 28, The financial statements were prepared with the intention of providing a true and fair view of the capital and financial position, the economic result for the year and the cash flows. They were prepared from the standpoint of going concern (IAS 1 par. 25), in accordance with the accrual principle (IAS 1 par. 27 and 28) and with consistent presentation and classification of financial statement items (IAS 1 par. 29). The assets and liabilities, and the income and expenses, have not been subject to offsetting if not required or allowed by a standard or an interpretation (IAS 1 par. 32). 20

21 Where necessary, data from the previous year s financial statements have been reclassified for purposes of comparison with these separate financial statements. The amount from the previous year is indicated for all items on the Statement of Financial Position, the Statement of Comprehensive Income, Statement of Changes in Equity and the Cash Flow Statement, for comparative purposes. The financial statements have been prepared using the Euro as the currency of account; the amounts shown in the financial statements are stated in euros, unless otherwise specified. These Financial Statements are accompanied by the Director s Report on Operations. SECURITISATION TRANSACTIONS The receivables acquired, the notes issued and other transactions carried out as part of the securitisation were recognized in the explanatory notes rather than in the statement of financial position, in accordance with the administrative provisions issued by the Bank of Italy in application of Article 9 of Italian Legislative Decree No. 38/2005, and the Instructions of the Bank of Italy of December 15, This approach is also in line with the provisions of Law No. 130/99, according to which receivables relating to each transaction are accounted for separately for all purposes from those of the Company and from those of other securitisations. As a result, the amounts related to securitisation transactions were not affected by the application of IAS/IFRS principles. For the sake of completeness, in the explanatory notes to the financial statements is mentioned that the accounting treatment under International Financial Reporting Standards of financial assets and/or groups of financial assets and financial liabilities arising from securitisation transactions is currently being further examined by the bodies responsible for International Financial Reporting Standards interpretation. The accounting information and the qualitative and quantitative information relating to the securitisation transaction are highlighted in Part D, Other information, of the Notes to the Financial Statements. SECTION 3 SUBSEQUENT EVENTS With regard to the transaction Locat SV Series 2005: - On February 12, 2016, the Quotaholders' Meeting of the Company resolved to exercise the Clean up call, pursuant to clause 6.2 of the Securities Regulations (Optional Redemption) for the early termination of the securitisation, having duly fulfilled the revolving term, and since the residual value of the securitised loans represented less than 10% of the initial value; - in accordance with clause 6.2 of the Securities Regulations, the Company formally informed the Representative of the Securities Holders of its intention to proceed with the redemption of the Securities, in their entirety, on the payment date of March 14, 2016 (the "Reimbursement date"); - pursuant to a financial commitment letter dated February 16, 2016, UniCredit Leasing S.p.A. undertook to grant to the Company a loan (the "Loan") aimed at making available to the Company, in the Payments Account, two Business Days prior to the Reimbursment Date (the "Withdrawal Date"), the funds - net of the Company's available reserves and of the funds available on current accounts for the purposes of 21

22 Article 6.2 (Optional redemption) of the Securities Regulation - actually needed to proceed with the reimbursement (i) of the principal amount of securities still outstanding on the Reimbursement Date, (ii) of the interest accrued and unpaid on the securities until the Reimbursement Date, and (iii) of an amount equal to the operating costs of the Securitisation accrued to the Reimbursement Date (the "Required Payments"); - as provided in the documentation of the securitisation transaction against the disbursement of the Loan by UniCredit Leasing S.p.A. and the relevant repayment of Required Payments by the Company, on March 10, 2016 (with economic effectiveness on March 2, 2016), the Company entered with UniCredit Leasing S.p.A. into an agreement for the non-recourse sale of the entire outstanding loans portfolio on the Reimbursement Date, pursuant to article 58 of the Consolidated Banking Act, in order to meet its repayment obligations; - on the payment date of March 14, 2016, the Company proceeded with the liquidation of the securitisation transaction, fully repaying the Securities, the interest on the Securities and the operating costs of the Securitised assets accrued to the Reimbursement Date. SECTION 4 OTHER MATTERS Given the nature of the activity performed by the Company, which has been referenced on several occasions, there are no assessments reported in the financial statements that could be affected by the current macroeconomic and market situation. Pursuant to Articles 14 and 16 of Italian Legislative Decree 39/2010, the financial statements are audited by and independent auditor. By resolution of the Quotaholders Meeting held on November 14, 2014, the Company appointed the auditing firm Deloitte & Touche S.p.A. for the statutory audit of accounts for the financial years , pursuant to Italian Legislative Decree 39/2010. A. 2 MAIN FINANCIAL STATEMENT ITEMS Described below are the accounting standards that have been adopted for the preparation of these Financial Statements at December 31, 2015 with reference solely to the balance sheet and income statement items shown in the tables. Included for each item are the recognition criteria, the classification criteria, the valuation criteria, and the derecognition criteria. The valuation criteria are similar to those used for the preparation of the previous year s Financial Statements. Note that given the nature of the activity performed by the company, which has been referenced on several occasions, there are no assessments reported in the financial statements that could be affected by the current macroeconomic and market environment. In 2015, the following accounting principles, amendments, and interpretations came into force, to be applied to financial statements relating to periods beginning on or after January 1, 2015: IFRIC 21 Levies (EU Reg. 634/2014). 22

23 Annual improvements to the International Accounting Standards, cycle (EU Reg. 1361/2014); whose adoption led to the use of IFRIC 21 interpretation for the definition of the accounting treatment of contribution plans charges relating to Deposit Guarantee Schemes (DGSs) and Single Resolution Funds (SRFs), introduced by European directives 49 and 59 of 2014, effective as of With effect as of January 1, 2015, the Bank of Italy revised the classification criteria of impaired financial assets (see 7th update of Circular 272 of July 30, "Accounting matrix" issued by the Bank of Italy on January 20, 2015) in order to adapt them to the new definitions of Non-Performing Exposures and Forbearance introduced by EU Regulation 2015/227 based on the "Final Draft Implementing Technical Standards on Supervisory reporting on forbearance and non-performing exposures" (EBA/ITS /2013/03/rev1 07/24/2014) proposed the European Banking Authority. On January 22, 2016 the EBA ended its consultation on the definition of default ("Guidelines on the application of the definition of default under Article 178 of Regulation (EU) 575/2013"). Following that consultation, it is expected that in the coming periods, the classification criteria of impaired financial assets may be further modified. ASSETS SECTION 6 LOANS AND RECEIVABLES RECOGNITION CRITERIA Loans and receivables are posted as of the date of disbursement, or when the company becomes a party to the contractual clauses and, consequently, has a legal right to receive cash flows. The initial recognition takes place at the fair value normally corresponding to the amount disbursed or to the price paid, which includes transaction costs and revenues that can be attributed directly and determined from the start. Costs that have such characteristics, but which are subject to reimbursement by the counterparty, are excluded. CLASSIFICATION CRITERIA This item includes unlisted financial assets and loans to banks deriving from the Company s available cash (current accounts, security deposits, debt securities, etc.). VALUATION CRITERIA Following the initial posting, loans and receivables are measured at the amortized cost equal to their value at first-time posting, decreased/increased by repayments of principal, adjustments/write-backs and amortization (calculated using the effective interest rate method) of the difference between the amount disbursed and the amount repayable on maturity, typically representing the costs/income directly attributed to the individual loan. The amortized cost method is not applied to short-term loans, for which the effect of applying the discounting approach is negligible and which, therefore, are valued at historical cost. A similar valuation criterion is adopted for loans without a defined due date or at revocation. When preparing any financial statements, we verify the existence of objective evidence of impairment or non-recoverability. 23

24 CRITERIA FOR RECOGNITION OF INCOME AND EXPENSES Interest income and expenses related to loans are entered into the following items in the income statement: 10. interest and similar income 20. interest and similar expense Write-downs and write-backs related to the impairment of loans are recognized in the following items of the income statement, consistent with the portfolio allocation belonging to the financial assets to which they relate: 100. Net write-offs/write-backs due to impairment of: a) financial assets b) other financial transactions DERECOGNITION CRITERIA Loans and receivables are derecognized when the relevant asset is sold, substantially transferring all the associated risks and benefits, when contractual rights expire or when the loan is considered definitely non-recoverable. SECTION 12 TAX ASSETS AND LIABILITIES RECOGNITION CRITERIA Income tax, calculated in observance of the national tax laws, is posted as a cost and has the same accrual basis as the profits giving rise to it. The exception is tax relative to items charged or credited to quotaholders equity. Prepaid and deferred taxes are posted as openbalance items in the balance sheet without offsetting entries. On the other hand, current taxes are offset, and the related balance is reported in the appropriate item. CLASSIFICATION CRITERIA This item includes current and deferred tax assets and liabilities concerning items governed by IAS 12. VALUATION CRITERIA Deferred tax assets and liabilities are determined on the basis of the temporary differences between the book value of an asset or liability and its recognized value for tax purposes, utilizing the tax rates that are expected to apply in the year when the tax asset will be realized or when the tax liability will be extinguished, on the basis of the tax rules in force or in any case in force de facto at the time of their recognition. The inclusion of deferred tax assets is subject to the reasonable expectation of their recoverability. CRITERIA FOR RECOGNITION OF INCOME AND EXPENSES Accounting for the current and deferred tax effects of a transaction or other event must be consistent with the way the transaction or other effects are themselves accounted for. Current and deferred tax is recognized as income or an expense and included in profit or loss for the year, unless the tax arises from: a transaction or an event reported in the same or another fiscal year, directly in equity, or a business consolidation. 24

25 Tax expenses (or income) related to profits or losses from ordinary activities are set out in the income statement in item 190. "Income tax for the year on continuing operations". DERECOGNITION CRITERIA Deferred taxes are derecognized at the time of their recovery. SECTION 14 OTHER ASSETS RECOGNITION CRITERIA Please refer to what is stated under Loans and receivables. CLASSIFICATION CRITERIA Included are all receivable items not attributable to other financial statements items, including receivables with segregated assets, the hedging of costs borne for the operation of the special purpose vehicle, and other assets. Receivables of a tax-related nature that are not governed by IAS 12 are also included. VALUATION CRITERIA Following first-time recognition, other assets are valued at amortized cost. When preparing any financial statements, we verify the existence of objective evidence of impairment or non-recoverability. DERECOGNITION CRITERIA Please refer to what is stated under Loans and receivables. LIABILITIES SECTION 9 OTHER LIABILITIES RECOGNITION CRITERIA Payables are recognized when the Company becomes a party to contractual clauses, and consequently, has a legal obligation to pay out cash flows. Payables are initially recognized at their nominal value, corresponding to the amount to be paid. CLASSIFICATION CRITERIA Included are payables not attributable to other items, which include trade payables. VALUATION CRITERIA Short-term liabilities for which the time factor is negligible are measured at their original value. DERECOGNITION CRITERIA Other liabilities are derecognized when matured or extinguished. 25

26 INCOME STATEMENT EXPENSES AND REVENUES Expenses are posted to the income statement when there is a decrease in future economic benefit involving a decrease in assets or an increase in liabilities for which the value can be determined reliably. They are posted according to the criterion of direct association between the costs incurred and the obtainment of specific revenue items (correlation between costs and revenues). All costs related to securitisation processes are charged directly to the securitisation transaction. On the other hand, shared costs are distributed pro-rata across the various securitisation transactions. Revenues are posted to the income statement when there is an increase in future economic benefit entailing an increase in assets or a decrease in liabilities that can be determined reliably. This means that the posting of a revenue item takes place simultaneously with the posting of increases in assets or decreases in liabilities. In consideration of the exclusive nature of the business activity engaged in by the Company, the operating costs borne are charged to the segregated assets, to the extent necessary to ensure the Company s economic and capital equilibrium as also provided for in the Intercreditor Agreement and reported in the Prospectus. This amount is classified among other net operating income. A.3 INFORMATION ON TRANSFERS BETWEEN PORTFOLIOS OF FINANCIAL ASSETS Based on the Company s business and the entries on its balance sheet, this part of the Notes to the Financial Statements does not apply. A.4 INFORMATION ON FAIR VALUE The fair value is the amount that may be received from the sale of an asset or paid to transfer a liability, in an ordinary transaction between main market counterparties on the measurement date (exit price). The fair value of a financial liability that is due (for instance a sight deposit) may not be lower than the amount payable on demand, discounted from the first date on which payment may be requested. In the event of financial instruments listed on active markets, the fair value is determined on the basis of official prices on the main market (i.e. the most advantageous) to which the Group has access (Mark to Market). A financial instrument is considered listed on an active market if the prices listed are easily and regularly available from the stock exchange, a dealer, a broker, a pricing agency or regulatory authorities and if such prices represent actual market transactions that are regularly executed in standard negotiations. If a financial instrument as a whole does not have an official price on an active market, but active markets do exist for its components, its fair value is determined on the basis of the relevant market prices for its components. If market prices or other observed inputs, such as the listed prices for an identical asset on a non-active market, are not available, the Group resorts to alternative valuation models, such as: 26

27 market valuation method (use of market prices for liabilities or similar equity instruments held as assets by other market players); cost method (i.e. the replacement cost that would be incurred at the time to replace an asset's use service capability); income method (present net value of future cash flows expected from a market counterparty who holds a liability or a net equity instrument. The Company's financial assets and liabilities consist in current account deposits and other receivables and payables. These transactions are settled at standard market conditions. Their book value, therefore, can be considered a reasonable approximation of fair value. The IFRS 7 standard calls for classifying instruments measured at fair value according to the observability of the inputs used for pricing. Specifically, three levels are envisaged: Level 1: the Fair Value of instruments classified in this level is determined based on listed prices observed in active markets; Level 2: the Fair Value of instruments classified in this level is determined based on measurement models that use inputs that can be observed in the market; Level 3: the Fair Value of instruments classified in this level is determined based on measurement models that primarily use inputs that cannot be observed in the market. A.5 INFORMATION ON SO-CALLED DAY ONE PROFIT/LOSS Based on the Company s business and the entries on its balance sheet, this part of the Notes to the Financial Statements does not apply. 27

28 PART B NOTES TO THE STATEMENT OF FINANCIAL POSITION ASSETS SECTION 6 LOANS AND RECEIVABLES ITEM LOANS AND RECEIVABLES FROM BANKS Composition Book value Fair value Book value Fair value L1 L2 L3 L1 L2 L3 1. Deposits and current accounts 8,795 8,975 9,099 9, Loans Spot transactions 2.2 Financial leasing 2.3 Factoring - with recourse - without recourse 2.4 Other financing 3. Debt securities structured securities - other debt securities 4. Other assets - - L1 = level 1 L2 = level 2 L3 = level 3 Total 8,795 8,975 9,099 9,099 Deposits and current accounts refers to demand deposit with Banca Monte dei Paschi di Siena S.p.A., the fair value of which at December 31, 2015 coincided with the book value. 28

29 SECTION 12 TAX ASSETS AND TAX LIABILITIES ITEM 120 AND ITEM COMPOSITION OF ITEM 120 TAX ASSETS: CURRENT AND PREPAID a) current: IRES corporate income tax advance IRAP regional production tax advance VAT advance - - Total Tax assets COMPOSITION OF ITEM 70 TAX LIABILITIES: CURRENT AND DEFERRED a) current: current IRES income tax Total Tax liabilities SECTION 14 OTHER ASSETS ITEM COMPOSITION OF ITEM 140 OTHER ASSETS Receivables from Segregated Assets 46,636 60,705 Tax receivables from income tax return 139, ,650 Deferred charges 2,306 2,306 VAT advance Total other assets 189, ,833 Receivables from segregated assets represent the credit for charging back the costs required to maintain the Company in existence to Segregated Assets (securitised assets). To be specific: receivables from Series 2006 amounted to 30,236, while those from Series 2014 to 16,400. Tax receivables from income tax return also included the withholding tax receivables on current accounts from closed portfolios; in particular: 67,931 relating to Locat SV Series and 65,610 to Locat SV Series These amounts were required for repayment during

30 LIABILITIES SECTION 9 OTHER LIABILITIES ITEM COMPOSITION OF ITEM 90 OTHER LIABILITIES Trade payables 20,350 21,663 Invoices to be received 13,691 58,925 Payables to Segregated Assets 31,394 - Other payables 122, ,184 Total other liabilities 187, ,772 Trade payables refer to invoices issued to the Company by suppliers and not yet paid. Invoices to be received represent the sum of the invoices received after December 31, 2015 or the arrival of which is certain, but which accrue to In 2015, the item "Payables for segregated assets" represented the debt on Series 2005 for 26,231 and for Series 2011 for 5,163. Other payables mostly include debts to UniCredit Leasing S.p.A. referring to the two closed portfolios. To be specific: 57,726 relating to Locat SV Series and 63,008 to Locat SV Series SECTION 12 QUOTA CAPITAL ITEMS 120 AND COMPOSITION OF ITEM 120 QUOTA CAPITAL 1 Quota capital 10,000 10, Other quotas 10,000 10,000 10,000 10,000 Quota capital totals 10,000. At the date of the financial statements, it was fully subscribed and paid in. 30

31 12.5 OTHER INFORMATION The following shows a breakdown of item 160. Reserves. Legal reserves Retained earnings Other assets Total A Opening balance 99 (99) - - B Increases B.1 Profit allocation - B.2 Other changes - C Decreases C.1 Uses - - coverage of losses - - distribution - - capitalization - C.2 Other changes - D Closing balance 99 (99) - - With respect to the information provided for by Article 2427, paragraph 7-bis of the Italian Civil Code, please refer to the table below: Description Amount Possible use Available portion Quota capital 10,000 Reserve from profits: - 99 Legal reserve 99 B 99 Extraordinary reserve Other reserves Retained profits/(losses) (99) Total 10, Non-distributable amount - Distributable amount - Legend: A capital increase B loss coverage C distribution to quotaholders Utilization in the previous three financial years for loss coverage for other reasons 31

32 PART C NOTES TO THE INCOME STATEMENT SECTION 2 COMMISSIONS ITEM COMPOSITION OF ITEM 40 COMMISSION EXPENSE Detail/Sectors 3. collection and payment services (169) (242) Total (169) (242) SECTION 9 ADMINISTRATIVE EXPENSES ITEM COMPOSITION OF ITEM 110.A PERSONNEL EXPENSE Items/Sectors 1. Employees - - a) salaries and wages and similar expenses b) social contributions c) severance pay d) social security contributions e) allocation to employee severance pay provision f) allocation to pension fund and similar provisions: - defined contribution - defined benefit g) payments to external pension funds: - defined contribution - defined benefit h) other expenses 2. Other active personnel Directors and Statutory Auditors (53,293) (47,503) 4. Employees on sabbatical Recovery of expenses for employees seconded to other companies Reimbursement of expenses for employees seconded to the Company - - Total (53,293) (47,503) 9.2 AVERAGE NUMBER OF EMPLOYEES PER CATEGORY The Company does not have employees on staff. 32

33 9.3 COMPOSITION OF ITEM 110.B "OTHER ADMINISTRATIVE COSTS" Administrative services (127,512) (108,062) Auditing fees (45,900) (65,271) Other services (2,440) (2,440) Legal and notarial expenses - (449) Data transmission expenses (266) (398) Expenses for translation of financial statements (1,539) (1,621) Revenue stamps (48) (48) Office supplies - (445) Disclosure and advertising (2,623) (3,752) Issuer registration expenses (1,830) (4,026) Corporate office registration (1,556) Other administrative expenses - (822) Other contingent liabilities (840) - Indirect taxes and duties (531) (618) - Payments to Chamber of Commerce, Industry, Crafts and Agricultur (130) (200) - Government concession tax (310) (310) - Stamp duty (91) (108) Total (185,085) (187,952) The item "Administrative Services" refers to the fees of the Corporate Services Provider dobank S.p.A. (formerly Unicredit Credit Management Bank S.p.A.). Issuer registration expenses includes fees and commissions to Monte Titoli Borsa Italiana. Expenses for "Disclosure and advertising" refer to costs for publication on the Official Gazette and on the website of the Irish Stock Exchange. SECTION 14 OTHER NET OPERATING INCOME - ITEM COMPOSITION OF ITEM 160 OTHER NET OPERATING INCOME 1. Other income 238, ,729 Reimbursement of expenses from separate portfoli 238, , Other charges - (32) Miscellaneous administration expenses - (32) Total 238, ,697 Recovery of expenses from segregated assets is comprised of the charge-back to Segregated Assets of expenses incurred by the Company, limited to the amount necessary to ensure the economic and capital equilibrium of the Company itself, applied in consideration of the exclusive nature of the management activities, 56,665 of which 33

34 relates to Series 2005, 49,662 to Series 2006, 66,627 to Series 2011 and 65,824 to Series SECTION 17 INCOME TAX ON CONTINUING OPERATIONS ITEM COMPOSITION OF ITEM 190 INCOME TAX ON CONTINUING OPERATIONS 1. Current taxes (231) - 2. Change in current tax from previous year Reduction in current tax for the year Change in prepaid tax Change in deferred tax - - Taxes pertaining to the year (231) RECONCILIATION BETWEEN THEORETICAL AND EFFECTIVE TAX EXPENSES Component / Amounts Pre-tax profit (loss) from continuing operations Theoretical rate applicable 27.5% - Theoretical tax Different tax rates 2. Non-taxable revenue - permanent differences 3. Non-tax-deductible costs - permanent differences Different tax rules / regional production tax 5. Previous years and rate changes a) effect on current tax - losses carried forward - other effects of previous years b) effect on deferred tax - changes in the tax rate - new taxes imposed (+) prior taxes revoked (-) 6. Valuation adjustments and non-recognition of prepaid/deferred tax - write-downs of assets due to prepaid tax - recognition of assets for prepaid tax - non-recognition of assets for prepaid tax - non-recognition of prepaid/differed tax as per IAS and Goodwill impairment 8. Non-taxable income of foreign companies 9. Other differences (526) - Income tax posted to the income statement (231) - Other differences refers to the amount resulting from the application of the theoretical rate on profit before tax; the latter is generated by the cost recovery resulting from the tax in the separate portfolio. 34

