Berica PMI 2 S.r.l. ABS / SME Loans / Italy

Transcription

1 APRIL 29, 2016 ASSET-BACKED SECURITIES NEW ISSUE REPORT Berica PMI 2 S.r.l. ABS / SME Loans / Italy Closing Date 30 March 2015 Table of Contents DEFINITIVE RATINGS 1 ASSET SUMMARY (CUT-OFF DATE AS OF 29 FEBRUARY 2016) 2 LIABILITIES, CREDIT ENHANCEMENT AND LIQUIDITY 2 COUNTERPARTIES 3 MOODY S VIEW 3 PARAMETER SENSITIVITIES FOR TRANCHE A 4 STRENGTHS AND CONCERNS 5 STRUCTURE, LEGAL ASPECTS AND ASSOCIATED RISKS 6 ORIGINATOR PROFILE, SERVICER PROFILE AND OPERATING RISKS 10 COLLATERAL DESCRIPTION 12 CREDIT ANALYSIS 14 BENCHMARKING ANALYSIS 17 PARAMETER SENSITIVITIES 20 MONITORING 20 MOODY S RELATED RESEARCH 21 APPENDIX 1: SUMMARY OF ORIGINATOR S UNDERWRITING POLICIES AND PROCEDURES 22 APPENDIX 2: SUMMARY OF SERVICER S COLLECTION PROCEDURES 23 Definitive Ratings Series Rating Amount % of Notes Assets Legal Final Maturity Coupon A A1 (sf) 640,000, Nov mE +1.30% J NR 531,265, Nov mE +0.00% Total 1,171,265, Subordination* Reserve Fund** Total Credit Enhancement*** 45.4% 6.0% 48.6% 0% 0% 0% The ratings address the expected loss posed to investors by the legal final maturity. In Moody s opinion the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date. Moody s ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. * Expressed as % of the securitised assets (which include monies collected from the effective date (the date when the portfolio was transferred to the Issuer, 1 November 2015) until the closing date). ** As a % of rated notes. The reserve fund will provide credit support only at deal maturity. *** Expressed as % of the securitised assets as of close. No benefit attributed to excess spread. The subject transaction is a static cash securitisation of both unsecured and secured loans extended to small and medium sized enterprises (SMEs), individual entrepreneurs and corporates located in Italy. Analyst Contact Gaston Wieder Vice President Senior Analyst gaston.wieder@moodys.com Javier Vidal Associate Analyst javier.vidal@moodys.com Francesca Pilu Assistant Vice President - Analyst francesca.pilu@moodys.com MOODY S CLIENT SERVICES: clientservices.emea@moodys.com Monitoring: monitor.abs@moodys.com ADDITIONAL CONTACTS: Website:

2 Asset Summary (Cut-off date as of 29 February 2016) Issuer(s): Berica PMI 2 S.r.l. Originator(s): Banca Popolare di Vicenza S.p.A. ( BPVi ) and Banca Nuova S.p.A. ( BN ) Servicer(s): Banca Popolare di Vicenza S.p.A. and Banca Nuova S.p.A. Receivables: Loans granted to commercial clients resident in Italy Methodologies Used: Moody s Global Approach to Rating SME Balance Sheet Securitizations, October 2015 (SF418754) Models Used: ABSROM and Moody s CDOROM Total Amount: EUR 1,042,133,523 (the total amount as date when the portfolio was transferred to the Issuer, 1 November 2015, was EUR 1,171,264,918. Since that date part of the portfolio amortised, which proceeds were transferred to the Issuer Cash Account) Length of Revolving Period: 0 Number of Borrowers (by Borrower 4,293 Group): Number of Assets: 5,293 WAL of Portfolio in Years: 4.7 (with 0% CPR) Interest Basis: Fixed 2.4% and Floating 97.6% WA Current Collateral Ratio: 47% Loan-to-Value for the first lien mortgages (representing 63.1% of the total portfolio) Delinquency Status: 3.8% of the Loans are in arrears Historical Portfolio Performance Data Default Rate Observed: 35.9% and 4% for secured and unsecured, respectively (based on extrapolated historical vintage analysis) Delinquencies Observed: 1.1% and 0.5% for secured and unsecured (average since 2005 for delinquent loans by more than 180 days) Coefficient of Variation Observed: 96.1% and 84.4% for secured and unsecured, respectively (based on extrapolated historical vintage) Recovery Rate Observed: 81.3% and 57.9% for secured and unsecured, respectively (based on extrapolated historical vintage analysis) Liabilities, Credit Enhancement and Liquidity Excess Spread at Closing: Credit Enhancement/Reserves: Form of Liquidity: Number of Interest Payments Covered by Liquidity: Interest Payments: Principal Payments: 2.06% p.a. approx. taking into account stressed servicing fees, stressed yield due to renegotiations and coupon on rated notes 6.0% of Class A notes amount, the cash reserve will provide credit support at deal maturity as above 6.0% of Class A notes amount Approximately 2 payment dates, assuming Euribor = 4% Semi-annually in arrears on the 31st of May and 30 November each year Semi-annually in arrears on the 31st of May and 30 November each year Payment Dates: See above. First Payment Date May 2016 Hedging Arrangements: None This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history. 2 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

3 Counterparties Issuer: Originators: Master Servicer: Additional Servicers: Cash Manager: Back-up Servicer(s): Back-up Servicer Facilitator(s): Back-up Cash Manager: Calculation Agent: Back-up Calculation/Computation Agent: Swap Counterparty: Transaction Account Bank: Paying Agent: Representative of the Noteholders: Corporate Service Provider: Arranger: Berica PMI 2 S.r.l. Banca Popolare di Vicenza S.p.A. (NR) and Banca Nuova S.p.A. (NR) Banca Popolare di Vicenza S.p.A. Banca Nuova S.p.A. Banca Popolare di Vicenza S.p.A. Zenith Service S.p.A. (NR) 130 Finance S.r.l. N.A. Elavon Financial Services Limited, UK Branch (Aa2/P-1) N.A. None Elavon Financial Services Limited, UK Branch, except for expenses and quota capital account held at Banca Popolare di Vicenza S.p.A. Elavon Financial Services Limited, UK Branch 130 Finance S.r.l. Zenith Service S.p.A. UniCredit Bank AG London Branch and Banca Popolare di Vicenza S.p.A. Moody s View Rating Italy : Outlook for the Sector: Unique Feature: Baa2 Stable Asset type and structure previously seen in the market Degree of Linkage to Originator: The originators act as servicers and Banca Popolare di Vicenza S.p.A. act as account bank for the expenses, cash manager and quota capital account. However, there is a back-up servicer identified at closing Originator s Securitisation History: # of Precedent Transactions in Sector: One SME transaction originated in 2013, not rated by Moody s % of Book Securitised: Behaviour of Precedent Transactions: N.A. Key Differences Between Subject and N.A. Precedent Transactions: Portfolio Relative Performance: Default Rate Assumed/Ranking: Slightly above than peer group (See Benchmark Table) Coefficient of Variation Assumed on Slightly below than peer group (See Benchmark Table) Default Rate/Ranking: Recovery Rate Assumed/Ranking: In line with peer group (See Benchmark Table) 3 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

