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Brera SEC S.R.L (2019): 01 December 2019

The net proceeds of the offering of the Notes will be applied by the Issuer on the Issue Date to fund the purchase of a portfolio of monetary claims and connected rights arising under residential mortgage loans between Intesa Sanpaolo S.p.A. and the relevant Debtors. The Portfolio will constitute the principal source of funds available to the Issuer for the payment of interest and Additional Return (if any) and the repayment of principal on the Notes.

As at the cut-off date, the portfolio consisted of 67,411 loans advanced to 65,899 borrowers. The average current principal balance is Eur111,397 and the largest is for Eur4.384mln. Amortization Type: French – 99.997%, other – 0.003%. Borrower concentration: Top 1 – 0.0584%, Top 10 – 0.2715%, Top 20 – 0.4303%. Interest rate type: fixed – 88.71%, variable – 10.08%. The WA CLTV is 65.15% (original WA LTV was 67.58%) and the WA seasoning is 13.45 months. Regional distribution: Lombardia – 19.86%, Toscana – 15.85%, Emilia Romagna – 10.42% and Lazio – 9.98%.

EU Risk Retention: The Originator, for so long as the Notes are outstanding, has undertaken that it will retain, on an on-going basis, a material net economic interest of not less than 5% in the Securitisation, in accordance with option (d) of Article 6(3) of the Securitisation Regulation and the applicable Regulatory Technical Standards; as at the Issue Date, such interest will be comprised of an interest in the first loss tranche (being the Junior Notes).

US Risk Retention: The transaction is not intended to involve the retention by a sponsor for purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, in reliance on an exemption provided for in Rule 20 of the U.S. Risk Retention Rules regarding non U.S. transactions.

STS: The Securitisation is intended to qualify as a STS-securitisation within the meaning of Article 18 of the Securitisation Regulation. Consequently, the Securitisation meets, as at the date of the Prospectus, the requirements of Articles 19 to 22 of the Securitisation Regulation and, after the Issue Date, is intended to be notified by the Originator to ESMA to be included in the list published by ESMA referred to in Article 27(5) of the Securitisation Regulation.

Compare/contrast: Brera RMBS Sec Srl, Asti Group RMBS II Srl