corporate (asw)

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Strategy

Credit

See page 29 for full disclosure and analyst certification 3 September 2020: 19:16 CET

Date and time of first circulation

Credit Market Opportunities

Tactical View on Credit Markets

After the negative performance recorded in 1H20, we believe that a moderate spread tightening trend could occur in 2H20 for Italian IG Non-Financial corporate bonds, as they are supported by the ECB’s heightened monetary stimulus amid resilient fundamentals, on average. Amid dovish monetary policies, investors’ hunt for yield could also support the highest-rated HY names. However, careful credit selection will remain key in the HY segment, due to the more pronounced vulnerability of their fundamentals to a deteriorating economic outlook. In the Italian bank bond sector, we see as supportive factors the ECB’s comprehensive package of monetary stimulus and the large number of measures that have been adopted by regulators as well as the Italian fiscal packages and the forthcoming EU stimulus package of grants and loans. However, the Italian macroeconomic scenario remains challenging, and we expect volatility to persist.

Investment Recommendations

In the corporate Investment Grade segment, we recommend the following switches: 1) buying IGIM 1 5/8 2027 bond and selling IGIM 1 2031 bond, expecting a widening of the ASW spread gap (currently 9bps); 2) buying EXOIM 2 1/4 04/30 bond and selling EXOIM 1 3/4 10/34 bond, expecting an inversion of the current ASW gap; 3) buying EXOIM 2 1/4 04/30 bond and selling EXOIM 1 3/4 01/28 bond, expecting a reduction of the current ASW gap (60.7bps). We also close the switch between ENELIM 0 2024 bond (BUY) and ENELIM 0 3/8 bond (SELL), with a pick-up of 15bps.

In the bank bond segment, we recommend the following new switch: buying UCGIM 5 3/8 AT1 bond and selling UCGIM 7 1/2 AT1 bond, expecting an outperformance of shorter vs longer bond, with the former showing a higher YTC (6.6% vs 5.1%). We also close the following switches as they have performed as expected: 1) buying BAMIIM 1 3/4 01/25 senior bond and selling BPEIM 1 7/8 07/25 senior bond (pick-up of 12bps); and 2) buying UCGIM 1 01/23 SNP bond and selling UCGIM 1.8 01/30 SNP bond (pick-up of 57.7bps).

Investment recommendations – NEWDate Bond Type Spread Rate Buy/Sell Entry level

(bps)Current

Level1Pick-up

(bps)Status

03.09.20 EXOIM 2 1/4 04/29/30 Sen ASW FX BUY 205.1 205.1 0 NEWEXOIM 1 3/4 10/14/34 Sen ASW FX SELL 203.3 203.3 0 H16:33

03.09.20 EXOIM 2 1/4 04/29/30 Sen ASW FX BUY 205.1 205.1 0 NEWEXOIM 1 3/4 01/18/28 Sen ASW FX SELL 144.4 144.4 0 H16:33

03.09.20 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 55.7 55.7 0 NEWIGIM 1 12/11/31 Sen ASW FX SELL 64.3 64.3 0 10:47

03.09.20 UCGIM 5 3/8 PERP AT1 Price VR BUY 95.4 95.4 0.0 NEWUCGIM 7 1/2 PERP AT1 Price VR SELL 112.3 112.3 0.0 H15:56

FX = FIXED; VR = Variable; EXOIM = EXOR; IGIM = Italgas; UCGIM = Unicredit . 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

3 September 2020: 19:14 CETDate and time of production

Italy/Bi-Weekly Report

Index price performance% Value -1W -1MIG ASW 89 -2.2 -11.9HY OAS 398 -1.5 -8.1Crossover 5Y 305 -5.5 -18.7Europe 5Y 50 -7.1 -17.0% Value -1W -1MEuro Stoxx 50 3,338 -0.6 5.1FTSE MIB 19,858 -1.4 4.0* IG = Corporate IG. Source: Bloomberg

Report priced at market close on day prior to issue (except where otherwise indicated).

ML IG Eur Corp. vs Itraxx Main (bps)

20

70

120

170

220

01.10 07.13 01.17 07.20

Corporate (ASW)

Source: Intesa Sanpaolo Research elaboration on Bloomberg and Refinitiv data

ML HY Eur vs Crossover 5Y (bps)

150

350

550

750

01.10 07.13 01.17 07.20

EUR HY (ASW)Crossover 5Y

Source: Intesa Sanpaolo Research elaboration on Bloomberg and Refinitiv data

In this report, the company views and recommendations are those assigned in the latest company reports (unless otherwise indicated).

Intesa Sanpaolo Research Dept.

Credit Research Team

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Credit Market Opportunities 3 September 2020

2 Intesa Sanpaolo Research Department

ContentsItalian Bank Corporate Bonds 3

Investment Recommendations: New and Closed Today 3

Investment Recommendations: Open Ideas 3

Italian Bank Corporate bonds: Our Credit Views 3

Credit Value Maps 4

Italian Investment Grade Corporate Bonds 10

Investment Recommendations: New and Closed Today 10


Italian Investment Grade Corporate bonds: Our Credit Views 11

Italian High Yield Corporate Bonds 12


Italian High Yield and Unrated Corporate bonds: Our Credit Views 12

Credit Value Maps 13

Appendix 1: Current Levels of Corporate Bonds 16

Current Levels of Italian Bank Corporate Bonds 16

Current Levels of Italian IG and HY Corporate Bonds 19

Current Levels of Italian Subordinated Corporate Bonds 23

Appendix 2: Closed Recommendations 24

Italian Investment Grade Corporate Bonds: Closed Recommendations 25

Italian High Yield Corporate Bonds: Closed Recommendations 27

In this report, we show the graphical representation of a series of bonds issued by Italian banks and corporates. The graphs attempt to highlight the relationship between Spreads, Maturities and the Credit Risk Profile. The ratings shown in the graphs are a numerical summary, calculated at the average between Standard & Poor’s, Moody’s and Fitch, while also bearing in mind the outlook and possible credit watches by the two rating agencies for the single issues and are useful in assessing relative value opportunities between the bonds and / or issuers.