4 Parameter Sensitivities for Tranche A Table Interpretation: Factors Which Could Lead to a Downgrade: Table 1: At the time the rating was assigned, the model output indicated that Class A would have achieved a A3 if the cumulative mean default probability (DP) had been as high as 28.7% and the recovery rate as low as 35% (all other factors being constant). In addition to counterparty linkage, a severe deterioration of the portfolio performance would put pressure on the rating as well as a marked lengthening of the recovery process. TABLE 1* Tranche A Recovery Rate Mean Default 45% 40% 35% 22.3% A1* A1 (0) A1 (0) 25.4% A1 (0) A1 (0) A2 (-1) 28.7% A2 (-1) A3 (-2) A3 (-2) Results under base case assumptions indicated by asterisk ' * '. Change in model-indicated output (# of notches) is noted in parentheses. Results are model-indicated outputs, which are one of the many inputs considered by rating committees, which take quantitative and qualitative factors into account in determining actual ratings. The analysis assumes that the deal has not aged. The model does not intend to measure how the rating of the security might migrate over time, but rather, how the initial rating of the security might have differed if key rating input parameters were varied. The rating of the Class A notes is capped at A1(sf). See Eligible investments under the section Assets. 4 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

5 Strengths and Concerns Strengths:» Static structure: The structure does not include a revolving period during which additional portfolios may be sold to the SPV. This feature limits portfolio potential performance volatility caused by additional portfolio purchases.» Full cash trapping: The transaction does not benefit from a Principal Deficiency Ledger (PDL) mechanism, however all funds available after paying senior fees and interest on the Class A notes are used to redeem the rated notes.» Liquidity arrangement: The deal structure includes a cash reserve account, funded for an amount equivalent to 6.0% of Class A notes balance. The reserve fund works as liquidity line during the life of the transactions and it is available to repay principal on the Class A notes at maturity.» Back-up servicer: The structure also includes a back-up servicer appointed at closing Zenith Services S.p.A. (Not rated) which can step in if needed. Concerns and Mitigants: Moody s committees particularly focused on the following factors, listed in order of those most likely to affect the ratings:» Concentrated portfolio in terms of borrowers and sector of activity: As of 29 February 2016 the 5 largest borrowers represent 16.1% of the total portfolio and borrowers active in the building and real estate, services and beverage, food & tobacco industries accounts for 38.4%, 12.2% and 11.9%, respectively. These concentration features are taken into account in Moody s quantitative analysis.» Set-off risk: Even after the publication of the assignment in the Official Gazette, the transaction is exposed to setoff risk resulting mainly from deposits held by the borrowers with the originator. We have taken this risk into account in our quantitative analysis, as further explained under the Treatment of Concerns section of this report.» Commingling Risk: Noteholders are exposed to potential losses from commingling risk because debtors payments are made into a dedicated collection account in the name of each servicer and will be transferred to the Issuer s account on a daily basis. There is the risk that amounts paid into the servicers accounts and not yet ontransferred are lost upon the servicers insolvency, especially knowing that almost all obligors pay at the end of the month. Furthermore, borrowers are notified by the servicer within 30 days upon a servicer termination event or by the BUS as soon as possible to pay directly to the Issuer s account. Moody s has factored certain commingling losses in its quantitative analysis, as described in the section Treatment of Concerns.» No hedging arrangements: The transaction structure does not include a hedging mechanism to cure any potential interest rate mismatch between the portfolio and the notes. We have taken into account this feature in our modelling of the transaction as explained under the Assets (Interest Rate Mismatch) section. 5 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

6 Structure, Legal Aspects and Associated Risks EXHIBIT 1 Structure Chart Source: Berica PMI 2 S.r.l. Prospectus Liabilities: Similarly to the most recent transactions seen in Italy, Berica PMI 2 S.r.l. involves a simple transaction structure with a combined priority of payments, no principal deficiency mechanism and subordination plus an amortising reserve fund as credit enhancement. Allocation of payments/pre enforcement interest waterfall: On each semi-annual payment date before an Issuer s enforcement trigger notice has been delivered, the Issuer s available funds (i.e. mainly made up by amounts collected from borrowers on account of interest, principal and prepayment penalty and recoveries, proceeds from the sale (if any) of the portfolio or individual receivables, drawings from cash reserve) will be applied in the following simplified order of priority: 1. Senior fees and expenses (incl. back-up servicing and servicing fees); 2. All amounts of interest due and payable on the Class A on such Payment Date; 3. Fill-up of the cash reserve to its required level (if needed); 4. Other senior fees and expenses; 5. All amounts outstanding in respect of principal on the Class A; 6. Amounts due to the Originators; 7. Interests on the Class J; 8. Principal on the Class J; 9. Premium on the junior notes; 10. Originators Surplus. Allocation of payments/post enforcement waterfall: On each semi-annual payment date after an Issuer s enforcement trigger notice has been delivered or at the payment date on which notes are redeemed in full (due to pool amortization or optionally or due to tax reasons), the Issuer s available funds (in such case including the full amount of the cash reserve) will be applied in the following simplified order of priority: 1. Senior fees and expenses; 2. All amounts of interest due and payable on the class A on such Payment Date; 3. All amounts outstanding in respect of principal on the Class A; 6 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

