Berica Funding 2016 S.r.l.

Rating Report Berica Funding 2016 S.r.l. Rehanna Sameja Vice President European RMBS +44 207 855 6677 Global Structured Finance rsameja@dbrs.com Antonio Di Marco Senior Financial Analyst European Surveillance RMBS/ABS +44 207 855 6696 Global Structured Finance adimarco@dbrs.com Mark Wilder Senior Vice President European Operational Risk +44 207 855 6638 Global Structured Finance mwilder@dbrs.com Vito Natale, CFA, FRM Senior Vice President Head of EU RMBS & CBs Global Structured Finance +44 20 7855 6649 vnatale@dbrs.com Ratings and Issuer s Assets and Liabilities Debt Par Amount 1 Subordination 2 Coupon ISIN Rating Rating Action Class A Notes EUR 709,768,131 35.12% EUR3M+1.25% IT0005160848 AA (high) (sf) New Rating Class B Notes EUR 119,200,000 24.23% EUR3M+2.00% IT0005160871 A (high) (sf) New Rating Class C Notes EUR 79,800,000 16.93% EUR3M+2.50% IT0005160855 BBB (high) (sf) New Rating Class J Notes EUR 185,265,000 -- EUR3M+3.00% IT0005160889 -- -- Notes: 1 As of 31 January 2017. 2 The credit enhancement for the Class A Notes is provided by subordination of the Class B Notes, Class C Notes and the Class J Notes. The credit enhancement for the Class B Notes is provided by subordination of the Class C Notes and the Class J Notes. The credit enhancement for the Class C Notes is provided by subordination of the the Class J Notes. Initial Amount (EUR) Size Current Portfolio Balance (24 February 2017) 1,080,168,029.48 100% Cash Reserve 28,744,851.30 3% of the Principal Amount Outstanding of the Rated Notes as of previous Payment Date DBRS Ratings Limited (DBRS) has assigned ratings to the Class A, Class B and Class C notes issued by Berica Funding 2016 S.r.l. (the Issuer), a special purpose vechicle established under Italian securitisation law. The notes are backed by Italian residential mortgage loans sold by Banca Popolare di Vicenza S.p.A. (BPVi) and Banca Nuova S.p.A. (BN) (the Sellers). The transaction closed and the portfolio was sold to the Issuer on 29 January 2016. At closing the Class A Notes ( The Senior Notes ), the Class B and Class C Notes ( The Mezzanine Notes ), together (the Rated Notes ) and the Class J Notes ( The Junior Notes ) were issued to finance the purchase of the portfolio. The reserve fund was fully funded through the issuance of a subordinated loan. The portfolio is serviced by BPVi and BN ( The Servicers ), with BPVi as master servicer. Principal payment on the rated notes is paid on a sequential basis, with payment of principal of Class B notes subordinated to payment of principal on Class A notes at all times. At closing the Class A notes benefited from 30.10% credit enhancement that consisted of the subordination of the Class B, C and J notes. The Class B notes benefited from 20.76% credit enhancement by part of the subordination of the Class C and J notes. The Class C notes benefited from 14.51% credit enhancement provided by subordination of the J Notes. Credit enhancement levels, as shown in the table above, have increased due to the pay down of the A notes since closing. The reserve fund provides liquidity support and can be used for senior fees and expenses and interest payments on the Rated Notes. The reserve fund amortises with the Rated Notes and is sized at 3.00% of the rated notes balance with a floor of 1% of the initial balance of the rated notes. In order to hedge the basis and fixed to floating interest rate risk, the Issuer entered into a series of hedging agreements with JP Morgan Securities Plc with JP Morgan Chase Bank N.A. operating as hedging guarantor. Portfolio Summary (as of 24 February 2017) Portfolio Balance EUR 1,080,168,029.48 Asset Class RMBS Average Balance per Borrower EUR 88,393.46 Governing Jurisdiction Republic of Italy Weighted Average Seasoning 5.65 years Sovereign Rating BBB (high) Weighted Average Current LTV 51.43%

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 2 Table of Contents Ratings and Issuer s Assets and Liabilities 1 Transaction Overview 2 Rating Considerations 3 Origination and Servicing 4 Transaction Structure 7 Collateral Summary 11 Historical Performance Data 15 Rating Analysis 18 Appendix 21 Transaction Overview Transaction Parties Roles Counterparty Rating Issuer: Berica Funding 2016 s.r.l NA Originators/Sellers: Servicers: Banca Popolare Di Vicenza S.c.p.a. Banca Nuova S.p.a. Banca Popolare Di Vicenza S.c.p.a. Banca Nuova S.p.a. B(high) UR-Neg./R-4 UR-Neg N/A B(high) UR-Neg./R-4 UR-Neg N/A Master Servicer: Banca Popolare Di Vicenza S.c.p.a. B(high) UR-Neg./R-4 UR-Neg Back-Up Servicer: Zenith Services S.p.a N/A Back-Up Servicer Facilitator: 130 Finance S.r.l N/A Collection Account Bank: Transaction Account Bank: Banca Popolare Di Vicenza S.c.p.a. Banca Nuova S.p.a. Elavon Financial Services Ltd, UK Branch N/A Private rating Cash Manager: Banca Popolare Di Vicenza S.c.p.a. B(high) UR-Neg./R-4 UR-Neg Calculation Agent, Principal Paying Agent and Paying Agent: Elavon Financial Services Ltd, UK Branch Private rating Swap Counterparty: J.P. Morgan Securities PLC Private rating Swap Guarantor: J.P. Morgan Chase Bank N.A AA/Stable /R-1 (high)/stable Trend Quotaholder: Special Purpose Entity Management S.r.l N/A Initial Noteholders: Banca Popolare Di Vicenza S.c.p.a. Banca Nuova S.p.a. B(high) UR-Neg./R-4 UR-Neg N/A Relevant Dates Issue Date 29 January 2016 Payment Dates 31 January, 30 April, 31 July and 31 October in each year Legal Final Maturity Date Payment Date falling in October 2070