35 PART D OTHER INFORMATION SECTION 1 SPECIFIC REFERENCES ON THE BUSINESS ACTIVITY D. GUARANTEES AND COMMITMENTS With reference to company management, at December 31, 2015 there were no existing guarantees given or commitments undertaken. F. LOAN SECURITISATION From its establishment until December 31, 2015, Locat SV S.r.l. has carried out six securitisation transactions. Under Law 130/99, the Locat SV Series (third securitisation) and the Locat SV Series (fourth securitisation) were extinguished in December The three securitisation transactions currently active are described below: LOCAT SV S.r.l. Series 2005 (first securitisation) page 36 LOCAT SV S.r.l. Series 2006 (second securitisation) page 58 LOCAT SV S.r.l. Series 2011 (fifth securitisation) page 82 LOCAT SV S.r.l. Series 2014 (sixth securitisation) page

36 Locat SV S.r.l. Series 2005 (first securitisation) The amount of the loans acquired since the start of the transaction is as follows: Date Nominal value Assignment 10/14/2005 2,000,000,136 2,000,000,136 12/02/ ,102,162 53,102,162 01/03/ ,316,372 76,316,372 02/02/ ,618,936 15,618,936 03/02/ ,944,184 54,944,184 04/04/ ,797,218 51,797,218 05/03/ ,325,214 50,325,214 06/02/ ,321,837 53,321,837 07/04/ ,681,830 50,681,830 08/02/ ,199,016 49,199,016 09/04/ ,625,639 55,625,639 10/03/ ,202,082 47,202,082 11/02/ ,502,537 51,502,537 12/04/ ,479,606 52,479,606 01/03/ ,716,896 52,716,896 02/02/ ,915,406 54,915,406 03/02/ ,716,634 55,716,634 04/03/ ,927,247 59,927,247 05/03/ ,364,080 55,364,080 TOTAL 2,940,757,031 2,940,757,031 36

37 - Titoli emessi In order to finance the purchase of the loan portfolio on November 18, 2005, the Company issued the following securities denominated in euros. Class ISIN Type Nominal value in euros Maturity Interest A1 (*) IT With pre-emptive early redemption 451,000, Quarterly 3-month EURIBOR % p.a A2 (*) IT With pre-emptive early redemption 1,349,000, Quarterly 3-month EURIBOR % p.a B (*) IT Subordinated to class A 160,000, Quarterly 3-month EURIBOR % p.a C (*) IT Subordinated to classes A and B 33,000, D IT Subordinated 7,000, TOTAL 2,000,000,136 (*) Listed on the Irish Stock Exchange. Quarterly 3-month EURIBOR % p.a Quarterly 3-month EURIBOR + 2% p.a. + Additional Remuneration REDEMPTION VALUES Class Amount of securities issued Cumulative reimbursements as at 12/31/2014 Reimbursements 2015 Residual amount as at 12/31/2015 A1 451,000, ,000, A2 1,349,000,000 1,349,000, B 160,000, ,305,728 29,907,232 14,787,040 C 33,000, ,000,000 D 7,000, ,000,136 Total 2,000,000,136 1,915,305,728 29,907,232 54,787,176 37

38 F1. SUMMARY TABLE OF THE SECURITISED ASSETS AND OF THE SECURITIES ISSUED Locat SV S.r.l. - series 2005 Situation at Situation at A. SECURITIZED ASSETS 150,396, ,037,951 A.1) Loans and receivables 150,396, ,037,951 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT B.3) Other assets 5,322,265 5,322,265 8,408,093 8,408,093 B.3. a) Cash in current account 4,944,094 8,055,685 B.3. c) Accrued income and prepaid expenses B.3. d) Other assets 378, ,257 C. SECURITIES ISSUED 54,787,176 84,694,408 C.3) Class B securities 14,787,040 44,694,272 C.4) Class C securities 33,000,000 33,000,000 C.5) Class D securities 7,000,136 7,000,136 D. FINANCING RECEIVED 3,300,983 5,935,183 E. OTHER LIABILITIES 97,630,946 95,816,453 E.1) Payables to Originator 10,900,461 10,019,793 E.2) Payables to customers for reimbursements 1,719,341 1,482,771 E.3) Accrued expenses for interest on securities 16,524 32,550 E.4) Other accrued expenses and deferred income 780 1,274 E.5) Other liabilities 84,993,840 84,280,065 Difference (A+B-C-D-E) - - F. INTEREST EXPENSE ON SECURITIES ISSUED 477, ,609 Interest on Class "B", "C" and "D" securities 477, ,609 G. FEES AND COMMISSIONS PAYABLE FOR THE TRANSACTION 87, ,797 G.1) For servicing 42,746 57,048 G.2) For other services 45,222 45,749 H. OTHER EXPENSE 11,082,252 10,753,539 H.1) Other interest expenses - Spread on hedging transactions (swap) 13,381 21,845 H.2) Loan write-downs 10,913,614 9,677,437 H.3) Other expense 155,257 1,054,257 I. INTEREST GENERATED BY SECURITISED ASSETS 5,407,322 7,379,875 L. OTHER INCOME 6,240,742 4,373,070 L.1) Other interest income - 7,751 L.2) Write-backs on loans 4,125,103 2,589,670 L.3) Other revenue 2,115,639 1,775,649 Difference (F+G+H-I-L) - - The positive difference of 94,602 between revenues and costs was attributed to item "H.3) Other income", while in the balance sheet this amount was classified as an increase of the Future amounts transfer provision, part of item "E.5) Other liabilities". 38

39 ACCOUNTING POLICIES USED TO PREPARE THE SUMMARY The standards followed in the preparation of the statements are those provided for in the Bank of Italy provisions concerning securitisation firms (Resolution of December 15, 2015). The items indicated in connection with securitised loans correspond to the amounts taken from the accounting records and from the information system of the Servicer, UniCredit Leasing S.p.A.. Specifically, the valuation criteria adopted for the most significant items are set forth below. These criteria have not changed from the previous year. A. Securitised assets Loans are entered at their assignment value and are recognized during the transaction net of receipts for the period. On the closing date, their value may be written-down in reduction of their estimated realizable value, based on information provided by the Servicer. They include accrued interest income earned on an accrual basis and deemed recoverable. B. Use of cash equivalent arising from loan management Positive balances of current accounts held at banks are shown in the financial statements at their nominal value, corresponding to the estimated realizable value, and include interest accrued as of the reporting date. The Investments and Cash Equivalents item includes loan collections that had already occurred as of the balance sheet date but had not yet been credited to the Company s current accounts. The calculation of prepaid expenses and accrued income was made according to the accrual principle, applying the principle of matching costs and revenues within the fiscal year. C. Securities issued Securities issued are reported at their corresponding nominal value. D. Borrowings These are reported at their nominal value. E. Other liabilities Payables are posted at face value. The determination of prepaid expenses and accrued income has been made according to accrual basis criteria. Interest, commissions, expense and other income 39

40 Income and expenses related to the securitised assets and securities issued, interest, commissions, charges and revenues which derive from securitisation operations are recognized on an accrual basis. Taxes and Duties It is noted that, as specified in Revenue Agency Circular 8/E of February 6, 2003 regarding the tax treatment of the segregated assets of a special purpose vehicle, the economic results deriving from the management of the securitised assets during the course of implementing the transactions do not fall under the available funds of the special purpose vehicle. The required allocation of segregated assets in principle excludes possession of the respective income for tax purposes. It follows that during the transaction, the special purpose vehicle does not have such asset flows available in any manner either legally or for tax purposes, and it is only upon its completion, after all creditors have been paid, that any surplus may be included in its available funds if so stipulated in the deal. This circumstance is not envisaged in the structure of the existing securitisation transaction, which specifies that the economic results of the transaction are to be received only by bearers of the junior securities. Derivative contracts Financial derivative instruments entered into to hedge the flows resulting from the securitisation transaction are recorded at cost. Interest rate swap contract differentials are recorded under income and expenses on an accrual basis. 40

41 ANALYSIS OF THE ITEMS SHOWN IN THE SUMMARY A. SECURITIZED ASSETS 150,396, ,037,951 They are represented by the net amount of outstanding loans, specifically: Loan balances 196,014, ,476,205 Write-downs (45,205,251) (44,810,299) Late fee customer receivables 12,876,293 11,245,833 Late-payment interest write-downs (12,876,293) (11,245,833) Deferred interest income (412,305) (627,955) Net value 150,396, ,037,951 Situation at 12/31/2014 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 123,340 43,992 79,348 A1 Bad loans 74,827 36,128 38,699 A2 Doubtful 38,026 7,512 30,514 A3 Past-Due 2, ,585 A4 Restructured 7, ,550 B Performing loans 99, ,690 Total loans assigned 222,848 44, ,038 Transfers from old to new classes: from Doubtful (38,026) (7,512) (30,514) from Restructured (7,668) (118) (7,550) to Unlikely to pay other than bad 44,530 7,322 37,208 to Impaired past-due exposures 1, Situation at 12/31/2014 according to new classes (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts A1 Bad loans A2 Unlikely to pay other than bad A3 Impaired past-due exposures B Performing loans Total loans assigned Situation at 12/31/2015 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) A Doubtful accounts 120, ,340 44,673 43,992 75,464 79,348 A1 Bad loans 86,624 74,827 41,054 36,128 45,570 38,699 A2 Unlikely to pay other than bad 27,809 44,530 2,995 7,322 24,814 37,208 A3 Impaired past-due exposures 5,704 3, ,080 3,441 B Performing loans 75,465 99, ,933 98,690 Total loans assigned 195, ,848 45,205 44, , ,038 The classification under the various types of impaired loans is carried out in compliance with the indications of the Servicer. 41

42 Starting from the first quarter of 2015, the classification of loans into risk classes was updated in order to reflect the changes provided in Bank of Italy Circular 272, subsequently transposed in Bank of Italy Circular 262. This update adjusts the previous classification instructions to the definition of "Non-Performing Exposure" (NPE) introduced by the European banking authority (EBA) through the issue of EBA/ITS /2013/03/rev1 07/24/2014. The total volume of loans classified in the previous categories that made up the perimeter of impaired loans as at December 31, 2014 (Bad Loans, Doubtful, Restructured, Past-due) were reallocated by the Servicer to new risk classes (Bad Loans, Unlikely to pay other than bad, Impaired past-due exposures) through: a. the elimination of the Restructured and Doubtful loans class and the re-attribution of the loans therein in the "Unlikely to pay other than bad" class; b. the reallocation of loans previously classified as "Past-due" in the "Impaired past-due exposures" class. In particular, loans for which the Servicer believes that there is a condition of unlikely to pay as at the reporting date were reclassified in the "Unlikely to pay other than bad" class. Conversely, past-due items for which this condition does not apply were reclassified in the "Impaired past-due exposures" class. Impaired assets as at December 31, 2014 restated under the new definitions introduced by the EBA are substantially consistent with impaired assets established in accordance with the previously applicable Bank of Italy instructions. Write-downs (b) of Securitised assets are sized on the basis of estimates by the Servicer concerning recovery expectations. Total adjustment reserves at the end of 2015 imply a 23.11% coverage ratio for total securitised assets (20.11% at December 31, 2014), a percentage deemed appropriate to provide comprehensive protection against credit risk. 42

43 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT 5,322,265 8,408,093 This includes: B.3 a) Cash in current account 4,944,094 8,055,685 - "Collection Account" 441, ,604 - "Expenses Account" 28,755 29,438 - "Debit Service Reserve Account" 694,283 1,101,802 - "Payment Account" "Adjust Reserve" 478, ,838 - "Collateral Account" 149, ,961 - "Cash Collateral Account" 3,150,984 5,715,182 B.3 c) Accrued income and prepaid expenses Accrued income from Swap agreements B.3 b) Other assets 378, ,257 - Receivables from Special Purpose vehicle 26, Interest income withholding tax receivables 351, ,932 - VAT credit Outstanding credit 8 25 Total 5,322,265 8,408,093 Cash in current account includes current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit Corporate Banking S.p.A. (now UniCredit S.p.A.). In 2014, "Prepaid expenses and accrued income" referred to accrued income on swaps. In 2015 "Receivables from Special Purpose Vehicle related to advances made over the course of the year by the segregated assets to the Special Purpose Vehicle, net of Payables to Special Purpose Vehicle relating to the reimbursement of expenses incurred during the year by the Special Purpose Vehicle. D. FINANCING RECEIVED 3,300,983 5,935,183 This includes: - Collateral Loan 150, ,000 - Cash Collateral Loan 3,150,983 5,715,183 Total 3,300,983 5,935,183 For details on the above loans, granted by UniCredit S.p.A., see Section F.5 "Ancillary financial transactions". 43

44 E. OTHER LIABILITIES 97,630,946 95,816,453 This includes: E.1) Payables to Originator 10,900,461 10,019,793 E.2) Payables to customers for reimbursements 1,719,341 1,482,771 E.3) Accrued expenses for interest on securities 16,524 32,550 - Accruals for interest on class B 1,959 11,744 - Accruals for interest on class C 8,002 12,705 - Accruals for interest on class D 6,563 8,101 E.4) Other accrued expenses and deferred income 780 1,274 E.5) Other liabilities 84,993,840 84,280,065 - Invoices to be received 3,510 4,438 - Withholding tax provision 351, ,962 - Future amounts transfer provision 82,695,631 82,601,029 - Payables to bond interest account 1,262,055 1,118,198 - Entries awaiting final entry 680, ,113 - Payables to Special Purpose Vehicle - 6,325 - Miscellaneous payables Receivables from Locat SV Series Total 97,630,946 95,816,453 The Payables to Originator item represents liabilities to the Originator arising from the company s ordinary business activity. The Payables to bond interest account item refers to payables to subscribers of the Junior securities for interest not paid. In 2014, Payables to Special Purpose Vehicle represented the reimbursement of expenses to the Special Purpose Vehicle, net of advances made over the course of the year by the segregated assets. The Future amounts transfer provision represents the accumulated results from the beginning of the securitisation transaction, net of amounts already paid as Additional Remuneration. This provision is intended for possible repayment of junior securities. F. INTEREST EXPENSE ON SECURITIES ISSUED 477, ,609 This refers to: Interest on Class B securities 129, ,436 Interest on Class C securities 205, ,628 Interest on Class D securities 142, ,545 Total 477, ,609 44

45 La riduzione degli interessi su Titoli di classe B è riconducibile ai rimborsi di capitale avvenuti nel corso dell esercizio. G. FEES AND COMMISSIONS BORNE BY THE TRANSACTION 87, ,797 These consist of: G.1) Servicing 42,746 57,048 G.2) Other services: 45,222 45,749 - Computation agent fee 20,037 19,952 - Account bank and Paying agent fee 14,216 10,500 - Underwriters' representative 8,587 9,937 - Custodian fees - 1,177 - Cash Manager fees 2,382 4,183 Total 87, ,797 The increase in Fees for Account Bank and Paying Agent was due to the changes occurred in February 2015 in fees charged by BNP Paribas Securities Services, Milan Branch, for the current account and payment services. 45

46 H. OTHER EXPENSE 11,082,252 10,753,539 This includes: H.1) Other interest expense 13,381 21,845 - Swap contract differential 13,381 21,340 - Interest expense on loans H.2) Loan write-downs 10,913,614 9,677,437 - Cost-accounting adjustments on loans 6,808,191 8,990,521 - Utilization of the receivables impairment loss allowance (2,288,135) (2,676,990) - Losses on purchase price 4,169,591 2,107,220 - Capital losses on the sale of securitised loans and 2,223,967 1,256,686 receivables H.3) Other expense 155,257 1,054,257 - Withholding tax receivables write-downs 2, Reimbursement of expenses to Special Purpose Vehicle 56,665 62,331 - Other contingent liabilities Postal and courier expenses Bank charges Stamp duties Future amounts transfer provision 94, ,020 - Revenue stamps Total 11,082,252 10,753,539 Capital losses on disposal of securitised loans relates to capital losses induced by prepayment of securitised loans. Reimbursement of expenses to Special Purpose Vehicle includes the reimbursement of expenses incurred by the special purpose vehicle limited to the extent necessary to ensure such company s financial stability in view of the exclusiveness of its business purpose. The item "Future amounts transfer provision" consists of profit for the year from the management of the segregated assets, charged to a dedicated provision and earmarked for the payment of Junior Securities. I. INTEREST GENERATED BY SECURITISED ASSETS This includes: 5,407,322 7,379,875 Embedded interest 9,023,407 12,249,635 Interest for late payment 1,715,008 1,690,324 Default interest write-downs (1,630,461) (1,551,090) Indexing adjustments (3,700,632) (5,008,994) Total 5,407,322 7,379,875 Indexing adjustment concerns the offsetting and closing of accounts. 46

47 L. OTHER INCOME 6,240,742 4,373,070 This includes: L.1) Other interest income - 7,751 - Bank current accounts - 1,188 - Use of cash and cash equivalents - 6,563 L.2) Write-backs on loans 4,125,103 2,589,670 L.3) Other revenue 2,115,639 1,775,649 - Capital gains on the sale of securitised performing 479, ,745 receivables - Indemnities charged to customers for securitised 1,635,580 1,651,823 receivables - Contingent assets Total 6,240,742 4,373,070 Capital gains on the sale of securitised performing loans and receivables relate to capital gains on prepayment of performing securitised loans. Indemnities charged to customers for securitised receivables refer to compensation received from clients following losses on securitised loans. The decrease in current account interest income and allocation of available funds compared to the previous year is due to the sharp reduction in interest rates applied from the second half of

48 QUALITATIVE INFORMATION F.2. - DESCRIPTION OF THE TRANSACTION AND ITS PERFORMANCE From its date of establishment until December 31, 2015, Locat SV S.r.l. has engaged in six securitisation transactions pursuant to Law 130/1999, two of which, Locat SV Series and Locat SV Series , were concluded in December The essential characteristics of the first securitisation transaction (Locat SV Series 2005) are as follows: DESCRIPTION OF THE INITIAL PORTFOLIO ASSIGNED On October 14, 2005 Locat SV S.r.l., with registered offices located at Via Alfieri, Conegliano (TV), purchased a portfolio of performing loans, assigned outright and without recourse, from UniCredit Leasing S.p.A. (formerly Locat S.p.A., with registered offices at Via Rivali, no Bologna). The Initial Portfolio includes receivables representing lease agreements, for a transfer value of 2,000,000,136 as of October 31, 2005 (valuation date). The consideration for the initial portfolio, 2,000,000,136, equals the sum of lease payments representing principal not yet past-due as of the respective valuation date, plus the portion of the installment of interest accrued but not paid as of such date. The average amount financed for the original amount of the lease was 92,347. The weighted average residual life of the initial portfolio as of the transfer date is approximately 2.82 years for Pool 1, approximately 3.23 years for Pool 2 and approximately 7.80 years for Pool 3. The tables below represent a number of subdivisions of the portfolio initially transferred. Initial portfolio by Pool type POOL TYPE NUMBER OF RESIDUAL AMOUNT LOANS Units in euro % Pool 1 Motor vehicles 24, ,913, % Pool 2 Equipment 10, ,648, % Pool 3 Property 2, ,437, % Total 37,266 2,000,000, % Initial portfolio by interest rate INTEREST RATE NUMBER OF RESIDUAL AMOUNT TYPE LOANS Units in euro % Fixed 10, ,793, % Variable 26,439 1,734,206, % Total 37,266 2,000,000, % 48

49 ASSIGNMENT CRITERIA FOR THE INITIAL PORTFOLIO Under the terms of the Assignment Agreement and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law, UniCredit Leasing S.p.A. transferred an Initial Portfolio of loans involving lease income with a due date not later than May 31, 2022 and deriving from lease agreements identified based on the following common characteristics: 1. agreements entered into subsequent to January 1, 1998 (inclusive); 2. with no unpaid fees (i.e., a fee payment at least thirty days past-due), at least one fee paid and one yet to be paid; 3. have a contract number with one of the following suffixes: - Pool 1: VA, VO, VP, VL, VS, PS, AS, TS - Pool 2: LI, LO, OS, LS - Pool 3: IC, IF, IR 4. were financed only by UniCredit Leasing S.p.A.; 5. the fees on which are to be paid in Euro or Lira, either at a fixed rate or, where indexed, are indexed to Euribor or similar indices merged into the latter; 6. the payments on which are to be made by direct debit (RID); 7. cover property located in Italy, the beneficiaries of which are Italian residents; 8. are not contracts in which the lessee is an employee of UniCredit Leasing S.p.A.; 9. are not contracts in which the lessee is a company of the UniCredit Group; 10. are with counterparties that are not government agencies or comparable public or private entities; 11. are not contracts given favorable treatment by Law 1329/65 (Sabatini Act) or Law 64/86; 12. relate to loans that were never classified as Defaulted Loans or loans that were never transferred to the Legal Department of UniCredit Leasing S.p.A.; 13. do not cover boat docking spaces or works of art. ASSIGNMENT CRITERIA FOR THE SUBSEQUENT PORTFOLIOS The Assignment Agreement defines additional specific criteria, which the assignor and assignee companies could supplement from time to time, with which the Loans making up the Initial Portfolio and the subsequent assigned portfolios were required to comply. During the Revolving Period, which ended in 2007, UniCredit Leasing S.p.A., with reference to each Adjustment Date (except the Adjustment Date immediately preceding an Interest Payment Date) and Interest Payment Date, may offer, and Locat SV S.r.l. could acquire one or more Subsequent Portfolios, in accordance with the terms and conditions specified in the Assignment Agreement. Specifically, such loans had to be selected so as to constitute multiple pecuniary loans identifiable in block, within the meaning and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law. Such loans were identified on the basis of common criteria and the specific criteria selected from time to time upon the occasion of each assignment in the related proposal. In addition, such subsequent portfolios could be offered upon the condition that: 49