7 4. Other cost and expenses; 5. Amounts due to the Originators; 6. Interests on the class J; 7. Principal on the class J; 8. Premium on the junior notes; 9. Originators Surplus. Reserve Fund:» A cash reserve account will be credited at deal inception with 6% of the senior notes, i.e. EUR 38.4 million. It will serve as liquidity (to the benefit of the Class A notes) during the life of the deal and will only be available for the payment of principal on the rated notes at deal maturity.» The cash reserve will amortise during the life of the deal to the lower between (i) 6% of class A note outstanding; and (ii) 1% of the class A at closing.» The cash reserve amount would cover approximately 1 year worth of coupon payments on the Class A notes, assuming Euro Interbank Offered Rate (Euribor) at 4%. Assets: Asset transfer: True Sale: According to the legal opinion, the securitisation of assets has been carried out in compliance with the Italian securitisation law. Notification of the sale from BPVi and BN to Berica PMI 2 S.r.l. was published on the Official Gazette ( Gazzetta Ufficiale della Repubblica Italiana ) on 5 November 2015 and registered in the Companies Register on 5 November 2015 and 6 November 2015 for BN and BPvi portfolios, respectively. Bankruptcy remoteness: Bankruptcy remoteness has been achieved by the provisions of law 130 and through the Italian SPV s by-laws, as well as the provisions of the deal documentation. Interest rate mismatch: 97.6% of the pool balance comprises floating rate loans (mostly linked to 3m Euribor), the remainder being represented by fixed rate loans (2.4%). The class A notes are floating liabilities and indexed to six-month Euribor. As a result the Issuer is subject to (1) interest rate basis mismatch risk on the floating portion of the portfolio (i.e. the risk the reference rate used to compute the interest amount payable on the notes will differ from the reference rate used on the underlying loans), and (2) fixed/floating mismatch (i.e. the risk that the interest rate on the notes will differ from the interest rate payable on the fixed portion of the portfolio). As the transaction is un-hedged, we took into account the potential SPV s interest rate exposure in some stressed environments. We did this to assess if the available credit enhancement is sufficient to support the ratings. Floating portion of the portfolio We needed to size the potential mismatch between the index rate payable by the SPV to the noteholders and the rate the SPV will receive on the portfolio. The majority of the floating rate loans (paying mainly monthly and semi-annually) are indexed to the three-month Euribor (around 80% of the total portfolio). A haircut of 50 bps was applied to the margin of the floating rate loans to take into account the base and timing mismatch between the relevant base rate index paid by the loans and the one on the notes. Fixed portion of the portfolio As per this portion of the portfolio, we defined a stressed Euribor forward curve and then deducted the values in this vector from the original yield vector on the fixed sub-pool as provided. We did this to define the yield vector associated with a pool such as this that takes into account the lack of any swap structure. Having thus defined the stressed (i.e. that takes into account the lack of swap) yield vectors for both the floating and fixed rate sub-pool, we were able to compute the whole portfolio yield vector, whose values were derived on a weighted average basis for each period. We also accounted for a decrease of the portfolio yield resulting from the renegotiations described below. Cash commingling: Borrowers payment dates for the loan instalments are concentrated around the end of the month. Almost 100% of the payments under the loans in this pool are collected by BPVi and BN under a direct debit scheme into the transitory collection accounts in the name of each servicers. On a same day basis the collections are transferred to the Issuer s account. Although the collections are transferred to the Issuer s account on a daily basis, according to Italian law the structure is still exposed to potential commingling losses, namely in a worst case scenario in which the servicer becomes insolvent and the collections are not yet on-transferred to the Issuer s account held outside of BPVi and BN. Mitigants:» Collections are transferred daily into the Issuer s account held at Elavon Financial Services Limited Elavon Financial Services Limited, UK Branch (Aa2/P-1), UK Branch.» At servicer termination, all borrowers will be notified within 30 days by the master servicer or the back-up servicer or the new servicer as soon as possible - to redirect their payments to the Issuer s account.» We have modelled a commingling exposure equal to 1 month of lost collections, following the servicer s insolvency. Eligible investments: Significant amounts of cash (including collections from the loan portfolio and the cash reserve) may be held in the form of eligible investments with a maturity up to six months. As such the transaction is strongly linked to the credit quality of such investments, which documentation 7 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

8 require to have a minimum rating of Baa2/P-2 for maturities up to 30 days, and of A2/P-1 for maturities up to 6 months. Moody's views the additional expected loss resulting from transactions funds held in such eligible investments being commensurate with the A1(sf) rating assigned to the Class A notes. Please refer to Moody s Approach to Temporary Use of Cash in Structured Finance Transactions: Eligible Investments and Account Banks, December Set-off: Under Italian law, mutual debt obligations may be set off against each other to the extent they are both due and payable. After a debt is assigned to a third party such as a securitisation issuer the debtor may still set off claims owed to it by the originator. However, set off rights against securitised debt would be limited to the amount of claims that exist when the notice of assignment is published in the Italian Official Gazette. The following products, which are generally offered by BPVi and BN, would give rise to set-off: bonds and derivatives sold by the originators; bank deposits, current accounts and funds. For this transaction, which has a static portfolio, we estimated the set-off exposure for the portfolio by analyzing the deposits, bonds and derivatives with a negative mark-to-market value for the borrowers. We were provided with a line-by-line assessment of the borrowers credit exposure. The total amount of borrowers claims against the originator is EUR million, mainly resulting from deposits held by borrowers. A borrower may only set-off the minimum between a) the outstanding loan amount and b) the sum of his/her claims against the bank. In Moody s view, more than half of such set-off claims will potentially be reimbursed by the Italian deposit insurance scheme, for which Moody s is giving benefit. The remaining potential net set-off claims that will not be covered by the Italian deposit insurance scheme amount to around 2% of the total outstanding portfolio; and hence, could cause potential losses. (for further reading, see Moody s Approach to Assessing Set-off Risk for EMEA Securitisation and Covered Bonds Transactions, March 2015). Mitigant: Set-off exposure has been taken into account in the cashflow modelling by reducing the available credit support with the expected loss due to set-off. The expected loss is a function of the set-off amount and the liquidation probability of the bank. Hence, such set-off risk could lead to a linkage to the originator. Claw-back risk: A transfer pursuant to the Italian Securitisation Law 130 is potentially subject to claw back by a liquidator of the transferor (1) within three months following the transfer, where the sale is not at an undervalue, if (i) the transferor was insolvent at the time of the transfer and (ii) the liquidator can prove that the transferee was, or ought to have been, aware of such insolvency, or (2) within six months following the transfer, where the sale is at an undervalue, if (i) the transferor was insolvent at the time of the transfer and (ii) the transferee cannot prove that it was not, or ought not to have been, aware of such insolvency. In general, payments may be subject to claw-back if they are made to the Issuer by any party under the transaction document during the 12-month suspect period prior to the date on which such party has been declared bankrupt or has been admitted to the compulsory liquidation. The relevant payment will be set aside and clawed back if the receiver gives evidence that the Issuer had knowledge of the payer s insolvency when the payments were made. The question as to whether or not the Issuer had actual or constructive knowledge of the state of insolvency at the time of the payment is a question of fact with respect to which a court may in its discretion consider all relevant circumstances. This risks mainly exists when loans are repurchased by the originator. Mitigant: The sellers are requested to provide evidence of their solvency. Ancillary legal issues: Renegotiations (incl. payment holiday): The servicers will retain the right to renegotiate the terms of the loans, but for some flexibilities there are precise limits both in terms of loan maturity and loan minimum margin, as well as affected portfolio amount. These restrictions will limit the potential difference between the resulting portfolio and the portfolios we originally analysed. For instance, for performing loans, the servicer may agree the following loan modifications: a) For up to 3% of the initial pool, change the interest due under the loans from fixed to floating; b) For up to 3% of the initial pool, decrease the interest rate, with a floor of 1.5% for floating-rate loans and loans with cap and a minimum 4% interest rate for fixed loans; c) For up to 7% of the initial pool, extend the original maturity of the loan, but only if the following conditions are met: (i) the modified maturity is at least ten years before the legal final maturity of the notes, (ii) the new maturity is no more than 8 year later than the original for secured loans and 4 years for unsecured loans; d) For up to 10% of the initial pool, the servicer can grant a principal payment suspension. Repurchases: The originator may repurchase non defaulted loans up to an amount representing 7.5% of the original balance yearly, and up to 20% of the original balance cumulatively. This may expose the Issuer to claw-back risk (see above comment under Claw-back risk within this section). In addition, repurchases may result in margin compression, should such purchases focus on higher-yielding loans. 8 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

