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Auto ABS Italian Loans 2018-1: 28 February 2018

Another securitisation of Italian auto loans contracts from originator Banca PSA Italia S.p.A, which is the result of the joint venture between Banque PSA Finance S.A. (BPF) and Santander Consumer Finance Bank S.p.A., with an equal relationship. BPSA is subject to the management and coordination of Santander Consumer Bank S.p.A. The joint venture (BPF – SCF Agreement) is also present in eleven other countries in Europe and with an entity in Brazil. BPSA offers a full range of retail financing products to customers of the brands Peugeot, Citroën and DS as well as floor-stock and replacement parts financing for the carmakers’ dealers.

The Issuer will make payments on the notes from payments received in respect of a portfolio of receivables comprising rights to amounts payable under the Underlying Agreements pursuant to which private vehicles or light commercial vehicles are financed, that will be purchased by the issuer on the initial purchase date and on any subsequent further purchase dates during the revolving period.

Receivables Eligibility Criteria (includes): is denominated in Euros and the Customer has given an authorisation for the payment of the instalments due under the Underlying Agreement by direct debit on its bank account; the Auto Loan Contract does not contain legal flaws making it avoidable, rescindable, or subject to legal termination; the Auto Loan Contract is not subject to a termination or rescission procedure started by the Debtor; no authorisation of deferred payment of principal and interest is provided in the Auto Loan Contract, after the first Instalment has been paid; each Auto Loan Contract is a Standard Loan Contract; the Auto Loan Contract is subject to Italian Law and Italian courts have exclusive jurisdiction over any claims arising therefrom.

The provisional portfolio (as at 7 February 2018) consists of 106,676 contracts, where the Average Outstanding Receivables Balance is Eur6,956 and the largest is for Eur46,394. Purpose of financing (by current balances): new vehicles 90.0%, used 10.0%. Client Type: private 91.0%, corporate 9.0%. The original WA LTV is 73.83% and the WA seasoning is 14.82 months. Regional concentration (by current balances): Northern Italy 51%, South 27% and Centre 22%.

CRR 405: The Seller, in its capacity as originator (the Retention Holder), undertakes that it will retain, on an ongoing basis, a material net economic interest in the transaction which shall in any event not be less than 5% of the nominal value of securitised exposures, by retaining an interest in the first loss tranche in accordance with Article 405(d) of Regulation (EU) No. 575/2013, Article 51 of Regulation (EU) No. 231/2013 and Article 254 of Commission Delegated Regulation (EU) 2015/35, by retaining the Class B Notes.

US Risk Retention: The Seller, as the sponsor under the U.S. Risk Retention Rules, does not intend to retain at least 5% of the credit risk of the securitised assets for purposes of compliance, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Volcker Rule: The Issuer is not, and solely after giving effect to any offering and sale of the Notes and the application of the proceeds thereof will not be, a “covered fund” for purposes of regulations adopted under Section 13 of the Bank Holding Company Act of 1956, as amended.

IMPORTANT – EEA RETAIL INVESTORS – The Notes are not intended, from 1 January 2018, to be offered, sold or otherwise made available to and, with effect from such date, should not be offered, sold or otherwise made available to any retail investor in the European Economic Area.

Compare/contrast: Auto ABS Italian Loans Master (Series Sept 2014), Sunrise SPV 20