50 1. for each pool, the pool delinquency ratio for the loans included within the subsequent portfolio, as of the last day of the most recent collection period, was not greater than: - for Pool 1: 14.0% - for Pool 2: 9.0% - for Pool 3: 8.0% 2. for each Pool, the Pool s default ratio for the loans included in the subsequent portfolio, over the course of the most recent Collection Period, did not exceed: - for Pool 1: 1.75% - for Pool 2: 2.25% - for Pool 3: 1.75% 3. for variable-rate Lease Agreements, the average weighted spread of the subsequent portfolio over the 3-month EURIBOR rate could not be less than 2.7% for Pool 1, 1.7% for Pool 2 and 2.0% for Pool 3; 4. for fixed-rate lease agreements, the difference between the average percentage yield of the subsequent portfolio in question and the fixed interest rate provided for by the interest rate hedge had to be greater than or equal to 2.7% for Pool 1, 1.7% for Pool 2 and 2.0% for Pool 3; 5. subsequent to the acquisition of a Subsequent Portfolio, the amount of principal owed for each Pool, divided by the Principal Amount Owed for the Collateral Portfolio, could not be greater than 28% for Pool 1, 28% for Pool 2 and 75% for Pool 3, and not less than 40% for Pool 3, respectively; 6. as of the related Valuation Date, Loans to any individual lessee could not account for more than 1% of the Portfolio; 7. as of the related Valuation Date, Loans to the ten Lessees with the greatest debt exposure could not account for more than 3.5% of the Portfolio; 8. as of the related Valuation Date, Loans to any individual User in each Pool could not account for more than 1% of any Pool; 9. as of the related Valuation Date, Loans to the ten Users with the greatest debt exposure for each Pool could not account for more than 4.5% of Pool 1, 6.0% of Pool 2 and 7.5% of Pool 3. 50

51 PERFORMANCE OF THE TRANSACTION 2015 collections were in line with expectations, permitting regular payment of principal and interest to the holders of the Senior securities issued. They also enabled monetary obligations towards other company creditors to be complied with, and the collateral requirements provided for by the contract documents were able to be adhered to. With regard to the rating agencies' interventions with respect to the Locat SV Series 2005 transaction, it should be noted that, following the increase of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 23, 2015 the aforementioned rating agency upgraded the rating of Class B securities from Baa2(sf) to A3(sf). With regard to the loan portfolio, the following is a summary of the purchases effected and of portfolio performance indicators: Type of assets Nominal Acquisition Value price Initial portfolio Acquisitions Acquisitions Acquisitions TOTAL Interest payment date Portfolio delinquency ratio Portfolio default ratio Cumulative portfolio default ratio Index Limit Index Limit Index Limit 03/12/ % 9.988% 2.47% 1.501% 5.97% 2.50% 06/12/ % 9.978% 1.17% 1.498% 5.92% 2.50% 09/12/ % 9.973% -1.17% 1.495% 5.59% 2.50% 12/12/ % 9.966% -0.79% 1.494% 5.86% 2.50% With reference to the above table, note that, over the course of the year, the portfolio default ratio and the cumulative default ratio exceeded the contractually established limit. Under the contract documents, the exceeding of such limits entailed provisions for interest being set aside for principal, corresponding to item 11 of the breakdown for interest. This structure was intentionally worked out to ensure an additional guarantee to the holders of Rated securities. A further consequence of this limit s being exceeded is that funds are no longer being made available than can be used for the repayment of junior securities. Based on the analysis made, future cash flows will guarantee the regular payment of the obligations undertaken by the transaction; the primary consequence of this situation will be an average securities duration lower than what was estimated at the start of the transaction. 51

52 F.3 PARTIES INVOLVED The principal parties involved in the securitisation transaction are the following: POSITION HELD Originator Representative of Securities Holders Servicer Computation Agent Corporate Servicer Account Bank Paying Agent Cash Manager Listing and Irish Paying Agent Custodian Bank Hedging Counterparty PARTY INVOLVED UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. dobank S.p.A. (formerly Unicredit Credit Management Bank S.p.A.) BNP Paribas Securities Services, Milan Branch BNP Paribas Securities Services, Milan Branch BNP Paribas Securities Services, Milan Branch Bank of New York (Ireland) Plc BNP Paribas Securities Services, Milan Branch UniCredit S.p.A. The principal relationships and obligations existing among the Assignor (UniCredit Leasing S.p.A.), Assignee (Locat SV S.r.l.) and other parties involved in the securitisation transaction, as governed by specific contracts, are as follows: Under the Assignment Agreement, the Company acquired the Initial Portfolio and the Assignor acquired the right to transfer to the Assignee, without recourse, loans meeting the eligibility characteristics provided for by such Assignment Agreement. Under the servicing agreement, Locat SV S.r.l. engaged UniCredit Leasing S.p.A. to perform collection activities for the loans assigned within the meaning of Law 130 of April 30, 1999 and for doubtful and/or non-performing and/or delinquent loans, including through the use of outside organizations specializing in the management of problem loans. On November 15, 2005, UniCredit S.p.A. signed two swap agreements with Locat SV S.r.l., starting November 18, 2005, to hedge the interest-rate risk resulting from the payment of bond interest for the classes A1, A2, B and C (described in F.5 below). 52

53 The securities were underwritten as follows: Underwriters Class A1 Class A2 Class B Class C Class D TOTAL BNP Paribas S.p.A. 150,333, ,170,000 53,333,000 11,000, ,836,000 UBM 150,334, ,170,000 53,334,000 11,000, ,838,000 UBS 150,333, ,170,000 53,333,000 11,000, ,836,000 HVB - 13,490, ,490,000 UniCredit Leasing S.p.A. (formerly Locat S.p.A.) ,000,136 7,000,136 TOTAL 451,000,000 1,349,000, ,000,000 33,000,000 7,000,136 2,000,000,136 UniCredit Leasing S.p.A. acquired the so-called Class D subordinated securities, of a nominal amount of 7,000,136, with Final Maturity in December Under the Intercreditor Agreement, the Assignor accepted the order of priority for payments made by the Assignee. Pursuant to this arrangement, servicing fees are to be paid after corporate expenses and the replenishment of the Retention Amount in the Expenses Account, but prior to the payment of interest and repayment of principal to the securities underwriters. F.4 FEATURES OF THE SECURITIES ISSUED To finance the purchase of the Loan Portfolio (Series 2005), on November 18, 2005 Locat SV S.r.l. issued Euro-denominated securities with the following characteristics: Class A1 A2 B C D ISIN IT IT IT IT IT Type With pre-emptive With pre-emptive Subordinated to class Subordinated to early redemption early redemption A classes A and B Subordinated Nominal value 451,000,000 1,349,000, ,000,000 33,000,000 7,000,136 Maturity Interest Quarterly 3-month Quarterly 3-month Quarterly 3-month Quarterly 3-month Quarterly 3-month EURIBOR + 2% p.a. EURIBOR % EURIBOR % EURIBOR % EURIBOR % + Additional p.a p.a p.a p.a Remuneration Moody's Rating (at issue and at year-end) Aaa (sf)/ -- Aaa (sf)/ -- Baa2 (sf)/ A3 (sf) Baa2(sf)/ Caa1 (sf) Unlisted Standard & Poor's Rating (at issue and at year-end) AAA (sf)/ -- AAA(sf)/ -- A(sf)/ BBB+(sf) BBB(sf)/ B(sf) Unlisted Capital repayment Fully repaid Fully repaid Partially repaid; residual amount 14,787,040 No capital repayment No capital repayment 53

54 The ratings provided express an opinion about the probability that the securities will repay capital in full by the legal maturity of the transaction and will pay the interest owed from time to time upon the individual payment dates. It should be noted that Classes A1 and A2 were fully repaid. F.5 INCIDENTAL FINANCIAL TRANSACTIONS In order to hedge the interest-rate risk, on November 15, 2005 Locat SV S.r.l. signed two swap agreements with UniCredit S.p.A., which came into effect on November 18, The purpose of these transactions was to limit the exposure to interest-rate risk connected with the payment of the variable-rate coupons of senior and mezzanine securities issued. Hedging Agreement for the fixed-rate portion of the portfolio: UniCredit will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a rate equal to the 3-month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a fixed rate of %. Hedging Agreement for the variable-rate portion of the portfolio: UniCredit will pay an amount equal to the product of the Principal Due for the variable-rate portion and the number of days of the Interest Period, divided by 360, at a rate equal to the 3-month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Due for the variable-rate portion and the number of days in the Interest Period, divided by 360, at the average weighted effective rate from the variable-rate portfolio s indexing parameters. on February 10, 2012 the rating agency Standard & Poor s downgraded the long-term rating assigned to UniCredit S.p.A. from A to BBB+ and the short-term rating from A- 1 to A-2. As a result of said downgrading, UniCredit S.p.A. lost the minimum requirement of a first level rating established by the contractual document in order to carry out the role of Hedging Counterparty. Consequently, on February 20, 2012, a Collateral Account was opened at BNP Paribas Securities Services - Milan Branch, where the market value of the swap contracts was deposited. On May 14, 2012 the rating agency Moody s downgraded the long-term rating assigned to UniCredit S.p.A. from A2 to A3 and the short-term rating from P-1 to P-2. As a result of said downgrading, UniCredit S.p.A. lost the minimum rating requirements to continue to act as guarantor for UniCredit Leasing S.p.A. pursuant to the servicing agreement. Consequently, on June 5, 2012, a current account was opened at BNP Paribas Securities Services - Milan Branch, in which UniCredit Leasing S.p.A. deposited the commingling amount to guarantee the obligations it had undertaken pursuant to the servicing agreement. Moreover, on November 22, 2012 the Company signed an agreement for the discharge of the guarantee provided by UniCredit S.p.A. in favor of UniCredit Leasing S.p.A. on November 3,

55 F.6 THE VEHICLE S OPERATING POWER The Company s sole purpose is to carry out one or more securitisation transactions within the meaning of Law 130 of April 30, 1999 through the acquisition of both existing and future monetary loans for valuable consideration, financed through recourse to issuing securities pursuant to Article 1, paragraph 1(b) of Law 130/1999 in such a way as to rule out the assumption of any risk on the part of the Company. In accordance with the provisions of the aforesaid Law, the loans pertaining to each securitisation transaction constitute assets segregated to all effects and purposes from those of the company and those relating to other transactions, against which no action may be brought by creditors other than the holders of the securities issued to finance the acquisition of the aforesaid loans. Within the limits permitted by the provisions of Law 130/1999, the Company may carry out accessory transactions, to be entered into for the proper conclusion of securitisation transactions it has engaged in, or those otherwise instrumental to the attainment of its company purpose, as well as transactions to reinvest in other financial assets funds derived from managing the acquired loans that are not immediately employed to satisfy rights deriving from the aforesaid securities. 55

56 QUANTITATIVE INFORMATION F.7 LOAN RELATED FLOW INFORMATION The changes occurring in the securitised portfolio during the fiscal year ended December 31, 2015 can be summarized as follows: (in thousands) Initial Loan and Receivables Balance 178, ,079 Reclassification of prior year payables to customers (1,483) (1,641) Reclassification of current year payables to customers 1,719 1,483 Interest accrued 9,023 12,250 Interest accrued and not collected Accrued indexing (3,701) (5,009) Invoiced interest for late payment Capital gains on the sale of securitised performing receivables Losses and Capital losses on the sale of securitised loans and receiv (2,224) (1,257) Indemnities charged to customers for securitised receivables 2,733 1,433 Indemnities charged to customers for securitised payables (1,098) 219 Residual amount invoiced during the period 11,007 16,951 Collections net of unpaid amounts and refunds (44,188) (70,456) Write-downs (6,808) (8,991) Utilization of the receivables impairment loss allowance 2,288 2,677 Capital gains on the sale of securitised non-performing loans 4,125 2,590 F.8 CHANGES IN PAST-DUE LOANS Balance at the end of the period 150, ,038 The table summarizes changes in matured loans that have not been repaid. (in thousands) Opening net exposure 123, ,563 Payments from performing loans 8,133 9,558 Other positive variances (74) 4,864 Collections during the period (1,808) (2,071) Payments to performing loans (4,502) (1,285) Proceeds from disposals (782) (1,182) Losses during the period (4,170) (2,107) Total 120, ,340 Write-downs (44,673) (43,992) Closing next exposure 75,464 79,348 Write-downs refer to cumulative write-downs since the start of management through December 31, Based on the Servicing Agreement between the Company and UniCredit Leasing S.p.A., loan administration and collection, including the recovery of matured loans, was entrusted to UniCredit Leasing S.p.A, which, in addition to its own facilities, has the option to make use of outside organizations specializing in the management of problem loans, in order to improve the efficiency and effectiveness of recovery actions. 56

57 F.9 CASH FLOWS Cash flows can be summarized as follows: Opening cash balance 8,055,685 7,912,515 Increases 30,492, ,617,443 Collections Cash divestment - 49,870,154 Securitised portfolio 30,343,759 50,883,832 Accrued interest on investments - 6,803 From Collateral - 231,492 From interest accrued on bank accounts Transit items 148, ,565 Decreases 33,604, ,474,273 Payments Cash investments - 47,186,153 For Collateral 2,634, ,000 Derivative contracts Swap differentials 13,724 22,032 Repayment of securities principal 29,907,232 52,755,712 For interest on securities 350, ,754 Other payments 178, ,735 Transit items 520, ,887 Closing cash balance 4,944,094 8,055,685 The increase in Transit items refers to collections with a 2014 value date and credited at the start of 2015, for which the prior year balance is carried forward. The decrease in Transit items refers to collections with a 2015 value date credited to the collections account opened with BNP Paribas Securities Services - Milan Branch, in January of Closing cash balance represents the balance of existing current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. (formerly UniCredit Corporate Banking S.p.A.) as at December 31, Securitised portfolio collections (for 2016) can be estimated at around 34.3 million, which, in addition to paying interest on the securities and fees to various parties involved in the transaction, will be used to reimburse the securities issued (repayment period operation), with a cash balance being maintained that is essentially immaterial. F.10 STATUS OF GUARANTEES AND LIQUIDITY LINES A portion of the portfolio loans is covered by guarantees provided by the lessees or by third parties; for details, see the following table: (in thousands) Collateral Personal guarantees 469, ,661 Total 470, ,404 57

58 As regards the guarantees and liquidity lines received, refer to Section F.5 Incidental financial transactions, which provides evidence of amounts disbursed to the Company by UniCredit S.p.A. to establish the Collateral Amount pursuant to the swap agreement and by UniCredit Leasing S.p.A. to establish the Commingling Amount pursuant to the servicing agreement. F.11 BREAKDOWN BY RESIDUAL LIFE The residual life of the securitised loans (expressed in thousands of euros) is shown below: Loans and receivables Expiring Expiring loans past due loans principal other Residual life 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 Up to 3 months - - 4,053 9,925 4,053 9,925 From 3 months to 1 year ,373 22,579 16,373 22, From 1 to 5 years ,050 56,384 44,050 56, More than 5 years ,989 10,621 10,989 10, Indefinite 120, , TOTAL 120, ,340 75,465 99,509 75,465 99, Write-downs (44,673) (43,992) (532) (818) (532) (818) NET AMOUNT 75,464 79,348 74,933 98,691 74,933 98, In what follows, we report the contractual maturity of the securities issued. Residual life Up to 3 months From 3 months to 1 year From 1 to 5 years More than 5 years 54,787,176 84,694,408 In addition, the liabilities set out under item E, Other liabilities of the Table of securitised assets and securities issued all mature in less than three months. F.12 BREAKDOWN BY LOCATION The loans subject to securitisation involve parties residing in Italy and are denominated in euros. F.13 RISK CONCENTRATION (in thousands) As at 12/31/2015 Amount ranges Number of accounts Amount 0-25,000 9,239 8,218 25,001-75, ,056 75, , ,439 More than 250, ,889 TOTAL 10, ,602 Write-downs (45,205) NET TOTAL 10, ,397 No loan concentrations exist in excess of 2% of the total loans in the portfolio. 58

59 LOCAT SV S.r.l. Series 2006 (second securitisation) The amount of the loans acquired since the start of the transaction is as follows: Settlement date Nominal value Purchase value 11/14/2006 1,972,909,866 1,972,909,866 01/03/ ,154,459 11,154,459 02/02/ ,881,972 63,881,972 03/02/ ,490,629 24,490,629 04/03/ ,373,424 37,373,424 05/03/ ,289,511 38,289,511 06/04/ ,124,105 58,124,105 07/03/ ,708,460 39,708,460 08/02/ ,204,429 46,204,429 09/04/ ,572,691 48,572,691 10/02/ ,171,381 44,171,381 11/02/ ,775,188 48,775,188 12/04/ ,592,113 50,592,113 01/03/ ,015,035 49,015,035 02/04/ ,860,229 54,860,229 03/04/ ,702,564 56,702,564 04/02/ ,310,059 52,310,059 05/05/ ,546,143 56,546,143 06/03/ ,266,681 61,266,681 07/02/ ,436,418 58,436,418 08/04/ ,255,032 57,255,032 TOTAL 2,930,640,389 2,930,640,389 59

60 - Securities issued In order to finance the purchase of the loan portfolio on December 14, 2006, the Company issued the following securities denominated in euros. Class ISIN Type Nominal value in euros Maturity Interest A1 (*) IT With pre-emptive early redemption 400,000, Quarterly 3-month EURIBOR +0.08% p.a. A2 (*) IT With pre-emptive early redemption 1,348,000, Quarterly 3-month EURIBOR % p.a. B (*) IT Subordinated to class A 152,000, Quarterly 3-month EURIBOR % p.a C (*) IT Subordinated to classes A and B 64,000, D IT Subordinated 8,909, TOTAL 1,972,909,866 (*) Listed on the Irish Stock Exchange. Quarterly 3-month EURIBOR % p.a Quarterly 3-month EURIBOR + 2% p.a. + Additional Remuneration REDEMPTION VALUES Class Amount of securities issued Cumulative reimbursements as at 12/31/2014 Reimbursements 2015 Residual amount as at 12/31/2015 A1 400,000, ,000, A2 1,348,000,000 1,304,554,634 43,445,366 - B 152,000,000-30,088, ,911,980 C 64,000, ,000,000 D 8,909, ,909,866 Total 1,972,909,866 1,704,554,634 73,533, ,821,846 60

61 F1. SUMMARY TABLE OF THE SECURITISED ASSETS AND OF THE SECURITIES ISSUED Locat SV S.r.l. - series 2006 Situation at Situation at A. SECURITIZED ASSETS 282,805, ,252,697 A.1) Loans and receivables 282,805, ,252,697 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT B.3) Other assets 18,294,430 18,294,430 26,039,753 26,039,753 B.3 a) Cash in current account 13,604,238 15,474,190 B.3 b) Other investments - - B.3 c) Accrued income and prepaid expenses B.3 d) Other assets 4,690,192 10,565,111 C. SECURITIES ISSUED 194,821, ,355,232 C.2) Class A2 securities - 43,445,366 C.3) Class B securities 121,911, ,000,000 C.4) Class C securities 64,000,000 64,000,000 C.5) Class D securities 8,909,866 8,909,866 D. FINANCING RECEIVED 8,712,142 7,873,474 E. OTHER LIABILITIES 97,566, ,063,744 E.1) Payables to Originator 13,684,266 18,281,395 E.2) Payables to customers for reimbursements 2,060,993 3,041,927 E.3) Accrued expenses for interest on securities 37,268 77,025 E.4) Other accrued expenses and deferred income 8,588 12,569 E.5) Other liabilities 81,774,918 81,650,828 Difference (A+B-C-D-E) - - F. INTEREST EXPENSE ON SECURITIES ISSUED 1,142,068 1,962,810 Interest on A1, A2, B, C and D class securities 1,142,068 1,962,810 G. FEES AND COMMISSIONS PAYABLE FOR THE TRANSACTION 136, ,916 G.1) For servicing 84,739 82,715 G.2) For other services 52,034 44,201 H. OTHER EXPENSE 24,520,830 20,707,747 H.1) Other interest expense 184, ,632 H.2) Loan write-downs 23,902,588 15,387,532 H.3) Other expense 433,411 5,108,583 I. INTEREST GENERATED BY SECURITISED ASSETS 9,406,275 11,609,528 L. OTHER INCOME 16,393,396 11,187,945 L.1) Other interest income - 11,654 L.2) Write-backs on loans 9,054,444 5,145,520 L.3) Other revenue 7,338,952 6,030,771 Difference (F+G+H-I-L) - - The negative difference between revenues and costs equal to 72,472 was allocated to the item L3) Other revenue, while in the statement of financial position, this amount was classified in the Future amounts transfer provision under item E1) Other liabilities. 61

62 ACCOUNTING POLICIES USED TO PREPARE THE SUMMARY The standards followed in the preparation of the statements are those provided for in the Bank of Italy provisions concerning securitisation firms (Resolution of December 15, 2015). The items indicated in connection with securitised loans correspond to the amounts taken from the accounting records and from the information system of the Servicer, UniCredit Leasing S.p.A.. Specifically, the valuation criteria adopted for the most significant items are set forth below. These criteria have not changed from the previous year. A. Securitised assets Loans are entered at their assignment value and are recognized during the transaction net of receipts for the period. On the closing date, their value may be written-down in reduction of their estimated realizable value, based on information provided by the Servicer. They include accrued interest income earned on an accrual basis and deemed recoverable. B. Use of cash equivalent arising from loan management Positive balances of current accounts held at banks are shown in the financial statements at their nominal value, corresponding to the estimated realizable value, and include interest accrued as of the reporting date. The Investments and Cash Equivalents item includes loan collections that had already occurred as of the balance sheet date but had not yet been credited to the Company s current accounts. The calculation of prepaid expenses and accrued income was made according to the accrual principle, applying the principle of matching costs and revenues within the fiscal year. C. Securities issued Securities issued are reported at their corresponding nominal value. D. Borrowings These are reported at their nominal value. E. Other liabilities Payables are posted at face value. The determination of prepaid expenses and accrued income has been made according to accrual basis criteria. Interest, commissions, expense and other income 62