9 Mitigant: The originator can repurchase loans if it provides the Issuer with a solvency certificate issued by the relevant tribunal or the chamber of commerce, and the solvency certificate provided by the bank itself. This mitigates claw-back risk. From a modelling point of view, margin compression may result from repurchases as well as from loan prepayments. As such the portfolio s yield vector has been stressed to account for both risks (see comment under Margin compression due to prepayments and loan repurchases in the Treatment of Concerns section). 9 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

10 Originator Profile, Servicer Profile and Operating Risks Date of Operations Review: 16 th December 2015 Originators Background: Banca Popolare di Vicenza S.p.A. and Banca Nuova S.p.A. Rating: NR Financial Institution Group Outlook Stable for Sector: Ownership Structure: 100% owned by Banca Popolare di Vicenza Group Asset Size: Euro 41 bn (as of 30 June 2015) % of Total Book Securitised: 31.77% Transaction as % of Total Book: 15.20% of the total pool of the banks selected with selection criteria similar to PMI2 % of Transaction Retained: 100% Originator Assessment Originator Ability Underwriting Policies & Procedures Property Valuation Policies & Procedures Credit Risk Management Quality Control & Audit Management Strength & Staff Quality Technology Main Strengths (+) And Challenges(-) Overall Assessment: Weak (+)The loan origination procedure normally begins at branch level. Depending on the originator, the credit score assigned to the loan application and the presence of guarantees, any loan application higher than a certain threshold is assessed by the headquarter (+) All borrowers are checked thoroughly with all relevant credit bureaus (e.g. Centrale Rischi and CRIF), as well as with internal data (-) An inspection conducted by the European Central Bank on BPVi s procedures reported anomalies involving the link between certain loans disbursed by the BPVi and the purchase/subscription of BPVi s shares (-) Balance sheet shows high and increasing amount nonperforming exposures (+) A first lien mortgage is usually required. It is also required a property appraisal valuation performed by approved appraisers (-) Although the first valuation of a property is performed by approved appraisers, the following valuation updates are usually carried out through automatic valuations (not on-site) (+) Independence of the team, reporting directly to CEO (+) Internally developed rating system in place, based on a Traffic Light System, which determines the approval level for each loan (-) The internal rating system has not been approved by the Bank of Italy yet (for the purposes of the Basel capital requirements) (+) Independent internal audit function (-) Bank experiences challenges and uncertainties arising from the bank's financial difficulties IT is outsourced to SEC SERVIZI, an IT services firm owned by BPVi Group as well as other Italian banks. The originators IT and backup/disaster recovery frameworks are in line with the standard of entities of a comparable size Master Servicer Background: Banca Popolare di Vicenza S.p.A. Rating: Regulated by: Total Number of Receivables Serviced: Number of Staff: NR Bank of Italy Not made available Not made available 10 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

11 Servicer Assessment: Main Strengths (+) And Challenges (-) Servicer Ability Loan Administration Early Arrears Management Loss Mitigation and Asset Management Servicer Stability Management Strength & Staff Quality IT & Reporting Quality Control & Audit Overall Assessment: Average (+)An automatic procedure classifies each loan into one of the following classes: performing, non-performing and pre-restructured. The loan management differs depending on how a loan is classified and there are different teams in charge depending on that classification, such as the Unlikely to Pay Unit, the Outstanding Credit Unit or the Disputed Loans Unit (+)There is an Early Warning system aimed at promptly addressing the anomalies and minimizing the need for late recovery actions and procedures (+)Behavioural/early risk scoring to focus on riskier loans (+)Collection approach modified according to borrower s risk category (+)Workflow system improves the monitoring of the work done in the branches and the branches cannot forget to act on any overdue loans (+)For amounts up to certain limits, loans classified as unlikely to pay are managed at branch level. For exposures above such limit, the departments responsible for those loans are either the Unlikely to Pay Unit or the Outstanding Credit (+)Regarding non-performing loans, the staff involved is either in-house lawyers or administrative staff and each employee is responsible for approximately 400 loan files. External lawyers are hired in order to bring legal actions on behalf of the originators (-)In Italy, The procedure of the sale and repossession of assets takes a considerable amount of time compared to other European countries, due to the legal framework and as well the as procedures required by Italian courts (+)Experienced servicing team (+)IT is outsourced to SEC SERVIZI, an IT services firm owned by BPVi Group as well as other Italian banks. (+)The originators IT and backup/disaster recovery frameworks are in line with the standard of entities of a comparable size (-)System produces limited performance report (-)Loan documents are not available electronically +Servicing operations audited every year Back-up Servicer Background: Zenith Service S.p.A Rating: Ownership Structure: Regulated by: Total Number of Receivables Serviced: Number of Staff: Strength of Back-up Servicer Arrangement: Receivables Administration Method of Payment of Borrowers in the Pool: % of Obligors with Account at Originator: Distribution of Payment Dates: Not rated NA Bank of Italy Not made available About 20 in servicing department» The company is one of the leader in Italy in managing securitizations transactions acting principally as servicer, computation agent, corporate servicer and representative of the noteholders.» Receipt of written back-up plan, costs for back-up servicer were fixed at closing date of the transaction» Notification to obligors to pay directly into the Issuer s account within 30 days after a servicer termination event Almost 100% Direct debit as of 29 February 2016 Not made available (in this transaction almost 50% of the pool are obligors with non-zero balance on their account with the originators) Not made available (in this transaction loan instalments are concentrated around the end of the month) 11 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

12 Calculation Agent: Elavon Financial Services Limited, UK Branch Rating: Main Responsibilities: Calculation Timeline: (Aa2/P-1) Determination of principal payment amount on the notes, the principal amount outstanding of each note and the additional return payable on the junior notes Preparation and delivery of payments and investor report Semi-annual collections Calculation date: 2 business days before the payment date IPD: 31st of May and 30th of November Originator/Servicer/Cash Manager Related Triggers Key Servicer Termination Events: Insolvency, payment defaults not remedied within 5 days, break of other obligations not remedied within 15 days, breach of the representations & warranties, failure in providing the Servicer Report and illegality Appointment of Back-up Servicer Upon servicer termination notice, the back up servicer commits to take its position within 34 days Upon: Key Computation Agent Termination Events: Notification of Obligors of True Sale: Conversion to Daily Sweep (if original sweep is not daily): Notification of Redirection of Payments to SPV s Account: Accumulation of Set Off Reserve: Accumulation of Liquidity Reserve : Set up Liquidity Facility: Breach of material obligations and not being qualified as an Eligible Institution for the purposes of Eligible Investments. Upon transfer with publication of the notice on the Official Gazette Daily since closing Notice from the servicer within 30 days upon termination of the servicing agreement N.A. At closing, reserve is amortizing No separate liquidity facility, but rather the reserve above ensures liquidity in the structure Collateral Description EXHIBIT 2 Borrower concentration by Borrower Group (top 1, top 10 and top 20 in %) 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% EXHIBIT 3 Portfolio Breakdown by Borrowers Size (according to the Originators internal definition) 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% Top 1 debtor Top 10 debtors Top 20 debtors Source: loan-by-loan data tape as provided by originators 0.0% Corporate - Large Corporate - Medium Corporate - Small Source: loan-by-loan data tape as provided by originators Retail Small Business 12 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