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Intesa Sanpaolo Research Department 3

Italian Bank Corporate BondsInvestment Recommendations: New and Closed Today

Investment recommendations: New and Closed ideas

Date Bond/CDSTyp

eSpread/

Price Rate Buy/SellEntry level

Current level1

Pick-up Status

03.09.20 UCGIM 5 3/8 PERP AT1 Price VR BUY 95.4 95.4 0.0 NEWUCGIM 7 1/2 PERP AT1 Price VR SELL 112.3 112.3 0.0 H15:56

0.0

Switch opened in the expectation of an outperformance of shorter vs longer bond, with the former showing a higher YTC.

16.07.20 BAMIIM 1 3/4 01/28/25 Sen ASW FX BUY 241.1 229.5 11.6 CLOSEDBPEIM 1 7/8 07/07/25 Sen ASW FX SELL 217.0 217.4 0.4 03.09.20

12.0 h 15:56Switch closed as it performed as expected

11.06.20 UCGIM 1 01/18/23 SNP ASW FX BUY 205.7 118.6 87.1 CLOSEDUCGIM 1.8 01/20/30 SNP ASW FX SELL 232.2 202.9 -29.4

57.7Switch closed as it performed as expected

VR = FX = Fixed; VR = Variable; BAMIIM = Banco BPM; BPEIM = BPER Banca; UCGIM = Unicredit. Note: 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Investment Recommendations: Open Ideas

Investment recommendations: Open ideas

Date Bond/CDSTyp

eSpread/

Price Rate Buy/SellEntry level

Current level1

Pick-up Status

11.06.20 UCGIM 6 3/4 PERP AT1 Price VR BUY 97.7 102.6 4.9 OPENUCGIM 9 1/4 PERP AT1 Price VR SELL 108.1 110.4 -2.3

2.6Switch opened in the expectation of an outperformance of shorter vs longer bond

VR = Variable; UCGIM = Unicredit. Note: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Italian Bank Corporate bonds: Our Credit Views

Credit view on banks under coverageGroup Credit View Date Moody’s Fitch AnalystBanco BPM NEGATIVE 11-Aug-20 Ba2/NG - Maria Grazia AntolaBPER Banca Under Review 06-Aug-20 Ba3/NG BB/*- Maria Grazia AntolaBanca MPS NEUTRAL 10-Aug-20 Caa1/*+ B/* Maria Grazia AntolaUnicredit NEGATIVE 07-Aug-20 Baa1/S BBB-/S Maria Grazia Antola

Note: NG = Negative; POS = Positive; S = Stable; *= rating watch evolving. Source: Intesa Sanpaolo Research

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Credit Value Maps

Senior Fixed Investment Grade – Maturity vs. ASW Spread (bps)

Source: Intesa Sanpaolo Research elaboration on Bloomberg data

Senior Fixed Investment Grade – Rating vs. ASW Spread (bps)


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Senior Fixed High Yield – Maturity vs. ASW Spread (bps)


Senior Fixed High Yield – Rating vs. ASW Spread (bps)


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Covered Bonds Investment Grade issued by Italian banks - Maturity vs. ASW Spread (bps)


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LT2 Fixed High Yield - Maturity vs. Z Spread (bps)


LT2 Fixed High Yield - Rating vs. Z Spread (bps)


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LT2 Variable High Yield – Maturity1 vs. Z Spread2 (bps)

Notes: 1) Maturity = next call date for callable bonds; 2) Z-spread at call date for callable bonds. Source: Intesa Sanpaolo Research elaboration on Bloomberg data BGN

LT2 Variable High Yield - Rating vs. Z Spread1 (bps)

Note: 1) Z-spread at call date for callable bonds. Source: Intesa Sanpaolo Research elaboration on Bloomberg data

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T1 High Yield1 - Maturity at next call date vs. Z-Spread (bps)

Notes: 1) Excluding callable bonds not called at the first call date. Source: Intesa Sanpaolo Research elaboration on Bloomberg data

T1 High Yield1 - Rating vs. Z-Spread (bps)

Notes: 1) Excluding callable bonds not called at the first call date. Source: Intesa Sanpaolo Research elaboration on Bloomberg data

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Italian Investment Grade Corporate BondsInvestment Recommendations: New and Closed Today

Investment recommendations: New and Closed ideas

Date Bond/CDS TypeSpread/

Price RateBuy/

SellEntry level

Current level1

Pick-up Status

03.09.20 EXOIM 2 1/4 4/29/30 Sen ASW FX BUY 205.1 205.1 0 NEWEXOIM 1 3/4 10/34 Sen ASW FX SELL 203.3 203.3 0 H16:33

0

Switch opened in the expectation of an inversion of the ASW gap.

03.09.20 EXOIM 2 1/4 4/29/30 Sen ASW FX BUY 205.1 205.1 0 NEWEXOIM 1 3/4 1/18/28 Sen ASW FX SELL 144.4 144.4 0 H16;33

0

Switch opened in the expectation of a reduction of the ASW gap.

03.09.20 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 55.7 55.7 0 NEWIGIM 1 12/11/31 Sen ASW FX SELL 64.3 64.3 0 H10:47

0

Switch opened in the expectation of an outperformance of IGIM 01/27 bond vs IGIM 12/31 bond.

FX = FIXED; EXOIM = EXOR; IGIM = Italgas. Notes: 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data




Price RateBuy/

SellEntry level

Current level1 Pick-up Status

12.06.20 IGIM 1 12/11/31 Sen ASW FX BUY 95.3 64.3 31.0 OPENSRGIM 1 09/12/34 Sen ASW FX SELL 95.2 71.5 -23.7

7.3

Switch opened in the expectation of an outperformance of IGIM 12/31 bond vs SRGIM 12/34 bond.

11.06.20 ACEIM 2 5/8 07/15/24 Sen ASW FX BUY 79.6 59.5 20.2 OPENIREIM 0 7/8 11/04/24 Sen ASW FX SELL 71.8 63.4 -8.4

11.8

Switch opened in the expectation of an outperformance of ACEIM 07/24 bond vs IREIM 11/24 bond.