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 3 Rating Considerations The rating of the Class A notes addresses timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The ratings of the Class B notes and the Class C notes address ultimate payment of interest and principal on or before the legal final maturity date. DBRS has based the rating on: The transaction capital structure, form and sufficiency of available credit enhancement and liquidity provisions. The static portfolio characteristic demonstrated by the current pool data. The European RMBS Credit Model was used to estimate the expected probability of default (PD), loss given default (LGD) and expected loss. The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as replacement language in the transaction documents. The transaction s ability to withstand stressed cash flow assumptions and repay investors in accordance with the Terms and Conditions of the notes. Incorporation of a sovereign-related stress component in the stress scenarios as a result of the BBB (high) rating assigned by DBRS to the Republic of Italy). The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and consistency with DBRS s Legal Criteria for European Structured Finance Transactions methodology. Strengths Credit enhancement and liquidity for the rated notes: Credit enhancement is provided in the form of subordination of the notes. Based on the notes currently outstanding, credit enhancement is calculated as 35.12% for the Class A notes, 24.23% for the Class B notes and 16.93% for the Class C notes. The combined waterfall allows principal to be used to meet any shortfalls on senior fees and/or interest on the Rated Notes. The amortising cash reserve was fully funded at closing and currently has amortised with the notes to EUR 28,744,851 (3.00% of the Rated Notes prior to any principal payment distributions).the reserve provides liquidity support to the Rated Notes. However, it will not provide liquidity support for Class B and Class C if the respective deferral trigger is met. The reserve can be used to pay principal in the period that the Class A, the Class B and the Class C notes are to be paid off in full (only if there are insufficient proceeds from the collateral and any deferral trigger will not be met). DBRS does not view the cash reserve as providing credit enhancement to the Rated Notes given the priority of reserve replenishment in the combined waterfall which is above principal payment. Combined waterfall and fully liquidating structure: The waterfall for payments of senior fees, interest and principal on the Rated Notes combines both revenue and principal receipts from the mortgage portfolio. Only when all principal on the Class A, Class B and Class C notes has been paid in full, the available funds can be used to pay interest to the Class J note holders. This is considered positive as excess spread, if any, can be used to pay down principal on the Rated Notes. All other things being equal this will lead to a faster pay-down of the notes and an increase in credit enhancement. Low Current Loan-to-Value: The mortgage portfolio has an unindexed weighted-average current LTV (WACLTV) of 51.43% and a weighted-average original LTV (WAOLTV) of 58.03%. Italian RMBS are characterised by low LTVs compared with other European RMBS. Low LTV is considered a strength, as borrowers with lower LTVs typically tend to exhibit lower default rates compared with borrowers with higher LTVs. Seasoned Portfolio: The portfolio is highly seasoned with a weighted average seasoning of 5.65 years. Challenges and Mitigating Factors Renegotiations: Under the terms of the servicing contracts, loans not classified as defaulted can be renegotiated up to predefined portfolio limits. These renegotiations can include spread reduction for floating-rate loans, rate reduction for fixed interest rate paying loans, interest rate switch from floating to fixed and vice versa. Specific details of the nature of permitted renegotiations and the limits associated are detailed in the transaction documentation. Mitigants: The renegotiation of the mortgages is a standard feature in the Italian RMBS market and DBRS has assessed the impact by modelling margin compression, loan term modification and payment holidays in line with the documented limits. Partially unhedged transaction: 17.04% of the loans pay a fixed rate of interest for life, 6.80% have a capped rate, and 7.58% are optional loans (the client decides which type of rate fixed or variable to apply for the first 3 years of the loan and every 4, 7, 10, 15, 20 and eventually, 25 years). In contrast the interest on the Rated Notes is indexed to 3 months Euribor. Mitigant: The Issuer has entered into a fixed-floating swap and basis swaps with JP Morgan Securities Plc to mitigate fixed and basis interest rate risk. The fixed-floating swap documents reflect DBRS s Derivate Criteria for European Structured Finance Transactions; however, the two basis swaps are not in full compliance. For the purpose of the cash flow analysis,

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 4 DBRS has assumed that the basis risk in this transaction is unhedged. DBRS has modelled the interest rate using its Unified Interest Rate Methodology. Borrower Employment Status: 33.38% of the portfolio has been granted to borrowers who are either unemployed (1.80%), self-employed (25.26%), retired (2.43%), student (0.16%) or unclassified (3.74%). Mitigants: DBRS assumed a higher probability of default for such borrowers in line with DBRS s Italian RMBS criteria. Purpose: DBRS has considered all purposes other than the purchase of a primary residence to be debt/equity re-mortgages for the collateral analysis due to uncertainty about the true purpose of such loans. Approximately 12.4% of the mortgage portfolio. Mitigants: As such these loans receive the PD adjustment in the EU RMBS credit model. Foreign Nationals: 4.45% of the portfolio consist of loans granted to foreign nationals, which historically, have demonstrated poorer performance compared to Italian nationals. Historical performance showed a further deterioration for Non OCSE citizens which accounts for 3.83% of the portfolio. Mitigants: The calculated two-year PD for the foreign nationals is higher than for Italian nationals and further split by OCSE/ Non OCSE citizens, compared