63 Income and expenses related to the securitised assets and securities issued, interest, commissions, charges and revenues which derive from securitisation operations are recognized on an accrual basis. Taxes and Duties It is noted that, as specified in Revenue Agency Circular 8/E of February 6, 2003 regarding the tax treatment of the segregated assets of a special purpose vehicle, the economic results deriving from the management of the securitised assets during the course of implementing the transactions do not fall under the available funds of the special purpose vehicle. The required allocation of segregated assets in principle excludes possession of the respective income for tax purposes. It follows that during the transaction, the special purpose vehicle does not have such asset flows available in any manner either legally or for tax purposes, and it is only upon its completion, after all creditors have been paid, that any surplus may be included in its available funds if so stipulated in the deal. This circumstance is not envisaged in the structure of the existing securitisation transaction, which specifies that the economic results of the transaction are to be received only by bearers of the junior securities. Derivative contracts Financial derivative instruments entered into to hedge the flows resulting from the securitisation transaction are recorded at cost. Interest rate swap contract differentials are recorded under income and expenses on an accrual basis. 63

64 ANALYSIS OF THE ITEMS SHOWN IN THE SUMMARY A. SECURITISED ASSETS 282,805, ,252,697 They are represented by the net amount of outstanding loans, specifically: Loan balances 363,443, ,307,704 Loan write-downs (79,751,866) (75,078,709) Late fee customer receivables 17,852,227 15,240,300 Late-payment interest write-downs (17,852,227) (15,240,300) Deferred lease payments income (886,137) (976,298) Net value 282,805, ,252,697 Situation at 12/31/2014 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 164,583 73,438 91,145 A1 Bad loans 100,249 55,876 44,373 A2 Doubtful 52,054 15,297 36,757 A3 Past-Due 10,827 1,377 9,450 A4 Restructured 1, B Performing loans 263,749 1, ,108 Total Loans Assigned 428,332 75, ,253 Transfers from old to new classes: from Doubtful (52,054) (15,297) (36,757) from Restructured (1,455) (888) (566) to Unlikely to pay other than bad 52,241 15,920 36,321 to Impaired past-due exposures 1, ,002 Situation at 12/31/2014 according to new classes (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 164,583 73,438 91,145 A1 Bad loans 100,249 55,876 44,373 A2 Unlikely to pay other than bad 52,241 15,920 36,321 A3 Impaired past-due exposures 12,094 1,642 10,452 B Performing loans 263,749 1, ,106 Total Loans Assigned 428,332 75, ,253 Situation at 12/31/2015 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) A Doubtful accounts 163, ,583 78,063 73,438 85,750 91,145 A1 Bad loans 125, ,249 69,874 55,876 55,386 44,373 A2 Unlikely to pay other than bad 34,617 52,241 7,650 15,920 26,967 36,321 A3 Impaired past-due exposures 3,936 12, ,642 3,397 10,452 B Performing loans 198, ,747 1,689 1, , ,106 Total Loans Assigned 362, ,332 79,752 75, , ,253 Starting from the first quarter of 2015, the classification of loans into risk classes was updated in order to reflect the changes provided in Bank of Italy Circular 272, subsequently transposed in Bank of Italy Circular 262. This update adjusts the previous classification instructions to the definition of "Non-Performing Exposure" (NPE) introduced by the European banking authority (EBA) through the issue of EBA/ITS /2013/03/rev1 64

65 07/24/2014. The total volume of loans classified in the previous categories that made up the perimeter of impaired loans as at December 31, 2014 (Bad Loans, Doubtful, Restructured, Past-due) were reallocated by the Servicer to new risk classes (Bad Loans, Unlikely to pay other than bad, Impaired past-due exposures) through: a. the elimination of the Restructured and Doubtful loans class and the re-attribution of the loans therein in the "Unlikely to pay other than bad" class; b. the reallocation of loans previously classified as "Past-due" in the "Impaired pastdue exposures" class. In particular, loans for which the Servicer believes that there is a condition of unlikely to pay as at the reporting date were reclassified in the "Unlikely to pay other than bad" class. Conversely, past-due items for which this condition does not apply were reclassified in the "Impaired past-due exposures" class. Impaired assets as at December 31, 2014 restated under the new definitions introduced by the EBA are substantially consistent with impaired assets established in accordance with the previously applicable Bank of Italy instructions. The classification under the various types of impaired loans is carried out in compliance with the indications of the Servicer. Write-downs (b) of Securitised assets are sized on the basis of estimates by the Servicer concerning recovery expectations. Total adjustment reserves at the end of 2015 imply a 22.00% coverage ratio for total securitised assets (17.53% at December 31, 2014), a percentage deemed appropriate to provide comprehensive protection against credit risk. 65

66 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT 18,294,430 26,039,753 This includes: B.3 a) Cash in current account 13,604,238 15,474,190 - "Collection Account" 1,352,879 2,902,276 - "Expenses Account" 29,951 29,670 - "Payment Account" "Debit Service Reserve" 2,539,035 3,473,995 - "Adjustment Reserve" 970,221 1,194,651 - "Deposit Account " 8,712,142 7,873,474 B.3 c) Accrued income and prepaid expenses Accrued income from Swap agreements B.3 b) Other assets 4,690,192 10,565,111 - Interest income withholding tax receivables 306, ,515 - Collections receivable from Servicer 4,383,668 10,258,563 - Outstanding credit 8 33 Total 18,294,430 26,039,753 Cash in current account includes current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. (formerly UniCredit Corporate Banking S.p.A.). In 2014, "Prepaid expenses and accrued income" referred to accrued income on swaps. Collections receivable from Servicer mainly refer to collections related to securitised loans received after December 31, 2015 but applicable to D. FINANCING RECEIVED 8,712,142 7,873,474 This includes: - Cash Collateral Loan 8,712,142 7,873,474 Total 8,712,142 7,873,474 For details on the above loan, granted by UniCredit S.p.A., see Section F.5 "Ancillary financial transactions". 66

67 E. OTHER LIABILITIES 97,566, ,063,744 This includes: E.1) Payables to Originator 13,684,266 18,281,395 E.2) Payables to customers for reimbursements 2,060,993 3,041,927 E.3) Accrued expenses for interest on securities 37,268 77,025 - Accruals for interest on class A2-5,866 - Accruals for interest on class B 13,715 36,564 - Accruals for interest on class C 15,200 24,284 - Accruals for interest on class D 8,353 10,311 E.4) Other accrued expenses and deferred income 8,588 12,569 E.5) Other liabilities 81,774,918 81,650,828 - Payables to Special Purpose Vehicle 30,236 13,661 - Payables to bond interest account 1,726,109 1,543,006 - Invoices to be received 5,107 8,226 - Withholding tax provision 306, ,515 - Future amounts transfer provision 79,706,918 79,779,390 - Miscellaneous payables Charges to be received - 30 Total 97,566, ,063,744 Payables to Originator refers to amounts owed to the Originator resulting from the ordinary business of the company. Payables to Special Purpose Vehicle relate to the reimbursement of expenses to the Special Purpose Vehicle, net of advances made over the course of the year by the segregated assets. The Payables to bond interest account item refers to payables to subscribers of the Junior securities for interest not paid. The Future amounts transfer provision represents the net cumulative positive component of gains since the start of the operation, net of amounts already paid representing Additional Remuneration. This provision is intended for possible repayment of junior securities. 67

68 F. INTEREST EXPENSE ON SECURITIES ISSUED 1,142,068 1,962,810 This refers to: Interest on Class A2 securities 34, ,260 Interest on Class B securities 533, ,083 Interest on Class C securities 392, ,941 Interest on Class D securities 181, ,526 Total 1,142,068 1,962,810 Class A2 securities were fully reimbursed on the Payment Date of September 14, La riduzione degli interessi su Titoli di classe B è riconducibile ai rimborsi di capitale avvenuti nel corso dell esercizio. G. FEES AND COMMISSIONS BORNE BY THE TRANSACTION 136, ,916 These consist of: G.1) Servicing 84,739 82,715 G.2) Other services: 52,034 44,201 - Computation agent fee 20,345 20,259 - Account bank and Paying agent fee 16,582 5,000 - Custodian fees - 1,899 - Underwriters' representative 8,419 9,770 - Cash Manager fees 6,688 7,273 Total 136, ,916 The increase in Fees for Account Bank and Paying Agent was due to the changes occurred in February 2015 in fees charged by BNP Paribas Securities Services, Milan Branch, for the current account and payment services. 68

69 H. OTHER EXPENSE 24,520,830 20,707,747 This includes: H.1) Other interest expense 184, ,632 H.2) Loan write-downs 23,902,588 15,387,532 - Cost-accounting adjustments on loans 12,878,186 13,593,497 - Utilization of the receivables impairment loss - (6,686,066) allowance - Losses on purchase price 5,050,740 4,689,302 - Capital losses on the sale of securitised loans and 5,973,662 3,790,799 H.3) Other expense 433,411 5,108,583 - Withholding tax receivables write-downs Reimbursement of expenses to Special Purpose 49,662 55,218 Vehicle - Bank charges Stamp duties Indemnities charged to customers for securitised 383, ,970 - Accruals to provisions for the repayment of future am - 4,294,877 - Contingent liabilities Postal/courier expenses Revenue stamps Legal expenses - 3,806 Total 24,520,830 20,707,747 Capital losses on disposal of securitised loans relates to capital losses generated by the prepayment of securitised loans. Reimbursement of expenses to Special Purpose Vehicle includes the reimbursement of expenses incurred by the special purpose vehicle limited to the extent necessary to ensure such company s financial stability in view of the exclusiveness of its business purpose. In 2015, no future amounts transfer provision was set aside, since the annual results of the separate portfolio management was negative and was allocated to the item L3) Other revenue. 69

70 I. INTEREST GENERATED BY SECURITISED ASSETS 9,406,275 11,609,528 This includes: Other inflows from receivables 18,271,185 22,635,293 Interest for late payment 2,859,669 2,416,596 Default interest write-downs (2,611,928) (2,223,929) Indexing adjustments (9,112,651) (11,218,432) Total 9,406,275 11,609,528 Indexing adjustment concerns the offsetting and closing of accounts. L. OTHER INCOME 16,393,396 11,187,945 This includes: L.1) Other interest income - 11,654 - Bank current accounts - 1,352 - Use of cash and cash equivalents - 10,302 L.2) Write-backs on loans 9,054,444 5,145,520 L.3) Other revenue 7,338,952 6,030,771 - Capital gains on the sale of securitised loans and 1,247,598 1,439,305 receivables - Indemnities charged to customers for securitised 6,018,700 4,589,656 receivables - Contingent assets 182 1,810 - Use of future amounts transfer provision 72,472 - Total 16,393,396 11,187,945 The Capital gains on the sale of non-performing securitised loans item relates to capital gains on prepayment of securitised loans. Indemnities charged to customers for securitised receivables relates to indemnifications requested from customers following losses on securitised loans. The item "Use of the future amounts transfer provision" represents the negative result for the year, resulting from the management of segregated assets. The decrease in current account interest income and allocation of available funds compared to the previous year is due to the sharp reduction in interest rates applied on current accounts, which took place from the second half of

71 QUALITATIVE INFORMATION F.2. - DESCRIPTION OF THE TRANSACTION AND ITS PERFORMANCE The essential characteristics of the second securitisation transaction (Locat SV Series 2006) are as follows: DESCRIPTION OF THE INITIAL PORTFOLIO ASSIGNED On November 14, 2006 Locat SV S.r.l., with registered offices located at Via Alfieri, Conegliano (TV), purchased a portfolio of performing loans, assigned outright and without recourse, from UniCredit Leasing S.p.A. (formerly Locat S.p.A., with registered offices at Via Rivali, Bologna). The Initial Portfolio includes receivables representing lease agreements, for a transfer value of 1,972,909,866 as of December 1, 2006 (Valuation Date). The consideration for the initial portfolio, 1,972,909,866, equals the sum of lease payments representing principal not yet past-due as of the respective valuation date, plus the portion of the installment of interest accrued but not paid as of such date. The average amount financed for the original amount of the lease was 113,694. The weighted average residual life of the initial portfolio as of the transfer date is approximately 3.47 years for Pool 1, approximately 3.79 years for Pool 2 and approximately 8.26 years for Pool 3. The tables below represent a number of subdivisions of the portfolio initially transferred. Initial portfolio by Pool type POOL TYPE NUMBER OF RESIDUAL AMOUNT LOANS Units in euro % Pool 1 Motor vehicles 10, ,512, % Pool 2 Equipment 13, ,414, % Pool 3 Property 1, ,983, % Total 24,919 1,972,909, % Initial portfolio by interest rate INTEREST RATE NUMBER OF RESIDUAL AMOUNT TYPE LOANS Units in euro % Fixed 6, ,346, % Variable 18,071 1,722,563, % Total 24,919 1,972,909, % ASSIGNMENT CRITERIA FOR THE INITIAL PORTFOLIO Under the terms of the Assignment Agreement and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law, UniCredit Leasing 71

72 S.p.A. transferred an Initial Portfolio of loans involving lease income with a due date not later than January 31, 2023 and deriving from lease agreements identified based on the following common characteristics: 1. agreements entered into subsequent to January 1, 1998 (inclusive); 2. with no unpaid fees (i.e., a fee payment at least thirty days past-due), at least one lease payment made and one yet to be paid; 3. have a contract number with one of the following suffixes: - Pool 1: VA, VO, VP, VL, VS, PS, AS, TS - Pool 2: LI, LO, OS, LS - Pool 3: IC, IF, IR 4. were financed only by UniCredit Leasing S.p.A.; 5. the fees on which are to be paid in Euro or Lira, either at a fixed rate or, where indexed, are indexed to Euribor or similar indices merged into the latter; 6. the payments on which are to be made by direct debit (RID); 7. cover property located in Italy, the beneficiaries of which are Italian residents; 8. are not contracts in which the lessee is an employee of UniCredit Leasing S.p.A.; 9. are not contracts in which the lessee is a company of the UniCredit Group; 10. are with counterparties that are not government agencies or comparable public or private entities; 11. are not contracts given favorable treatment by Law 1329/65 (Sabatini Act) or Law 64/86; 12. relate to loans that were never classified as Defaulted Loans or loans that were never transferred to the Legal Department of UniCredit Leasing S.p.A.; 13. do not cover boat docking spaces or works of art. ASSIGNMENT CRITERIA FOR THE SUBSEQUENT PORTFOLIOS The Assignment Agreement defines additional specific criteria, which the assignor and assignee companies could supplement from time to time, with which the Loans making up the Initial Portfolio and the subsequent assigned portfolios must comply. During the Revolving Period, which ended in 2008, UniCredit Leasing S.p.A., with reference to each Adjustment Date (except the Adjustment Date immediately preceding an Interest Payment Date) and Interest Payment Date, may offer, and Locat SV S.r.l. could acquire one or more Subsequent Portfolios, in accordance with the terms and conditions specified in the Assignment Agreement. Specifically, such loans had to be selected so as to constitute multiple pecuniary loans identifiable in block, within the meaning and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law. Such loans were identified on the basis of common criteria and the specific criteria selected from time to time upon the occasion of each assignment in the related proposal. In addition, such subsequent portfolios could be offered upon the condition that: 1. for each pool, the pool delinquency ratio for the loans included within the subsequent portfolio, as of the last day of the most recent collection period, was not greater than: - for Pool 1: 14.0% - for Pool 2: 9.0% 72

73 - for Pool 3: 8.0% 2. for each Pool, the Pool s default ratio for the loans included in the subsequent portfolio, over the course of the most recent Collection Period, did not exceed: - for Pool 1: 1.75% - for Pool 2: 2.25% - for Pool 3: 1.75% 3. for variable-rate Lease Agreements, the average weighted spread of the subsequent portfolio over the 3-month EURIBOR rate could not be less than 2.7% for Pool 1, 1.7% for Pool 2 and 2.0% for Pool 3; 4. for fixed-rate lease agreements, the difference between the average percentage yield of the subsequent portfolio in question and the fixed interest rate provided for by the interest rate hedge had to be greater than or equal to 2.7% for Pool 1, 1.7% for Pool 2 and 2.0% for Pool 3; 5. subsequent to the acquisition of a Subsequent Portfolio, the amount of principal owed for each Pool, divided by the Principal Amount Owed for the Collateral Portfolio, could not be greater than 30% for Pool 1, 45% for Pool 2 and 70% for Pool 3, and not less than 40% for Pool 3, respectively; 6. as of the related Valuation Date, Loans to any individual lessee could not account for more than 1% of the Portfolio; 7. as of the related Valuation Date, Loans to the ten Lessees with the greatest debt exposure could not account for more than 3.5% of the Portfolio; 8. as of the related Valuation Date, Loans to any individual User in each Pool could not account for more than 1% of any Pool; 9. as of the related Valuation Date, Loans to the ten Users with the greatest debt exposure for each Pool could not account for more than 4.5% of Pool 1, 6.0% of Pool 2 and 7.5% of Pool 3. 73

74 PERFORMANCE OF THE TRANSACTION 2015 collections were in line with expectations, permitting regular payment of principal and interest to the holders of the Senior securities issued. They also enabled monetary obligations towards other company creditors to be complied with, and the collateral requirements provided for by the contract documents were able to be adhered to. Class A2 securities were fully reimbursed on the Payment Date of September 14, on July 20, 2015 an agreement was signed between the Company and UniCredit Leasing S.p.A. modifying the Servicing Agreement in order to allow that any consequences forecast, following the lowering of the rating level by Moody's rating agency and included in the Servicing Agreement, be related to UniCredit S.p.A., parent company of UniCredit Leasing S.p.A., rather than to the Servicer, in line with the provisions for the securitisation transaction carried out by the Company in September With regard to the rating agencies' interventions with respect to the Locat SV Series 2006 transaction, it should be noted that: - following the upgrade of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 24, 2015 the aforementioned rating agency increased the rating of Class A2 securities from A2(sf) to Aa2(sf), that of Class B securities from Baa3(sf) to A1Caa1Caa2(sf) and that of Class C securities from Caa1(sf) to Caa2(sf); - following the change of criteria by the rating agency Standard & Poor s, on March 13, 2015 the aforementioned rating agency upgraded the rating of Class B securities from BBB-(sf) to BBB(sf). With regard to the loan portfolio, the following is a summary of the portfolio performance indicators: Type of assets Nominal Value Acquisition Price Initial portfolio Acquisitions Acquisitions Total Interest payment date Portfolio delinquency ratio Portfolio default ratio Cumulative portfolio default ratio Index Limit Index Limit Index Limit 03/12/ % 8.697% 1.97% 1.510% 9.12% 2.50% 06/12/ % 8.815% 0.61% 1.507% 9.18% 2.50% 09/12/ % 8.819% -2.96% 1.505% 8.91% 0.00% 12/12/ % 8.804% -0.38% 1.503% 8.88% 0.00% With reference to the above table, note that, over the course of the year, the portfolio default ratio and the cumulative default ratio exceeded the contractually established limit. Under the contract documents, the exceeding of such limit entailed provisions for interest being set aside for principal, corresponding to item 11 of the breakdown for interest. This structure was intentionally worked out to ensure an additional guarantee to the holders of 74

75 Rated securities. A further consequence of this limit s being exceeded is that funds are no longer being made available than can be used for the repayment of junior securities. Based on the analysis made, future cash flows will guarantee the regular payment of the obligations undertaken by the transaction; the primary consequence of this situation will be an average securities duration lower than what was estimated at the start of the transaction. F.3 PARTIES INVOLVED The principal parties involved in the securitisation transaction are the following: POSITION HELD Originator Representative of Securities Holders Servicer Computation Agent Corporate Servicer Account Bank Paying Agent Cash Manager Listing and Irish Paying Agent Custodian Bank Hedging Counterparty PARTY INVOLVED UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. dobank S.p.A. (formerly Unicredit Credit Management Bank S.p.A.) BNP Paribas Securities Services, Milan Branch BNP Paribas Securities Services, Milan Branch BNP Paribas, Investment Partners SGR S.p.A. BNY Financial Services Plc BNP Paribas Securities Services, Milan Branch Credit Suisse International (UniCredit S.p.A. up to 10/22/2013) The principal relationships and obligations existing among the Assignor UniCredit Leasing S.p.A. (formerly Locat S.p.A.), Assignee Locat SV S.r.l. and other parties involved in the securitisation transaction, as governed by specific contracts, are as follows: Under the Assignment Agreement, the Company acquired the Initial Portfolio and the Assignor acquired the right to transfer to the Assignee, without recourse, loans meeting the eligibility characteristics provided for by such Assignment Agreement. Under the Servicing Agreement, Locat SV S.r.l. engaged UniCredit Leasing S.p.A. (formerly Locat S.p.A.) to perform collection activities for the loans assigned within the meaning of Law 130 of April 30, 1999 and for doubtful and/or non-performing and/or delinquent loans, including through the use of outside organizations specializing in the management of problem loans. On December 12, 2006, UniCredit S.p.A. (replaced by Credit Suisse International on 10/23/2013) signed two swap agreements with Locat SV S.r.l. starting December 14, 75

76 2006 to hedge the interest-rate risk resulting from the payment of bond interest for the classes A1, A2, B and C (described in F.5 below). The securities were underwritten as follows: Underwriters Class A1 Class A2 Class B Class C Class D TOTAL Merrill Lynch Int. 100,000, ,000,000 38,000,000 16,000, ,000,000 HSBC 100,000, ,000,000 38,000,000 16,000, ,000,000 HVB 100,000, ,000,000 38,000,000 16,000, ,000,000 UBM 100,000, ,000,000 38,000,000 16,000, ,000,000 UniCredit Leasing S.p.A. (formerly Locat S.p.A.) ,909,866 8,909,866 TOTAL 400,000,000 1,348,000, ,000,000 64,000,000 8,909,866 1,972,909,866 UniCredit Leasing S.p.A. acquired the so-called Class D subordinated securities, of a nominal amount of 8,909,866, with Final Maturity in December Under the Intercreditor Agreement, the Assignor accepted the order of priority for payments made by the Assignee. Pursuant to this arrangement, servicing fees are to be paid after corporate expenses and the replenishment of the Retention Amount in the Expenses Account, but prior to the payment of interest and repayment of principal to the securities underwriters. F.4 FEATURES OF THE SECURITIES ISSUED To finance the purchase of the Loan Portfolio (Series 2006), on December 14, 2006 Locat SV S.r.l. issued Euro-denominated securities with the following characteristics: 76