13 EXHIBIT 4 Portfolio Breakdown by Origination Year 20.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Source: loan-by-loan data tape as provided by originators EXHIBIT 5 Portfolio Breakdown by Residual Term (in years) Source: loan-by-loan data tape as provided by originators EXHIBIT 6 Portfolio Breakdown by Borrower Sector of Activity CORP - Construction & Building CORP - Services: Business CORP - Beverage, Food & Tobacco CORP - Hotel, Gaming & Leisure CORP - Consumer goods: Non-durable CORP - Healthcare & Pharmaceuticals CORP - Retail CORP - Capital Equipment CORP - Environmental Industries CORP - Consumer goods: Durable CORP - Automotive CORP - Media: Advertising, Printing Other 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% Source: loan-by-loan data tape as provided by originators EXHIBIT 7 Portfolio Breakdown by Region of Borrower Veneto Toscana Sicilia Lombardia Lazio Friuli-Venezia Giulia Emilia-Romagna Calabria Provincia Autonoma Bolzano/Bozen Other Source: loan-by-loan data tape as provided by originators 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% EXHIBIT 8 Portfolio Breakdown by Interest Rate Type EXHIBIT 9 Portfolio Breakdown by Loan Type 100.0% 70.0% 90.0% 80.0% 60.0% 70.0% 50.0% 60.0% 50.0% 40.0% 40.0% 30.0% 30.0% 20.0% 20.0% 10.0% 10.0% 0.0% Fixed Source: loan-by-loan data tape as provided by originators Floating 0.0% Secured (1st Lien) Source: loan-by-loan data tape as provided by originators Unsecured Product description: Data and information on the portfolio set out in this report is based on the most recent portfolio provided to us (as of 29 February 2016). The securitised portfolio consists of commercial loans extended to small, medium business and corporates in Italy, mainly in the regions of Veneto, Toscana and Sicilia (72.3%). The balance of the performing portfolio is EUR 1, million, the vast majority of the loans being either monthly or semi-annual paying, floating rate and having a French amortization system. The pool AUP was performed with a 99% 13 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

14 / 2% confidence level based on a portfolio as of 30 September Eligibility criteria: The key eligibility criteria are as follows:» All borrowers were Italian residents and, as of valuation date (30 September 2015), all of them were classified as in bonis within the Bank of Italy (Centrale dei Rischi).» All loans regulated by Italian law, fully drawn, where the first installment has already been paid, denominated in EUR and originated by Banca Popolare di Vicenza S.p.A. and Banca Nuova S.p.A. through their branches.» No subsidized, agrarian or syndicated loans included.» All loans with an outstanding amount ranging from EUR 3,000 to EUR 60 million.» No loan delinquent by more than 31 days as of 30 September 2015.» No loan granted in favour of employees of the Banca Popolare di Vicenza Banking Group or in favour of companies belonging to the Banca Popolare di Vicenza Banking Group. In addition, some of the key representations that originators make on the loans include the following:» The Originators are the unconditional owners of the Loans transferred to the Issuer, which are valid and existing and free of any burden or other right of any third party.» The Originators undertake to refrain from carrying out activities that may prejudice the validity or recoverability of the Loans transferred to the Issuer.» The Originators will indemnify the Issuer in case of clawback of payments made by the Borrowers.» The Originators represent that every Loan has been granted for the purpose of the Borrowers business activity and they have not been used to invest in Banca Popolare di Vicenza S.p.A. shares. Special situations: Fractionated loans: around 5.9% of pool is represented by loans that result from a largest loan to a real estate borrower that split the original loan into smaller pieces that may be then passed to new borrowers (i.e. buyers). Please see details in the Treatment of Concerns section. Additional information on borrowers: Top Debtor Concentration 4.0% Top 10 Debtors 23.4% Top 20 Debtors 33.3% Industry Concentration 38.4% Construction and Building (RED accounting for 27.3%), 12.2% Services: Business and 11.9% Beverage, Food & Tobacco Geographic Diversity 46.2% Veneto Additional information on portfolio: Number of Contracts 5,293 Type of Contracts Secured by first lien mortgage (63%) Contract Amortisation Type 94.6% French amortization % Bullet Loans 0.7% % Large Corporates (according to the 37.4% Originators internal definition) % Real Estate Developers 27.3% WA Interest Rate 2.6% margin for floating, 5.4% for fixed loans WA Internal Rating B1 Credit Analysis Precedent transactions performance :» Banca Popolare di Vicenza S.p.A. and Banca Nuova S.p.A. originated another SME transaction in 2013, not rated by Moody s. Data quantity and content:» We received yearly vintage default data on both the secured and unsecured sub-pools, covering from 2004 to 2015 (see Exhibit 10 and 11). Data was compiled using a default definition that is not strictly objective (i.e. it inludes loans in sofferenza which basically equals to insolvency) which however is aligned with the default definition used in the transaction.» In addition, we received information about the recoveries (only open files), covering from 2003 to 2015, and split by sub-pool (see Exhibit 12 and 13). In our view, the quantity and quality of data received is below average compared to transactions that have achieved investment grade ratings in this sector. EXHIBIT 10 Cumulative default rate (secured pool) Year 2004 Year 2005 Year 2006 Year 2007 Year 2008 Year 2009 Year 2010 Year 2011 Year 2012 Year 2013 Year 2014 Year % 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Source: data provided by servicers 14 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

15 EXHIBIT 11 Cumulative default rate (unsecured pool) 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% Year 2004 Year 2005 Year 2006 Year 2007 Year 2008 Year 2009 Year 2010 Year 2011 Year 2012 Year 2013 Year 2014 Year % Source: data provided by servicers EXHIBIT 12 Cumulative recoveries (secured pool) Year 2003 Year 2004 Year 2005 Year 2006 Year 2007 Year 2008 Year 2009 Year 2010 Year 2011 Year 2012 Year 2013 Year 2014 Year % 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% Source: data provided by servicers EXHIBIT 13 Cumulative recoveries (unsecured pool) Year 2003 Year 2004 Year 2005 Year 2006 Year 2007 Year 2008 Year 2009 Year 2010 Year 2011 Year 2012 Year 2013 Year 2014 Year % 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% Source: data provided by servicers 15 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