to Italian nationals. This has increased the entire pool weighted-average two-year PD. First lien loans with no property valuation amount: 2.7% of the portfolio are first lien loans where no property valuation amount is available. Mitigants: DBRS has relied on the underwriting policy in evaluating the valuation for such loans. The originators underwriting Poilices state that the maximum permitted LTV is usually 80%. Although some products allow for LTV of 100%, no such loans have been included in the portfolio. Second Lien Loans: 1.6% of the portfolio are second lien loans for which no information was available on prior rank balance and where valuatuion amounts are unknown. Mitigants: DBRS assumed 100% default probability, loss given default and expected loss for such loans. Origination and Servicing DBRS reviewed Banca Popolare di Vicenza s (BPVi or the bank) Italian residential mortgage operations in March 2017. DBRS previously conducted operational reviews of BPVi s mortgage and SME operations in 2015, 2014, 2012 and 2011 in relation to previous Berica transactions rated by DBRS. DBRS considers the origination and servicing practices observed at BPVi to be consistent with the overall Italian mortgage market. BPVi is the oldest bank in Vicenza incorporated in 1866 and the first banca popolare in the Veneto region. Through organic growth and various acquisitions the bank extended its branch network across north-eastern Italy. Further expansion into central and southern Italy, specifically Sicily, started in 2000 with the acquisition of Banca Nuova (BN). This followed in 2001 with the acquisition of Banca del Popolo di Trapani (west Sicily), Cassa di Risparmio di Prato at the end of 2002. BPVi expanded into Bergamo and Brescia with the purchase of 61 branches from UBI Banca in 2007. Since 2001, BPVi has issued 14 Italian securitisations with an aggregate balance of approximately EUR 11bn under the Berica programme. RMBS represents the bulk of the transactions. As of end-december 2016, BPVi is the eleventh largest banking group in Italy by total assets and number of branches. The bank s structure involves 16 regional areas, deeply rooted in Veneto and throughout the North-East region, overseeing 541 points of sale including branches, financial shops and private banking centres. As at 31 December 2016 the bank s mortgage portfolio included 84,226 residential mortgage loans granted to individuals for an aggregate outstanding balance of approximately EUR 7.3bn. DBRS confirmed BPVi s long-term and issuer rating of B (High) with a negative trend in March 2017 and maintained the bank Under Review with Negative Implications. More information regarding the bank s ratings can be found on www.dbrs.com. Origination & Underwriting Loans are sourced through the branches of either BPVi or BN with a minor presence of external channels. The marketing strategy of the BPVi Group is mainly based on its direct commercial network, composed of 541 points of sale split between 502 branches and 39 other finance shops and private banking points. Within each branch there are employees with specific skills and experience for the development of the retail segment and experience among the branch staff is averaging over six years.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 5 To support the activity of the branches, targeted advertisement campaigns are conducted by the BPVi group which feature traditional marketing channels. The loan request process starts by filling out an application form with information about the customer and the requested loan. The application is then submitted to the competent bodies at the branch or area level only if mandatory information is provided as outlined in the group s credit policy and after all appropriate credit checks have been conducted including searches of national and external credit bureaux. BPVi offers standard mortgage loan products consistent with the wider Italian market including fixed and variable interest rates as well as monthly, quarterly and semi-annual payment frequencies although the vast majority of loans are on monthly schedules. Loan to value (LTV) levels are generally capped at 80% with higher LTVs requiring approval outside the branch. For mortgages to individuals born outside a country belonging to the Organisation for Economic Co-operation and Development (OECD) the maximum LTV is 60% and the approval is escalated to the Credit Area Manager (or, in exceptional circumstances, to the Non-anomalous Credit Direction when the maximum LTV limit is exceeded). Underwriting Underwriting is performed at the branch level and is fairly automated using internally developed scorecards. Standard income verification procedures are in place including collection of pay slips and income statements, and the verification process extends to all guarantors associated with the loan. National and external credit bureau data is assessed through the bank s credit scoring model. BPVi s underwriting guidelines are generally consistent with peers, with maximum DTI set around 35% and maximum LTV of 80% and lower for some products and borrowers deemed higher risk. For exceptions to the limits, i.e. the amount of loan granted exceeds the lending policy or LTV s in excess of 80% and DTI above 35%, the Credit Office Area Manager has the authority to approve the loan application. The main underwriting procedures include filing of the loan application at the branch level and data collection; due diligence and credit scoring including legal diligence and borrower identity checks and creditworthiness assessment and granting loan approval using results of credit scoring system and rating model. The documents reviewed as part of the underwriting process are consistent with the Italian market and include passport and/or national ID card, most recent income statement, payslips, bank statements and audited financial statements and