77 Class A1 A2 B C D ISIN IT IT IT IT IT Type With pre-emptive With pre-emptive Subordinated to Subordinated to early redemption early redemption class A classes A and B Subordinated Nominal value 400,000,000 1,348,000, ,000,000 64,000,000 8,909,866 Maturity Interest Quarterly 3-month Quarterly 3-month Quarterly 3-month Quarterly 3-month Quarterly 3-month EURIBOR + 2% EURIBOR +0.08% EURIBOR + EURIBOR % EURIBOR % p.a. + Additional p.a % p.a. p.a p.a Remuneration Moody's Rating (at issue and at year-end) / A2(sf) / Aa2 (sf) Baa3 (sf) / A1(sf) Baa2(sf)/ Caa2 (sf) Unlisted Standard & Poor's Rating (at issue and at year-end) / AA(sf)/ AA- (sf) BBB-(sf) / BBB(sf) BBB(sf)/ CCC(sf) Unlisted Capital repayment Fully repaid Fully repaid Partially repaid; residual amount 121,911,980 No capital repayment No capital repayment The ratings provided express an opinion about the probability that the securities will repay capital in full by the legal maturity of the transaction and will pay the interest owed from time to time upon the individual payment dates. Class A2 securities were fully reimbursed on the Payment Date of September 14, F.5 INCIDENTAL FINANCIAL TRANSACTIONS In order to hedge the interest-rate risk, on December 12, 2006 Locat SV S.r.l. signed two swap agreements with UniCredit S.p.A. (subsequently replaced by Credit Suisse International), which came into effect on December 14, The purpose of these transactions was to limit the exposure to interest-rate risk connected with the payment of the variable-rate coupons of senior and mezzanine securities issued. Hedging Agreement for the fixed-rate portion of the portfolio: Credit Suisse International will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a rate equal to the 3-month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a fixed rate of %. Hedging Agreement for the variable-rate portion of the portfolio: Credit Suisse International will pay an amount equal to the product of the Principal Due for the variable-rate portion and the number of days of the Interest Period, divided by 360, at a rate equal to the 3-month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Due for the variable-rate portion and the number of days in the Interest Period, divided by 360, at the average weighted effective rate from the variable-rate portfolio s indexing parameters. on February 10, 2012 the rating agency Standard & Poor s downgraded the long-term rating assigned to UniCredit S.p.A. from A to BBB+ and the short-term rating from A- 1 to A-2. As a result of said downgrading, UniCredit S.p.A. lost the minimum requirement of a first level rating established by the contractual document in order to 77

78 carry out the role of Hedging Counterparty. Consequently, on February 20, 2012, a Collateral Account was opened at BNP Paribas Securities Services - Milan Branch, where the market value of the swap contracts was deposited. On May 14, 2012 the rating agency Moody s downgraded the long-term rating assigned to UniCredit S.p.A. from A2 to A3 and the short-term rating from P-1 to P-2. As a result of said downgrading, UniCredit S.p.A. lost the minimum rating requirements to continue to act as guarantor for UniCredit Leasing S.p.A. pursuant to the servicing agreement. Consequently, on June 5, 2012, a current account was opened at BNP Paribas Securities Services - Milan Branch, in which UniCredit Leasing S.p.A. deposited the commingling amount to guarantee the obligations it had undertaken pursuant to the servicing agreement. Moreover, on November 22, 2012 the Company signed an agreement for the discharge of the guarantee provided by UniCredit S.p.A. in favor of UniCredit Leasing S.p.A. on November 3, On October 23, 2013, as a result of the replacement of the Swap Counterparty, the Collateral Account was reduced to zero. F.6 THE VEHICLE S OPERATING POWER The Company s sole purpose is to carry out one or more securitisation transactions within the meaning of Law 130 of April 30, 1999 through the acquisition of both existing and future monetary loans for valuable consideration, financed through recourse to issuing securities pursuant to Article 1, paragraph 1(b) of Law 130/1999 in such a way as to rule out the assumption of any risk on the part of the Company. In accordance with the provisions of the aforesaid Law, the loans pertaining to each securitisation transaction constitute assets segregated to all effects and purposes from those of the company and those relating to other transactions, against which no action may be brought by creditors other than the holders of the securities issued to finance the acquisition of the aforesaid loans. Within the limits permitted by the provisions of Law 130/1999, the Company may carry out accessory transactions, to be entered into for the proper conclusion of securitisation transactions it has engaged in, or those otherwise instrumental to the attainment of its company purpose, as well as transactions to reinvest in other financial assets funds derived from managing the acquired loans that are not immediately employed to satisfy rights deriving from the aforesaid securities. QUANTITATIVE INFORMATION F.7 LOAN RELATED FLOW INFORMATION The changes occurring in the securitised portfolio during the fiscal year ended December 31, 2015 can be summarized as follows: 78

79 (in thousands) Initial Loan and Receivables Balance 353, ,061 Reclassification of prior year payables to customers (3,042) (2,752) Reclassification of current year payables to customers 2,061 3,040 Interest accrued 18,271 22,635 Interest accrued and not collected Accrued indexing (9,113) (11,218) Invoiced interest for late payment Capital gain on performing contracts 1,248 1,439 Losses and Capital losses on the sale of securitised loans and receiva (5,973) (3,791) Indemnities charged to customers for securitised receivables 6,019 4,590 Indemnities charged to customers for securitised payables (383) (754) Residual amount invoiced during the period 49,727 18,065 Collections net of unpaid amounts and refunds (126,170) (107,120) Write-downs (12,878) (13,593) Utilization of the receivables impairment loss allowance - 6,686 Write-backs and capital losses from sale of non-performing loans 9,054 5,146 Balance at the end of the period 282, ,252 F.8 CHANGES IN PAST-DUE LOANS The table summarizes changes in matured loans that have not been repaid. (in thousands) Opening net exposure 164, ,128 Payments from performing loans 16,800 17,569 Other positive variances 2,366 6,883 Collections during the period (4,240) (5,253) Payments to performing loans (6,730) (2,733) Proceeds from disposals (3,916) (5,322) Losses during the period (5,051) (4,689) Total 163, ,583 Write-downs (78,063) (73,438) Closing next exposure 85,749 91,145 Write-downs refer to cumulative write-downs since the start of management through December 31, Based on the Servicing Agreement between the Company and UniCredit Leasing S.p.A., loan administration and collection, including the recovery of matured loans, was entrusted to UniCredit Leasing S.p.A, which, in addition to its own facilities, has the option to make use of outside organizations specializing in the management of problem loans, in order to improve the efficiency and effectiveness of recovery actions. F.9 CASH FLOWS Cash flows can be summarized as follows: 79

80 Opening cash balance 15,474,190 11,282,563 Increases 82,300, ,036,513 Collections Cash divestment - 80,290,380 Securitised portfolio 65,420,128 89,806,509 Accrued interest on investments - 10,878 From interest accrued on bank accounts Derivative contracts Swap differentials - 27,000 Collateral 5,521,634 1,191,994 Transit items 11,358,501 1,708,989 Decreases 84,170, ,844,886 Payments Cash investments - 73,850,380 Collateral 4,682,966 3,002,599 Derivative contracts Swap differentials 188, ,170 Repayment of securities principal 73,533,386 78,401,432 For interest on securities 998,722 1,806,090 Other payments 173, ,714 Transit items 4,593,668 11,358,501 Closing cash balance 13,604,238 15,474,190 The increase in Transit items refers to collections with a 2014 value date and credited at the start of 2015, for which the prior year balance is carried forward. The decrease in Transit items refers to collections with a 2015 value date credited to the collections account opened with BNP Paribas Securities Services - Milan Branch, in January of Closing cash balance represents the balance of existing current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. (formerly UniCredit Corporate Banking S.p.A.) as at December 31, Securitised portfolio collections (for 2016) can be estimated at around 56.7 million, which, in addition to paying interest on the securities and fees to various parties involved in the transaction, will be used to reimburse the securities issued (repayment period operation), with a cash balance being maintained that is essentially immaterial. F.10 STATUS OF GUARANTEES AND LIQUIDITY LINES A portion of the portfolio loans is covered by guarantees provided by the lessees or by third parties; for details, see the following table: (in thousands) Collateral 2,384 2,573 Personal guarantees 707, ,760 Total 709, ,333 As regards the guarantees and liquidity lines received, refer to Section F.5 Incidental financial transactions, which provides evidence of amounts disbursed to the Company by 80

81 UniCredit S.p.A. to establish the Collateral Amount pursuant to the swap agreement and by UniCredit Leasing S.p.A. to establish the Commingling Amount pursuant to the servicing agreement. F.11 BREAKDOWN BY RESIDUAL LIFE The residual life of the securitised loans (expressed in thousands of euros) is shown below: Loans and receivables Expiring Expiring loans past due loans principal other Residual life 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 Up to 3 months - - 6,385 14,251 6,385 14,251 From 3 months to 1 year ,785 35,370 27,785 35, From 1 to 5 years , , , , More than 5 years ,097 87,014 40,097 87, Indefinite 163, ,583-1,502-1, TOTAL 163, , , , , , Write-downs (78,063) (73,438) (1,689) (1,641) (1,689) (1,641) NET AMOUNT 85,749 91, , , , , In what follows, we report the contractual maturity of the securities issued: Residual life Up to 3 months - - From 3 months to 1 year - - From 1 to 5 years - - More than 5 years 194,821, ,355,232 In addition, the liabilities set out under item E, Other liabilities, of the Table of securitised assets and securities issued all mature in less than three months. F.12 BREAKDOWN BY LOCATION The loans subject to securitisation involve parties residing in Italy and are denominated in euros. F.13 RISK CONCENTRATION (in thousands) As at 12/31/2015 Amount ranges Number of accounts Amount 0-25,000 10,691 11,625 25,001-75, ,953 75, , ,207 More than 250, ,772 TOTAL 12, ,557 Write-downs (79,752) NET TOTAL 282,805 No loan concentrations exist in excess of 2% of the total loans in the portfolio. 81

82 Locat SV S.r.l. Series 2011 (fifth securitisation) The amount of the loans acquired since the start of the transaction is as follows: Settlement date Nominal value Purchase value 02/03/2011 5,150,822,516 5,150,822,516 04/04/ ,600, ,600,731 05/03/ ,575, ,575,056 06/13/ ,843, ,843,911 07/04/ ,774,885 91,774,885 08/02/ ,666, ,666,039 12/09/ ,156,443 87,156,443 10/04/ ,528,134 98,528,134 11/03/ ,493, ,493,437 12/12/ ,587,625 90,587,625 01/03/ ,530, ,530,012 02/02/ ,035,897 99,035,897 03/02/ ,290,438 88,290,438 04/03/ ,734, ,734,328 05/03/ ,176,394 96,176,394 06/06/ ,985,449 86,985,449 07/03/ ,417, ,417,872 08/02/ ,483,971 91,483,971 TOTAL 6,983,703,138 6,983,703,138 82

83 - Securities issued In order to finance the purchase of the loan portfolio on February 9, 2011, the Company issued the following securities denominated in euros. Class ISIN Type Nominal value in euros Maturity Interest A (*) IT With pre-emptive early redemption 3,502,500, Quarterly 3-month EURIBOR % p.a B IT (*) Listed on the Irish Stock Exchange. With pre-emptive early redemption 1,648,322, TOTAL 5,150,822,514 Quarterly 3-month EURIBOR + 2% p.a REDEMPTION VALUES Class Amount of securities issued Cumulative reimbursements as at 12/31/2014 Reimbursements 2015 Residual amount as at 12/31/2015 A2 3,502,500,000 2,429,172, ,313, ,013,361 B 1,648,322, ,648,322,514 Total 5,150,822,514 2,429,172, ,313,754 2,149,335,875 83

84 F1. SUMMARY TABLE OF THE SECURITISED ASSETS AND OF THE SECURITIES ISSUED Locat SV S.r.l. - series 2011 Situation at Situation at A. SECURITIZED ASSETS 2,613,945,170 3,137,001,521 A.1) Loans and receivables 2,613,945,170 3,137,001,521 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT B.3) Other assets 63,270,316 63,270,316 51,011,663 51,011,663 B.3 a) Cash in current account 22,793,330 43,327,856 B.3 c) Accrued income and prepaid expenses - 12,028 B.3 d) Other assets 40,476,986 7,671,779 C. SECURITIES ISSUED 2,149,335,875 2,721,649,629 C.1) Class A securities 501,013,361 1,073,327,115 C.2) Class B securities 1,648,322,514 1,648,322,514 D. FINANCING RECEIVED 257,000, ,000,000 E. OTHER LIABILITIES 270,879, ,363,555 E.1) Payables to Originator 42,028,096 39,884,923 E.2) Payables to customers for reimbursements 6,324,846 4,228,056 E.3) Accrued expenses for interest on securities 1,852,173 2,761,963 E.4) Other accrued expenses and deferred income 613, ,151 E.5) Other liabilities 220,061, ,725,462 Difference (A+B-C-D-E) - - F. INTEREST EXPENSE ON SECURITIES ISSUED 44,749,829 61,552,443 Interest on Class A and B securities 44,749,829 61,552,443 G. FEES AND COMMISSIONS PAYABLE FOR THE TRANSACTION 665, ,901 G.1) For servicing 480, ,348 G.2) For other services 185, ,553 H. OTHER EXPENSE 132,436, ,433,393 H.1) Other interest expense 12,587,703 14,151,199 H.2) Loan write-downs 96,720, ,547,685 H.3) Other expense 23,128,126 7,734,509 I. INTEREST GENERATED BY SECURITISED ASSETS 98,561, ,793,990 L. OTHER INCOME 79,289,866 67,962,747 L.1) Other interest income ,689 L.2) Write-backs on loans 55,649,348 46,735,317 L.3) Other revenue 23,640,504 21,085,741 Difference (F+G+H-I-L) - - The positive variance of 20,679,102 between revenues and costs was attributed to item "H.3) Other income", while in the balance sheet this amount was charged for 4,072,188 as a reduction to Receivables from Junior Securities Holders, under item "B.3) d) Other assets" up to the amount of said provision, and for 16,606,914 to the Future amounts transfer provision under item E.5) Other liabilities. 84

85 ACCOUNTING POLICIES USED TO PREPARE THE SUMMARY The standards followed in the preparation of the statements are those provided for in the Bank of Italy provisions concerning securitisation firms (Resolution of December 15, 2015). The items indicated in connection with securitised loans correspond to the amounts taken from the accounting records and from the information system of the Servicer, UniCredit Leasing S.p.A.. Specifically, the valuation criteria adopted for the most significant items are set forth below. These criteria have not changed from the previous year. A. Securitised assets Loans are entered at their assignment value and are recognized during the transaction net of receipts for the period. On the closing date, their value may be written-down in reduction of their estimated realizable value, based on information provided by the Servicer. They include accrued interest income earned on an accrual basis and deemed recoverable. B. Use of cash equivalent arising from loan management Positive balances of current accounts held at banks are shown in the financial statements at their nominal value, corresponding to the estimated realizable value, and include interest accrued as of the reporting date. The Investments and Cash Equivalents item includes loan collections that had already occurred as of the balance sheet date but had not yet been credited to the Company s current accounts. The calculation of prepaid expenses and accrued income was made according to the accrual principle, applying the principle of matching costs and revenues within the fiscal year. C. Securities issued Securities issued are reported at their corresponding nominal value. D. Borrowings These are reported at their nominal value. E. Other liabilities Payables are posted at face value. The determination of prepaid expenses and accrued income has been made according to accrual basis criteria. Interest, commissions, expense and other income 85

86 Income and expenses related to the securitised assets and securities issued, interest, commissions, charges and revenues which derive from securitisation operations are recognized on an accrual basis. Taxes and Duties It is noted that, as specified in Revenue Agency Circular 8/E of February 6, 2003 regarding the tax treatment of the segregated assets of a special purpose vehicle, the economic results deriving from the management of the securitised assets during the course of implementing the transactions do not fall under the available funds of the special purpose vehicle. The required allocation of segregated assets in principle excludes possession of the respective income for tax purposes. It follows that during the transaction, the special purpose vehicle does not have such asset flows available in any manner either legally or for tax purposes, and it is only upon its completion, after all creditors have been paid, that any surplus may be included in its available funds if so stipulated in the deal. This circumstance is not envisaged in the structure of the existing securitisation transaction, which specifies that the economic results of the transaction are to be received only by bearers of the junior securities. Derivative contracts Financial derivative instruments entered into to hedge the flows resulting from the securitisation transaction are recorded at cost. Interest rate swap contract differentials are recorded under income and expenses on an accrual basis. 86

87 ANALYSIS OF THE ITEMS SHOWN IN THE SUMMARY SECURITISED ASSETS 2,613,945,170 3,137,001,521 They are represented by the net amount of outstanding loans, specifically: Loan balances 2,878,339,162 3,380,505,258 Loan write-downs (259,685,856) (238,108,943) Late fee customer receivables 34,170,469 20,684,994 Late-payment interest write-downs (34,170,469) (20,684,994) Deferred lease payments income (4,708,136) (5,394,794) Net value 2,613,945,170 3,137,001,521 Situation at 12/31/2014 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 613, , ,425 A1 Bad loans 195,493 79, ,816 A2 Doubtful 344, , ,732 A3 Past-Due 58,474 7,624 50,850 A4 Restructured 14,945 1,918 13,027 B Performing loans 2,761,253 22,665 2,738,588 Total Loans Assigned 3,375, ,109 3,137,013 Transfers from old to new classes: from Doubtful (344,956) (126,225) (218,731) from Restructured (14,945) (1,918) (13,027) to Unlikely to pay other than bad 336, , ,624 to Impaired past-due exposures 23,549 4,415 19,134 Situation at 12/31/2014 according to new classes (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 613, , ,425 A1 Bad loans 195,493 79, ,816 A2 Unlikely to pay other than bad 336, , ,624 A3 Impaired past-due exposures 82,023 12,039 69,984 B Performing loans 2,761,242 22,665 2,738,577 Total Loans Assigned 3,375, ,109 3,137,002 87

88 Situation at 12/31/2015 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) A Doubtful accounts 689, , , , , ,425 A1 Bad loans 376, , ,191 79, , ,816 A2 Unlikely to pay other than bad 242, ,352 69, , , ,624 A3 Impaired past-due exposures 70,877 82,023 11,093 12,039 59,784 69,984 B Performing loans 2,184,504 2,761,242 17,734 22,665 2,166,770 2,738,577 Total Loans Assigned 2,873,630 3,375, , ,109 2,613,945 3,137,002 Starting from the first quarter of 2015, the classification of loans into risk classes was updated in order to reflect the changes provided in Bank of Italy Circular 272, subsequently transposed in Bank of Italy Circular 262. This update adjusts the previous classification instructions to the definition of "Non-Performing Exposure" (NPE) introduced by the European banking authority (EBA) through the issue of EBA/ITS /2013/03/rev1 07/24/2014. The total volume of loans classified in the previous categories that made up the perimeter of impaired loans as at December 31, 2014 (Bad Loans, Doubtful, Restructured, Past-due) were reallocated by the Servicer to new risk classes (Bad Loans, Unlikely to pay other than bad, Impaired past-due exposures) through: a. the elimination of the Restructured and Doubtful loans class and the re-attribution of the loans therein in the "Unlikely to pay other than bad" class; b. the reallocation of loans previously classified as "Past-due" in the "Impaired pastdue exposures" class. In particular, loans for which the Servicer believes that there is a condition of unlikely to pay as at the reporting date were reclassified in the "Unlikely to pay other than bad" class. Conversely, past-due items for which this condition does not apply were reclassified in the "Impaired past-due exposures" class. Impaired assets as at December 31, 2014 restated under the new definitions introduced by the EBA are substantially consistent with impaired assets established in accordance with the previously applicable Bank of Italy instructions. The classification under the various types of impaired loans is carried out in compliance with the indications of the Servicer. Write-downs (b) of Securitised assets are sized on the basis of estimates by the Servicer concerning recovery expectations. Total adjustment reserves at the end of 2015 imply a 9.04% coverage ratio for total securitised assets (7.05% at December 31, 2014), a percentage deemed appropriate to provide comprehensive protection against credit risk. 88

89 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT 63,270,316 51,011,663 This includes: B.3 a) Cash in current account 22,793,330 43,327,856 - "Collection Account" 7,405,515 10,120,158 - "Expenses Account" 29,951 29,776 - "Payment Account" 298 7,115,147 - "Debit Service Reserve" 9,412,392 18,989,039 - "Adjustment Reserve" 5,945,174 7,073,736 B.3 c) Accrued income and prepaid expenses - 12,028 - Accrued income from Swap agreements - 10,778 - Deferred charges - 1,250 B.3 b) Other assets 40,476,986 7,671,779 - Receivables from Special Purpose vehicle 5,163 - Interest income withholding tax receivables 120, ,353 - Collections receivable from Servicer 40,351,400 3,479,237 - Receivables from subscribers of Junior securities - 4,072,189 - Payables to Locat SV Series Total 63,270,316 51,011,663 Cash in current account includes existing current accounts at BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A.. The item "Receivables from Junior Securities Holders" was zeroed following the attribution of the positive result of the separate portfolio for the year 2015 under this item, up to the entire amount. For the remainder, the positive result for the year 2015 was attributed to the Future amounts transfer provision under item E.5) Other liabilities. Collections receivable from Servicer mainly refer to collections related to securitised loans received after December 31, 2015 but applicable to In 2014, "Prepaid expenses and accrued income" referred to accrued income on swaps. D. FINANCING RECEIVED 257,000, ,000,000 This includes: - Subordinated loan 257,000, ,000,000 For details on the above loan, granted by UniCredit S.p.A., see Section F.5 "Ancillary financial transactions". 89

