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Zenith Report The new standard for Italian reporting

Arianna SPV S.r.l.

IT0004984149

IT0004984743

IT0004984156

Milan, April 22nd 2015

Zenith Report - Arianna 1

IMPORTANT NOTICE

• This presentation («Presentation») has been prepared by Zenith Service in its capacity as Servicer of the Arianna SPV S.r.l. securitisation transaction (the «Transaction»).

• This Presentation contains certain data and information regarding the past performance of the Transaction (the «Information») and is intended to be read in conjunction with the webcast explanation which has been organised for April 22 2015 at 10.00am Milan time as well as with all available Transaction documents.

• This Presentation is intended for information purposes only, does not constitute an invitation to trade on or out of any security, including but not limited to the securities which have been issued by Arianna SPV S.r.l.

• Zenith Service does not and will not express any opinion on the actual or prospective creditworthiness and financial soundness of the Transaction. Investors are invited to read the Transaction documents and the Transaction Prospectus where the relevant financial risks of the Transaction are properly explained.

• This Presentation is intended to be addressed exclusively to professional investors as defined by by Consob regulation 11971 14/5/99 and subsequent amendments and integrations.


Transaction Summary

• At closing (Dec 2013), the Issuer (Arianna) purchased c. €550mn worth of Italian salary assignment loans and payment delegations from Consumit S.p.A. (Monte Paschi di Siena Group)

• As of March 2015, the Portfolio is composed of c. €396mn worth of receivables due from c.31.2k individual borrowers and 6,136 administrations («Employers»)

Asset Class

Main Parties

• Seller: Consum.it (MPS Group) • Servicer: Zenith Service • Buyer/Issuer: Arianna SPV • Back-up Servicer: IBL Banca • Current Sub-servicers: Dynamica Retail

Sigla Finanziaria Terfinance Pitagora Finanziaria Familiare


Developments on the Servicing Side

• The servicing of the portfolio is split in 2 ways:

– The servicing of the «Indirect Portfolio»: (loans originated by «Mandatarie») is delegated to the same «Mandatarie» as «Sub-servicers» (€252.5mn O/S as of March 2015)

– The servicing of the «Direct Portfolio»: (loans originated by Consum.it or by «Mandatarie» which are no longer in operation as sub-servicers) was initially delegated to a servicer called Quinservizi and is now completely carried out by Zenith (€143.5mn O/S as of March 2015)

Direct vs Indirect Portfolio

Interna-lisation

• Since its inception, the following relevant events have occurred on the servicing side:

– Internalisation of 2 «Mandatarie»: Hegemon and FM3. The loans referring to these 2 «Mandatarie» (c. €24mn O/S) are now part of the «Direct Portfolio» and are directly managed by Zenith

– Zenith Service has taken over the entire responsibility with regards to «Direct Portfolio» servicing


Notes & Credit Enhancement – Story So Far

The Notes ISIN Code Face Value

Notes Issued (€)

Proceeds of

Notes Issued (€)

Legal Maturity Coupon

Class A IT0004984149 444.200.000 444.200.000 October 2030 3,60%

Class B IT0004984743 48.200.000 44.826.000 October 2030 5,50%

Class C IT0004984156 76.863.000 38.154.793 October 2030 Residual

Total 569.263.000 527.180.793

Graph 1 – Oustanding Note Principal and Credit Support €mn


Cash and Management Fee Reserves

• Cash Reserve: lower of

i. 2.31% of original Class A/B Notes balance

ii. 4.62% of O/S Class A/B Notes (floor of 0.50% of original Class A/B Notes balance).

• Management Fee Reserve: 1.275% of collateral pool

€mn Graph 2 – Cash and Management Fee Reserves


1. Portfolio Breakdown

2. Portfolio Performance

3. Q&A




3. Q&A


Portfolio Breakdown by Origination Channel

Graph 3 - Outstanding by Originator as at 01/14 Graph 4 - Outstanding by Originator as at 03/15

Finanziaria Familiare

FM3

Hegemon

Pitagora

Sigla

Terfinance

Dynamica

Consumit

0 25 50 75 100 125 150 175 200

-35%

-21%

Finanziaria Familiare

FM3

Hegemon

Pitagora

Sigla

Terfinance

Dynamica

Consumit

0 25 50 75 100 125 150

-25%

-19%

-31%

-17%

-14%

-16%

€mn €mn


Portfolio Breakdown by Product Type

88%

12%

CQ DP

89%

11%

CQ DP

Graph 5 - Outstanding by Product Type as at 01/14 Graph 6 - Outstanding by Product Type as at 03/15


