Banca Monte dei Paschi di Siena S p A : MPS CB Financial Statement FY22

MPS COVERED BOND S.R.L.

Registered office: Via V. Alfieri no. 1 - 31015 Conegliano (TV)

Quota Capital: Euro 10,000.00 - fully paid-up

Fiscal code and Treviso-Belluno Register of Companies: 04323680266

Member of the Monte dei Paschi Banking Group -

Register of Banking Groups (Albo dei Gruppi Bancari) under no. 1030.6

Management and coordination pursuant to Article 2497 and ff. of the Italian Civil Code:

Banca Monte dei Paschi di Siena S.p.A.

Company participating in the MPS VAT GROUP - VAT NO. 01483500524

FINANCIAL STATEMENTS

AT 31.12.2022

MPS COVERED BOND S.R.L.

Registered Office: Via V. Alfieri no. 1 - 31015 Conegliano (TV)

Fiscal code and Treviso-Belluno Register of Companies no. 04323680266

Company participating in the MPS VAT Group no. 01483500524

Quota Capital Euro 10,000.00 fully paid-up

GOVERNING BODIES AND INDEPENDENT AUDITORS

TABLE OF CONTENTS

DIRECTORS' REPORT ON OPERATIONS

1. The business

The Company was established on 8 September 2009 pursuant to Law no. 130 of 30 April 1999 which contains provisions governing the implementation of securitisation transactions in Italy.

The sole purpose of the Company is the acquisition from banks of the assets listed below, for valuable consideration, within one or more issues (including both single transactions and issue programmes) of covered bonds (Obbligazioni Bancarie Garantite) implemented pursuant to article 7-bis of Law no.

130 of 30 April 1999, as possibly amended and supplemented and related implementing provisions:

1. land and mortgage loans, which can also be identified in bulk;
2. receivables that are claimed from or secured by public authorities, which can also be identified in bulk;
3. securities issued within securitisation transactions concerning receivables that are of the same type;
4. additional eligible assets or integration eligible assets that are permitted by the aforesaid regulations;
   through the raising of loans granted or secured also by the assignor banks, as well as the provision of guarantees issued by the same banks or by other banks.
   The Company will carry out the abovementioned activities according to such terms and conditions and in such manners as those set out in the regulations applicable to the issues of covered bonds pursuant to article 7-bis of Law no. 130 of 30 April 1999, as possibly amended and supplemented and relating implementing provisions.
   In accordance with the aforesaid provisions of law, the receivables and securities purchased by the Company and the amounts paid out by the related debtors are aimed at satisfying the claims, also pursuant to article 1180 of the Italian Civil Code, of the holders of the covered bonds referred to in article 7-bis, paragraph 1, of Law no. 130 of 30 April 1999, to the benefit of which the Company has provided guarantees, as well as of the counterparties to the derivative contracts entered into to hedge the risks associated with the receivables and securities purchased and to any other additional contract. They are also aimed at the payment of other transaction costs, on a priority basis with respect to the repayment of loans granted or secured also by the assignor banks pursuant to article 7-bis, paragraph 1,

of Law no. 130 of 30 April 1999.

Any receivables and securities purchased by the Company in relation to each issue transaction or programme constitute assets which are separate for all purposes both from the Company's assets and from those relating to other issue transactions or programmes, in relation to which no actions may be taken by any creditors other than the holders of the covered bonds issued and by the additional

creditors referred to in the previous paragraph.

Within the limits permitted by Law no. 130 of 30 April 1999 and related implementing provisions, the Company may also carry out additional transactions to be entered into for the provision of guarantees and the successful completion of the issues of covered bonds in which it participates or which are in any case instrumental to the achievement of its corporate purpose, as well as may carry out, in cases when it is permitted by the relevant regulations and according to the procedures and within the limits set out therein, transactions of re-investment in other financial assets of funds deriving from the management of the receivables and securities which are purchased and which are not immediately used to satisfy the rights of the holders of covered bonds and to pay transaction costs.

