Market Watch NPL - January 2021

NPL transaction
market and
servicing industry
Full year 202o and forecast
2021-2022
January 2021

Market Watch NPL 2
Executive summary.
BANK NPE’S SCENARIO NPL AND UTP TRANSACTIONS IN
ITALY
GACS SERVICING INDUSTRY
01 02 03 04
1. The support measures activated by the
Government, Next Generation EU plan,
duration of the pandemic and vaccination
plan will impact the evolution of the
scenario.
2. Current estimates indicate a relevant
increase of Bank bad loans, with an
increasing deterioration rate at 2.6% off in
2021 and 3% in 2022, however far from the
highs of 2013. The corporate segment will
lead the increase in credit default.
3. The stock of Bank gross bad loans is
expected to grow (+19 Bn€ in 2021 and
+20 Bn€ in 2022), with an NPE ratio that
will reach 7.8% in 2022.
4. Even though in 2020 Italy still has a NPE
ratio above the EU average, we expect
European NPE stock to increase by 40% in
2021, worse than that estimated for the
Italian financial system.
1. 2020 records 38 Bn€ of NPL sales and 9 Bn€
of UTP transactions. The NPL amount is
higher than previously expected due to the
acceleration of the activity in the fourth
quarter.
2. 2020 operations were almost equally divided
between secured and unsecured loans, with a
high incidence of corporate customers.
3. In 2021 the volume of disposals could reach
40 Bn€ for NPL portfolios and of 12 Bn€ for
UtP transactions. In 2022 we expect
disposals will maintain a similar level.
4. Intense transactional activity on the
secondary market confirms its level of
maturity. This market shows a high
component of unsecured portfolio, both in
2020 and in 2021 estimate, that needs
specialized servicers.
1. Since 2016, GACS have supported
the NPL transaction market with
35 transactions for 85 Bn€,
focusing mainly on corporate and
secured portfolios.
2. Seven servicers were engaged in
35 operations assisted by GACS
completed within 2020.
3. In 2020, with the exception of Pop
NPLs 2018 and Riviera NPL,
portfolios assisted by GACS show
declining recovery performance,
as the effects of the pandemic
start being felt.
1. The cumulative stock of NPE to be
managed in Italy is already growing in
2020, with an acceleration in the next
two years that could lead to a total
amount of 441 Bn€ in 2022.
2. At the end of 2020, the main 10
servicers by GBV manage almost 300
Bn€ of non-performing loans.

The forecasts were based on the
following assumptions:
Market Watch NPL 4
Scenario adopted for 2021 and 2022 forecasts of deterioration and danger rates.
01
1. Effects of the Covid-19 pandemic with an
impact on GDP: -9.5% in 2020 and a + 4% and +
3.8% recovery in 2021-2022
2. Soft lockdown, in which commercial activities
are the most penalized, while productive ones
remain open
3. Decrease in world trade by -10% in 2020, with
only a partial recovery in 2021-2022 (+ 6% and
+ 5%)
4. Extension of the moratorium on loans until
June 2021 and freeze on layoffs until March
2021
5. EBA waiver of the forbearance classification of
loans subject to a moratorium until January
2021
SOURCE: Banca Ifis internal analysis
02
Variability of scenario
and sensitivity analysis
There are several factors that could affect the
economic scenario:
1. Slowdowns in access to vaccines and
consequent impossibility of recovery before 2022
2. Timing and effectiveness of Next Generation EU
plan measures
3. Evolution of global demand
4. Business and household confidence level
In a worsening context (GDP 2021 + 2% and 2022
+1.7%; world trade +3% in 2021 and +2.5% in 2022):
1. The 2021 deterioration rate could rise up to 3.2%
and 3.6% in 2022, lower than the 2013 peak
2. The 2021 danger rate would reach to 51% and
mantain a similar level in 2022.

Market Watch NPL 5
Public support measures activated by the Government, Next Generation EU plan,
duration of the pandemic and vaccines diffusion will be decisive in defining the
scenario evolution.
SOURCE: Banca Ifis internal analyzes, Bank of Italy "Covid-19 Notes of 13 November 2020", MACROECONOMIC PROJECTIONS FOR THE ITALIAN ECONOMY (COORDINATED EXERCISE
OF THE EUROSYSTEM) - 11 December 2020 by Bank of Italy, Presidency of the Council of Ministers, MEF
• Recession triggered by the Covid-19 pandemic has significantly increased the share of companies
that will experience liquidity need and capital deficit, the extent of which is still difficult to quantify.
• An analysis by the Bank of Italy estimates a differentiated impact on different quantities:
− positive impact on offsetting the liquidity deficit;
− reduction (though not elimination) of worsening in capital conditions;
− Increased risk of insolvency due to recourse to new loans also because of public guarantees.
Government
Support
measures in
2020
Budget policies
and EU Next
Generation
Plan
• In the current scenario, an important variability is linked to the budget policy and the use
of available European funds (over 200 Bn€ in total) under the Next Generation EU plan.
• The Pnrr (National recovery and resilience plan) has some unknowns, also linked to
political stability:
- correct identification of weaknesses in the Italian system, though within the
framework of the priorities defined at Community level;
- effectiveness of the tools displayed to solve them;
- management skills and effective implementation;
- timing of implementation.
The danger rate of the crisis
resulting from Covid-19 is
estimated to be lower than the
one during the financial crisis of
2011-2013 because it benefits
from:
The timing and effectiveness of the investments and economic stimulus measures (information only partially
available for now), as well as the intensity of the pandemic and the speeding up of the vaccination plan, may
impact the estimates, both up and downgrading them.
• massive liquidity
injections from Central
Banks.
• plans to support the
economy (moratoriums on
loans, state guarantees on
loans, freezing of layoffs,
refreshments) activated by
governments,
• shorter duration of
economic crisis with a
partial recovery in 2021,
• greater solidity of banks in
terms of underwriting,
stricter credit policies and
early warning systems,
• active budgetary policies
and Next Generation EU
plan.