Portfolio Breakdown by Employer Type

16%

42%

23%

19%

Government Pensioners

Private Sector Public Sector

17%

41%

22%

20%

Government Pensioners

Private Sector Public Sector

Graph 7 - Outstanding by Employer Type as at 01/14 Graph 8 - Outstanding by Employer Type as at 03/15


Portfolio Breakdown by Insurance Company

Others (<3%)

Alico

Axa-net

Cbp

Vittoria

Axa

Inpdap

Net

0 35 70 105 140 175 210 245 280 315

Others (<3%)

Alico

Axa-net

Cbp

Vittoria

Axa

Inpdap

Net

0 35 70 105 140 175 210 245

€mn €mn

Graph 9 - Outstanding by Insurance Company as at 01/14 Graph 10 - Outstanding by Insurance Company as at 03/15


Portfolio Employer Concentration Statistics

Graph 11 – Concentration by Employer (% on Outstanding)

Graph 12 –Top 5 Employers as at March 2015 (% on Outstanding)

• From an «Employer» point of

view, the pool was (and still

remains) concentrated: top 5

Employers account for nearly

44% of total

• The 2 largest administrations

liable for the payment of the

loan installments are INPS and

INPDAP (both entities refer to

«Pensioner» borrowers)


Portfolio Amortisation

• The portfolio has amortised by c. 29% from inception until March 2015 (16 months).

• Principal pre-payments account for c. 38% of total amortisation.

• Pool WAL at inception was c. 5 years. This has now decreased to c. 3.3 years.

Graph 13 – Pool amortisation (0 CPR, 0 CDR)

Graph 14 – Pool breakdown by remaining maturity




3. Q&A


Portfolio Performance – Arrears & Defaults Definition

For the purpose of this report:

• Current receivables: given the time lag which the servicer needs to reconcile actual collections with the underlying loan data, receivables which have 1 instalment in arrear are included as «Current Receivables».

• Arrears are defined as receivables which have more than 1 due but un-paid installments and are not Defaults.

• Defaults are defined (consistently with the definition of «Defaulted Receivables» included in the Notice published in February 2015), as Loans:

– in respect of which there has been a delay in the payment of at least 8 Instalments; or

– which have been classified as defaulted (in sofferenza) by the Servicer; or

– in respect of which a Life Damage (Sinistro Vita) has occurred and the Servicer has notified the relevant Insurance Company of the occurrence thereof; or

– in respect of which a Job Damage (Sinistro Impiego) has occurred and the Servicer has notified the relevant Insurance Company of the occurrence thereof and (a) the Insurance Company has paid in full the relevant Indemnity to the Issuer, or (b) 3 (three) months have elapsed from the date of notification of the relevant Job Damage without the Insurance Company having paid in full the Indemnity to the Issuer nor the Servicer having registered a change of Employer/Pension Authority by the relevant Debtor; or

– included in the Internalisation Process for which no or limited cash has been collected by the Issuer during the Internalisation Process despite there being no occurrence of a delay or failure in the payment by the relevant Debtor, provided that Receivables deriving from Loans under this letter (v) shall nonetheless be considered Defaulted Receivables but only for the exact principal component of the uncollected Instalments.


Portfolio Performance – Overall Portfolio

• The portfolio shows a decreasing arrears balance over time

• Outstanding defaults are currently at €6mn (c. 1.5% of the pool oustanding balance)

Graph 15 – Overall Portfolio Arrears and Default Series


Portfolio Performance – Direct Portfolio

• The direct portfolio includes €143.5mn worth of loans which are not managed via «mandatarie» (sub-servicers)

• Cumulative defaults are currently at c. 3.3% of the oustanding balance of the direct portfolio

• Arrear level has sensibly reduced since mid 2014 to 6% as of March 2015

Graph 16 – Direct Portfolio Arrears and Default Series


Portfolio Performance – Indirect Portfolio

• The indirect portfolio includes loans which are managed by «mandatarie» (sub-servicers)

• Cumulative defaults are currently at c. 0.5% of the oustanding balance of the indirect portfolio