19.05.20 ERG 1 7/8 04/11/25 Sen ASW FX BUY 179.7 61.3 118.4 OPEN Trading idea open on expectations of a tightening of the ASW

21.02.20 TRNIM 1 07/23/23 Sen ASW FX BUY 30.6 34.2 -3.7 OPENTRNIM 0 1/8 07/25/25 Sen ASW FX SELL 30.7 35.8 5.2

1.5

Switch opened in the expectation of an outperformance of TRNIM 07/23 bond vs TRNIM 07/25 bond.

13.02.20 SRGIM 1 5/8 01/07/30 Sen ASW FX BUY 62.5 56.5 6.0 OPENSRGIM 1 09/12/34 Sen ASW FX SELL 67.6 71.5 4.0

9.9

Switch opened in the expectation of an outperformance of SRGIM 01/30 bond vs SRGIM 09/34 bond.

13.02.20 HERIM 5.2 01/29/28 Sen ASW FX BUY 72.2 98.8 -26.6 OPENAEMSPA 1 07/16/29 Sen ASW FX SELL 54.4 68.1 13.8

-12.8

Switch opened in the expectation of an outperformance of HERIM 01/28 bond vs AEMSPA 07/29 bond.

09.01.20 TRNIM 1 04/10/26 Sen ASW FX BUY 52.8 47.0 5.9 OPENTRNIM 1 10/11/28 Sen ASW FX SELL 55.5 46.7 -8.8

-3.0

Switch opened in the expectation of an outperformance of TRNIM 04/26 bond vs TRNIM 10/28 bond.

07.11.19 SRGIM 1 1/4 08/28/25 Sen ASW FX BUY 44.2 42.9 1.3 OPENSRGIM 1 3/8 10/25/27 Sen ASW FX SELL 46.2 47.8 1.6

2.9

Switch opened in the expectation of an outperformance of SRGIM 08/25 bond vs SRGIM 10/27 bond.

07.11.19 ACEIM 1 1/2 06/08/27 Sen ASW FX BUY 61.8 84.7 -23.0 OPENAEMSPA 1 07/16/29 Sen ASW FX SELL 59.4 68.1 8.7

-14.3

Switch opened in the expectation of an outperformance of ACEIM 06/27 bond vs AEMSPA 07/29 bond.

28.10.19 SRGIM 1 1/4 08/28/25 Sen ASW FX BUY 48.2 42.9 5.3 OPENSRGIM 1 3/8 10/25/27 Sen ASW FX SELL 55.1 47.8 -7.3

-1.9

Switch opened in the expectation of an outperformance of Snam's 08/25 bond vs Snam's 10/27 bond.

24.10.19 ENELIM 1 09/16/24 Sen ASW FX BUY 48.7 38.0 10.6 OPENENELIM 1 1/8 09/16/26 Sen ASW FX SELL 53.4 41.1 -12.4

-1.8

Switch opened in the expectation of an outperformance of ENEL 's 09/24 bond vs ENEL's 09/26 bond.

10.10.19 ENELIM 1/2 11/24/78 Sub ASW FX BUY 202.0 208.1 -6.1 OPEN Trading idea opened in the expectation of an ASW tightening.

FX = FIXED; VR = Variable. AEMSPA = A2A; ACEIM = ACEA; ENELIM = Enel; IGIM = Italgas; SRGIM = Snam; TRNIM = Terna; FIREIT = 2i Rete Gas; HERIM = Hera. Notes: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data

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Italian Investment Grade Corporate bonds: Our Credit Views

Credit view on Investment Grade corporates under coverageGroup Credit View Date Moody’s Fitch Analyst2I Rete Gas NEUTRAL 13-Jul-20 Baa2/S - Alessandro ChiodiniA2A NEUTRAL 06-Aug-20 Baa2/S - Alessandro ChiodiniAcea NEUTRAL 06-Aug-20 Baa2/S BBB+/S Alessandro ChiodiniAeroporti di Roma UNDER REVIEW 06-Aug-20 Baa3/* BBB-/* Maria Gabriella TronconiBuzzi Unicem UNDER REVIEW 13-Jul-20 - - Melanie GavinCNH Industrial UNDER REVIEW 13-Jul-20 Baa3/S BBB-/POS Maria Gabriella TronconiEnel POSITIVE 07-Aug-20 Baa2/POS A-/S Alessandro ChiodiniEni NEUTRAL 31-Jul-20 Baa1/S A-/S Maria Gabriella TronconiERG NEUTRAL 03-Aug-20 - BBB-/S Alessandro ChiodiniEXOR POSITIVE 13-Jul-20 - - Maria Gabriella TronconiHera POSITIVE 06-Aug-20 Baa2/S - Alessandro ChiodiniIren NEUTRAL 06-Aug-20 - BBB/S Alessandro ChiodiniItalgas NEUTRAL 28-Jul-20 Baa2/S BBB+/S Alessandro ChiodiniSnam NEUTRAL 31-Jul-20 Baa2/S BBB+/S Alessandro ChiodiniTerna NEUTRAL 30-Jul-20 Baa2/S BBB+/S Alessandro ChiodiniNote: N = Negative; POS = Positive; S = Stable; *-= under review for a possible downgrade. Source: Intesa Sanpaolo Research

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Italian High Yield Corporate BondsInvestment Recommendations: Open Ideas

Investment recommendations: Open ideas


Price RateBuy/

SellEntry level

Current level1 Pick-up Status

05.08.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 411.2 380.8 30.5 OPENIGT 2 3/8 04/15/28 Sen ASW FX SELL 384.7 358.3 -26.5

4.0

Switch opened in the expectation of an outperformance of the shorter dated bond

05.08.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 411.2 380.8 30.5 OPEN Trading idea opened in the expectation of a spread tightening

16.07.16 FCAIM 3 3/8 07/07/23 Sen ASW FX BUY 312.0 224.9 87.1 OPENFCAIM 3 3/4 03/29/24 Sen ASW FX SELL 314.7 239.9 -74.8

12.3

Switch opened in the expectation of an outperformance of the shorter dated bond

19.05.20 KEDRIM 3 07/12/22 Sen ASW FX BUY 584.1 479.5 104.6 OPENiBoxx NFI BB 1-3Y Sen ASW FX SELL 481.2 290.3 -191.0

-86.4

Switch opened in the expectation of a tightening of the ASW gap.