90 E. OTHER LIABILITIES 270,879, ,363,555 This includes: E.1) Payables to Originator 42,028,096 39,884,923 E.2) Payables to customers for reimbursements 6,324,846 4,228,056 E.3) Accrued expenses for interest on securities 1,852,173 2,761,963 - Accruals for interest on class A 306, ,488 - Accruals for interest on class B 1,545,302 1,907,475 E.4) Other accrued expenses and deferred income 613, ,151 E.5) Other liabilities 220,061, ,725,462 - Payables to Special Purpose Vehicle - 19,271 - Payables to bond interest account 169,992, ,118,244 - Invoices to be received 60,099 46,011 - Payables for unpaid interest 33,281,500 25,421,583 - Withholding tax provision 120, ,353 - Future amounts transfer provision 16,606, Miscellaneous payables Total 270,879, ,363,555 Payable to Originator refers to amounts owed to the Originator resulting from the ordinary business of the Company. In 2014, Payables to Special Purpose Vehicle represented the reimbursement of expenses to the Special Purpose Vehicle, net of advances made over the course of the year by the segregated assets. The Payables to bond interest account item refers to payables to subscribers of the Junior securities for interest not paid. Payables for unpaid interest refer to payables for interest accrued on the subordinated loan and not paid. The item Future amounts transfer provision includes the portion of the positive result of the separate portfolio for the year 2015 exceeding the Receivables from junior securities holders. F. INTEREST EXPENSE ON SECURITIES ISSUED 44,749,829 61,552,443 This refers to: Interest on Class A securities 11,237,967 24,455,251 Interest on Class B securities 33,511,862 37,097,192 Total 44,749,829 61,552,443 For "A" class securities, the reduction in interest is due to repayments effected during the year. 90

91 G. FEES AND COMMISSIONS BORNE BY THE TRANSACTION 665, ,901 These consist of: G.1) Servicing 480, ,348 G.2) Other services: 185, ,553 - Computation agent fee 18,449 18,371 - Account bank and Paying agent fee 111,182 12,050 - Custodian fees - 14,798 - Underwriters' representative 11,451 12,789 - Cash Manager fees 44,008 81,545 Total 665, ,901 The increase in Fees for Account Bank and Paying Agent was due to the changes occurred in February 2015 in fees charged by BNP Paribas Securities Services, Milan Branch, for the current account and payment services. H. OTHER EXPENSE 132,436, ,433,393 This includes: H.1) Other interest expense 12,587,703 14,151,199 - Interest expense on loans 4,770,620 6,334,097 Negative differential on swaps 7,817,083 7,817,083 - Other interest expense - 19 H.2) Loan write-downs 96,720, ,547,685 - Cost-accounting adjustments on loans 71,348, ,936,430 - Utilization of the receivables impairment loss allowance - (14,091,912) - Losses on purchase price 5,672,763 3,774,327 - Capital losses on the sale of securitised loans and 19,699,053 14,928,840 H.3) Other expense 23,128,126 7,734,509 - Withholding tax receivables write-downs Reimbursement of expenses to Special Purpose Vehicle 66,627 72,098 - Bank charges Postal/courier expenses Stamp duties Revenue stamps Indemnities charged to customers for securitised 2,380,482 1,522,939 - Contingent liabilities 1, Accruals to provisions for the repayment of future 16,606,914 - amounts - Recovery of losses incurred 4,072,188 6,134,443 - Legal expenses - 3,806 - Other expenses Total 132,436, ,433,393 Capital losses on disposal of securitised loans relates to indemnities granted to customers following the prepayment of securitised loans. 91

92 Reimbursement of expenses to Special Purpose Vehicle refers to the reimbursement of expenses incurred by the special purpose vehicle limited to the extent necessary to ensure such company s financial stability in view of the exclusiveness of its business purpose. Recovery of losses incurred consists of the operating profit for 2015 from the management of segregated assets, for the portion deducted from the accounts receivable from Junior Securities Holders included in item H.3 Other assets. The Item "Future amounts transfer provision" refers to the portion of the positive result of the separate portfolio for 2015, set aside in the relevant provision under item E.5) Other liabilities. I. INTEREST GENERATED BY SECURITISED ASSETS 98,561, ,793,990 This includes: Other inflows from receivables 148,259, ,036,511 Interest for late payment 14,546,933 11,770,092 Default interest write-downs (13,485,475) (10,649,410) Indexing adjustments (50,759,458) (59,363,203) Total 98,561, ,793,990 Indexing adjustment concerns the offsetting and closing of accounts. L. OTHER INCOME 79,289,866 67,962,747 This includes: L.1) Other interest income ,689 - Bank current accounts 14 3,029 - Use of cash and cash equivalents - 138,660 L.2) Write-backs on loans 55,649,348 46,735,317 L.3) Other revenue 23,640,504 21,085,741 - Capital gains on the sale of securitised loans and 3,847,025 3,362,854 - Indemnities charged to customers for securitised 19,792,074 17,722,212 - Other contingent assets 1, Total 79,289,866 67,962,747 Capital gains from performing securitised loans refers to capital gains on prepayments of securitised loans. Indemnities charged to customers for securitised receivables relates to indemnifications requested from customers following losses on securitised loans. The decrease in current account interest income and allocation of available funds is due to the sharp reduction in interest rates applied on current accounts, which took place from the second half of

93 QUALITATIVE INFORMATION F2. - DESCRIPTION OF THE TRANSACTION AND ITS PERFORMANCE The essential characteristics of the fifth securitisation transaction (Locat SV Series 2011) are as follows: DESCRIPTION OF THE INITIAL PORTFOLIO ASSIGNED On February 3, 2011 Locat SV S.r.l., with its registered offices located at Via Alfieri, Conegliano (TV), purchased a portfolio of performing loans, assigned in block and without recourse from UniCredit Leasing S.p.A. (Via Rivali, Bologna). The Initial Portfolio includes receivables representing lease agreements, for a transfer value of 5,150,822, as of February 3, 2011 (Valuation Date). The consideration for the initial portfolio, 5,150,822,515.50, equals sum of lease payments representing principal not yet past-due as of the respective valuation date, plus the portion of the installment of interest accrued but not paid as of such date. The average amount financed for the original amount of the lease was 76, The tables below represent a number of subdivisions of the portfolio initially transferred. Initial portfolio by Pool type POOL TYPE NUMBER OF RESIDUAL AMOUNT LOANS Units in euro % Pool 1 Motor vehicles 34, ,553, % Pool 2 Equipment 25,768 1,503,814, % Pool 3 Property 4,112 2,223,868, % Pool 4 Nautical 3, ,585, % Total 67,732 5,150,822, % Initial portfolio by interest rate INTEREST RATE NUMBER OF RESIDUAL AMOUNT TYPE LOANS Units in euro % Fixed 32,766 1,289,276, % Variable 34,966 3,861,546, % Total 67,732 5,150,822, % ASSIGNMENT CRITERIA FOR THE INITIAL PORTFOLIO Under the terms of the Loan Assignment Agreement and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law, UniCredit Leasing S.p.A. transferred an Initial Portfolio of loans for fees with a due date not later than June 30, 2032 and deriving from lease agreements identified based on the following common characteristics: 1. agreements entered into subsequent to December 31, 1997; 93

94 2. with no unpaid fees (i.e., a fee payment at least thirty days past-due), at least one fee paid and one yet to be paid; 3. have a contract number with one of the following suffixes: - Pool 1: VA, VO, VP, VL, VS, PS, AS, TS - Pool 2: LI, LO, OS, LS - Pool 3: IC, IF, IR - Pool 4: ND, NL, NS 4. were financed only by UniCredit leasing S.p.A. or were granted as part of a pool with other companies led by UniCredit Leasing; 5. the fees on which are to be paid in Euro or Lira, either at a fixed rate or, where indexed, are indexed to Euribor or similar indices merged into the latter; 6. the payments on which are to be made by direct debit or bank transfer (RID); 7. cover property located in Italy, the beneficiaries of which are Italian residents; 8. cover nautical-leasing property that is registered in Italy; 9. are not contracts in which the lessee is an employee of UniCredit Leasing S.p.A.; 10. are not contracts in which the lessee is a company of the UniCredit Group; 11. are with counterparties that are not government agencies or comparable public or private entities; 12. are not contracts given favorable treatment by Law 1329/65 (Sabatini Act) or Law 64/86 or are not otherwise helped by financial benefits or contributions; 13. refer to receivables from lessees who, as of the Selection Date, are not being managed by UniCredit Leasing s Legal Department; 14. do not cover boat docking spaces or works of art; 15. do not cover agreements for which the total amount paid, net of advances, is greater than 10,000,000. ASSIGNMENT CRITERIA FOR THE SUBSEQUENT PORTFOLIOS The Assignment Agreement defines additional specific criteria, which the assignor and assignee companies may supplement from time to time, with which the Loans making up the Initial Portfolio and the subsequent assigned portfolios must comply. During the Revolving Period, which ended at the payment date in September 2012, UniCredit Leasing S.p.A., with reference to each Adjustment Date, being understood to mean the second business day of every month (except the Adjustment Date immediately preceding an Interest Payment Date) and Interest Payment Date, could offer, and Locat SV S.r.l. could acquire one or more Subsequent Portfolios, in accordance with the terms and conditions specified in the Assignment Agreement. Specifically, such loans had to be selected so as to constitute multiple pecuniary loans identifiable in block, within the meaning and for purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law. Such loans were identified on the basis of common criteria and the specific criteria selected from time to time upon the occasion of each assignment, and indicated in the related proposal. In addition, such subsequent portfolios could be offered upon the condition that: 1. for each pool, the pool delinquency ratio for the loans included within the subsequent portfolio, as of the last day of the most recent collection period, was not greater than: 94

95 - for Pool 1: 10.0% - for Pool 2: 12.0% - for Pool 3: 10.0% - for Pool 4: 12.0% 2. for each Pool, the Pool s default ratio for the loans included in the subsequent portfolio, over the course of the most recent Collection Period, did not exceed: - for Pool 1: 2.50% - for Pool 2: 4.00% - for Pool 3: 4.00% - for Pool 4: 5.00% 3. for variable-rate Lease Agreements, the average weighted spread of the subsequent portfolio over the 3-month EURIBOR rate could not be less than 3% for Pool 1, 2% for Pool 2 and 4.0% for Pool 3; 4. for fixed-rate lease agreements, the difference between the average percentage yield of the subsequent portfolio in question and the fixed interest rate provided for by the interest rate hedge had to be greater than or equal to 4.00% for Pool 1, 3.50% for Pool 2 and 3.0% for Pool 3; 5. following the acquisition of the Subsequent Portfolio, the amount of principal owed for each Pool, divided by the Principal Amount Owed for the Collateral Portfolio, could not be greater than 15% for Pool no. 2, and could not exceed 20% for Pool no. 1, 45% for Pool no. 2 and 60% for Pool no. 3, respectively; 6. as of the related Valuation Date, Loans to any individual lessee could not account for more than 1% of the Portfolio; 7. as of the related Valuation Date, Loans to the ten Users with the greatest debt exposure could not account for more than 3% of the overall total of Pool no. 1, Pool no. 2 and Pool no. 3; 8. as of the related Valuation Date, Loans to any individual User in each Pool could not account for more than 1% of any Pool; 9. as of the related Valuation Date, Loans to the ten Users with the greatest debt exposure for each Pool could not account for more than 3.5% of Pool no. 1, 5% of Pool no. 2 and 4% of Pool no subsequent to the acquisition of the Subsequent Portfolio, the Principal Amount Owed on loans granted as part of a pool could not exceed 10%. PERFORMANCE OF THE TRANSACTION 2015 collections were in line with expectations, permitting regular payment of principal and interest to the holders of the Senior securities issued. They also enabled monetary obligations towards other company creditors to be complied with, and the collateral requirements provided for by the contract documents were able to be adhered to. With regard to the rating agencies' interventions with respect to the Locat SV Series 2011 transaction, it should be noted that, on December 18, 2014 the rating agency Standard & 95

96 Poor s downgraded the long-term rating assigned to UniCredit S.p.A. to BBB- and the short-term rating to A-3. Following the aforementioned downgrade, the adoption of one of the alternative remedies referred to in point 4.3 of the servicing contract becomes necessary. As a result, on January 27, 2015 an amendment agreement to the servicing contract was signed in order to "modulate" the minimum rating levels set out for the Servicer and UniCredit S.p.A. based on the rating allocated by Standard & Poor s from time to time to Senior Securities (in line with the "Counterparty Risk Framework Methodology and Assumptions" criteria of June 25, 2013). With regard to the loan portfolio, the following is a summary of the purchases effected and of portfolio performance indicators: Type of assets Nominal Value Acquisition Price Initial portfolio 5,150,822,515 5,150,822,515 Acquisitions ,226, ,226,260 Acquisitions ,654, ,654,363 Total 6,983,703,138 6,983,703,138 Interest payment date Portfolio delinquency ratio Portfolio default ratio Cumulative portfolio default ratio Index Limit Index Limit Index Limit 03/12/ % / 1.272% / % 10% 06/12/ % / 0.780% / % 10% 09/12/ % / 2.014% / % 10% 12/12/ % / 0.920% / % 10% With reference to the above table, it should be noted that, over the course of the year, the portfolio default ratio and the cumulative default ratio exceeded the contractually established limit. Under the contract documents, the exceeding of such limit entailed provisions for interest being set aside for principal. This structure was intentionally worked out to ensure an additional guarantee to the holders of Rated securities. A further consequence of this limit s being exceeded is that funds are no longer being made available than can be used for the repayment of junior securities. Based on the analysis made, future cash flows will guarantee the regular payment of the obligations undertaken by the transaction. 96

97 F.3 PARTIES INVOLVED The principal parties involved in the securitisation transaction are the following: POSITION HELD Originator Representative of Securities Holders Servicer Computation Agent Corporate Servicer Account Bank Paying Agent Cash Manager Listing and Irish Paying Agent Custodian Bank Hedging Counterparty PARTY INVOLVED UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. UniCredit Leasing S.p.A. (formerly Locat S.p.A.) Securitisation Services S.p.A. dobank S.p.A. (formerly Unicredit Credit Management Bank S.p.A.) BNP Paribas Securities Services, Milan Branch BNP Paribas Securities Services, Milan Branch BNP Paribas Investment Partners SGR S.p.A. BNP Paribas Securities Services, Luxembourg Branch BNP Paribas Securities Services, Milan Branch Credit Suisse International UniCredit S.p.A. (up to 10/22/2013) The principal relationships and obligations existing among the Assignor (UniCredit Leasing S.p.A.), Assignee (Locat SV S.r.l.) and other parties involved in the securitisation transaction, as governed by specific contracts, are as follows: Under the Assignment Agreement, the Company acquired the Initial Portfolio and the Assignor acquired the right to transfer to the Assignee, without recourse, loans meeting the eligibility characteristics provided for by such Assignment Agreement. Under the servicing agreement, Locat SV S.r.l. engaged UniCredit Leasing S.p.A. to perform collection activities for the loans assigned within the meaning of Law 130 of April 30, 1999 and for doubtful and/or non-performing and/or delinquent loans, including through the use of outside organizations specializing in the management of problem loans. On February 9, 2011, UniCredit S.p.A. (replaced by Credit Suisse International on 10/23/2013) signed two swap agreements with Locat SV S.r.l. starting February 11, 97

98 2011 to hedge the interest-rate risk resulting from the payment of bond interest for the classes A and B (described in F.5 below). The securities were underwritten as follows: Underwriters Class A Class B TOTAL UniCredit S.p.A. 3,502,500,000-3,502,500,000 UniCredit Leasing S.p.A. - 1,648,322,315 1,648,322,315 TOTAL 3,502,500,000 1,648,322,315 5,150,822,315 UniCredit Leasing S.p.A. acquired the so-called class B subordinated securities, of a nominal amount of 1,648,322,513.60, with Final Maturity in December Under the Intercreditor Agreement, the Assignor accepted the order of priority for payments made by the Assignee. Pursuant to this arrangement, the servicing fees are to be paid after corporate expenses and the replenishment of the Retention Amount in the Expenses Account, but prior to the payment of interest and repayment of principal to the securities underwriters. F.4 FEATURES OF THE SECURITIES ISSUED To finance the purchase of the loan portfolio (Series 2011), on February 11, 2011 Locat SV S.r.l. issued Euro-denominated securities with the following characteristics: Class A B ISIN IT IT Type With pre-emptive With pre-emptive early redemption early redemption Nominal value 3,502,500,000 1,648,322,514 Maturity Interest Quarterly 3-month Quarterly 3-month EURIBOR % EURIBOR + 2% p.a p.a Standard & Poor's Rating (at issue and AAA / AA-(sf) Unlisted at year-end) DBRS (at issue and at year-end) AAA / AA(low)(sf) Unlisted Capital repayment Partially repaid; residual amount 501,013,361 No capital repayment 98

99 The ratings provided express an opinion about the probability that the securities will repay capital in full by the legal maturity of the transaction and will pay the interest owed from time to time upon the individual payment dates. F.5 INCIDENTAL FINANCIAL TRANSACTIONS In order to hedge the interest-rate risk, on February 9, 2011 Locat SV S.r.l. signed two swap agreements with UniCredit S.p.A. (replaced by Credit Suisse International on October 23, 2013), which came into effect on February 11, The purpose of these transactions was to limit the exposure to interest-rate risk connected with the payment of the variablerate coupons on the senior securities issued. Hedging Agreement for the fixed-rate portion of the portfolio: Credit Suisse International will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Amount Owed for the fixed-rate portion of the portfolio, excluding unpaid, defaulted and delinquent loans) and the number of days in the Interest Period, divided by 360, at the 3-month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a fixed rate of 2.585%. Hedging Agreement for the variable-rate portion of the portfolio: Credit Suisse International will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Due for the variable-rate portion, excluding unpaid, defaulted and delinquent loans) and the number of days of the Interest Period, divided by 360, at a rate equal to the 3- month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Amount Owed for the variable-rate portion, excluding unpaid, defaulted and delinquent loans) and the number of days in the Interest Period, divided by 360, at the average weighted effective rate from the variable-rate portfolio s indexing parameters. On February 9, 2011, UniCredit S.p.A. granted Locat SV S.r.l. a limited recourse loan with the following characteristics, i.e.: deposited in a current account called Cash Reserve Account, which can be used in the event of a lack of liquidity to cover interest payments accrued on Senior class securities. The initial amount disbursed came to 257,000,000. The returns on the loan will be paid at each Interest Payment Date at the rate of 3%. The loan will be repaid in compliance with the contractual rules on the priority of payments. on February 10, 2012 the rating agency Standard & Poor s downgraded the long-term rating assigned to UniCredit S.p.A. from A to BBB+ and the short-term rating from A-1 to A-2. As a result of said downgrading, UniCredit S.p.A. lost the minimum requirement of a first level rating established by the contractual document in order to carry out the role of Hedging Counterparty. Consequently, on February 20, 2012, a Collateral Account was opened at UniCredit Bank AG - London Branch, where the market value of the swap contracts was deposited. 99

100 On October 23, 2013, as a result of the replacement of the Swap Counterparty, the Collateral Account was reduced to zero. F.6 THE VEHICLE S OPERATING POWER The Company s sole purpose is to carry out one or more securitisation transactions within the meaning of Law 130 of April 30, 1999 through the acquisition of both existing and future monetary loans for valuable consideration, financed through recourse to issuing securities pursuant to Article 1, paragraph 1(b) of Law 130/1999 in such a way as to rule out the assumption of any risk on the part of the Company. In accordance with the provisions of the aforesaid Law, the loans pertaining to each securitisation transaction constitute assets segregated to all effects and purposes from those of the company and those relating to other transactions, against which no action may be brought by creditors other than the holders of the securities issued to finance the acquisition of the aforesaid loans. Within the limits permitted by the provisions of Law 130/1999, the Company may carry out accessory transactions, to be entered into for the proper conclusion of securitisation transactions it has engaged in, or those otherwise instrumental to the attainment of its company purpose, as well as transactions to reinvest in other financial assets funds derived from managing the acquired loans that are not immediately employed to satisfy rights deriving from the aforesaid securities. QUANTITATIVE INFORMATION F.7 LOAN RELATED FLOW INFORMATION The changes occurring in the securitised portfolio during the fiscal year ended December 31, 2015 can be summarized as follows: (in thousands) Initial Loan and Receivables Balance 3,137,002 3,832,146 Reclassification of prior year payables to customers (4,238) (3,801) Reclassification of current year payables to customers 6,325 4,239 Interest accrued 148, ,037 Interest accrued and not collected 4,504 4,699 Accrued indexing (50,759) (59,363) Invoiced interest for late payment 1,061 1,121 Capital gain on performing contracts 3,847 3,363 Losses and Capital losses on the sale of securitised loans and receiva (19,699) (14,929) Indemnities charged to customers for securitised receivables 19,792 17,722 Indemnities charged to customers for securitised payables (2,380) (1,523) Residual amount invoiced during the period 122, ,623 Collections net of unpaid amounts and refunds (739,878) (957,223) Repurchased Contracts 3,427 - Write-downs (71,349) (103,936) Utilization of the receivables impairment loss allowance - 14,092 Write-backs and capital losses from sale of non-performing loans 55,649 46,735 Balance at the end of the period 2,613,945 3,137,