16 Default definition: Defaulted Claims means for this transaction (a) any receivable which has been classified as "defaulted" (credito in sofferenza) pursuant to the Bank of Italy s supervisory regulations; or (b) any receivable which has been in arrears for more than 270 days. Assumptions Default Distribution Monte Carlo simulated default distribution Default Rate 22.3% Default Definition 270 days in arrears Standard Deviation/Mean 40.9% Timing of Default Flat over WAL Recovery 45% Recovery Standard Deviation 20% Recovery Lag Spread over around 9 year with WA recovery timing of 7 year Correlation Defaults/Recoveries 10% Conditional Prepayment Rate (CPR) 10% Amortisation Profile Amortization vector with a weighted average life of 4.9 years Portfolio yield Stressed yield vector considering renegotiations flexibility Fees 0.2%, 250.7k EUR Euribor 4% PDL Definition not applicable Modeling approach: Default distribution: The first step in our analysis was to define a default distribution for the pool of securitized loans. Due to the high concentration in the pool, Moody s used normal Monte Carlo derived distribution. Derivation of default rate assumption: We extrapolated the yearly default vintage data for secured and unsecured loans to define the cumulative default curve for each of the origination vintages. Moreover, we complemented the above analysis with a top-down approach, as typically applied by Moody s when rating SME loan transactions and as described in more detail in Moody s methodology report Moody s Global Approach to Rating SME Balance Sheet Securitizations, October Starting from Italy s base rating proxy for SMEs of Ba2, we split the portfolio into sub-pools based on (1) the size of the companies (assuming one notch down for micro-sized SMEs), and (2) the borrowers sector of activity. For example, we applied a ¾ notch penalty to loans whose underlying borrower was active in the construction and real estate sector, and 1 notch penalty was applied for those borrowers classified as real estate developers, whereas we applied a half a notch benefit to borrowers active in Beverage, Food& Tobacco. We also adjusted our assumption to take into account the still weak economic environment and its potential impact on the portfolio future performance as well as the originator underwriting capabilities. As a result, we expect an average portfolio credit quality equivalent to a B2 proxy for an average life of approximately 4.7 years for the portfolio. This translates into a gross cumulative default rate of around 22%. Standard deviation: In order to determine the transaction s default distribution, we ran a Monte Carlo simulation (using the Moody s CDOROM ) based on the securitized portfolio s actual loan-by loan information to capture the pool concentrations in terms of single obligors and industry segments. We used, inter alia, the loan-by-loan default probabilities (i.e. outcome of Moody s top-down approach), the borrower industry sectors, the weighted average life and a probabilistic correlation framework (what leads to a synthetic portfolio credit enhancement of around 37%). Timing of default: As per the timing of defaults, we assumed a flat curve, spread over the portfolio average life. Derivation of recovery rate assumption: We analyzed the historical recoveries data as provided by the originators. The yearly vintage recoveries data covers only closed files, hence the number of observations for some vintages was fairly limited. As such we also tested an alternative method of estimating potential recoveries, specifically focusing on the first rank mortgage sub-pool. Based on the contract-bycontract information provided and the asset values available of the property underlying the contract, we applied house-price stresses based on relevant property type (e.g. residential or commercial). Based on this analysis, which we combined with historical recovery information and benchmarked against other transactions, we assumed stochastic mean recovery rate of 45% and a standard deviation of 20%. The recovery timing was assumed to be as follows: 10% after 4.5 years, 15% after 5.5 years, 35% after 6.5 years, 20% after 8 years and 20% after 9 years, resulting in a weighted average timing to recovery of 7 years. Prepayments: Based on historical prepayment information and based on benchmarking with other originators, Moody s assumed a CPR at a level of 10% p.a. Tranching of the notes: To derive the level of losses on the notes, we applied the specific loss distribution obtained from the default distribution and the stochastic recovery distribution to numerous default scenarios on the asset side. The exhibit below represents the default distribution (green line) we have used in its modeling of the deal. EXHIBIT 14 Default Probability Distribution Loss 30% 25% 20% 15% 10% 5% 0% 0% 20% 40% 60% Source: Moody s Loss Percentage Default Distribution 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% We have considered (1) how the cash flows generated by the collateral are allocated to the parties within the transaction, Probability 16 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

17 and (2) the extent to which various structural features of the transaction might themselves provide additional protection to investors, or act as a source of risk. To determine the rating assigned to the notes, we have used an expected loss methodology that reflects the probability of default for the notes times the severity of the loss expected for the notes. In order to allocate losses to the notes in accordance with their priority of payment and relative size, we have used a cash-flow model (ABSROM) that reproduces many deal-specific characteristics: the main input parameters of the model have been described above. Weighting each default scenario s severity result on the notes with its probability of occurrence, we have calculated the expected loss level for the notes as well as the expected average life. We have then compared the quantitative values to the Moody s Idealised Expected Loss table to determine the ratings assigned to the notes. The blue line in Exhibit 14 represents the loss suffered by the Class A notes (in our modeling) for each default scenario on the default distribution curve. For default scenarios up to 60.5%, the line is flat at zero, hence the Class A notes is not suffering any loss. The steepness of the curve then indicates the speed of the increase of losses suffered by the Class A. The rating of the notes has therefore been based on an analysis of:» The characteristics of the securitized pool;» Macroeconomic environment;» Sector-wide and originator specific performance data;» Protection provided by credit enhancement and liquidity support against defaults and arrears in the pool; and» The legal and structural integrity of the issue. Treatment of Concerns:» Exposure to real estate borrowers and fractionated loans: Approximately 38% of the portfolio is exposed to the building and real estate sector (according to our industry classification) and around 5.9% result from a frazionamento. In the implementation of the top down approach, we assumed a higher default probability for these borrowers and these loans, as opposed to all other obligors and loans.» Renegotiation of loan terms: The servicer is allowed, as per the servicing agreement provisions, to negotiate with the borrowers some loans terms and conditions. The transaction documentation however provides for certain caps that would limit the servicer capacity to significantly change the securitized portfolio profile. For margin/yield renegotiations, Moody s has defined certain worst possible scenarios.» Margin compression due to prepayments and loan repurchases: Assuming 50% margin compression (i.e. 50% of CPR applied to highest interest rate paying loans), the original fixed rate yield vector was assumed to reduce by 0.10% and the original floating rate margin vector was assumed to reduce by 0.21% in each period.» Interest Rate Risk: Since there is no hedging agreement in place and given the discrepancies between the interest rates paid by borrowers on the loans compared to the 6M EURIBOR payable on the notes, investors are exposed to interest rate basis risk. Moody s analysed this risk and considers that the credit enhancement available to the Class A notes is sufficient to cover this additional risk inherent in the structure.» Set-off risk: Potential losses which could arise if borrowers exercise set-off and the originator does not indemnify the SPV, are mitigated by the available credit enhancement below the Class A notes. In order to model the set-off risk from the portfolio Moody s assumed based on borrower-by-borrower information on potential net set-of claims of around 2%. In default scenarios where the entity would be insolvent we assumed that cash flows available to the SPV would be reduced by the potential set-off exposure. The structure was resilient to this test due to the available credit enhancement.» Commingling Risk: Funds are then swept daily into the Issuer s account. In order to treat potential exposure to commingling risk, Moody s modelled the loss of the equivalent amount of 1 month collections upon the servicer default.» Debtors in Arrears on exposures with other banks: As of valuation date (30 September 2015), all of the borrowers were classified as in bonis within the Bank of Italy (Centrale dei Rischi). However, as of 29 February 2016 for less than 1% of the portfolio volume the relevant debtor was in arrears with any of their debt at other Italian banks (according to the Bank of Italy information). Moody s applied an additional stress for all those loans by assuming a Ca proxy rating. However, the overall impact on Moody s mean default assumption is minimal due to the very limited pool portion affected. Benchmarking Analysis Performance relative to sector Italian SME loan receivable transactions rated by Moody s are still relatively young; hence, it is difficult for Moody s to compare this transaction to the performance of other Italian SME loan receivables securitizations. 17 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

