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Quarzo S.r.l. (2023): 15 May 2023

Another in the series of Quarzo securitisations and, as per earlier consumer transactions, the net proceeds of the issue of the Notes will be applied by the Issuer to fund the purchase of a pool of monetary claims and other connected rights arising under consumer loan agreements governed by Italian law and granted by Compass SpA.

Eligibility criteria for the initial portfolio include: all are classified as performing receivables; are consumer loan agreements whose financing has been originally lent by Compass Banca SpA; the consumer loan agreements have been entered into with individuals resident and domiciled in the Republic of Italy; all loan agreements are denominated in euro; all shall be paid on a monthly basis through the direct debit procedure or through postal payment; are consumer loan agreements whose due payments have been fully and punctually paid; consumer loan agreements with at least one due instalment; consumer loan agreements whose amortisation plan has not more than 120 instalments.

At the initial cut-off date of 27 March 2023, the portfolio comprised 39,892 receivables in four distinct categories: personal loans (24,757 loans – 63.00% of current outstandings); used vehicle purchases (4,299 loans – 13.00%); purpose loans (7,176 loans – 9.00%); new vehicle loans (3,660 loans – 15.00%). The average outstanding principal is Eur17,547 and the seasoning is 9.10mnths. Geographic concentration (by current outstanding principal): Sicilia – 12.63%, Lombardia – 11.95%, Puglia – 11.18%, Campania – 10.25% and Toscana - 8.75%.

EU & UK Risk Retention: Compass, in its capacity as Originator, 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 of the EU Securitisation Regulation, and Article 6 of the UK Securitisation Regulation, which will consist of the retention by Compass of the Junior Notes.

US Risk Retention: The Securitisation was not designed to comply with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, but rather it is intended to rely on the safe harbour exemption for certain non-US transactions set forth in the US Risk Retention Rules.

STS: The securitisation is intended to qualify as a simple, transparent and standardised (STS) securitisation within the meaning of Article 18 of Regulation (EU) no. 2017/2402 of the European Parliament and of the Council of 12 December 2017.

Compare/contrast: Quarzo Srl (2022), Koromo Italy Srl, Sunrise SPV 40 (2023-1)