incorporation documents for self-employed applicants and companies. Minimum operating history guidelines are also in place for self-employed borrowers. BPVi utilises a traffic light credit scoring system that classifies applications as green, yellow low risk, yellow high risk, or red based on the information received and the risk profile of the loan. The credit scoring system has been modified in 2015 and also incorporates the internal rating where applicable. The bank s credit scoring system also provides behavioural scoring functionality. Approval authority limits vary between BPVi and BN with lower levels for the southern bank (BN) are illustrated in the following table. Approval Body BPVi BN Green Yellow LR/HR Red Green Yellow LR/HR Red Small Branch 250,000 80,000/35,000 -- 90,000 6,000/2,400 -- Medium Branch 320,000 105,000/50,000 -- 130,000 8,000/3,000 -- Large Branch 500,000 165,000/75,000 -- 210,000 16,000/6,000 -- Regional Mgmt Office 3,000,000 2,000,000 1,000,000 600,000 400,000 200,000 The more conservative approval limits for BN are consistent with other Italian banking groups with significant southern exposure through subsidiary banks. Branches can exercise their approval authority only when certain conditions are met including LTV < 80%, DTI ratio < 35% and the borrower profile meets credit policy guidelines. Approval limits are based on loan size, size of branch and the credit score (red, yellow low risk, yellow high risk or green). Branch approval is not allowed for red cases and the retail market manager for BN only has approval up to EUR 15,000 with larger loans requiring approval at the regional office. Large branches have the highest approval authority with the limit for green cases set at EUR 500,000 for BPVi and EUR 210,000 for BN.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 6 Valuations Full, external valuations are carried out for every loan with the appraisals conducted by one of the national firms approved by the Bank of Italy. The content of the appraisal is determined by the letter of appointment prepared by BPVi and outlining the scope of work. BPVi has reduced the number of external valuers in order to focus on the companies that provide a more efficient result. Values are regularly monitored using statistical information provided by Nomisma and additional appraisals may be conducted for large loans consistent with regulatory guidelines. The bank has implemented an internal real estate unit in order to check and monitor the appraisal property value determined by external valuers. The real estate unit does this by checking a random sample of appraisal reports. The monitoring process includes checking that the requested information is completed correctly (format and content) and double checking that the data has been properly loaded on to the system. Previously these controls were performed by the Credit Unit. Summary Strengths Almost all of the loans sourced are through the group s branch network. Overrides or exceptions to credit policy are not allowed except for employees of the BPVi group which requires approval by the area manager or higher level at corporate headquarters. Servicing All servicing activities excluding primary borrower contact is centralised with BPVi s headquarters in Vicenza. Average experience among the servicing staff is consistent with the whole bank at over 10 years. Most general loan administration is automated including rate changes and the majority of loans have monthly payment schedules and pay via direct debit. Arrears and default rates are lower than average observed across the wider Italian market due in part to the conservative lending approach. BPVi follows central bank guidelines regarding the various delinquency and default classifications. Watch list loans (incaglio) up to EUR 250,000 are managed at the branch level using instruction provided by the area credit department while loans over EUR 250,000 are managed centrally within the group s anomalous credit department. Non-performing loans (sofferenza) are managed by the group s default, recovery and litigation operating team based at the bank s headquarters in Vicenza and with additional offices in Udine and Prato. External lawyers are used for legal enforcement and managed centrally within the department. Each employee within the default, recovery and litigation team manages approximately 400 defaulted loans and the ratio is managed by the team leader. The actual number of cases handled by each loan manager can vary based on the employee s experience and the size and complexity of the loan. Enforcement timelines and recovery rates are consistent with other Italian banks and BPVi averages less than five years to complete the enforcement process and sell the property. The average time varies by region and is generally shorter in the north and potentially longer in the south. Summary Strengths Majority of loans on monthly payment schedules and pay via direct debit. Opinion on Back Up Servicer Zenith Service SpA has been appointed the back-up servicer on the most recent Berica transactions. The back-up servicing agreement is considered warm per DBRS methodology and the agency believes the arrangement suitably addresses the potential servicing disruption concerns given BPVi s current financial condition. The warm designation is also based on the operational diligence and on-going oversight of BPVi conducted by Zenith. The backup servicer performed an onsite review of BPVi, and Zenith will receive electronic loan level data files from the bank semi-annually. The backup servicer also estimates the time needed to complete the post-invocation activities and actual servicing transfer to take just over one month. Zenith is registered as an Article 107 servicing company under Italian law and was founded in 1999. The servicer is based in Rome with an administrative office in Milan and employs 60 people with 40% dedicated to servicing.