18 Benchmark table BPL Mortgages Lanterna Finance Credico Finance 15 Deal Name Berica PMI 2 S.r.l. S.rl. (2014 SME) 1 S.r.l. Abruzzo 2015 SME Siena PMI 2015 S.r.l. Country Italy Italy Italy Italy Italy Italy Closing Date or Rating Review Date Currency of Rated Issuance Rated Notes Volume (excluding NR and Equity) Originator/Servicer 03/30/2016 2/26/2016 2/12/ /8/ /7/ /12/2014 EUR EUR EUR EUR EUR EUR 640M M million 322.9M M 163.9M 5 banks belonging to the Carige Group Banca Popolare di Vicenza, Banca Nuova Banco Popolare Societa Cooperativa, Credito Bergamasco S.p.A. (merged into BP on June 1st 2014) Long-term Rating NR Ba2 Caa1 (Banca Banca Tercas and Banca Caripe N/R B3 NR Carige S.p.A) Short-term NR NP NP N/R N/R NR Rating Name of separate Cash Administrator1 Elavon Financial Services BNP Paribas Securities Services BNP Paribas Securities Services BNP Paribas Securities Services BNP Paribas Securities Services Long-term Rating Aa2 A1 A1 A1 A1 A1 MPS 14 BCCs BNP Paribas Securities Services Short-term P-1 P-1 P-1 P-1 P-1 P-1 Rating Portfolio 02/29/2016 1/25/ /18/2015 7/23/2015 6/26/ /11/2014 Information (as of [...] ) Currency of EUR EUR EUR EUR EUR EUR securitised pool balance Securitised Pool 1,042.1M 3,461.6M 712.5M 547 M 3,002 M 297.8M Balance ("Total Pool") 2 Floating rate 97.6% 93.2% 87.40% 90.20% 88.38% 94.02% contracts % WAL of Total Pool initially (in years) WA seasoning (in years) No. of contracts 5,293 31,560 8,597 34,671 24,683 3,503 Obligor Information (as % Total Pool) No. of obligors 4,293 (by borrower group) Name 1st largest industry Size % 1st largest industry Effective Number (obligor group level) Single obligor (group) concentration % Construction & Building 27,511 6,243 3,607 22,497 3,152 Construction & Building Construction & Building Construction & Building Construction & Building Construction & Building 38.4% 54.10% 53.40% 39.40% 27.02% 22.47% 114 1, ,098 4% 0.54% 1.70% 2.40% 4.12% 0.63% 18 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

19 Benchmark table Deal Name Berica PMI 2 S.r.l. BPL Mortgages S.rl. (2014 SME) 1 Lanterna Finance S.r.l. Abruzzo 2015 SME Siena PMI 2015 Credico Finance 15 S.r.l. Top 10 obligor 23.4% 4.24% 8.53% 13.26% 10.91% 4.25% (group) concentration % Collateral Information (as % Total Pool) Portfolio share 76.1% (63.1% first 77% 66% 72.00% 12.00% 65.44% that is collateralised (in exposure) lien) Geographical Stratification (as % Total Pool) Name 1st largest Veneto Lombardia Liguria Abruzzo Tuscany Emilia Romagna region Size % 1st largest 46.5% 33.10% 45% 79.70% 21.92% 23.86% region Asset Assumptions Type of default / Monte Carlo Inverse Normal Monte Carlo Inverse Normal Inverse Normal Inverse Normal loss distribution Mean gross default 22.3% 20.30% 19.96% 21.61% 16.45% 18.80% rate - initial pool CoV 40.9% 52.00% 55% 41.61% 40.30% 43% Mean recovery 45% 55% 40% 40% 35% 45% rate Recovery lag (in months) Payment Semi-annual Quarter Quarter Quarter Quarter Quarter frequency under the Notes Size of credit RF up 3.3% 4.8% 1.33% 1.69% 1.20% 4% front (as % of Total Pool) Principal available Yes Yes Yes Yes Yes Yes to pay interest? Set-off risk? Yes Yes Yes Yes Yes Yes Commingling Risk? Yes Yes Yes Yes Yes Yes Back-up servicer Yes No Yes Yes Yes Yes (BUS) Swap in place? No No No No No No Capital structure (as % Total Pool) Size of: Aa rated-class 54% (Aa2) 59% (Aa2) 47.1% (Aa2) A rated-class 54.6% (A1) 64.9% (A1) 13.7% (A3) 55% (A2) Baa ratedclass Ba rated-class 7.8% (Baa1) 9.5% (Ba1) Equity/NR 45.4% 27% 46.6% 42.78% 29.60% 45% Notes 1 Note that BPL Mortgages S.rl. (2014 SME) has been recently restructured. For more information please see 2 As of closing date, except in the case of Berica PMI 2 S.r.l. (as of 29 February 2016). 19 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