End of moratorium and
freeze on layoffs
3 4 7 8 12 9 12 13 10 10 6 5 4 3 4 11 13
13 15
29
56 40 40
56 59
49
32
23 18 13 11 11
26 29
16 19
35
64
53 49
68 71
59
42
29 23 18 14 15
37 42
1,5% 1,5%
2,5%
4,3%
3,4%
3,1%
4,2%
4,5%
4,0%
3,1%
2,2%
1,8%
1,3%
1,1% 1,1%
2,6%
3,0%
0,00
0,01
0,02
0,03
0,04
0
20
40
60
80
100
120
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 E 2021 E 2022 E
Corporate Individual Deterioration Rate
Details on
page 30
Market Watch NPL 6
A significant increase in Bank bad loans is expected, with new flows of almost
80 Bn€ in the two-year period 2021-2022. The corporate industry will lead the
increase in the deterioration rate.
ANNUAL FLOWS OF NEW BAD LOANS AND DETERIORATION RATE BY TYPE OF DEBTOR – BN € AND PERCENTAGE
1,9% 1,9%
3,2%
5,8%
4,3% 4,6%
6,5%
7,4%
6,6%
4,7%
3,5%
2,7%
2,1% 1,6% 1,7%
4,0% 4,4%
1,4% 1,6%
2,2% 2,5%
2,1% 1,8% 2,2% 2,0% 1,8% 1,8%
1,4%
1,1% 0,9% 0,8% 0,8%
1,4% 1,7%
0,00
5,00
10,00
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 E 2021 E 2022 E
Corporate Individual
DETERIORATION RATE BY TYPE OF DEBTOR - PERCENTAGES
DETERIORATION RATE: annual flow of new loans in default adjusted / stock of loans not in default adjusted previous year. SOURCE: Banca Ifis Research Department elaborations on the Bank of Italy statistical database.
In 2020, the
deterioration rate
remained unchanged
thanks to public
interventions.
The two-year period
2021-2022 will see
an increase in non-
performing loans but
lower than the 4.5%
peak of 2013.
The deterioration
rate of the
Corporate segment
will have the most
significant increase
(+330/370 basis
points) compared
to the Individual
one (+60/90 basis
points).

End of moratorium and
freeze on layoffs
Market Watch NPL 7
In 2021 a peak in the danger rate is expected, with new bad loans especially in the
corporate segment.
85,3%
54,5% 54,9%
61,8%
56,5% 39,4%
32,6%
25,3% 21,8% 23,0% 25,3% 20,8%
40,8% 38,0%
41,8%
38,5% 38,2% 35,3% 30,6% 27,9%
30,0%
45,9% 42,0% 40,7% 41,8%
30,0%
57,8%
42,9%
0,00
0,50
1,00
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 E 2021 E 2022 E
Corporate Individual
DANGER RATE BY TYPE OF DEBTOR - PERCENTAGES
NEW BAD LOAN ANNUALIZED FLOWS AND DANGER RATE – BN € AND PERCENTAGES
Since 2015, the
decrease in new
bad loans is more
sustained in
corporate than in
individual
segment.
DANGER RATE: Annualized flow of new adjusted bad loans/Stock of UTP and Past Due at the previous year (2020, 2021, 2022 annualized estimate data). SOURCE: Banca Ifis internal analysis based on Banca d’Italia statistical Database
NOTE: Normalized data. The new definition of default harmonized at European level has been in force since January 2021.
5 7 6 6 7 6 7 7 6 5 4
3
7 7
26 26 26 33 42 35 33 28 21 18 14 10
19 20
31 33 32 39
49
42 40 35 27 22 18 13
26 27
73,9%
45,0%
40,5%
44,5% 44,2%
32,6%
27,7% 24,7% 21,7% 22,4% 22,3% 21,1%
43,8%
38,9%
-10
0
10
20
30
40
50
60
70
80
-
50
100
150
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 E 2021 E 2022 E
Corporate Individual Danger Rate
The danger rate
(from UtP to NPL)
in 2020 is aligned
with the previous
year. It will
increase over the
next two years but
with lower
absolute amounts.