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 7 Zenith has been active in the Italian securitisation since 1999 as a special servicer, as a backup servicer for both structured finance transactions and covered bonds since 2008 and as a backup servicer facilitator and master servicer. The company is the named back-up servicer for ABS, RMBS and leasing transactions as well as covered bonds for a total EUR 9.4bn of AUM. Zenith currently employs 60 people with senior management, department head and staff experience levels averaging 22, 15 and 13 years respectively. Transaction Structure Transaction Summary Currencies Issuer s assets and liabilities are denominated in euros (EUR ) Relevant Legal Jurisdictions The Issuer is a securitisation fund incorporated under Italian securitisation law. Interest Rate and Basis Risk Hedging The Issuer has entered into a fixed-floating swap and basis swaps with the swap counterparty to hedge the interest rate and basis risks between the fixed rate assets and floating rate liabilities. The fixed-floating swap documents reflect DBRS s Derivate Criteria for European Structured Finance Transactions. However, the two basis swaps are not in full compliance. For the purpose of the cash flow analysis, DBRS has assumed that the basis risk in this transaction is unhedged. The notional amount of the fixed-floating swap will be the outstanding principal balances of the performing fixed mortgage loans. Cash Reserve The transaction benefits from an amortising cash reserve which is available to cover payments of senior fees and interest on the Rated Notes in the event of an interest shortfall. The cash reserve is established at closing at an amount equal to 3.0% of the Rated Notes, with a floor of 1.00% of the initial balance of the Rated Notes, and is funded through a limited recourse loan provided by BPVi. If the cumulative defaults for the portfolio exceed 12.00%, the reserve fund cannot be used to pay interest on the Class C notes. Additionally, if the cumulative defaults for the portfolio exceed 16.00% the reserve fund cannot be used to pay interest on the Class B notes. However, following full payment of principal on the Class A notes the cash reserve, if available, could then be used to cover interest shortfalls on the Class B notes regardless of the cumulative default level as well as for Class C notes after the full repayment of both Class A and Class B notes. Set-off Risk Upon insolvency of the Originators, borrowers may invoke the right to set off amounts they owe to the Originators or any of its successors. The mortgages are transferred to the Issuer and notice of transfer is given through the publication of a notice of assignment in the Official Gazette of the Republic of Italy and is registered in the register of companies. DBRS understands that the standard legal interpretation of Italian securitisation law in respect of set-off risk is that the set-off amount crystallises at the point the formalities above are completed. Furthermore, if the borrower withdraws money between the point when the formalities above are perfected and the point of set-off, the amount of set-off exposure will be reduced even if the borrower re-deposits money. Although this is the standard legal interpretation, it should be noted that it has not, to date, been tested in a court of law. DBRS has assessed the potential set-off risk and has applied an adjustment in the cash flow analysis.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 8 The transaction structure is summarised below:

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 9 Counterparty Assessment Servicing of the Portfolio The portfolio consists of sub-portfolios each sold by either Banca Popolare di Vicenza S.c.p.a. and Banca Nuova S.p.a. BPVi continues the servicing of the BPVi portfolio and BN in respect of the BN portfolio. BPVi is the Master Servicer for the transaction. Zenith Services S.p.a and 130 Finance S.r.l. have been appointed as back-up servicer and back-up servicer facilitator, respectively. Collection Accounts All borrower collections in relation to the BPVi portfolio are paid into a collection account held with BPVi. While all borrower collections in relation to the BN portfolio are paid into a collection account held with BN. Collection accounts are swept daily to the transaction account. Transaction Bank (Account Bank) Elavon Financial Servicers Limited, UK Branch is the Account Bank, Calculation Agent and Principal Paying Agent for the transaction. DBRS privately rates Elavon Financial Servicers Limited, UK Branch and concluded it meets DBRS s minimum criteria to act in such capacity. The transaction contains downgrade provisions relating to the Account Bank where, if downgraded below A (low), it shall promptly give notice of such event to the other transaction parties, use its best efforts to identify a replacement agent to be appointed by the Issuer, within 30 calendar days, in the relevant capacity under the terms of the Cash Allocation Management and Payments Agreement, and to which transfer the relevant accounts. The downgrade provision are consistent with DBRS s Legal Criteria for European Structured Finance Transactions for the initial rating of AA (high) (sf ) assigned to the Class A Notes. Swap Counterparty JP Morgan Securities Plc is the Swap counterparty for the fixed-floating swap and basis swaps in the transaction. The fixedfloating swap documents reflect DBRS s Derivative Criteria for European Structured Finance Transactions ; however, the two basis swaps are not in full compliance. For the purpose of the cash flow analysis, DBRS has assumed that the basis risk in this transaction is unhedged. DBRS has modelled the interest rate using its Unified Interest Rate methodology. Transactions Accounts The Issuer opened the following accounts with the Servicers: The BPVi Collection Account The BN Collection Account Expenses Account Quota Capital Account The Issuer opened the following accounts with the Account Bank: Transitional Account Cash Reserve Account Distribution Account Investment Account Collateral Account Issuer Available Funds The following items will be distributed in a combined waterfall: 1. Collections received (including recoveries and prepayments); 2. Any other amount collected (i.e. proceeds from indemnities paid by the Sellers pursuant to breaches) 3. Any amounts due under the terms of the hedging agreements. 4. Any amounts standing to the credit of the Cash Reserve Account 5. All amounts of interest accrued and paid on the accounts 6. Amount earned from eligible investments