20 Parameter Sensitivities Parameter Sensitivities provide a quantitative, model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather, how the initial rating of the security might differ as certain key parameters vary. As we also take qualitative factors into consideration in the ratings process, the actual ratings that we assign in each case could differ from the ratings that the parameter sensitivity analysis implies. Model output sensitivity: Parameter sensitivities for this transaction have been calculated in the following manner: Moody s tested 9 scenarios derived from the combination of mean default: 22.3% (base case, corresponding to B2), 25.4% (corresponding to B3), 28.7% (corresponding to B3) and recovery rate: 45% (base case), 40% (base case - 5%), 35% (base case -10%). The 22.3% /45% scenario would represent the base case assumptions used in the initial rating process. Table 2 below show the parameter sensitivities for this transaction with respect to the rated notes. TABLE 2* Tranche A lengthening of the recovery process and marked deterioration of the pool performance. Counterparty Rating Triggers Condition Remedies Account Bank (except for the expenses and quota capital account)/ Paying Agent Loss of Baa3 or P-3 Replace Monitoring report: Data Quality:» Investor report format finalized and discussed with Moody s analyst.» The report includes all necessary information for Moody s to monitor the transaction.» Undertaking to provide ECB with updated pool cut on a periodical basis. Data Availability:» Investor report provided by the computation agent 5 business days after each payment date.» The frequency of the publication of the investor report is semi-annually.» Investor reports publicly available on the computation agent website. Recovery Rate Mean Default 45% 40% 35% 22.3% A1* A1 (0) A1 (0) 25.4% A1 (0) A1 (0) A2 (-1) 28.7% A2 (-1) A3 (-2) A3 (-2) * Results under base case assumptions indicated by asterisk ' * '; Change in model output (# of notches) is noted in parentheses. * The rating of the Class A notes is capped at A1(sf). See Eligible investments under the section Assets. Worse case scenarios: At the time the rating was assigned, the model output indicated that Class A would have achieved A3 if mean default had been as high as 28.7% with a recovery as low as 35% (all other factors unchanged). Monitoring Moody s will monitor the transaction on an ongoing basis to ensure that it continues to perform in the manner expected, including checking all supporting ratings and reviewing periodic servicing reports. Any subsequent changes in the rating will be publicly announced and disseminated through Moody s Client Service Desk. Originator linkage: The originators will act as servicers, but Banca Popolare di Vicenza S.p.a. will act as master servicer and a back-up servicer is in place since closing. Moreover, Banca Popolare di Vicenza S.p.A. will act as account bank for the expenses, cash manager and quota capital account Significant influences: The following factors may have a significant impact on the subject transaction s rating: 20 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

21 Moody s Related Research For a more detailed explanation of Moody s approach to this type of transaction as well as similar transactions please refer to the following reports: Methodology Used:» Moody s Global Approach to Rating SME Balance Sheet Securitizations, October 2015 (SF418754) Cross Sector Rating Methodologies:» Moody s Approach to Temporary Use of Cash in Structured Finance Transactions: Eligible Investments and Account Banks, December 2015 (SF421520)» Moody s Approach to Assessing Set-off Risk for EMEA Securitisation and Covered Bonds Transactions, March 2015 (SF398387) To access any of these reports, click on the entry above. Note that these references are current as of the date of publication of this report and that more recent reports may be available. All research may not be available to all clients. 21 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

22 Appendix 1: Summary of Originator s Underwriting Policies and Procedures Originator Ability At Closing Sales and Marketing Practices Origination Channels: 100% branch Underwriting Procedures % of Loans Manually Underwritten: 100% manually underwritten. There is no automatic approval process in place Ratio of Loans Underwritten per FTE* per Day: Not made available Average Experience in Underwriting or Tenure with Not made available Company** Approval Rate: Not made available Percentage of Exceptions to Underwriting Policies: There is no automatic approval process in place; an exception to the standard policy outcome results in an escalation of the decision-making body with subsequent ad-hoc evaluation of the specific dossier Underwriting Policies Source of Credit History Checks: Centrale dei Rischi, external credit bureaus (ie. Cerved, CRIF) and internal database Use of Internal Ratings: Yes Methods Used to Assess Borrowers Repayment Analysis of economic and financial situation, business and financial plans, guarantees, etc. Capabilities: Other Borrower s Exposures (i.e. other debts) Taken Yes, through the analysis of the financial statements of the borrower into Account in Affordability Calculations: Risk Adjusted Pricing Applied: N/A Maximum Loan Size: Depending on the originator, the credit score assigned to the loan application and the presence of guarantees, any loan application higher than a certain threshold is assessed by the headquarter Collateral Requirement Policy Valuation Types Used for Secured Loans & LTV Limits: Valuation Types & Procedure for Construction Loans & LTV Limits: Collateral Valuation Policies and Procedures Value in the LTV Calculation: Full valuation with on-site inspection performed by external approved primary appraisers Max LTV of 50% for secured loans to corporate and enterprises with escalation of the decision-making body in case of exceptions above such threshold All securitized mortgage loans are backed by fully completed properties At origination, the appraisal value derived by the on-site inspection. However, the following valuation updates are usually carried out through automatic valuations (not on-site) Type, Qualification and Appointment of Valuers: Monitoring of Quality of Valuers: External independent approved appraisers Quarterly review on a sample of appraisals performed by internal functions Credit Risk Management Reporting Line of Chief Risk Officer: Internal Rating System: Approach Adopted under Basel II: Segmentation of the Portfolio by Rating Models: To CEO Yes Standard (the process of validation of the Advanced Internal Rating Based system is currently ongoing) The internal rating model includes 5 probability of default models by counterparty (Large Corporate, SME Corporate, SME Retail, Small Business, Private) and 2 loss given default models by loan (Private and Corporates) Validation of the Model: * FTE: Full Time Employee ** Credit department personnel Validation process by Bank of Italy currently ongoing and subject to regular back-testing and performance tests by the originator Originator Stability: At Closing Quality Controls and Audits Responsibility of Quality Assurance: Number of Files per Underwriter per Month Being Monitored: Management Strength and Staff Quality Average Turnover of Underwriters: Training of New Hires and Existing Staff: Technology Frequency of Disaster Recovery Plan Test: Independent internal audit function Not made available Not made available Induction training and ongoing training At least annually 22 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

23 Appendix 2: Summary of Servicer s Collection Procedures Servicer Ability Loan Administration At Closing Entities Involved in Loan Administration: Relationship Manager and branches Early Stage Arrears Practices Entities Involved in Early Stage Arrears: Relationship Manager and branches Definition of Arrears: Arrears Strategy for 1-29 Days Delinquent Relationship Manager proactively addresses anomalies Arrears Strategy for 30 to 59 Days Delinquent Relationship Manager proposes actions to reduce the exposure and improve the risk profile Arrears Strategy for 60 to 89 Days Delinquent Relationship Manager proposes actions to reduce the exposure and improve the risk profile Loss Mitigation and Asset Management Practices: Transfer of a Loan to the Late Stage Arrears Team: Credit Surveillance team carefully monitors the situation and updates the classification of the loan Entities Involved in Late Stage Arrears: For amounts up to 250,000, the watch list are managed at branch level on the basis of instructions provided by the Area Anomalous Credit Analysts; for exposures above 250,000, Central Office Anomalous Credit Analysts are responsible Ratio of Loans per Collector (FTE): Not made available Time from First Default to Litigation and from Not made available Litigation to Sale: Average Recovery Rate: Approximately 75% on average for secured loans and 45% on average for unsecured loans to SMEs and corporates Servicer Stability Management and Staff Average Experience in Servicing or Tenure with Company: Training of New Hires Specific to the Servicing Function (i.e. excluding the company induction training) Quality Control and Audit Responsibility of Quality Assurance: At Closing Not made available Induction training and ongoing training Independent internal audit function 23 APRIL NEW ISSUE REPORT: BERICA PMI 2 S.R.L..

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