Market Watch NPL 8
The stock of Bank gross non-performing loans is expected to return to growth
(+19 Bn€ in 2021 and +20 Bn€ in 2022), with an NPE ratio that will reach in
2022 a similar level to the one in 2019.
BANK NPE - BN € AND PERCENTAGES - CLASSIFICATION OF IMPAIRED LOANS UPDATED IN 2015
SOURCE: Banca Ifis Research Department elaborations on the Bank of Italy statistical database; NPE ratio calculated based on EBA guidelines; 2020, 2021, 2022 Banca Ifis internal estimates.
-63%
13 13 21 18 12 14 8 5 4 4 4 5 5 5 10 12
127
117
94
79
61 60 59 57 55 60 72
53 58
76 94 113
14 15
15
15
17
78
107
125
156
184 201
201
167
100
72 71 69 65 54
59
65
8,9%
10,8%
13,3%
16,7% 17,1% 17,0%
16,3%
13,6%
10,0%
7,6% 7,3% 7,2% 6,9%
6,0%
6,8%
7,8%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 T1 2020 T2 2020 T3 2020 2020 E 2021 E 2022 E
-
50
100
150
200
250
300
350
400
Past Due Unlikely to Pay Watchlist Restructured Bad Loans NPE Ratio
157 194 237 283 327 342 325 266 182 138 135 133 126 115 129 149
Details from
page 25

34 33 33 28 26 22 21 20 21 21 13
Market Watch NPL 9
1,1
1,0
0,8
0,7 0,7 0,6 0,6 0,6
0,5 0,5
0,7
Q4
2015
Q4
2016
Q4
2017
Q4
2018
Q1
2019
Q2
2019
Q3
2019
Q4
2019
Q1
2020
Q2
2020
Q4
2021 E
NPE RATIO EUROPE - PERCENTAGES
NON-PERFORMING LOANS (NON-PERFORMING LOANS) EU - TRILLION €
SOURCE: EBA “Risk Dashboard” report, NPL ratio based on a weighted average.
In mid-2020, European non-performing loans amounted to 526 Bn€, 52% down
from the peak of 2015. Italy still maintains an NPE ratio above the EU average. An
increase in European stocks is expected in 2021, a worsening greater than that
expected for Italy.
NPL Ratio calculated according to the solution implemented by the ECB for information relating to the major European banks, as established by the EBA / DC /
130 decision. Note that in the EBA report, the terms NPEs and NPLs are used interchangeably.
Italy %
-52% 47%
4%
6%
19%
17%
3%
19%
6%
30%
2%
3%
6%
6%
1%
4%
3%
GR
FR
ES
PT
IT
DE
IE
EU
Q4 2015 Q2 2020
+40%
1,4 TRILLION €
worst case scenario at
the end of pandemics

Market Watch NPL 11
NPL transactions in 2020 reached 38 Bn€. In 2021, the volume of NPL disposals
could reach 40 Bn€. Operations on UtP portfolios are also growing.
NPL Bn€
SOURCE: Banca Ifis NPL Market Database - News and press releases - Banca Ifis internal analysis
UTP Bn€
NPL, UTP AND PIPELINE MARKET TREND - GBV BN € AND PERCENTAGES
0 0 0,3 10 7 9
12 12
20 15 20 16 20 17 20 18 20 19 E 20 20 E 20 21 E 20 21
% GACS 37%
0% 3% 44% 43% 27% 20%
% Secondary
Market 23%
31% 51% 4% 2% 24% 29%
Details on
pages 31, 32
and 33
2020 records 38 Bn€ of NPL
sales, an amount higher than
expected, as a result of the
acceleration in sales in the last
quarter (eg Intesa Sanpaolo for
6.0 Bn€). The disposals of UTP
portfolios are lower than
expected, due to the
postponement of the closing of
some operations to 2021 (eg
6.5 Bn€ of Unicredit).
The 2021 estimate is up to 40
Bn€ thanks to a pipeline of
already 30 Bn€.
The Secondary market is
expected to provide almost 30%
of NPL transaction, confirming
the maturity of this market.
The forecast of NPL and UtP
disposals in 2022 is similar to
2021, following the need to
lighten the budgets from the
new flows generated by the
Covid-19 crisis and the need to
continue alignment with the
European NPE ratio target 5%.
28%
ND
19 17
72 67
38 38
30
10
40
2015 2016 2017 2018 2019 2020 E 2021 E 2022
Estimation
Pipeline
Actual
40
~
~
~
~