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 10 7. Any hedging collateral account surplus 8. Proceeds from the disposal if the aggregate portfolio 9. The Issuer Available Funds related to the previous period, if not applied in full 10. Any other amounts received by the Issuer Priority of Payments Pre-Enforcement Order of Priority: 1. Senior Fees (including servicing fees) and expenses; 2. All amounts due and payable to the Swap counterparty 3. Interest on the Class A notes 4. Interest on the Class B notes* 5. Interest on the Class C notes** 6. Replenish the Cash Reserve Account to the Target Cash Reserve Amount 7. Interest Component of the Purchase Price not already paid on the Issue Date 8. Interest on the Purchase Price not already paid on the Issue Date 9. Junior fees and expenses 10. Principal on the Class A notes 11. Principal on the Class B notes 12. Principal on the Class C notes 13. Indemnities payable under Subscription Agreement 14. Other amount and indemnities due to the Originators 15. Other amount due to the swap counterparty 16. Class J Interest 17. Subordinated loan Interest 18. Subordinated loans Principal 19. Class J Principal 20. Additional Return on the Class J 21. Other surplus to the Originators * The interest of the Class B notes will be deferred below the principal of the Class A notes if the cumulative default of the portfolio is over 16%. After repayment in full of the Class A notes, the Interest on the Class B notes will be paid at item 4 above even if the cumulative defaults are higher than 16%. ** The interest of the Class C notes will be deferred below the principal of the Class B notes if the cumulative default of the portfolio is over 12%. After repayment in full of the Class A notes and the Class B notes the Interest on the Class C notes will be paid at item 5 above even if the cumulative defaults are higher than 12%. Defaulted Loans Any mortgage loan that that remains unpaid for more than 12 monthly instalments, 4 quarterly instalments, 2 semi-annually instalments or classified as non-performing in accordance with the Bank of Italy regulations by the Servicers.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 11 Collateral Summary DBRS received a loan tape to conduct the credit analysis of the portfolio. The collateral statistics below summarise the total mortgage loan portfolio as of 24 February 2017. The sources of information used for the ratings were provided by the arranger on behalf of Banca Popolare Di Vicenza S.p.A. DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality. As of 24 February 2017, the portfolio comprises 12,220 loans with a total outstanding balance of EUR 1.080 bn and a weighted average interest rate of 2.10%. Summary Statistics (as of 24 February 2017) Current Principal Balance (Euro) 1,080,168,029.48 Number of Loans 12,220 Number of Borrowers 11,895 Avg. Current Principal Balance (Euro) 88,393.46 Max Current Principal Balance (Euro) 3,200,000.00 Min Current Principal Balance (Euro) 271.73 Original Principal Balance (Euro) 1,501,375,929.81 Avg. Original Principal Balance (Euro) 122,862.19 WA Seasoning (years) 5.65 WA Remaining Term (years) 18.12 WA Maturity (years) 23.77 WA Coupon Only for Currently Fixed Rate Loans (%) 3.33% WA Spread Only for Currently Floating Rate Loans (%) 1.84% WA Coupon 2.10% WA OLTV 58.03% WA CLTV 51.43% Top 1 Borrower (%) 0.30% Top 10 Borrower (%) 1.33%

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 12 Origination Vintage The seasoning of the portfolio is 5.65 years due to the inclusion of some highly seasoned loans. 40.93% of the loans were originated in 2015 and 64.24% since 2009 when underwriting criteria were tightened. Exhibit 1: Year of Origination 45.00% 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 40.93% 12.17% 11.87% 2.33% 1.84% 5.60% 1.96% 3.13% 4.48% 3.88% 3.33% 4.47% 4.01% <2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Loan to Valuation Distribution The weighted average current loan to value of the portfolio is 51.43%, with the weighted average original LTV 58.03%. Exhibit 2: CLTV Distribution 25.00% 21.95% 20.00% 15.00% 10.00% 7.34% 8.87% 11.42% 13.74% 16.76% 16.28% 5.00% 0.00% 2.18% 1.30% 0.16% 0%-10% 10%-20% 20%-30% 30%-40% 40%-50% 50%-60% 60%-70% 70%-80% 80%-90% 90%-100%

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 13 Interest Rate Type The portfolio is composed of 17.04% of loans that currently pay a fixed rate of interest. The remaining pool is indexed to the 1, 3 and 6 months Euribor or ECB rate. The weighted-average coupon of the assets is 2.10% and the weighted-average margin is 1.84% over the respective floating index. Exhibit 3: Interest rate indexation Fixed - 20.24% 3M Euribor - 74.04% 6M Euribor - 3.07% ECB - 0.68% Other - 1.96% Moreover, 7.58% of the Portfolio has the option to move from floating to fixed rate and vice versa and 6.80% of the pool is linked to a floating rate with a capped rate of interest. Exhibit 4: Interest rate distribution Fixed - 17.04% Floating - 68.57% Floating with cap - 6.80% Optional - 7.58% Foreign Nationals 4.45% of the portfolio consists of loans granted to foreign nationals, which historically, have demonstrated poorer performance compared to Italian nationals. Historical performance showed a further deterioration for Non OCSE citizens which accounts for 3.83% of the portfolio. Exhibit 5: Foreign Nationals Italian Nationals - 95.55% OCSE - 0.62% Non OCSE - 3.83%