101 F.8 CHANGES IN PAST-DUE LOANS The table summarizes changes in matured loans that have not been repaid. Opening net exposure 613, ,668 Payments from performing loans 146, ,518 Other positive variances 10,571 26,146 Collections during the period (23,777) (22,524) Payments to performing loans (38,336) (36,145) Proceeds from disposals (14,157) (27,020) Losses during the period (5,673) (3,774) Total 689, ,869 Write-downs (241,951) (215,444) Closing next exposure 447, ,425 Based on the Servicing Agreement between the Company and UniCredit Leasing S.p.A., loan administration and collection, including the recovery of matured loans, was entrusted to UniCredit Leasing S.p.A, which, in addition to its own facilities, has the option to make use of outside organizations specializing in the management of problem loans, in order to improve the efficiency and effectiveness of recovery actions. F.9 CASH FLOWS Cash flows can be summarized as follows: Opening cash balance 43,327,856 5,669,404 Increases 609,800,606 1,942,835,043 Collections From differential on swaps 66, ,423 Cash divestment - 1,153,364,357 Securitised portfolio 606,254, ,531,432 Accrued interest on investments - 147,885 From interest accrued on bank accounts - 2,058 Transit items 3,479,237 5,954,888 Decreases 630,335,132 1,905,176,591 Payments Cash investments - 1,046,584,358 For differentials on swaps 4,933,291 7,309,894 For repayment of securities principal 572,313, ,671,439 For interest on securities 11,785,584 25,295,734 Other payments 741, ,929 Transit items 40,561,160 3,479,237 Closing cash balance 22,793,330 43,327,856 The increase in Transit items refers to collections with a 2014 value date credited to the collections account opened with BNP Paribas Securities Services - Milan Branch, in January

102 The decrease in Transit items refers to collections with a 2015 value date credited to the collections account opened with BNP Paribas Securities Services - Milan Branch, in January of Closing cash balance represents the balance of existing current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. as at December 31, Securitised portfolio collections (for 2016) can be estimated at around million, which, in addition to paying interest on the securities and fees to various parties involved in the transaction, will be used to repay the securities issued (repayment period operation), with a cash balance being maintained that is essentially immaterial. F.10 STATUS OF GUARANTEES AND LIQUIDITY LINES A portion of the portfolio loans is covered by guarantees provided by the lessees or by third parties; for details, see the following table: (in thousands) Collateral 30,095 27,357 Personal guarantees 4,545,507 5,011,113 Total 4,575,602 5,038,470 With regard to the guarantees and liquidity lines received, see Section F.5 Incidental financial transactions, which provides information on amounts disbursed to the Company by UniCredit S.p.A. to establish the Collateral Amount pursuant to the swap agreement. F.11 BREAKDOWN BY RESIDUAL LIFE The residual life of the securitised loans (expressed in thousands of euros) is shown below: Expiring loans Loans and receivables Expiring loans principal other Residual life 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 Up to 3 months , ,244 59, ,244 From 3 months to 1 year , , , ,611 From 1 to 5 years , , , ,007 More than 5 years - - 1,022,946 1,494,326 1,022,946 1,494,326 Indefinite 689, , TOTAL 689, ,869 2,184,504 2,761,242 2,184,504 2,761, Write-downs (241,951) (215,444) (17,734) (22,665) (17,734) (22,665) NET AMOUNT 447, ,425 2,166,770 2,738,577 2,166,770 2,738, In what follows, we report the contractual maturity of the securities issued. Residual life Up to 3 months - - From 3 months to 1 year - - From 1 to 5 years - - More than 5 years 2,149,335,875 2,721,649,629 In addition, the liabilities set out under item E, Other liabilities of the Table of securitised assets and securities issued all mature in less than three months. F.12 BREAKDOWN BY LOCATION The loans subject to securitisation involve parties residing in Italy and are denominated in euros. 102

103 F.13 RISK CONCENTRATION Amount ranges (in thousands) As at 12/31/2015 Number of Amount accounts 0-25,000 26,280 2,839,096 25,001-75, ,747 75, , ,179 More than 250, ,608 TOTAL 26,410 2,873,630 Write-downs (259,685) NET TOTAL 26,410 2,613,945 No loan concentrations exist in excess of 2% of the total loans in the portfolio. 103

104 LOCAT SV S.r.l. Series 2014 (sixth securitisation) The amount of the loans acquired since the start of the transaction is as follows: Settlement date Nominal value Purchase value Initial Portfolio - First Portfolio 09/12/ ,493, ,493,707 Initial Portfolio - Second Portfolio 09/30/ ,506, ,506,293 Subsequent Portfolios 10/03/ ,426,858 63,426,858 Subsequent Portfolios 11/04/ ,566,210 30,566,210 Subsequent Portfolios 12/02/ ,509,871 38,509,871 Subsequent Portfolios 01/03/ ,015,810 32,015,810 Subsequent Portfolios 03/03/ ,525,409 65,525,409 Subsequent Portfolios 04/02/ ,057,649 35,057,649 Subsequent Portfolios 05/05/ ,879,833 34,879,833 Subsequent Portfolios 06/03/ ,386,032 32,879,032 Subsequent Portfolios 07/02/ ,262,290 35,262,290 Subsequent Portfolios 08/04/ ,007,810 35,007,810 Subsequent Portfolios 09/02/ ,750,341 35,750,341 Subsequent Portfolios 10/02/ ,999,653 39,999,653 Subsequent Portfolios 11/03/ ,168,488 34,168,488 Subsequent Portfolios 12/02/ ,077,889 13,077,889 TOTAL 1,825,634,143 1,826,127,143 - Securities issued To finance the purchase of the credit portfolio, on September 12, 2014, the Company issued the following partly-paid securities denominated in Euro and fully underwritten for their nominal value on two dates: September 12, 2014, the issue date as well as the payment date for the first portfolio, and September 30, 2014, the payment date for the second portfolio. Class ISIN Type Nominal value in euros Maturity Interest A1 (*) IT With pre-emptive early redemption Quarterly 3-month EURIBOR % p.a A2 (*) IT With pre-emptive early redemption Quarterly 3-month EURIBOR % p.a A3 (*) IT With pre-emptive early redemption Quarterly 3-month EURIBOR % p.a B IT Listed on the Irish Stock Exchange. Subordinated to class A Quarterly 3-month EURIBOR + 5% p.a TOTAL (*) 104

105 REDEMPTION VALUES Class Amount of securities issued Cumulative reimbursements as at 12/31/2014 Reimbursements 2015 Residual amount as at 12/31/2015 A1 90,000, ,000,000 A2 400,000, ,000,000 A3 225,000, ,000,000 B 585,000, ,000,000 Total 1,300,000, ,300,000,

106 F1. SUMMARY TABLE OF THE SECURITISED ASSETS AND OF THE SECURITIES ISSUED Locat SV S.r.l. - series 2014 Situation at Situation at A. SECURITIZED ASSETS 1,209,936,860 1,264,869,972 A.1) Loans and receivables 1,209,936,860 1,264,869,972 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT B.3) Other assets 118,490, ,490,594 48,286,318 48,286,318 B.3 a) Cash in current account 83,180,283 46,124,832 B.3 c) Accrued income and prepaid expenses - 25,281 B.3 d) Other assets 35,310,311 2,136,205 C. SECURITIES ISSUED 1,300,000,000 1,300,000,000 C.1) Class A1 securities 90,000,000 90,000,000 C.1) Class A2 securities 400,000, ,000,000 C.2) Class A3 securities 225,000, ,000,000 C.3) Class B securities 585,000, ,000,000 D. FINANCING RECEIVED - - E. OTHER LIABILITIES 28,427,454 13,156,290 E.1) Payables to Originator 10,614,727 8,693,893 E.2) Payables to customers for reimbursements 939, ,817 E.3) Accrued expenses for interest on securities 1,731,000 2,073,556 E.4) Other accrued expenses and deferred income 78,869 75,758 E.5) Other liabilities 15,063,708 1,952,266 Difference (A+B-C-D-E) - - F. INTEREST EXPENSE ON SECURITIES ISSUED 73,745,677 22,553,181 Interest on Class A and B securities 73,745,677 22,553,181 G. FEES AND COMMISSIONS PAYABLE FOR THE TRANSACTION 407, ,215 G.1) For servicing 299, ,935 G.2) For other services 108,163 17,280 H. OTHER EXPENSE 12,329,827 9,854,620 H.1) Other interest expense 1,021, ,604 H.2) Loan write-downs 11,129,783 7,624,845 H.3) Other expense 178,524 1,955,171 I. INTEREST GENERATED BY SECURITISED ASSETS 70,125,736 31,774,191 L. OTHER INCOME 16,357, ,825 L.1) Other interest income L.2) Write-backs on loans 3,642,258 - L.3) Other revenue 12,714, ,921 Difference (F+G+H-I-L) - - The negative variance of 9,118,647 between revenues and costs was attributed to item "L3) Other income", while in the balance sheet this amount was charged for 1,905,639 as a reduction to the Future amounts transfer provision under item E1) Other liabilities up to the amount of said provision, and for under item "B.3) d) Other assets", as Receivables from Junior Securities Holders. 106

107 ACCOUNTING POLICIES USED TO PREPARE THE SUMMARY The standards followed in the preparation of the statements are those provided for in the Bank of Italy provisions concerning securitisation firms (Resolution of December 15, 2015). The items indicated in connection with securitised loans correspond to the amounts taken from the accounting records and from the information system of the Servicer, UniCredit Leasing S.p.A.. Specifically, the valuation criteria adopted for the most significant items are set forth below. These criteria have not changed from the previous year. A. Securitised assets Loans are entered at their assignment value and are recognized during the transaction net of receipts for the period. On the closing date, their value may be written-down in reduction of their estimated realizable value, based on information provided by the Servicer. They include accrued interest income earned on an accrual basis and deemed recoverable. B. Use of cash equivalent arising from loan management Positive balances of current accounts held at banks are shown in the financial statements at their nominal value, corresponding to the estimated realizable value, and include interest accrued as of the reporting date. The Investments and Cash Equivalents item includes loan collections that had already occurred as of the balance sheet date but had not yet been credited to the Company s current accounts. The calculation of prepaid expenses and accrued income was made according to the accrual principle, applying the principle of matching costs and revenues within the fiscal year. C. Securities issued Securities issued are reported at their corresponding nominal value. D. Borrowings These are reported at their nominal value. E. Other liabilities Payables are posted at face value. The determination of prepaid expenses and accrued income has been made according to accrual basis criteria. Interest, commissions, expense and other income 107

108 Income and expenses related to the securitised assets and securities issued, interest, commissions, charges and revenues which derive from securitisation operations are recognized on an accrual basis. Taxes and Duties It is noted that, as specified in Revenue Agency Circular 8/E of February 6, 2003 regarding the tax treatment of the segregated assets of a special purpose vehicle, the economic results deriving from the management of the securitised assets during the course of implementing the transactions do not fall under the available funds of the special purpose vehicle. The required allocation of segregated assets in principle excludes possession of the respective income for tax purposes. It follows that during the transaction, the special purpose vehicle does not have such asset flows available in any manner either legally or for tax purposes, and it is only upon its completion, after all creditors have been paid, that any surplus may be included in its available funds if so stipulated in the deal. This circumstance is not envisaged in the structure of the existing securitisation transaction, which specifies that the economic results of the transaction are to be received only by bearers of the junior securities. Derivative contracts Financial derivative instruments entered into to hedge the flows resulting from the securitisation transaction are recorded at cost. Interest rate swap contract differentials are recorded under income and expenses on an accrual basis. 108

109 ANALYSIS OF THE ITEMS SHOWN IN THE SUMMARY SECURITISED ASSETS 1,209,936,860 1,264,869,972 They are represented by the net amount of outstanding loans, specifically: Loan balances 1,227,042,424 1,274,801,881 Loan write-downs (14,944,799) (7,568,028) Late fee customer receivables (5,574,964) (5,358,862) Late-payment interest write-downs 5,574,964 5,358,862 Deferred lease payments income (2,160,765) (2,363,881) Net value 1,209,936,860 1,264,869,972 Situation at 12/31/2014 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 6,200 1,404 4,796 A1 Bad loans A2 Doubtful 1, ,103 A3 Past-Due 4, ,684 B Performing loans 1,266,238 6,164 1,260,074 Total Loans Assigned 1,272,438 7,568 1,264,870 Transfers from old to new classes: from Doubtful (1,693) (590) (1,103) to Unlikely to pay other than bad 1, to Impaired past-due exposures Situation at 12/31/2014 according to new classes (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) 12/31/ /31/ /31/2014 A Doubtful accounts 6,200 1,404 4,796 A1 Bad loans A2 Unlikely to pay other than bad 1, A3 Impaired past-due exposures 4, ,848 B Performing loans 1,266,238 6,164 1,260,074 Total loans assigned 1,272,438 7,568 1,264,870 Situation at 12/31/2015 (in thousands) Nominal value Write-downs Book value (a) (b) (a-b) A Doubtful accounts 21,943 6,200 7,308 1,404 14,635 4,796 A1 Bad loans 5, , ,971 9 A2 Unlikely to pay other than bad 8,416 1,693 3, ,220 1,103 A3 Impaired past-due exposures 8,278 4,489 1, ,444 3,684 B Performing loans 1,202,939 1,266,238 7,637 6,164 1,195,302 1,260,074 Total Loans Assigned 1,224,882 1,272,438 14,945 7,568 1,209,937 1,264,

110 Starting from the first quarter of 2015, the classification of loans into risk classes was updated in order to reflect the changes provided in Bank of Italy Circular 272, subsequently transposed in Bank of Italy Circular 262. This update adjusts the previous classification instructions to the definition of "Non-Performing Exposure" (NPE) introduced by the European banking authority (EBA) through the issue of EBA/ITS /2013/03/rev1 07/24/2014. The total volume of loans classified in the previous categories that made up the perimeter of impaired loans as at December 31, 2014 (Bad Loans, Doubtful, Restructured, Past-due) were reallocated by the Servicer to new risk classes (Bad Loans, Unlikely to pay other than bad, Impaired past-due exposures) through: a. the elimination of the Restructured and Doubtful loans class and the re-attribution of the loans therein in the "Unlikely to pay other than bad" class; b. the reallocation of loans previously classified as "Past-due" in the "Impaired pastdue exposures" class. In particular, loans for which the Servicer believes that there is a condition of unlikely to pay as at the reporting date were reclassified in the "Unlikely to pay other than bad" class. Conversely, past-due items for which this condition does not apply were reclassified in the "Impaired past-due exposures" class. Impaired assets as at December 31, 2014 restated under the new definitions introduced by the EBA are substantially consistent with impaired assets established in accordance with the previously applicable Bank of Italy instructions. The classification under the various types of impaired loans is carried out in compliance with the indications of the Servicer. Write-downs (b) of Securitised assets are sized on the basis of estimates by the Servicer concerning recovery expectations. Total adjustment reserves at the end of 2015 imply a 1.22% coverage ratio for total securitised assets (0.59% at December 31, 2014), a percentage deemed appropriate to provide comprehensive protection against credit risk. 110

111 B. USE OF CASH AND CASH EQUIVALENTS ARISING FROM LOAN MANAGEMENT 118,490,594 48,286,318 This includes: B.3 a) Cash in current account 83,180,283 46,124,832 - "Collection Account" 20,304,807 18,762,656 - "Expenses Account" 29,945 29,905 - "Payment Account" 38,102,095 3,069,383 - "Debit Service Reserve" 22,880,000 22,880,110 - "Adjustment Reserve" 1,863,436 1,382,778 B.3 c) Accrued income and prepaid expenses - 25,281 - Accrued income from Swap agreements - 25,281 B.3 b) Other assets 35,310,311 2,136,205 - Interest income withholding tax receivables Collections receivable from Servicer 28,096,937 2,135,970 - Receivables from subscribers of Junior securities 7,213,008 - Total 118,490,594 48,286,318 Cash in current account includes current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. (formerly UniCredit Corporate Banking S.p.A.). In 2014, "Prepaid expenses and accrued income" referred to accrued income on swaps. Collections receivable from Servicer mainly refer to collections related to securitised loans received after December 31, 2015 but applicable to E. OTHER LIABILITIES 28,427,454 13,156,290 This includes: E.1) Payables to Originator 10,614,727 8,693,893 E.2) Payables to customers for reimbursements 939, ,817 E.3) Accrued expenses for interest on securities 1,731,000 2,073,556 - Accruals for interest on class A1 28,125 41,650 - Accruals for interest on class A2 201, ,556 - Accruals for interest on class A3 75, ,375 - Accruals for interest on class B 1,425,937 1,651,975 E.4) Other accrued expenses and deferred income 78,869 75,758 E.5) Other liabilities 15,063,708 1,952,266 - Payables to Special Purpose Vehicle 16,400 21,448 - Invoices to be received 35,684 25,179 - Payables to bond interest account 15,011, Future amounts transfer provision - 1,905,639 - Miscellaneous payables 99 - Total 28,427,454 13,156,

112 Payable to Originator refers to amounts owed to the Originator resulting from the ordinary business of the Company. Payables to Special Purpose Vehicle relate to the reimbursement of expenses to the Special Purpose Vehicle, net of advances made over the course of the year by the segregated assets. The Payables to bond interest account item refers to payables to subscribers of the Junior securities for interest not paid. The item Future amounts transfer provision represents the operating result for the year for the management of segregated assets, net of any payments for Junior Securities as Additional Remuneration. This fund was used to hedge the loss of the separate portfolio for F. INTEREST EXPENSE ON SECURITIES ISSUED 73,745,677 22,553,181 This refers to: Interest on Class A1 securities 689, ,072 Interest on Class A2 securities 4,604,043 1,418,516 Interest on Class A3 securities 1,836, ,413 Interest on Class B securities 44,698,878 20,321,180 Additional Remuneration 21,916,672 Total 73,745,677 22,553,181 G. FEES AND COMMISSIONS BORNE BY THE TRANSACTION 407, ,215 These consist of: G.1) Servicing 299, ,935 G.2) Other services: 108,163 17,280 - Computation agent fee 23,180 9,168 - Account bank and Paying agent fee 71, Custodian fees Underwriters' representative 9,760 5,027 - Back-up servicer facilitator fees 3,660 1,885 Total 407, ,215 The increase in Fees for Account Bank and Paying Agent was due to the changes occurred in February 2015 in fees charged by BNP Paribas Securities Services, Milan Branch, for the current account and payment services. 112

113 H. OTHER EXPENSE 12,329,827 9,854,620 This includes: H.1) Other interest expense 1,021, ,604 Negative differential on swaps 1,021, ,604 H.2) Loan write-downs 11,129,783 7,624,845 - Cost-accounting adjustments on loans 10,987,213 7,568,028 - Utilization of the receivables impairment loss allowance Losses on purchase price 6, Capital losses on the sale of securitised loans and 136,335 56,817 H.3) Other expense 178,524 1,955,171 - Reimbursement of expenses to Special Purpose Vehicle 65,824 46,082 - Bank charges Postal/courier expenses Stamp duties Revenue stamps Indemnities charged to customers for securitised 111, Future amounts transfer provision - 1,905,639 - Other charges Other consultancies - 3,061 Total 12,329,827 9,854,620 Capital losses on disposal of securitised loans relates to indemnities granted to customers following the prepayment of securitised loans. Reimbursement of expenses to Special Purpose Vehicle includes the reimbursement of expenses incurred by the special purpose vehicle limited to the extent necessary to ensure such company s financial stability in view of the exclusiveness of its business purpose. In 2015, no future amounts transfer provision was set aside, since the annual results of the separate portfolio management was negative. I. INTEREST GENERATED BY SECURITISED ASSETS 70,125,736 31,774,191 This includes: Other inflows from receivables 77,225,562 35,331,023 Interest for late payment 292,095 5,390,720 Default interest write-downs (216,102) (5,358,862) Indexing adjustments (7,175,819) (3,588,690) Total 70,125,736 31,774,191 Indexing adjustment concerns the offsetting and closing of accounts. 113

114 L. OTHER INCOME 16,357, ,825 This includes: L.1) Other interest income Bank current accounts L.2) Write-backs on loans 3,642,258 - L.3) Other revenue 12,714, ,921 - Capital gains on the sale of securitised loans and 3,437, ,934 - Compensation penalties 154,001 49,987 - Use of future amounts transfer provision 1,905, Evidence of future losses 7,213, Other contingent assets 4,749 - Total 16,357, ,825 Capital gains from performing securitised loans refers to capital gains on prepayments of securitised loans. The item "Use of the future amounts transfer provision" represents the negative result for the year, resulting from the management of segregated assets for the portion deducted from the Future amounts transfer provision. The item Evidence of future losses represents the negative portion of income generated during 2015 by the separate portfolio allocated to item "B.3 d) Other Assets" under Receivables from Junior Securities Holders. 114

115 QUALITATIVE INFORMATION F2. - DESCRIPTION OF THE TRANSACTION AND ITS PERFORMANCE The essential characteristics of the sixth securitisation transaction (Locat SV Series 2014) are as follows: DESCRIPTION OF INITIAL PORTFOLIO TRANSFERRED (INITIAL AND SECOND PORTFOLIO) On June 27, 2014 Locat SV S.r.l., with registered offices at Via Alfieri, Conegliano (TV), purchased a First Portfolio of performing loans, assigned in block and without recourse, from UniCredit Leasing S.p.A. (Via Rivani, Bologna). The First Portfolio includes receivables representing lease agreements, for a transfer value of 919,493, as of June 27, 2014 (Valuation Date). The payment for the first portfolio was settled net of any Securitisation-related fees, commissions and other expenses. The average amount financed for the original amount of the lease was 64, The tables below represent a number of subdivisions of the First Portfolio transferred. Initial portfolio by Pool type POOL TYPE NUMBER OF RESIDUAL AMOUNT LOANS Units in euro % Pool 1 Motor vehicles 7, ,209, % Pool 2 Equipment 5, ,914, % Pool 3 Property ,369, % Total 14, ,493, % Initial portfolio by interest rate INTEREST RATE NUMBER OF RESIDUAL AMOUNT TYPE LOANS Units in euro % Fixed 6, ,118, % Variable 8, ,374, % Total 14, ,493, % 115