0,8
2,3
4,1
6,6
4,8
1,2
1,2
3,3
Banca Popolare di Bari
Iccrea Banca
Unicredit
Intesa Sanpaolo
Monte dei Paschi di Siena
NPL UTP
Market Watch NPL 12
2020 deals were almost equally divided between secured and unsecured loans, with a
high incidence of corporate customers. The weight of the first 6 originators was over
50% and the amount purchased by the first 6 investors was 40%
49%
Secured
81%
Corporate
2020 TOTAL BAD LOANS - BN € AND % 2020 TOP ORIGINATOR – BN € AND % ON TOTAL BAD LOANS
8,1
6,6
5,3
2,3
2,0
Total
Bn€
6,0
2,7
1,6
1,4
5,3
0,4
1,3
Amco
Banca Ifis
Illimity
Barclays, Guber Banca
Apeiron Management (Apollo) NPL UTP
2020 TOP BUYER – BN € AND % ON TOTAL BAD LOANS
17%
14%
11%
5%
4%
24%
6%
4%
3%
3%
%
Total
Bn€
%
Unsecured
51%
47
Bn€
47
Bn€
Individual
19%
11,3
2,7
2,0
1,4
1,3
SOURCE: Banca Ifis NPL Market Database - Press releases and news - Banca Ifis internal estimates

11,7
Market Watch NPL 13
13,6
72,1
2017
17,2
66,7
2018
10,5
37,6
2019
37,7
2020
GBV Market value
From 2017 to 2020, over 50 Bn€ were invested in the NPL market to buy
approximately 214 Bn€ of NPL portfolios.
GBV OF NPL PORTFOLIOS AND MARKET VALUE - BN €

Market Watch NPL 14
In 2020, the Mixed sector proves to be the most prevalent in transactions. In 2021
a prevalence of disposals is expected in the Mixed mainly Secured segment.
9%
23%
10% 8% 12% 9% 10%
55%
49%
15% 13%
27%
21% 19%
36% 15%
11% 15%
28% 43%
24%
0%
3%
43% 45%
26%
27%
35%
1% 10%
22% 19%
6% 0%
12%
2015 2016 2017 2018 2019 2020 2021 E
Mixed mainly Unsecured
Mixed mainly Secured
Mixed
Unsecured
Secured
NPL TRANSACTIONS BY PORTFOLIO TYPE - BN € AND PERCENTAGE
19 17 72 67 38
Bn€
38
First years of growth of the NPL
transaction market with a high
concentration on Unsecured credit
portfolios.
Years of transactions assisted by
GACS.
Market normalization with greater
balance between the types of
portfolios transacted.
Multi-originator GACS phase.
40

NPL dismissions on Secondary market are mainly on Unsecured and Mixed
portfolios, confirming the trend of divestment of Unsecured shares which require
specialized servicers.
NPL TRANSACTIONS ON THE SECONDARY MARKET BY PORTFOLIO TYPE – BN € AND PERCENTAGE
6 9 3 2
13%
28%
3%
9%
54%
67%
88%
74%
14%
36%
47%
34%
5%
12%
26%
86%
61%
44%
2015 2016 2017 2018 2019 2020 2021 E
Mixed
Unsecured and Mixed
mainly Unsecured
Secured and Mixed mainly
Secured
Bn€ 9
Market Watch NPL 15
9 12

25%
11%
14%
30%
7%
25%
40%
27%
6%
24%
56%
36%
7%
30%
38%
Secured and Mixed mainly Secured Unsecured and Mixed mainly Unsecured Mixed UTP
2017 2018 2019 2020
Market Watch NPL 16
The average prices of Unsecured portfolios is stable. The value of Mixed, Secured
and UtP portfolios are influenced by big and GACS deals.
NPL TRANSACTIONS: ESTIMATED AVG PRICES BY PORTFOLIO TYPE - PERCENTAGES The average price of the
Secured segment in 2020
is influenced by the
valuation of the MPS-
Amco deal of 8 Bn€ (60%
NPL).
Prices of the Mixed sector
have been stable since 2018
and increased in 2020 due to
the number of portfolios sold
guaranteed by GACS (eg.
Intesa Sanpaolo's Yoda
portfolio)
The average
Secured price is
also affected by
the GACS effect
Price variability on UtP
transactions is linked to
two single transactions in
2019 carried out at the
loading price and,
therefore, not comparable
with normal activity.

Market Watch NPL _ 17
n
GACS deep analysis

0,5
32,0
28,6
10,0
13,9
31%
21%
29%
26%
29%
26%
14%
25%
23%
25%
0%
5%
10%
15%
20%
25%
30%
35%
-2.000
3.000
8.000
13.000
18.000
23.000
28.000
33.000
2016 2017 2018 2019 2020
Corporate
Individual
Average price
Senior price
% Secured 63%
85 Bn€
58% 61% 68% 61%
1 5 12 5 9 35
Since 2016, the GACS supported the NPL transaction market with 35 transactions for 85
Bn€, with operations mainly concentrated on Corporate Secured portfolios. In 2020 the
first sales of Mezzanine and Junior tranches on the secondary market were recorded.
# Deals
61%
39%
Secured
Unsecured
85 Bn€
74%
26%
Corporate
Individual
85 Bn€
GACS ASSISTED NPL PORTFOLIO TREND – BN €, # DEALS AND PERCENTAGES
Market Watch NPL 18

