2017 Popolare Bari SME Srl: 03 March 2018

On 28 March 2017 (the Initial Issue Date), the Issuer issued Series 1 Class A1 Asset Backed Floating Rate Notes due December 2057, and two classes of junior notes as follows: Series 1 Class B1 Variable Return Asset Backed Notes due December 2057 and Series 1 Class B2 Variable Return Asset Backed Notes due December 2057.

In addition, on 28 February 2018 (the Subsequent Issue Date), the Issuer will issue Series 2 Class A1 Asset Backed Floating Rate Notes due December 2057, Series 2 Class A2 Asset Backed Floating Rate Notes due December 2057 and Series 2 Class M Asset Backed Floating Rate Notes due December 2057.

The net proceeds of the offering of the Series 1 Notes have been mainly applied by the Issuer on the Initial Issue Date to fund the purchase of the initial portfolios of monetary claims arising under mortgage loans and unsecured loans granted to SMEs by Banca Popolare di Bari S.c.p.a and Cassa di Risparmio di Orvieto S.p.a.

The net proceeds of the offering of the Series 2 Notes will be mainly applied by the Issuer on the Subsequent Issue Date to fund the purchase of additional portfolios of monetary claims and other connected rights consisting of mortgage and unsecured loans granted to SMEs by the Originators.

At the cut-off date, the portfolios consisted of 11,173 loans which had been advanced to 9,018 borrowers. The average current principal is Eur79,590 and the largest current balance is Eur16.702mln. Obligor concentration: top 1 – 1.88%, top 10 – 8.42%, top 20 – 11.64%. Interest rate type: floating – 85.76%, fixed – 12.71%. Amortisation type: French – 96.28%, bullet – 1.27%, linear – 0.17%. The WA CLTV is 44.61% (original LTV was 59.58%) and the WA seasoning is 4.28 years. Regional concentration: Puglia – 31.28%, Abruzzo – 18.09%, Lazio – 11.06% and Campania – 10.67%.

Significant Investor: The Class A2 Notes will, upon issue on the Subsequent Issue Date, be subscribed by the European Investment Bank, whereas the Series 2 Class A1 Notes and the Class M Notes will, upon issue on the Subsequent Issue Date, be subscribed by BPB.

CRR 405: Each of the Originators has undertaken to retain on the relevant Issue Date and maintain (on an ongoing basis and so long as the Notes are outstanding) a material net economic interest of at least 5% in the transaction in accordance with option (1)(d) of Article 405 of the CRR, option (1)(d) of Article 51 of the AIFM Regulation and option (2)(d) of Article 254 of the Solvency II Regulation. As at the relevant Issue Date, such interest will be comprised of an interest in the first loss tranche (being the Junior Notes).

U.S. Risk Retention: BPB has undertaken to retain, in its capacity as the sponsor, on an ongoing basis, an economic interest in the form of the Junior Notes in an amount equal to at least 5% of the fair value of the Notes issued by the Issuer, determined using a fair value measurement framework under GAAP.