11.05.20 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 288.4 129.0 159.5 OPENLDOIM 4 1/2 01/19/21 Sen ASW FX SELL 204.3 63.0 -141.3

18.1

Switch opened in the expectation of a tightening of the ASW gap.

25.07.19 TITIM 4 04/11/24 Sen ASW FX BUY 216.3 204.9 11.4 OPEN Trading idea opened in the expectation of a spread tightening

FX = FIXED; VR = Variable. IGT = International Game Technology; TITIM = Telecom Italia; FCAIM = FCA; KEDRIM = Kedrion; LDOIM = Leonardo. Notes: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data

Italian High Yield and Unrated Corporate bonds: Our Credit Views

Credit view on High Yield and Unrated Corporate Bonds under coverageHY Credit View Date Moody’s Fitch AnalystAtlantia UNDER REVIEW 06-Aug-20 Ba3/* BB/* Maria Gabriella TronconiAutostrade per l’Italia UNER REVIEW 06-Aug-20 Ba3/* BB+/* Maria Gabriella TronconiFCA NEUTRAL 04-Aug-20 Ba1/* BBB-/S Maria Gabriella TronconiGamenet Group SUSPENDED 04-Aug-20 B1/* - Maria Gabriella TronconiIGT NEUTRAL 05-Aug-20 Ba3/N - Maria Gabriella TronconiLeonardo NEUTRAL 03-aug-20 Ba1/S BBB-/N Maria Gabriella TronconiSaipem UNDER REVIEW 30-Jul-20 Ba1/N - Melanie GavinSalini Impregilo NOT ASSIGNED 13-Jul-20 - BB/N Melanie GavinSisal Group NEUTRAL 13-Jul-20 B1/*- - Maria Gabriella TronconiTelecom Italia NEUTRAL 02-Sep-20 Ba1/N BB+/S Melanie Gavin

UnratedKedrion NEUTRAL 13-Jul-20 NR NR Melanie GavinPrysmian UNDER REVIEW 05-Aug-20 NR NR Melanie Gavin

Note: NR = Not Rated; NG = Negative; POS = Positive; S = Stable; *-= under review for a possible downgrade. Source: Intesa Sanpaolo Research

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Credit Value Maps

Fixed Investment Grade - Maturity vs. ASW Spread


Fixed Investment Grade - Rating vs. ASW Spread


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Fixed High Yield - Maturity vs. ASW Spread


Fixed High Yield - Rating vs. ASW Spread


Sample



Fixed Investment Grade - Maturity vs. ASW Spread – Subordinated


Fixed Investment Grade - Rating vs. ASW Spread – subordinated


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Appendix 1: Current Levels of Corporate Bonds

Current Levels of Italian Bank Corporate Bonds

Italian bank bonds denominated in euro (institutional) - Senior UnsecuredFirst Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond

3.9.20 2.1.20 max min Mdy Fitch BBG

Investment Grade UniCredit SpAUCGIM 3 1/4 01/14/21 - FX 1,250 101.2 -0.3 ASW 8 -4 -14 -18.5 145 6 Baa1 BBB- BBBUCGIM 2 03/04/23 - FX 1,100 104.6 0.1 ASW 61 -6 -16 -0.3 263 44 Baa1 BBB- BBBUCGIM 0 1/2 04/09/25 - FX 1,000 99.3 0.7 ASW 107 -6 -21 25.5 268 63 Baa1 BBB- BBBUCGIM 2 1/8 10/24/26 - FX 1,000 108.1 0.8 ASW 117 -4 -19 31.7 285 73 Baa1 BBB- BBBUCGIM 1 1/4 06/25/25 06/24 VR 1,250 101.6 0.8 ASW 124 -3 -13 33.0 292 72 Baa1 BBB- BBBUCGIM 1 1/4 06/16/26 06/25 VR 1,250 101.3 1.0 ASW 138 - - -29.0 169 138 Baa1 BBB- BBBHigh Yield and UnratedBanca Monte dei Paschi di Siena SpAMONTE 4 07/10/22 - FX 500 103.1 2.3 ASW 274 -8 -18 4.0 814 161 Caa1 *+ B * B-MONTE 3 5/8 09/24/24 - FX 750 102.8 2.9 ASW 333 -8 -9 9.0 669 213 Caa1 *+ B * B-MONTE 2 5/8 04/28/251 - FX 750 99.0 2.9 ASW 322 -7 -4 40.5 613 209 Caa1 *+ B * B-Banco BPM SpABAMIIM 2 03/08/22 - FX 750 101.2 1.2 ASW 165 -4 -31 16.8 429 98 Ba2 - BB+BAMIIM 1 3/4 04/24/23 - FX 500 100.9 1.4 ASW 183 -7 -17 17.7 432 112 Ba2 - BB+BAMIIM 2 1/2 06/21/24 - FX 500 102.3 1.9 ASW 230 -5 -24 43.6 425 131 Ba2 - BB+BAMIIM 1 3/4 01/28/25 - FX 500 99.3 1.9 ASW 230 -3 -10 41.7 415 132 Ba2 - BB+BPER BancaBPEIM 1 7/8 07/07/251 - FX 500 100.4 1.8 ASW 218 - - -0.3 224 214 Ba3 BB *- BB-BPEIM Float 08/03/221 - FL 100 102.2 1.2 DISC 164 - - - - - -

TYPE: FX=Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity. Ratings: reported in the table refer to individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Italian bank bonds denominated in euro (institutional) - Senior non-PreferredFirst Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