Market Watch NPL 19
Seven are the servicers engaged in the 35 operations assisted by GACS that have so
far been completed.
33%
25%
23%
12%
5%
1%
1%
85 Bn€
81%
23,9
2016-2020 GACS ASSISTED NPL PORTFOLIO TREND BY ORIGINATOR AND SERVICER – BN €, AND PERCENTAGES
13,0
12,5
6,7
4,8
4,3
3,6
2,9 3,1
1,9 1,9
1,0 1,0 1,0 0,8 0,7 0,7 0,3 0,3
DoValue Prelios Cerved Credito Fondiario Intrum Italy Fire Guber Banca

vs H1’19
(pp)
Market Watch NPL 20
In 2020, with the exception of Pop NPLs 2018 and Riviera NPL, the portfolios assisted
by GACS show declining recovery performance, as they are starting to suffer the effects
of the pandemic. According to estimates, around 67% will underperform in Q1 2021.
SOURCE: Banca Ifis NPL Market Database - News and press releases - Banca Ifis internal estimates; Moody's - Sector Profile, Scope Ratings NPL Outlook, latest survey date available
73% 139% 105% 98% 90% 0% 0% 85% 93% 124% 90% 127% 94% 99% 124%
68% 210% 108% 94% 91% 116% 143% 71% 72% 97% 71% 112% 79% 85% 99%
Elrond NPL
2017 S.r.l.
(CreVal)
Pop NPLs
2018 S.r.l.
(Banche
Popolari)
Riviera NPL
S.r.l.
(Gruppo
Carige)
Fino 1
Securitisation
S.r.l.
(Unicredit)
Ibla S.r.l.
(BAPR)
Prisma SPV
S.r.l.
(Unicredit)
BCC NPLs
2019 S.r.l.
(Iccrea Banca)
SIENA NPL
2018 S.r.l.
(MPS)
Popolare Bari
NPLs 2016
S.r.l.
(Banca
Popolare di
Bari)
Brisca
Securitisation
S.r.l.
(Gruppo
Carige)
Popolare Bari
NPLs 2017
S.r.l.
(Banca
Popolare di
Bari)
RED SEA SPV
S.R.L.
(Banco BPM)
BCC NPLs
2018 S.r.l.
(Iccrea Banca)
Maggese S.r.l.
(CR Asti,
Biverbanca)
Aquí SPV S.r.l.
(BPER)
H1 2019 H1 2020 100% of target
GROSS COLLECTION CUMULATED RATIO, COMPARISON WITH ACTUAL BUSINESS PLANS FOR PORTFOLIOS WITH RATING MOODY'S AND SCOPE - PERCENTAGES
Data di
rilevazione
GBV
Bn€
GBV Mld €
-4,6 71,4 2,7 -3,4 0,1 115,9 143,1 -13,5 -21,1 -26,5 -19,2 -14,7 -14,8 -14,1 -25,1
1,4 1,6 1,0 5,4 0,3 6,1 1,3 23,9 0,5 0,9 0,3 5,1 1,0 0,7 2,1
100%
Q1 2021 E
Over performance
Under performance

Market Watch NPL _ 21
n
NPL industry

- 0% 13% 55% 18% 24% 22% 19% 17% 8% -2% 2% -3% -5% 3% 14%
47 47 42
59
78
107
125
156
184
201 201
167
100
72
54 59 65
29 28 42
72
78
87
112
127
143
141 124
99
83
65
60
70
84
1
2
2
2
2
3
4
8
20
28
94
155
178
202
226
247
10
15 23
34
45
76 76
86
133
158
196
240
287
335
362 353 360
348
331
340
389
441
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 E 2020 F 2021 F 2022
Total Italy
UtP Volume
Transactions
NPL Volume
transactions
Banks UtP and
Past Due
Bank Bad Loans
Market Watch NPL 22
The overall stock of NPEs in Italy was already growing in 2020, with a strong
acceleration expected in the two-year period 2021-2022 (over è 100 Bn€).
TOTAL ITALY GROSS NPE – BN €
Annual
variance %
SOURCES: Banca Ifis NPL Market Database Press releases and news Banca Ifis internal estimate, Banca d’Italia and Unirec.
13%

Market Watch NPL 23
At the end of 2020, the 10 top servicers for GBV managed almost 300 Bn€ of NPLs.
2020 TOP TEN SERVICERS FOR GBV - BN €
Top ten servicers Bank of Italy Surveillance Bn€ AuM – estimation at the end of 2020
DoValue 115/106 80,5
Intrum 115 44,1
Cerved Credit Management 106/115 38,5
Prelios Credit Servicing 106 31,9
AMCO 106 24,6
Banca Ifis Bank/106/115 23,6
Credito Fondiario Bank 20,3
Crif 115 14,7
Sistemia (iQuera) 115 11,1
Hoist Finance 115 10,6