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 14 Geographical Distribution 34.98% of the borrowers in the portfolio are concentrated in the Veneto region of Italy, one of the wealthiest regions in the country. The rest of the portfolio is distributed across other regions in Italy. The concentration along the macro areas are 65.53% in the north of Italy, 21.47% in the centre and 13.00% in the south. Exhibit 6: Geographical Distribution 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 34.98% Veneto 15.97% 13.94% Toscana Lombardia 9.35% 9.21% Sicilia Friuli Venezia Giulia 4.43% 4.87% 1.87% 1.57% 1.40% 2.42% Current Arrears Since the portfolio was sold in January 2016 to the Issuer, over the last 4 interest payment dates, arrears in the portfolio have averaged 3.4%. Exhibit 7: Berica Funding 2016 - Arrears Emilia Romagna Lazio Calabria Piemonte Liguria Others 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Apr-16 Jul-16 Oct-16 Jan-17 Current 30-60 60-90 90+ Total As of the cut-off date, currently 4.7% of loans are in arrears (95.30% current). The majority of these are 1 months in arrears at 1.63% however 1.3% are greater than 6 months in arrears. Loans in arrears are considered riskier with the increased risk factored into DBRS s analysis through a PD adjustment in accordance with its EU RMBS methodology.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 15 Historical Performance Data Cumulative performance data was provided by BPVi from 2004 to 2016 on their Housing Loan book. Cumulative Defaults Cumulative default data (sofferenze) was provided for the BPVi portfolio for different vintages and separate curves were provided for foreign nationals along with OCSE and Non OCSE citizens. The default data provided was for SAE 600 with no default data provided for SAE 614/615. In line with the general European trend, the pre-2008/9 vintages are the worst performing. The international borrower data shows poorer performance to Italian borrowers however the Non OCSE citizens are the worst performing. Exhibit 8: SAE 600 Italian Citizens 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Exhibit 9: SAE 600 Italian Citizens 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 1 2 3 4 5 6 7 8 9 10 11 12 13 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 16 Exhibit 10: SAE 600 Non OCSE Citizens 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 1 2 3 4 5 6 7 8 9 10 11 12 13 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 17 Recoveries Cumulative recovery data was provided for defaulted loans between 2003 and 2016 and split between loans closed positions and open. The data was further segregated between Italian/OCSE/Non OCSE citizens. Exhibit 11: Cumulative Recoveries - Closed Position - Italia citizens Recoveries - Open Position - Italian citizens 120% 60% 100% 80% 60% 50% 40% 40% 20% 0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 30% 20% 10% 0% 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Cumulative Recoveries - Closed Position - OCSE citizens Recoveries - Open Position - OCSE citizens 120% 100% 80% 60% 40% 20% 0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 60% 50% 40% 30% 20% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 10% 0% 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Cumulative Recoveries - Closed Position - Non OCSE citizens Recoveries - Open Position - OCSE citizens 120% 100% 80% 60% 40% 20% 0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 2004 2005 2006 2007 2008 2009 2010 2011 2012 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 60% 50% 40% 30% 20% 10% 0% 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 18 Prepayments Annualised prepayment data was provided by BPVi from Mar-2005 to Sep-2016. Exhibit 12: Annualised Prepayments 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% 31-Mar-05 31-Dec-05 30-Sep-06 30-Jun-07 31-Mar-08 31-Dec-08 30-Sep-09 30-Jun-10 31-Mar-11 31-Dec-11 30-Sep-12 30-Jun-13 31-Mar-14 31-Dec-14 30-Sep-15 30-Jun-16 Rating Analysis The ratings are based upon a review by DBRS of the following analytical considerations: The transaction capital structure, form and sufficiency of available credit enhancement and liquidity provisions. The static portfolio characteristic demonstrated by the current pool data. The portfolio was used with the European RMBS Credit Model to estimate the expected probability of default (PD), loss given default (LGD) and expected loss. The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as downgrade and replacement language in the transaction documents. The transaction s ability to withstand stressed cash flow assumptions and repay investors in accordance with the Terms and Conditions of the notes. Incorporation of a sovereign-related stress component in the stress scenarios as a result of the BBB (high) rating assigned by DBRS to the Republic of Italy. The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and consistency with DBRS s Legal Criteria for European Structured Finance Transactions methodology. PD, LGD and EL Analysis DBRS has estimated a weighted-average two-year probability of default (PD) at 3.25%. This includes an adjustment for the sovereign risk associated with the Republic of Italy, rated at BBB (high)/stable Trend/R-1 (low)/ Stable, as of the date of this report. For 98.4% of the total portfolio the probability of default for each rating scenario has been derived utilising the two-year PDs and the loan-by-loan information provided within DBRS s European credit risk model. For the remaining 1.6% portion of the portfolio for which no information was available on prior rank balance and valuation amounts, DBRS assumes a 100% probability of default, loss given default and expected loss.