Investment Grade UniCredit SpAUCGIM 1 01/18/23 - FX 1,500 100.7 0.7 ASW 116 -6 -15 27.4 345 62 Baa2 BB+ BBB-UCGIM 1.8 01/20/301 - FX 750 99.5 1.9 ASW 205 -6 -18 41.0 347 131 Baa2 BB+ BBB-UCGIM 1 5/8 07/03/25 07/24 VR 750 100.6 1.5 ASW 188 -13 -31 66.5 374 100 Baa2 BB+ BBB-UCGIM 1.2 01/20/261 01/25 VR 1,250 98.6 1.5 ASW 192 -12 -30 54.8 365 106 Baa2 BB+ BBB-UCGIM 2.2 07/22/271 07/26 VR 1,250 102.6 1.7 ASW 212 - - - Baa2 BB+ BBB-High Yield and UnratedBanco BPM SpABAMIIM 1 5/8 02/18/251 - FX 750 95.0 2.8 ASW 312 -3 -18 123.4 543 184 B1 - BB-

TYPE: FX=Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

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Italian bank bonds denominated in euro (institutional) - Subordinated (T2 and LT2)First Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


High Yield and Unrated Banca Monte dei Paschi di Siena SpAMONTE 10 1/2 07/23/29 - FX 300 116.1 7.9 Z-SPR 821 -95 -60 -143.1 1,843 621 Caa1 *+ CCC+ * CCC+MONTE 5 3/8 01/18/28 01/23 VR 750 88.2 NM Z-SPR NM NM NM NM NM NM Caa1 *+ CCC+ * CCC+MONTE 8 01/22/301 01/25 VR 400 98.4 8.4 Z-SPR 888 -86 -35 101.2 2,371 612 Caa1 *+ CCC+ * CCC+Banco BPM SpABAMIIM 6 11/05/20 - FX 710 100.8 0.9 Z-SPR 136 -9 -31 2.1 905 88 B1 - -BAMIIM 7 1/8 03/01/21 - FX 448 102.7 1.4 Z-SPR 186 -22 -73 49.8 1,085 106 B1 - BB-BAMIIM 6 3/8 05/31/21 - FX 318 103.2 1.9 Z-SPR 241 -9 -42 113.8 947 127 B1 - -BAMIIM 4 3/8 09/21/27 09/22 VR 500 100.5 4.1 Z-SPR 456 -9 -33 157.8 1,162 175 B1 - BB-BAMIIM 4 1/4 10/01/29 10/24 VR 350 98.9 4.5 Z-SPR 499 -2 -27 116.4 807 284 B1 - BB-BPER BancaBPEIM 5 1/8 05/31/27 05/22 VR 500 103.5 3.0 Z-SPR 347 -2 -48 82.3 1,002 219 Ba3 B+ *- B+UniCredit SpAUCGIM 6 1/8 04/19/21 - FX 579 103.4 0.6 Z-SPR 102 -10 -48 23.0 620 63 Baa3 BB BB+UCGIM 6.95 10/31/22 - FX 1,500 111.7 1.4 Z-SPR 184 -4 -34 69.7 598 99 Baa3 BB BB+UCGIM 5 3/4 10/28/25 10/20 VR 1,000 100.9 NM Z-SPR NM NM NM NM NM NM Baa3 BB BB+UCGIM 4 3/8 01/03/27 01/22 VR 750 103.6 1.6 Z-SPR 208 -11 -58 49.8 833 115 Baa3 BB BB+UCGIM 4 7/8 02/20/29 02/24 VR 1,000 107.7 2.5 Z-SPR 298 -4 -47 79.7 804 181 Baa3 BB BB+UCGIM 2 09/23/29 09/24 VR 1,250 96.4 3.0 Z-SPR 341 -3 -47 105.8 798 194 Baa3 BB BB+UCGIM 2.731 01/15/321 01/27 VR 1,250 96.7 3.3 Z-SPR 368 -2 -45 100.5 775 215 Baa3 - BB+

TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. NM: Not Meaningful related to YTM and Spread if Spread < 0 and > 1,000 bps whilst related to change (-1W, -1M, -YTD) when the reference data is NA. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Italian bank bonds denominated in euro (institutional) - Hybrids (T1 and AT1)First Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(pts)1-1M

(pts)1YTD

(pts)152-weekrange1 Ratings

Bond3.9.20 2.1.20 max min Mdy Fitch BBG

High Yield and Unrated Banco BPM SpABAMIIM Float PERP3 06/17 VR 105 81.7 1.7 Z-SPR 267 - - -4.3 91 72 B3 - -BAMIIM 8 3/4 PERP 06/24 VR 300 99.0 9.1 Z-SPR 952 1 4 -9.9 118 68 B3 - B-BAMIIM 6 1/8 PERP2 01/25 VR 400 88.2 9.5 Z-SPR 991 1 4 -11.0 107 51 B3 - B-UniCredit SpAUCGIM 6 3/4 PERP 09/21 VR 1,000 102.6 4.1 Z-SPR 452 1 3 -4.6 108 76 - B+ -UCGIM 9 1/4 PERP 06/22 VR 500 110.5 3.0 Z-SPR 349 1 3 -6.0 118 83 - B+ -UCGIM 6 5/8 PERP 06/23 VR 1,250 103.8 5.1 Z-SPR 559 1 4 -4.9 113 67 Ba3u B+ -UCGIM 5 3/8 PERP 06/25 VR 1,000 95.4 6.5 Z-SPR 695 1 7 -5.7 109 59 Ba3u B+ -UCGIM 7 1/2 PERP 06/26 VR 1,000 112.3 5.0 Z-SPR 541 1 6 -5.1 124 80 Ba3 B+ B+UCGIM 3 7/8 PERP2 06/27 VR 1,250 81.4 7.4 Z-SPR 780 1 7 -18.2 100 53 Ba3 B+ B+

TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues . BBG: Bloomberg Composite. Notes: 1) change in prices 2) YTD from launch date for bonds issued in 2020 3) Bond not called . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Sample



Italian bank bonds denominated in euro (institutional) - Covered

Outst. YTM Spread overBond Type EUR M Price % ASW (bps)