Market Watch NPL 25
In 2020, the banking activity of reducing gross bad loans continued, with an NPL
ratio expected to grow in 2021-2022.
SOURCE: Banca Ifis Research Department processed on the Bank of Italy statistical database - estimate from Banca Ifis internal analyzes
3,3% 4,8%
6,1%
8,1%
9,9%
13,4%
16,2%
18,0% 18,4%
16,1%
9,9%
8,0% 7,5% 7,1% 6,5% 6,2% 5,4% 6,0%
6,6%
2,6% 3,4%
3,8%
5,1% 5,9%
6,8% 7,5% 7,9% 7,8%
6,7%
4,4%
2,9% 2,9% 2,9%
2,8% 2,8% 2,4% 2,3% 2,6%
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 nov-20 Q4 2020 E 2021 E 2022 E
NPL Ratio
Corporate
NPL Ratio
Individual
GROSS BANK BAD LOANS BY TYPE OF DEBT: BN € AND PERCENTAGE
32 46 59 81 95 122 146 159 159 131 75 57 55 53 49 47 41 46 51
41
59
78
107
125
156
184
201 201
167
100
72 71 69 65 63 54 59 65
2,3%
3,3% 4,0%
5,4%
6,3%
8,1%
9,6%
10,5% 10,6%
9,1%
5,6%
4,1% 4,0% 3,9% 3,7% 3,5% 3,1% 3,3%
3,6%
0,0%
2,0%
4,0%
6,0%
8,0%
10,0%
12,0%
-20,0
30,0
80,0
130,0
180,0
230,0
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 nov-20 2020 E 2021 E 2022 E
Gross Bad Loans
Individual
Corporate
NPL Ratio
NPL RATIO: GROSS BANK LOANS / LOANS BY TYPE OF DEBTOR - PERCENTAGE

4,1% 4,6% 5,1%
7,0%
9,5%
11,5%
12,9% 12,0%
10,3%
9,2%
7,4% 7,2% 6,8% 6,2% 6,5% 7,2%
8,5%
2,1%
2,1% 2,0%
2,4% 2,6% 3,1%
1,9% 1,8% 1,6% 1,3% 1,2% 1,2% 1,2% 1,2% 1,2% 1,3% 1,5%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 2020 E 2021 E 2022 E
UTP Ratio
Corporate
UTP Ratio
individual
Market Watch NPL 26
At the end of 2020, the UtPs returned to the previous year level. In 2021, the UtP
ratio is expected close to 2010-2011 level.
SOURCE: Banca Ifis Research Department processed on the Bank of Italy statistical database - estimate from Banca Ifis internal analyzes
POSSIBLE BANK DEFAULTS (UTP) BY TYPE OF DEBT - BN € AND PERCENTAGES
UTP RATIO: GROSS BANK UTP BY TYPE OF DEBTOR - PERCENTAGE
36 40 45 60 77 92 102 93 74 62 47 46 45 42 42 47 55
57
66
74
91
109
131 127
117
94
79
61 60 59 57 55 60
72
3%
4% 4%
5%
6%
7% 7%
6%
5%
5%
3% 4% 3% 3% 3% 4% 4%
0%
1%
2%
3%
4%
5%
6%
7%
8%
-
20,0
40,0
60,0
80,0
100,0
120,0
140,0
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 2020 E 2021 E 2022 E
Gross UtP
Individual
Corporate
UtP Ratio

Market Watch NPL 27
UTP - BN € AND PERCENTAGE
57
66 74
91
109
131 127
117
94
79
61 60 59 57 55 60
72
47 54 60
71
83
96 92
79
62
48
36 35 35 33 32 36 42
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 2020 E 2021 E 2022 E
Gross UtP
Net UtP
19% 18% 21% 23% 27% 27% 33% 34% 39% 41% 41% 41% 41% 41% 41% 41% 41%
BANK BAD LOANS - BN € AND PERCENTAGE
59
78
107
125
156
184
201 201
167
100
72 71 69 65 63 54 59 65
27 37
52
65
80 85 89 87
64
32 28 27 25 25 24 21 22 25
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020 NOV-20 2020 E 2021 E 2022 E
Gross Bad
Loans
Net Bad
Loans
Coverage
rate %
53% 52% 48% 49% 54% 56% 57% 62% 68% 62% 63% 64% 62% 62% 62% 62% 62%
SOURCE: based on the Bank of Italy Statistical Database; internal estimates by: Banca Ifis.
The bank coverage ratio is expected to be stable.
Coverage
rate %
53%
18%

Market Watch NPL 28
The main share of credits still in the bank balance is due to corporate clients and
is substantially stable since 2010. The incidence of Unsecured loans is growing.
GROSS BANK LOANS - BN €, PERCENTAGE INDIVIDUAL AND CORPORATE, SECURED AND UNSECURED (% OF TOTAL BAD LOANS)
76% 75% 76% 78% 79% 79% 79% 78% 76% 78% 77% 77% 76%
24% 25% 24% 22% 21% 21% 21% 22% 24% 22% 23% 23% 24%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020
Individual Bad
Loans
Corporate Bad
Loans
31% 30% 31%
36%
43% 44% 44% 47%
42%
37% 36% 36% 35%
69% 70% 69% 64% 57% 56% 56% 53% 58% 63% 64% 64% 65%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q1 2020 Q2 2020 Q3 2020
Unsecured Bad
Loans
Secured Bad
Loans
78 107 125 156 184 201 201 167 100 72 71 69 65
Gross Bad Loans
Bn€