Within the transactions effected by it, and according to the procedures and in compliance with the provisions of law, the Company may appoint third-party persons for the collection of any purchased receivables and for the provision of cash and payment services; it may also carry out any other activity permitted by article 7-bis of Law no. 130/1999 and related implementing regulations.

On 10 November 2009, the Company obtained the registration under number 41746 on the General List of Financial Intermediaries (Elenco Generale degli Intermediari Finanziari) referred to in Article 106, paragraph 1, of Legislative Decree no. 385 of 1 September 1993, as amended (TUB, Testo Unico Bancario, Consolidation Act on Banking Laws).

According to Legislative Decree no. 141 of August 2010, as amended by Legislative Decree no. 218 of December 2010, "as regards the assignee persons referred to in article 7-bis, within the limits set out in a regulation enacted by the Minister of Economy and Finance and having heard the Bank of Italy, pursuant to article 17, paragraph 3, of Law no. 400 of 23 August 1988, the provisions laid down for financial intermediaries under Title V of legislative decree no. 385 of 1 September 1993 shall apply." Article 7 of Ministerial Decree no. 53/2015, in force from 23 May 2015, provides that: "If belonging to a banking group as defined under Article 60 of the TUB, the assignee companies for the guarantee of bank bonds, are not required to be registered in the register."

By virtue of the entry into force of the abovementioned regulations and given that the Company belongs to the Monte dei Paschi banking group, the Company has submitted to the Bank of Italy a request for deletion from the General List under Article 106 of the TUB; the deletion took place with effect from 10 August 2015.

In compliance with the supervision provisions, the issue of Covered Bonds is an instrument reserved only for those banks which are "provided with high capitalisation in consideration of the specific features of the market of Covered Bonds and of the need to protect creditors other than the Holders of the CBs, whose collateral security is diminished as a result of the transfer of high-qualitybank assets."

As detailed in Part A of the Notes to the Financial Statements, these financial statements have been prepared by applying the international accounting standards IAS/IFRS, as required by article 4 of Legislative Decree no. 38 of 28 February 2005.

Within the scope of this purpose, the Company has been participating, from the 2010 financial year, in a programme of issues of covered bonds (hereinafter the "Programme"), through (i) the purchase without recourse (pro soluto) by the Company of four portfolios of performing mortgage loans fully originated by Banca Antonveneta S.p.A., pursuant to articles 4 and 7-bis of Law no. 130/1999, (ii) the concurrent obtainment of a subordinated loan from the assignor bank itself and (iii) the signature, inter alia, of the contract whereby the purchased assets are pledged as an irrevocable guarantee of the bank bonds issued by Banca Monte dei Paschi di Siena S.p.A..

By virtue of the principle of segregation of each set of securitised assets, the financial and economic position of the Covered Bonds transaction is represented in part D, section 1, letter L, of the Notes to the Financial Statements in compliance with the provisions contained in specific Orders issued by the Bank of Italy.

The Financial Statements at 31 December 2022 recognised a break-even result following the charge- back of net operational costs to the segregated assets in relation to the financial year just ending.

2. Performance of the relevant market in 2022

The 2022 financial year was marked by a general framework characterised by geopolitical tensions generated by the Russian-Ukrainian conflict, with inevitable effects on growth and inflation triggered by the rising cost of raw materials, particularly energy.

The eruption of the conflict in Ukraine has abruptly dashed the hope of a return to normality after the Covid-19 health emergency, which became apparent at the end of 2021 due to a lower number of hospitalisations, the easing of restrictive measures and the gradual adaptation to them on the part of the population, paving the way for a new phase of living with the virus and, therefore, a gradual archiving of risks to the economy.

The hostilities have demanded heavy humanitarian intervention and have triggered an energy crisis in Europe while also contributing, to an appreciable extent, to an increase in international prices of global food and raw materials, which have risen to decade highs. This has thus exacerbated those inflationary pressures that were already made acute by the adverse impact of the pandemic on global supply chains. The resulting downward revision of growth estimates has primarily affected commodity-importing developing countries, which are more fragile in the face of rising energy and food prices. But unevenness has continued to persist among advanced economies as well.