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range Ratings

BTP 3.9.20 2.1.20 max min Mdy Fitch BBG

Investment Grade Banca Monte dei Paschi di Siena SpAMONTE 2 7/8 04/16/21 FX 1,000 101.9 -0.2 19 ASW 20 -4 -4 -15.0 57 20 Aa3 A+ * A+MONTE 1 1/4 01/20/22 FX 750 101.7 0.0 24 ASW 47 0 -1 11.1 83 22 Aa3 A+ * A+MONTE 2 01/29/24 FX 1,000 106.3 0.1 0 ASW 61 -1 -5 -22.0 126 60 Aa3 A+ * A+MONTE 2 7/8 07/16/24 FX 1,500 110.5 0.2 -11 ASW 62 -1 -5 -23.0 127 61 Aa3 A+ * A+MONTE 2 1/8 11/26/25 FX 1,000 110.1 0.2 -26 ASW 60 -1 -5 -25.5 128 59 Aa3 A+ * A+MONTE 0 7/8 10/08/26 FX 1,000 102.7 0.4 11 ASW 79 -2 -3 -6.4 135 63 Aa3 A+ * A+Banco BPM SpABAMIIM 0 3/4 03/31/22 FX 1,000 101.6 -0.3 -7 ASW 18 -2 -3 -18.8 53 18 Aa3 - A+BAMIIM 0 7/8 09/14/22 FX 1,000 102.2 -0.2 -12 ASW 24 0 -2 -16.2 64 24 Aa3 - -BAMIIM 0 5/8 06/08/23 FX 750 102.1 -0.1 -13 ASW 29 -1 -1 -20.6 85 29 Aa3 - -BAMIIM 1 1/8 09/25/23 FX 500 104.2 -0.2 -28 ASW 22 -2 -5 -24.0 82 22 Aa3 - -BAMIIM 1 01/23/25 FX 750 105.3 -0.2 -53 ASW 22 -1 0 -47.3 92 22 Aa3 - -BAMIIM 1 1/2 12/02/25 FX 750 108.7 -0.2 -59 ASW 25 0 -1 -43.3 93 24 Aa3 - -BPER BancaBPEIM 0 7/8 01/22/22 FX 750 101.5 -0.2 -2 ASW 20 -1 -3 -3.8 40 18 Aa3 - -BPEIM 1 07/22/23 FX 500 103.6 -0.2 -26 ASW 21 0 -2 -9.4 53 21 Aa3 - -BPEIM 1 1/8 04/22/26 FX 600 106.9 -0.1 -61 ASW 29 0 -1 -3.8 52 22 Aa3 - -UniCredit SpAUCGIM 2 5/8 10/31/20 FX 1,000 100.4 -0.4 3 ASW -23 2 1 -21.5 12 -26 Aa3 AA- AA-UCGIM 5 10/31/21 FX 1,000 106.2 -0.3 -11 ASW 7 -1 -1 0.6 25 3 Aa3 AA- AA-UCGIM 4 3/8 01/31/22 FX 1,000 106.7 -0.4 -14 ASW 5 -3 -3 1.1 33 0 Aa3 AA- AA-UCGIM 5 1/4 04/30/23 FX 1,250 115.0 -0.4 -40 ASW 6 0 -1 3.0 34 1 Aa3 AA- AA-UCGIM 3 01/31/24 FX 1,000 111.4 -0.3 -47 ASW 13 -1 -2 9.4 39 2 Aa3 AA- AA-UCGIM 0 3/4 04/30/25 FX 1,000 104.1 -0.1 -46 ASW 29 0 -1 23.2 43 3 Aa3 - -UCGIM 0 3/8 10/31/26 FX 1,000 102.8 -0.1 -58 ASW 29 0 0 20.3 45 7 Aa3 - -UCGIM Float 10/31/20 FL 500 100.0 0.1 - DISC 59 22 11 14.2 89 23 Aa3 - -

TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. Notes: . Source: Bloomberg BGN data on 03/09/20 at 09:39.

Sample



Current Levels of Italian IG and HY Corporate Bonds

Italian corporate bonds denominated in euro - Senior UnsecuredNext Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