Market Watch NPL 29
The Construction sector shows the highest level of bad loans in 2020, with an
expected growth trend in the next two years.
33% 32% 30% 28% 27% 26% 25% 22% 22% 22% 21% 20% 24% 23%
18% 19%
22%
23% 25% 27% 28% 28% 28%
27%
27%
26%
27%
27%
18% 18% 18% 18%
17%
17% 17% 17% 17% 17% 17% 17%
17% 17%
13% 13% 13% 13% 12%
12%
12% 12% 12% 13% 13% 13%
12% 12%
9% 9% 9% 10% 11% 12% 13% 15% 15% 15% 15% 15% 14% 14%
8% 8% 8% 7% 7% 6% 6% 6% 6% 7% 8% 8% 7% 7%
46
59
81
95
122
146
159 159
131
75
57
41 46 51
-
20
40
60
80
100
120
140
160
180
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 E 2021 E 2022 E
Production Constructions Trade Services Real Estate Agriculture and residual activities Corporate NPL Bn€
5,7%
15,4%
5,4%
3,9%
4,8%
4,6%
5,1%
29,9%
19,6%
16,1%
16,7%
17,1%
6,0%
18,8%
7,6%
6,2%
6,4%
6,3%
3,7%
12,5%
5,3%
3,5%
3,6%
3,6%
3,4%
18,0%
10,9%
9,8%
9,0%
9,3%
4,1%
12,6%
5,9%
5,3%
4,4%
4,4%
4,8%
18,0%
8,0% 5,4%
6,0% 6,6%
0,0%
5,0%
10,0%
15,0%
20,0%
0,0%
10,0%
20,0%
30,0%
40,0%
2009 2015 2019 2020 E 2021 E 2022 E
Production Constructions Trade Services Real Estate Agriculture and residual activities NPL Ratio
BANK GROSS BAD LOAN CORPORATE BY INDUSTRY- BN € AND PERCENTAGE
NPL RATIO: BANK GROSS BAD LOAN CORPORATE/TOTAL LOANS CORPORATE BY INDUSTRY- PERCENTAGE

3,1
1,4 1,3 1,5
0,4
1,3
5,7
9,0
7,6
4,4
1,3
4,0
3,4
2,4
1,4 1,3
0,4
1,0
4,5
5,4
3,0 2,9
0,6
2,5
4,6
5,7
3,2 3,0
0,7
2,6
-
1,0
2,0
3,0
4,0
5,0
6,0
7,0
8,0
9,0
10,0
Production Construction Real Estate Trade Agriculture Services
4,1
2,1 2,2 2,3
0,6
1,7
5,6
8,9
6,4
4,2
1,4
4,0
2,9
1,9 1,6
2,3
0,5
1,8
6,0
6,6
4,6
3,3
0,8
3,8
6,6
7,4
5,1
3,8
1,0
4,2
-
2,0
4,0
6,0
8,0
10,0
Production Construction Real Estate Trade Agriculture Services
2006 2015 2020 E 2021 E 2022 E
Market Watch NPL 30
The construction industry shows the highest level of bad loans.
DETERIORATION FLOW BY INDUSTRY - BN €
DEFAULT FLOW: Annualized flow of new adjusted bad loans. SOURCE: Banca Ifis Research Department elaborations on the Bank of Italy statistical database.
DETERIORATION FLOW: Annual flow of adjusted non-performing loans. SOURCE: Banca Ifis Research Department elaborations on the Bank of Italy statistical database
DANGER FLOW BY INDUSTRY - BN €

Market Watch NPL 31
The sales market is lively in 2020, even if characterized by small to medium
denomination operations.
NPL
Investor Bn€ GBV Servicer Originator
Confidential 6,0 Intrum Italy Intesa Sanpaolo
Amco (ex SGA) 4,8 Amco (ex SGA) Monte dei Paschi di Siena
Confidential 2,3 DoValue Iccrea Banca
Confidential 1,7 Credito Fondiario Island Refinancing spv
NPL Securitisation Italy SPV srl 1,7 J-Invest NPL Securitisation Italy SPV (J-Invest)
Confidential 1,6 DoValue Unicredit
Illimity 1,3 Illimity Unicredit
Confidential 1,2 Prelios Ubi Banca
Confidential 1,2 Prelios BPER
Confidential 1,0 Prelios Banca Popolare di Sondrio
Amco (ex SGA) 0,8 Amco (ex SGA) Banca Popolare di Bari
Banca Ifis 0,7 Banca Ifis Unicredit
Banca Ifis 0,6 Banca Ifis Intesa Sanpaolo
Barclays, Guber Banca 0,6 Guber Banca Unicredit
Amco (ex SGA) 0,3 Amco (ex SGA) CreVal
Banca IFIS 0,3 Banca Ifis Illimity
Illimity 0,2 Illimity Confidential
Amco (ex SGA) 0,1 Amco (ex SGA) Banca Carige
Illimity 0,1 Illimity Cofidential
Confidential e altre minori 11,2
Totale 37,7