116 During the Warehouse Period, on September 18, 2014 UniCredit Leasing S.p.A. transferred to the Company a Second Portfolio (together with the First Portfolio, the Initial Portfolio) pursuant to and for the purposes of the joint provisions of Articles 1 and 4 of the Loan Securitisation Law. The Second Portfolio includes receivables representing lease agreements, for a transfer value of 380,506, as of September 2, 2014 (Valuation Date). ASSIGNMENT CRITERIA FOR THE INITIAL PORTFOLIO Under the terms of the Assignment Agreement and for the purposes of the combined provisions of Article 1 and Article 4 of the Loan Securitisation Law, UniCredit Leasing S.p.A. transferred a First Initial Portfolio of loans involving lease income with a due date not later than December 31, 2028 and deriving from lease agreements identified based on the following common characteristics: 1. agreements entered into subsequent to December 31, 2011; 2. with no unpaid fees (i.e., a fee payment at least thirty days past-due), at least one fee paid and one yet to be paid; 3. have a contract number with one of the following suffixes: - Pool 1: VA, VO, VP, VL, VS, PS, AS, TS - Pool 2: LI, LO, OS, LS - Pool 3: IC, IF, IR, FS 4. the fees on which are to be paid in Euro or Lira, either at a fixed rate or, where indexed, are indexed to Euribor or similar indices merged into the latter; 5. the payments on which are to be made by direct debit or bank transfer (RID); 6. cover property located in Italy, the beneficiaries of which are Italian residents; 7. are not contracts in which the lessee is an employee of UniCredit Leasing S.p.A.; 8. are not contracts in which the lessee is a company of the UniCredit Group; 9. are with counterparties that are not government agencies or comparable public or private entities; 10. are not contracts given favorable treatment by Law 1329/65 (Sabatini Act) or Law 64/86 or are not otherwise helped by financial benefits or contributions; 11. whose loans have not been classified as non-performing, doubtful or restructured loans based on Bank of Italy's definitions; 12. do not cover boat docking spaces or works of art; 13. do not cover agreements for which the total amount paid, net of advances, is greater than 10,000,000; 14. are not supported by any guarantees from financial brokers or the State, with the exception of guarantees issued by CONFIDI and/or the SME Guarantee Fund; 15. whose Users do not operate in one of the following Standard Industrial Classification of Economic Activities (ISIC) categories: residential dwellings, nonresidential property, public works, property lease services; 16. whose Users do not operate in one of the following Standard Industrial Classification of Economic Activities (ISIC) categories: Other Local Authorities, Other Health Authorities, Public Administration and Constitutional Bodies, Municipal Authorities and Unions of Municipalities, Provincial Administrations and 116

117 Metropolitan Cities, Regional Administrations, Cassa Depositi e Prestiti, Social Security Bodies, Research Bodies, Authorities that provide Welfare, Entertainment and Cultural Services, Authorities that provide Economic and Economic Activity Regulation Services and Health Authorities, Treasury, other Finance Companies, Joint Ventures between Non-Financial Companies, Religious and Church Institutions and Bodies, Financial Advisers, Banking System, Consumer Credit Companies and Fund Management Companies, or were not contracts that were transferred with recourse as a guarantee to EIB (European Investment Bank) or CDP (Cassa Depositi e Prestiti); 17. for which the construction of the relevant properties or capital equipment has been completed; 18. are not contracts relating to the production and management of renewable energies, or underwritten as project financing. ASSIGNMENT CRITERIA FOR THE SUBSEQUENT PORTFOLIOS The Assignment Agreement defines additional specific criteria, which the assignor and assignee companies may supplement from time to time, with which the Loans making up the Initial Portfolio and the subsequent assigned portfolios must comply. In addition, such subsequent portfolios may be offered upon the condition that: 1. for each pool, the pool maximum delinquency ratio for the loans included within the subsequent portfolio, as of the last day of the most recent collection period, was not greater than: - for Pool 1: 8.5% - for Pool 2: 10.5% - for Pool 3: 8.5% 2. for each Pool, the Pool s maximum default ratio for the loans included in the subsequent portfolio, over the course of the most recent Quarterly Collection Period, does not exceed: - for Pool 1: 2.5% - for Pool 2: 4% - for Pool 3: 4% 3. the average weighted spread of the Subsequent portfolio over the EURIBOR 1- month, EURIBOR 3-months, EURIBOR 6-months rate may not be lower than: 3.50% for Pool no. 1, 2.50% for Pool no. 2 and 2.50% for Pool no.3; 4. following the purchase of the Subsequent Portfolio, the Principal Amount Owed for each Pool, divided by the Principal Amount Owed for the Portfolio, shall not be lower than 25% for Pool no.1 and greater than 35% for Pool no.3; 5. following the purchase of the Subsequent Portfolio, on the relevant Valuation Date, the Loans pertaining to the first Client Group with the largest debt exposure may not represent, in terms of Principal Amount Owed, over 1% of the Principal Amount Owed for the Portfolio; the Loans pertaining to the first 10 Client Groups with the largest debt exposure may not represent, in terms of Principal Amount Owed, over 6.5% of the Principal Amount Owed for the Portfolio and the Loans 117

118 pertaining to the first 25 Client groups with the largest debt exposure may not represent, in terms of Principal Amount Owed, over 11.5% of the Principal Amount Owed for the Portfolio; 6. following the purchase of the Subsequent Portfolio, on the relevant Valuation Date, the Loans pertaining to the 5th Client Group with the largest debt exposure for each Pool may not represent, in terms of Principal Amount Owed, over 2% of Pool no. 1, 5.5% for Pool no. 2, and 12% for Pool no.3 of the Principal Amount Owed for the Portfolio; 7. following the purchase of the Subsequent Portfolio, the following Industry concentration limits are complied with for the Portfolio; for the first Industry with the largest debt exposure: 20%; for the first 2 Industries with the largest debt exposure: 35%; it being understood that, for the purposes of the calculation of the aforementioned concentration limits, the Industries referred to in the relevant definition as building & materials and real estate shall be considered as a single Industry; 8. following the purchase of the Subsequent Portfolio, the Portfolio provides for a minimum concentration of Rating Models of 90%, calculated on the basis of the Principal Amount Owed 9. the last Installment Date for the Loans included in the Subsequent Portfolio may not be later than the following deadlines: - for Pool no. 1: 31/12/2021; - for Pool no. 2: 31/12/2023; - for Pool no. 3: 31/12/ for each User included in the relevant Subsequent Portfolio, the Average Potential Insolvency Index may not exceed 2.50%. PERFORMANCE OF THE TRANSACTION With regard to the rating agencies' interventions with respect to the Locat SV Series 2014 transaction, it should be noted that, following the upgrade of the country ceiling for Italy by the rating agency Moody s from A2 to Aa2 on January 20, 2015, on January 24, 2015 the aforementioned rating agency upgraded the rating of Class A1, Class A2 and Class A3 securities from A2(sf) to Aa2(sf). With regard to the loan portfolio, the following is a summary of the purchases made from the start of the transaction up to December 31, 2015 and a summary of the portfolio performance indicators: Type of assets Nominal Value Acquisition Price Initial Portfolio - First Portfolio 919,493, ,493,707 Initial Portfolio - Second Portfolio 380,506, ,506,293 Purchase of Subsequent Portfolios ,502, ,502,939 Purchase of Subsequent Portfolios ,131, ,131,204 Total 1,825,634,143 1,825,634,

119 Interest payment date Portfolio delinquency ratio Portfolio default ratio Cumulative portfolio default ratio Index Limit Index Limit Index Limit 12/12/2015 2,14% / 0,34% / 0,39% 2,50% 06/12/2015 2,42% / 0,09% / 0,48% 5% 09/12/2015 2,53% / 0,37% / 0,84% 5% 12/12/2015 2,07% / 0,38% / 1,21% 7,50% Based on the analysis made, future cash flows will guarantee the regular payment of the obligations undertaken by the transaction. 119

120 F.3 PARTIES INVOLVED The principal parties involved in the securitisation transaction are the following: POSITION HELD Originator Representative of Securities Holders Servicer Computation Agent Backup Servicer Facilitator Corporate Servicer Account Bank Paying Agent Cash Manager Listing and Irish Paying Agent Custodian Bank Hedging Counterparty PARTY INVOLVED UniCredit Leasing S.p.A. Securitisation Services S.p.A. UniCredit Leasing S.p.A. Securitisation Services S.p.A. Securitisation Services S.p.A. dobank S.p.A. (formerly Unicredit Credit Management Bank S.p.A.) BNP Paribas Securities Services, Milan Branch BNP Paribas Securities Services, Milan Branch BNP Paribas Investment Partners SGR S.p.A. BNP Paribas Securities Services, Luxembourg Branch BNP Paribas Securities Services, Milan Branch HSBC Bank Plc. The principal relationships and obligations existing among the Assignor (UniCredit Leasing S.p.A.), Assignee (Locat SV S.r.l.) and other parties involved in the securitisation transaction, as governed by specific contracts, are as follows: Under the Assignment Agreement, the Company acquired the Initial Portfolio and the Assignor acquired the right to transfer to the Assignee, without recourse, loans meeting the eligibility characteristics provided for by such Assignment Agreement. Under the servicing agreement, Locat SV S.r.l. engaged UniCredit Leasing S.p.A. to perform collection activities for the loans assigned within the meaning of Law 130 of April 30, 1999 and for doubtful and/or non-performing and/or delinquent loans, including through the use of outside organizations specializing in the management of problem loans. On September 9, 2014, HSBC Bank Plc. signed two swap agreements with Locat SV S.r.l., starting September 12, 2014, to hedge the interest-rate risk resulting from the payment of bond interest for the classes A and B (described in F.5 below). 120

121 The securities were underwritten as follows: Underwriters Class A1 Class A2 Class A3 Class B TOTAL UniCredit Bank AG European Investment Bank Société Générale Capital Market S.A UniCredit S.p.A UniCredit Leasing S.p.A TOTAL UniCredit Leasing S.p.A. acquired the so-called class B subordinated securities, of a nominal amount of 585,000,000, with Final Maturity in December Under the Intercreditor Agreement, the Assignor accepted the order of priority for payments made by the Assignee. Pursuant to this arrangement, servicing fees are to be paid after corporate expenses and the replenishment of the Retention Amount in the Expenses Account, but prior to the payment of interest and repayment of principal to the securities underwriters. 121

122 F.4 FEATURES OF THE SECURITIES ISSUED To finance the purchase of the Loan Portfolio (Series 2014), on September 12, 2014 Locat SV S.r.l. issued partly-paid Euro-denominated securities with the following characteristics: Class A1 A2 A3 B ISIN IT IT IT IT Type With pre-emptive With pre-emptive With pre-emptive With pre-emptive early early redemption early redemption early redemption redemption Nominal value 90,000, ,000, ,000, ,000,000 Maturity Interest Quarterly 3-month Quarterly 3-month Quarterly 3-month Quarterly 3-month EURIBOR % EURIBOR % EURIBOR % EURIBOR + 5% p.a p.a p.a p.a Moody's rating at Issue Date A2(sf) A2(sf) A2(sf) Unlisted Fitch rating at Issue Date AA+(sf) AA+(sf) AA+(sf) Unlisted Moody's rating up to date A2(sf) / Aa2(sf) A2(sf) / Aa2(sf) A2(sf) / Aa2(sf) Unlisted Fitch rating up to date AA+(sf) AA+(sf) AA+(sf) Unlisted The ratings provided express an opinion about the probability that the securities will repay capital in full by the legal maturity of the transaction and will pay the interest owed from time to time upon the individual payment dates. F.5 INCIDENTAL FINANCIAL TRANSACTIONS In order to hedge the interest-rate risk, on September 9, 2014 Locat SV S.r.l. signed two swap agreements with HSBC Bank Plc., which came into effect on September 12, The purpose of these transactions was to limit the exposure to interest-rate risk connected with the payment of the variable-rate coupons on the senior securities issued. Interest Rate Swap Agreement for the fixed-rate portion of the portfolio: HSBC Bank Plc will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Amount Owed for the fixed-rate portion of the portfolio, excluding unpaid, defaulted and delinquent loans) and the number of days in the Interest Period, divided by 360, at the 3- month EURIBOR rate. Locat SV S.r.l. will pay an amount equal to the product of the Principal Amount Owed for the fixed-rate portion and the number of days of the Interest Period, divided by 360, at a fixed rate of equal to the weighted average rate of the fixed-rate portfolio. Basis Swap Agreement for the variable-rate portion of the portfolio: HSBC Bank Plc will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Due for the variable-rate portion, excluding unpaid, defaulted and delinquent loans) and the number of days of the Interest Period, divided by 360, at a rate equal to the 3- month EURIBOR rate. 122

123 Locat SV S.r.l. will pay an amount equal to the product of a notional (equal to the average, during the reference Collection Period, of the Principal Amount Owed for the variable-rate portion, excluding unpaid, defaulted and delinquent loans) and the number of days in the Interest Period, divided by 360, at the average weighted effective rate from the variable-rate portfolio s indexing parameters. F.6 THE VEHICLE S OPERATING POWER The Company s sole purpose is to carry out one or more securitisation transactions within the meaning of Law 130 of April 30, 1999 through the acquisition of both existing and future monetary loans for valuable consideration, financed through recourse to issuing securities pursuant to Article 1, paragraph 1(b) of Law 130/1999 in such a way as to rule out the assumption of any risk on the part of the Company. In accordance with the provisions of the aforesaid Law, the loans pertaining to each securitisation transaction constitute assets segregated to all effects and purposes from those of the company and those relating to other transactions, against which no action may be brought by creditors other than the holders of the securities issued to finance the acquisition of the aforesaid loans. Within the limits permitted by the provisions of Law 130/1999, the Company may carry out accessory transactions, to be entered into for the proper conclusion of securitisation transactions it has engaged in, or those otherwise instrumental to the attainment of its company purpose, as well as transactions to reinvest in other financial assets funds derived from managing the acquired loans that are not immediately employed to satisfy rights deriving from the aforesaid securities. 123

124 QUANTITATIVE INFORMATION F.7 LOAN RELATED FLOW INFORMATION The changes occurring in the securitised portfolio during the fiscal year ended December 31, 2015 can be summarized as follows: (in thousands) Initial Loan and Receivables Balance 1,264,870 - Reclassification of prior year payables to customers (361) - Reclassification of current year payables to customers Initial Portfolio Purchase - 1,300,000 Subsequent Portfolios on a revolving basis 393, ,503 Interest accrued 77,226 35,331 Interest accrued and not collected Accrued indexing (7,176) (3,589) Invoiced interest for late payment Capital gain on performing contracts 3, Losses and Capital losses on the sale of securitised loans and receiva (137) (57) Indemnities charged to customers for securitised receivables Indemnities charged to customers for securitised payables (111) - Residual amount invoiced during the period 115,690 45,952 Collections net of unpaid amounts and refunds (637,247) (246,954) Repurchased Contracts 6,654 7,850 Write-downs (10,987) (7,568) Write-backs and capital losses from sale of non-performing loans 3,642 - Balance at the end of the period 1,209,937 1,264,870 F.8 CHANGES IN PAST-DUE LOANS The table summarizes changes in matured loans that have not been repaid. (in thousands) Opening net exposure 6,200 Payments from performing loans 16,861 6,200 Other positive variances 197 Collections during the period (735) Payments to performing loans (316) Proceeds from disposals (258) Losses during the period (6) Total 21,943 6,200 Write-downs (7,308) (1,404) Closing next exposure 14,635 4,796 Based on the Servicing Agreement between the Company and UniCredit Leasing S.p.A., loan administration and collection, including the recovery of matured loans, was entrusted to UniCredit Leasing S.p.A, which, in addition to its own facilities, has the option to make use of outside organizations specializing in the management of problem loans, in order to improve the efficiency and effectiveness of recovery actions. F.9 CASH FLOWS Cash flows can be summarized as follows: 124

125 Opening cash balance 46,124,832 - Increases 339,183, ,195,518 Collections From securities subscription - 715,000,000 Securitised portfolio 337,047, ,194,934 From interest accrued on bank accounts Transit items 2,135,970 - Decreases 302,128, ,070,686 Payments Derivative contracts Swap differentials 993, ,128 For interest on securities 59,076,708 20,479,625 Other payments 464, ,035 Transit items 28,096,937 2,135,970 Other negative variances 213,497, ,086,928 Closing cash balance 83,180,283 46,124,832 The decrease in Transit items refers to collections with a 2015 value date credited to the collections account opened with BNP Paribas Securities Services - Milan Branch, in January of Closing cash balance represents the balance of existing current accounts with BNP Paribas Securities Services - Milan Branch and UniCredit S.p.A. as at December 31, Securitised portfolio collections (for 2016) can be estimated at around million, which, in addition to paying interest on the securities and fees to various parties involved in the transaction, will be used to repay the securities issued (repayment period operation), with a cash balance being maintained that is essentially immaterial. F.10 STATUS OF GUARANTEES AND LIQUIDITY LINES A portion of the portfolio loans is covered by guarantees provided by the lessees or by third parties; for details, see the following table: (in thousands) Collateral 9,213 13,275 Personal guarantees 1,286,151 1,148,796 Total 1,295,364 1,162,

126 F.11 BREAKDOWN BY RESIDUAL LIFE The residual life of the securitised loans (expressed in thousands of euros) is shown below: Expiring loans Loans and receivables Expiring loans principal other Residual life 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 31/12/15 31/12/14 Up to 3 months ,859 90,208 66, ,028 From 3 months to 1 year , , , ,837 From 1 to 5 years , , ,641 1,794,130 More than 5 years , , ,716 1,867,066 Indefinite 21,943 6, ,396 TOTAL 21,943 6,200 1,202,939 1,266,238 1,202,939 4,559, Write-downs (7,308) (1,404) (7,637) (6,164) (7,637) (74,054) NET AMOUNT 14,635 4,796 1,195,302 1,260,074 1,195,302 4,485, In what follows, we report the contractual maturity of the securities issued. Residual life Up to 3 months - - From 3 months to 1 year - - From 1 to 5 years - - More than 5 years 1,300,000,000 1,300,000,000 In addition, the liabilities set out under item E, Other liabilities of the Table of securitised assets and securities issued all mature in less than three months. F.12 BREAKDOWN BY LOCATION The loans subject to securitisation involve parties residing in Italy and are denominated in euros. F.13 RISK CONCENTRATION (in thousands) As at 12/31/2015 Amount ranges Number of accounts Amount 0-25,000 29,091 1,152,391 25,001-75, ,092 75, , ,877 More than 250, ,522 TOTAL 29,909 1,224,882 Write-downs (14,945) NET TOTAL 1,209,

127 SECTION 4 INFORMATION ON EQUITY 4.1 THE COMPANY S EQUITY QUALITATIVE INFORMATION In accordance with Article 3 of Law 130/1999, the Company was incorporated as a limited-liability company with quota capital of 10,000. In consideration of the Company s exclusive purpose, it pursues the goal of preserving its equity over time, and is reimbursed for its operating expenses out of the segregated assets QUALITATIVE INFORMATION THE COMPANY S EQUITY: COMPOSITION Items/Amounts 1. Quota capital 10,000 10, Quota premiums 3. Reserves - from profits a) legal b) pursuant to articles of association c) treasury quotas d) other (99) (99) - other 4. (Treasury quotas) 5. Revaluation reserves - Available-for-sale financial assets - Property, equipment and investment property - Intangible assets - Hedges of foreign investments - Cash-flow hedges - Exchange-rate differences - Non-current assets and disposal groups held for sale - Special revaluation laws - Actuarial profit/loss relating to defined-benefit pension plans - Portion of revaluation reserves for equity investments valued using the equity method 6. Equity instruments 7. Profit (loss) for the year Total 10,000 10,

128 4.2. EQUITY AND REGULATORY RATIOS In light of the scope of the Company s operations and the information provided in Section 4.1, this section is not applicable. SECTION 5 BREAKDOWN OF COMPREHENSIVE INCOME Based on the content of the statement of comprehensive income, the Company s profit/loss coincides with its comprehensive income/loss. SECTION 6 RELATED-PARTY TRANSACTIONS 6.1. INFORMATION ON COMPENSATION OF DIRECTORS AND OFFICERS The Board of Statutory Auditors was renewed on April 30, It consists of three standing members (including the Chairperson) and two alternate members. The compensation paid to members of the Company s governing bodies as of December 31, 2015 is indicated below: Directors 42,521 Statutory Auditors 10,772 Total 53, LOANS AND GUARANTEES ISSUED IN FAVOR OF DIRECTORS AND STATUTORY AUDITORS No loans were granted, or guarantees issued, in favour of the Sole Director and the Board of Statutory Auditors INFORMATION ON RELATED-PARTY TRANSACTIONS The Company did not engage in transactions with related parties. In relation to the provisions of Article 2497-bis of the Italian Civil Code and IAS 24, the sole quotaholder, SVM Securitisation Vehicles Management S.r.l., does not perform management and coordination activities. SECTION 7 OTHER INFORMATION Note that the Company has no employees in its organization and uses external service providers in order to function. 128

129 APPENDIX TO THE NOTES TO THE FINANCIAL STATEMENTS Table showing fees for the current financial year for services provided to Locat SV S.r.l. by the Deloitte & Touche S.p.A. network. Auditing services SERVICE PROVIDER Name Disclosure of fees - Locat SV S.r.l. Deloitte & Touche S.p.A. network SERVICE RECIPIENT Name Description of work start date (MM/YY) end date (MM/YY) Fees in or equivalent in as at 12/31/2015 (excluding VAT and expenses) Auditor Other services Deloitte & Touche S.p.A. Deloitte & Touche S.p.A. Locat Sv. S.r.l. Audit of annual financial statements 01/01/ /31/ ,500 Locat Sv. S.r.l. Unico 770 Control 01/01/ /31/2015 1,003 Total services of the Deloitte & Touche network 30,

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