Investment Grade 2i Rete Gas SpAFIREIT 3 07/16/24 - FX 600 111.4 0.0 ASW 51 -2 -4 2.8 155 44 Baa2 - BBBFIREIT 2.195 09/11/25 06/25 FX 500 109.3 0.3 ASW 69 -4 -4 -1.5 177 60 Baa2 - BBBFIREIT 1 3/4 08/28/26 05/26 FX 435 107.3 0.5 ASW 87 -2 -6 5.7 183 73 Baa2 - BBBFIREIT 1.608 10/31/27 07/27 FX 730 107.7 0.5 ASW 83 -2 -5 -6.5 203 79 Baa2 - BBBA2A SpAAEMSPA 4 3/8 01/10/21 - FX 351 101.6 NM ASW NM NM NM NM NM NM Baa2 - BBBAEMSPA 3 5/8 01/13/22 - FX 500 104.9 0.0 ASW 42 -1 -8 13.1 108 23 Baa2 - BBBAEMSPA 4 12/04/23 - FX 300 112.0 0.3 ASW 76 -2 4 25.7 117 42 Baa2 - -AEMSPA 1 1/4 03/16/24 - FX 300 104.4 0.0 ASW 47 -2 -4 4.1 105 32 - - -AEMSPA 1 3/4 02/25/25 11/24 FX 300 106.6 0.3 ASW 64 -2 -3 20.6 131 34 Baa2 - BBBAEMSPA 1 5/8 10/19/27 07/27 FX 300 108.3 0.4 ASW 77 -3 -6 20.4 137 47 Baa2 - BBBAEMSPA 1 07/16/29 04/29 FX 400 105.0 0.4 ASW 68 -4 -13 7.8 160 52 Baa2 - BBBACEA SpAACEIM 2 5/8 07/15/24 04/24 FX 600 109.0 0.3 ASW 59 -2 -9 15.4 133 38 Baa2 BBB+ BBBACEIM 1 10/24/26 07/26 FX 500 103.4 0.4 ASW 80 0 -6 26.8 145 49 Baa2 BBB+ BBBACEIM 1 1/2 06/08/27 03/27 FX 700 106.6 0.5 ASW 85 0 -4 24.8 147 54 Baa2 BBB+ BBBACEIM 1 3/4 05/23/28 02/28 FX 500 108.3 0.6 ASW 95 -2 -9 33.3 159 57 Baa2 BBB+ BBBACEIM 0 1/2 04/06/291 01/29 FX 500 98.2 0.7 ASW 96 -1 -6 35.2 156 59 Baa2 BBB+ BBBACEIM Float 02/08/23 - FL 300 99.0 0.4 DISC 88 2 -8 36.1 104 46 Baa2 BBB+ BBBAeroporti di Roma SpAADRIT 3 1/4 02/20/21 - FX 400 101.2 0.6 ASW 104 -6 -15 54.0 205 36 Baa3 BBB- * BB+ADRIT 1 5/8 06/08/27 03/27 FX 500 98.2 1.9 ASW 220 -1 -5 89.2 276 120 Baa3 BBB- * BB+Buzzi Unicem SpABZUIM 2 1/8 04/28/23 01/23 FX 500 104.8 0.3 ASW 58 -4 -20 6.3 317 44 - - -CNH Industrial Finance Europe SACNHI 2 7/8 09/27/21 - FX 367 102.9 0.1 ASW 59 -6 -32 29.8 260 24 Baa3 BBB- BBB-CNHI 1 3/8 05/23/22 02/22 FX 316 101.6 0.4 ASW 68 -7 -25 34.1 221 29 Baa3 BBB- BBB-CNHI 2 7/8 05/17/23 - FX 369 106.8 0.3 ASW 81 -6 -24 23.7 365 49 Baa3 BBB- BBB-CNHI 1 3/4 09/12/25 06/25 FX 650 103.8 1.0 ASW 136 -4 -22 51.8 399 77 Baa3 BBB- BBB-CNHI 1 7/8 01/19/26 10/25 FX 500 103.3 1.2 ASW 163 -4 -36 68.8 420 87 Baa3 BBB- BBB-CNHI 1 3/4 03/25/27 12/26 FX 600 101.7 1.5 ASW 183 -2 -25 70.9 418 107 Baa3 BBB- BBB-CNHI 1 5/8 07/03/29 04/29 FX 500 99.4 1.7 ASW 192 -2 -27 71.6 405 113 Baa3 BBB- BBB-Enel Finance International NVENELIM 5 07/12/21 - FX 533 104.4 -0.2 ASW 19 -2 -5 0.8 68 10 Baa2 A- BBB+ENELIM 5 09/14/22 - FX 2,077 110.6 -0.2 ASW 27 -2 -5 5.5 124 14 Baa2 A- BBB+ENELIM 4 7/8 04/17/23 - FX 674 113.5 -0.3 ASW 20 -1 -2 -4.1 113 17 Baa2 A- BBB+ENELIM 5 1/4 09/29/23 - FX 300 116.4 -0.1 ASW 38 -3 -7 6.5 126 29 Baa2 A- BBB+ENELIM 0 06/17/24 05/24 FX 1,000 99.9 0.0 ASW 44 -1 -3 7.3 142 32 Baa2 A- BBB+ENELIM 1 09/16/24 - FX 1,250 104.3 -0.1 ASW 38 -1 -5 3.5 148 29 Baa2 A- BBB+ENELIM 1.966 01/27/25 - FX 1,463 108.7 0.0 ASW 43 -1 -2 3.2 161 34 Baa2 A- BBB+ENELIM 1 1/2 07/21/25 04/25 FX 1,000 107.1 0.0 ASW 41 -2 -2 2.5 152 31 Baa2 A- BBB+ENELIM 1 3/8 06/01/26 - FX 1,257 107.4 0.1 ASW 48 0 1 6.9 152 34 Baa2 A- BBB+ENELIM 1 1/8 09/16/26 06/26 FX 1,250 106.4 0.1 ASW 41 -1 -2 -3.3 157 35 Baa2 A- BBB+ENELIM 0 3/8 06/17/27 03/27 FX 1,000 100.4 0.3 ASW 65 0 -2 21.3 155 44 Baa2 A- BBB+ENELIM 1 1/8 10/17/34 07/34 FX 500 104.2 0.8 ASW 86 1 3 14.8 174 66 Baa2 A- BBB+Enel SpAENELIM 5 1/4 05/20/24 - FX 750 119.9 -0.1 ASW 36 -1 -6 8.6 131 24 Baa2 A- BBB+ENELIM 5 5/8 06/21/27 - FX 850 136.5 0.2 ASW 66 -1 1 2.4 193 54 Baa2 A- BBB+Eni Finance International SA