Market Watch NPL 32
In 2021, over 40 Bn€ of transactions in the NPL sector are already expected.
NPL
Originator Project Disposal Ongoing Planned Announced Bn€ GBV
Intesa Sanpaolo Rep Disposal 1,4 1,4
Intesa Sanpaolo n.a. Disposal 2,5 2,5
Intesa Sanpaolo n.a. GACS 6,5 6,5
Intesa Sanpaolo Provis Disposal 1,0 1,0
Unicredit Roma Announced 1,4 1,4
Unicredit n.a. Disposal 6,4 6,4
Banco BPM n.a. Disposal 3,5 3,5
Iccrea Banca n.a. Disposal 2,0 2,0
Cariparma n.a. GACS 1,0 1,0
BPER n.a. Disposal 0,9 0,9
Banco Desio n.a. GACS 0,5 0,5
Unipol n.a. Disposal 0,4 0,4
Banca Popolare di Sondrio n.a. Disposal 0,4 0,4
Monte dei Paschi di Siena n.a. Disposal 0,4 0,4
Confidential and other minus 1,2 10,9 12,2
Total Pipeline 2021 9,5 27,7 3,2 40,4

Market Watch NPL 33
The 2020 market for UtP transactions was dynamic: 9,4 Bn€ of finalized deals. 12
Bn€ of transactions announced for 2021.
UTP
Year Originator Project Investor Bn€ GBV
2020 Actual
Monte dei Paschi di Siena Hydra Amco (ex SGA) 3,3
Grandi Lavori Finconsit n.a. Apeiron Management (Apollo) 1,3
Banca Popolare di Bari n.a. Amco (ex SGA) 1,2
Unicredit
Sandokan 2 Confidential 0,9
II Tranches Dawn Illimity 0,2
I Tranches Dawn Illimity 0,1
Banco BPM
Django Confidential 0,1
n.a. Credito Fondiario 0,3
n.a. Amco (ex SGA) 0,6
Multi originator
n.a. RSCT Fund (Pillarstone) 0,6
Cuvée II Fondo Back2Bonis (Prelios SGR) 0,4
CreVal n.a. Amco (ex SGA) 0,1
Banca Popolare Valconca n.a. Confidential 0,1
Confidential e altre minori 0,1
Totale 9,4
Year Originator Project Potential Investor Bn€ GBV
Pipeline 2021
Unicredit
Sandokan II Pimco, Gwm , Arec 1,2
n.a. Amco (ex SGA) 7,6
Dawn Illimity 0,4
Multi-Originator
n.a. Fondo Efesto (DoValue, Finint) 0,5
Cuvèe Amco (ex SGA) 0,7
Credit Agricole n.a. Illimity, Dovalue Intrum 0,6
Monte dei Paschi di Siena Lima Bofa Merrill Lynch 0,1
Gruppo Carige Messina n.a. 0,3
Totale 12

12 11
6 7
3 3 4 2
6
3
9
2
2 1
2
11
1
6
7
1
1 2 1
1
5
3
9
1
2
47
43
24
18 17
7 6 6 5 5
Unicredit MPS Intesa Sanpaolo Veneto Banks Banco BPM Iccrea Banca Gruppo Carige BPER CreVal Cassa Centrale Banca
Mainly Secured Mainly Unsecured Mixed UTP
23
30
Market Watch NPL 34
The top 10 originators concentrate the 64% of the 2015-2020 transaction amount.
Over 90 Bn€ the volumes acquired by the top 3 investors.
2015- 2019 NPE TRANSACTIONS BY SELLER (10 MAIN ORIGINATORS) AND BY PORTFOLIO TYPE - BN €
6
29
11
3 5
9
0
18
12
4
3
4
5
7 1
16
1
32
29
19
12 11 9 7 7
5 5
Amco Quaestio Capital
Management Sgr
Banca Ifis Fortress; PIMCO Lindorf-Intrum -
CarVal Investors
Hoist Finance Illimity Credito
Fondiario/Elliott
Christofferson Robb MBCredit Solution
2015- 2019 NPE TRANSACTIONS PER INVESTOR (TOP TEN BUYER) AND BY PORTFOLIO TYPE - BN €
NOTE: The amount of purchases does not include the amounts guaranteed by GACS.

Market Watch NPL 35
This publication is edited by Banca Ifis.
The information contained herein, obtained
from sources believed to be reliable by Banca Ifis,
are not necessarily complete, and their accuracy
cannot be guaranteed. This publication is provided
merely for purposes of illustration and information
and does not in any way represent financial and
investment advice.
General Statement.

Market Watch NPL - January 2021

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Market Watch NPL - January 2021