• Arrear level has sensibly reduced since mid 2014 to current 1%

Graph 17 – Indirect Portfolio Arrears and Default Series


Portfolio Performance – «Cessioni» vs «Delegazioni»

• Cessioni del Quinto loans have

shown a consistently better

arrears performance since

inception

• In terms of defaults, the

performance of both sub-pools is

comparable: 1.6% of CQS loans

are defaulted loans vs 1.2% of DP

loans

Graph 18 – «Cessioni del Quinto» Portfolio Arrears and Default Series

Graph 19 – «Delegazioni di Pagamento» Portfolio Arrears and Default Series


Portfolio Performance – Type of Employer

Graph 21 – Public Sector Employees Arrears and Default Series

Graph 23 – Private Sector Employees Arrears and Default Series

Graph 20 – Government Employees Arrears and Default Series

Graph 22 – Pensioners Arrears and Default Series


Focus on Default Events

• € 7.1mn cumulative gross defaults since inception (c. 1.3% of initial portfolio balance).

• C. 97% of cumulative gross defaults due to «death events» derive from Pensioners.

• C. 72% of cumulative gross defaults due to job loss derive from Private Sector employees.

• C. €1.3mn of cumulative gross defaults due to unpaid installments derive from unpaid installments

from the (now internalised) «Mandataria» FM3.

Graph 24 – Cum Gross Default by Type Graph 25 – Cum Gross Default by Employer

€mn €mn


Focus on Recoveries

Stage Cum Duration

A. Failed collection. Employer notifies «borrower death» event to SPV. 60-90 dd

B. SPV requests death certificate to competent authorities. 30-120 dd

C. Once documents are received, SPV forwards claim request to insurance company. Insurance company may request additional documents (doctor report, hospital papers, etc.).

60-150 dd

D. Insurance company pays the claim to the SPV. 90 – 180 dd

• To date, the Issuer has recovered a cumulative amount equal to €1.2mn (17% of Cum Defaults).

• C. 60% of total recoveries have been collected during the collection period ending March 2015.

• The SPV has recovered c. 22% of gross Defaults attributable to the FM3 «Mandataria».

• The average time-to-recover of Defaults due to borrower death or loss of employment varies between a minimum of c. 90 days to a maximum of 240 dd.

The table below sets out a typical step-by-step recovery process of Defaults due borrower death.


Focus on Recoveries (cont.d)

Stage (Borrower «IN JOB») Avg. Cum Duration

A. Failed collection. Employer notifies «Job Loss» event to SPV.

60-90 dd

B1. SPV requests leaver indeminity payment («TFR») from Employer.

B2. SPV notifies the claim to the insurance company («denuncia cautelativa»).

90-120 dd

C. Employer pays TFR to SPV within 30-60dd from B1.

120-180 dd

D1. After receipt of TFR, to the extent TFR insufficient and borrower has found a new job: SPV notifies residual debt to new Employer

150-210 dd

Stream A

1

Stage (Borrower «OUT OF JOB») Avg. Cum Duration

D2. If TFR is insufficient and borrower has not found a new job: borrower is notified to settle his debt.

120-150 dd

E1. If borrower pays up his entire debt, SPV registers payment. 120-150 dd

E2. If borrower does NOT settle his entire debt, SPV requests insurance company to pay the outstanding debt.

150-180 dd

F. Insurance company pays the claim to the SPV.

180-240 dd

Stream B

3

4

2

The table below sets out a typical step-by-step recovery process of Defaults due to loss of employment.


Pre-payments

• By operation of law, a CQS/DP can be redeemed only after 40% of its initial tenor has elapsed.

• As at March 2015, almost 40% of the pool is potentially pre-payable.

• We estimate that by the end of 2015, nearly 70% of the current pool will be seasoned enough to potentially allow borrowers to pre-pay their loans (92% by end of 2016).

Graph 26 – Pre-payment history

€mn




3. Q&A


Zenith Service - Contact Details

You can also contact us by writing to [email protected] or [email protected]

Why not visit our WEBSITE (http://www.zenithservice.it/en/index/) for further information about our company?

Name E-mail Contact Number

Marco Grimaldi Executive Director

[email protected] 0039 – 347 765 80 79

Aurora Bosu Head of servicing

[email protected] 0039 – 02 7788 051

Umberto Rasori Head of origination & Executive Director

[email protected] 0039 – 02 7788 051

mailto:[email protected]


http://www.zenithservice.it/en/index/






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