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 19 The weighted-average results at the AA (high) (sf ) and base case are listed in the following table: Rating Scenario PD LGD EL AA (high) (sf) 36.23% 37.40% 13.55% Base Case 12.46% 16.79% 2.09% The results of the model were used as the inputs into the cash flow analysis of the structure. Cash Flow Scenarios To assess the timely payment of interest on the notes as well as the ultimate payment of principal on the notes, DBRS has applied its defaults curves (front and back-ended), its prepayment curves (low medium and high CPR assumptions) and interest rates stresses as per its published methodology. Based on a combination of these assumptions, a total of 16 cash flow scenarios were applied to test the performance of the rated notes (see table below). Scenario Pre-payments Default timing Interest Rate 1 0% Front Upward 2 0% Front Downward 3 0% Back Upward 4 0% Back Downward 5 5% Front Upward 6 5% Front Downward 7 5% Back Upward 8 5% Back Downward 9 10% Front Upward 10 10% Front Downward 11 10% Back Upward 12 10% Back Downward 13 20% Front Upward 14 20% Front Downward 15 20% Back Upward 16 20% Back Downward Prepayment Rates DBRS has applied a conditional prepayment rate ranging from 0% to 20% in its nil, slow, middle and fast scenarios Interest Rate Stresses DBRS applied its standard interest rate stresses as detailed in its Unified Interest Rate Model for European Securitisations methodology. Timing of Defaults and Recovery Lag DBRS has used front and back-ended default curves to test the cash flows of the notes and assumed recovery lag in line with the Italian market for the cash flows analysis. Risk Sensitivity DBRS estimated the PD and LGD for each pool based on a review of historical data and an assessment of the mortgage pool characteristics. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative impact on credit ratings. The tables below illustrate the sensitivity of the rating to various changes in the based case PD and LGD assumptions in the respective rating scenarios:

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 20 Class A Increase in Default Rate (%) 0 25 50 Increase in LGD (%) 0 AA (high) AA A 25 AA AA (low) A 50 AA A (high) A (low) Class B Increase in Default Rate (%) 0 25 50 Increase in LGD (%) 0 A (high) A (low) BBB 25 A BBB (high) BBB (low) 50 A (low) BBB BBB (low) Class C Increase in Default Rate (%) 0 25 50 Increase in LGD (%) 0 BBB (high) BBB (low) BB (high) 25 BBB BB (high) BB 50 BBB (low) BB (high) BB (low)

Rating Report Berica Funding 2016 S.r.l. DBRS.COM 21 Appendix Methodologies Applied The principal methodology applicable to assign ratings to the above referenced transaction is Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (2 November 2016). Other methodologies referenced in this transaction are listed below. Derivative Criteria for European Structured Finance Transactions (3 October 2016); Legal Criteria for European Structured Finance Transactions (14 September 2016); Operational Risk Assessment for European Structured Finance Servicers (14 October 2016); Operational Risk Assessment for European Structured Finance Originators (14 October 2016); Unified Interest Rate Model for European Securitisations (2 November 2016). The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies. Alternatively, please contact info@dbrs.com. Surveillance Methodology The transaction is monitored by DBRS in accordance with its Master European Structured Finance Surveillance Methodology (31 March 2017), and available at www.dbrs.com under the heading Methodologies; alternatively, please contact info@dbrs.com. Note: All figures are in euros unless otherwise noted. The DBRS group of companies consists of DBRS, Inc. (Delaware, U.S.)(NRSRO, DRO affiliate); DBRS Limited (Ontario, Canada)(DRO, NRSRO affiliate); DBRS Ratings Limited (England and Wales)(CRA, DRO affiliate); and DBRS Ratings México, Institución Calificadora de Valores S.A. de C.V. (Mexico)(CRA, NRSRO affiliate, DRO affiliate). Please note that DBRS Ratings Limited is not an NRSRO and ratings assigned by it are non-nrsro ratings. For more information on regulatory registrations, recognitions and approvals, please see: http://www.dbrs.com/research/225752/highlights.pdf. 2017, DBRS. All rights reserved. The information upon which DBRS ratings and reports are based is obtained by DBRS from sources DBRS believes to be reliable. DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances. DBRS ratings, reports and any other information provided by DBRS are provided as is and without representation or warranty of any kind. DBRS hereby disclaims any representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability, fitness for any particular purpose or non-infringement of any of such information. In no event shall DBRS or its directors, officers, employees, independent contractors, agents and representatives (collectively, DBRS Representatives) be liable (1) for any inaccuracy, delay, loss of data, interruption in service, error or omission or for any damages resulting therefrom, or (2) for any direct, indirect, incidental, special, compensatory or consequential damages arising from any use of ratings and rating reports or arising from any error (negligent or otherwise) or other circumstance or contingency within or outside the control of DBRS or any DBRS Representative, in connection with or related to obtaining, collecting, compiling, analyzing, interpreting, communicating, publishing or delivering any such information. Ratings and other opinions issued by DBRS are, and must be construed solely as, statements of opinion and not statements of fact as to credit worthiness or recommendations to purchase, sell or hold any securities. A report providing a DBRS rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. DBRS receives compensation for its rating activities from issuers, insurers, guarantors and/or underwriters of debt securities for assigning ratings and from subscribers to its website. DBRS is not responsible for the content or operation of third party websites accessed through hypertext or other computer links and DBRS shall have no liability to any person or entity for the use of such third party websites. This publication may not be reproduced, retransmitted or distributed in any form without the prior written consent of DBRS. ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AT http://www.dbrs.com/about/disclaimer. ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES AND METHODOLOGIES, ARE AVAILABLE ON http://www.dbrs.com.