Sample




SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


ENIIM 5.441 04/18/28 - FX 100 127.0 1.6 ASW 223 2 4 76.7 233 124 Baa1 A- BBB+Eni SpAENIIM 2 5/8 11/22/21 - FX 800 103.3 -0.1 ASW 30 2 -9 8.8 113 17 Baa1 A- BBB+ENIIM 0 3/4 05/17/22 - FX 700 101.5 -0.1 ASW 31 -3 -13 9.3 137 15 Baa1 A- BBB+ENIIM 3 1/4 07/10/23 - FX 1,000 109.6 -0.1 ASW 34 -1 -9 7.4 154 22 Baa1 A- BBB+ENIIM 1 3/4 01/18/24 - FX 750 106.1 0.0 ASW 41 -2 -9 16.6 149 21 Baa1 A- BBB+ENIIM 0 5/8 09/19/24 - FX 900 102.4 0.0 ASW 48 -2 -12 17.5 148 27 Baa1 A- BBB+ENIIM 1 03/14/25 - FX 650 104.0 0.1 ASW 55 -2 -10 20.6 156 31 Baa1 A- BBB+ENIIM 3 3/4 09/12/25 - FX 1,200 118.1 0.1 ASW 59 -1 -11 22.3 171 35 Baa1 A- BBB+ENIIM 1 1/2 02/02/26 - FX 1,000 106.8 0.2 ASW 65 -2 -9 27.2 163 36 Baa1 A- BBB+ENIIM 1 1/4 05/18/261 - FX 1,000 105.5 0.3 ASW 67 - - -95.1 163 67 Baa1 A- BBB+ENIIM 1 1/2 01/17/27 - FX 750 107.5 0.3 ASW 69 -1 -8 28.5 159 37 Baa1 A- BBB+ENIIM 1 5/8 05/17/28 - FX 800 109.4 0.4 ASW 72 -1 -8 29.7 164 40 Baa1 A- BBB+ENIIM 1 1/8 09/19/28 - FX 600 105.9 0.4 ASW 69 -2 -10 26.5 162 41 Baa1 A- BBB+ENIIM 3 5/8 01/29/29 - FX 1,000 126.2 0.4 ASW 82 -1 -14 37.2 195 42 Baa1 A- BBB+ENIIM 0 5/8 01/23/301 - FX 1,000 100.4 0.6 ASW 80 -2 -6 33.1 181 47 Baa1 A- BBB+ENIIM 2 05/18/311 - FX 1,000 113.4 0.7 ASW 92 - - -116.8 210 92 Baa1 A- BBB+ENIIM 1 10/11/34 - FX 750 102.6 0.8 ASW 84 0 -3 19.0 183 61 Baa1 A- BBB+EXOR NVEXOIM 2 1/8 12/02/22 09/22 FX 750 103.8 0.4 ASW 66 -4 -13 18.2 105 39 - - -EXOIM 2 1/2 10/08/24 - FX 650 107.7 0.6 ASW 106 -5 -12 42.4 142 57 - - -EXOIM 1 3/4 01/18/28 10/27 FX 500 104.4 1.1 ASW 145 -2 -11 41.4 188 94 - - -EXOIM 2 1/4 04/29/301 01/30 FX 500 103.7 1.8 ASW 206 - - -16.2 240 206 - - -EXOIM 1 3/4 10/14/34 07/34 FX 500 96.1 2.1 ASW 204 -2 -10 74.4 231 125 - - -Hera SpAHERIM 3 1/4 10/04/21 - FX 250 103.3 0.2 ASW 65 4 -1 52.5 76 7 Baa2 - BBBHERIM 2 3/8 07/04/24 - FX 329 108.3 0.2 ASW 66 -1 -5 31.7 121 27 Baa2 - BBBHERIM 0 7/8 10/14/26 - FX 400 103.7 0.3 ASW 65 -1 -3 14.6 120 43 Baa2 - BBBHERIM 0 7/8 07/05/27 04/27 FX 500 103.7 0.3 ASW 66 -2 -11 11.4 136 46 Baa2 - BBBHERIM 5.2 01/29/28 - FX 700 134.0 0.5 ASW 99 0 -10 31.4 170 65 Baa2 - BBBItalgas SpAIGIM 0 1/2 01/19/22 - FX 268 100.7 0.0 ASW 40 -3 -7 14.5 88 20 Baa2 BBB+ BBBIGIM 1 1/8 03/14/24 - FX 481 103.8 0.0 ASW 51 -1 -2 23.3 115 20 Baa2 BBB+ BBBIGIM 0 1/4 06/24/251 - FX 500 100.6 0.1 ASW 52 - - -19.2 73 52 Baa2 BBB+ BBBIGIM 1 5/8 01/19/27 - FX 750 109.2 0.2 ASW 56 -1 -6 6.5 147 38 Baa2 BBB+ BBBIGIM 1 5/8 01/18/29 - FX 750 110.6 0.3 ASW 65 -2 -8 11.3 159 50 Baa2 BBB+ BBBIGIM 0 7/8 04/24/30 - FX 600 104.7 0.4 ASW 60 -1 -6 4.9 172 49 Baa2 BBB+ BBBIGIM 1 12/11/31 - FX 500 105.6 0.5 ASW 64 0 -7 0.3 173 57 Baa2 BBB+ BBBSnam SpASRGIM 0 10/25/20 - FX 500 100.0 -0.1 ASW 1 -1 -4 -6.2 48 -6 Baa2 BBB+ BBBSRGIM 3 3/8 01/29/21 - FX 259 101.4 -0.2 ASW 19 -12 -19 7.1 82 4 Baa2 BBB+ BBBSRGIM 5 1/4 09/19/22 - FX 602 111.3 -0.3 ASW 22 -4 -8 18.3 76 -10 Baa2 BBB+ BBBSRGIM 1 1/2 04/21/23 - FX 246 104.0 0.0 ASW 43 -1 -2 17.1 109 22 Baa2 BBB+ BBBSRGIM 1 09/18/23 06/23 FX 596 102.9 0.0 ASW 42 -3 -2 9.3 119 28 Baa2 BBB+ BBBSRGIM 1 3/8 11/19/23 - FX 195 104.6 -0.1 ASW 39 -3 -2 10.0 118 24 Baa2 BBB+ BBBSRGIM 3 1/4 01/22/24 - FX 390 111.2 -0.1 ASW 41 -2 -3 9.0 125 27 Baa2 BBB+ BBBSRGIM 0 05/12/24 02/24 FX 700 100.2 -0.1 ASW 37 -3 -3 0.5 122 30 Baa2 BBB+ BBBSRGIM 1 1/4 01/25/25 - FX 392 105.5 0.0 ASW 43 -2 -4 1.2 133 34 Baa2 BBB+ BBBSRGIM 1 1/4 08/28/25 05/25 FX 500 105.9 0.1 ASW 43 -3 -8 -5.1 141 33 Baa2 BBB+ BBBSRGIM 0 7/8 10/25/26 - FX 1,250 104.9 0.1 ASW 45 -1 -6 -8.5 140 42 Baa2 BBB+ BBBSRGIM 1 3/8 10/25/27 07/27 FX 650 108.6 0.2 ASW 48 -1 -5 -10.0 142 40 Baa2 BBB+ BBBSRGIM 1 5/8 01/07/30 10/29 FX 250 111.9 0.3 ASW 57 1 -70 -5.6 141 55 Baa2 BBB+ BBBSRGIM 0 3/4 06/17/301 03/30 FX 500 103.3 0.4 ASW 62 - - -23.3 86 62 Baa2 BBB+ BBB

Sample




SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


SRGIM 1 09/12/34 06/34 FX 600 104.6 0.7 ASW 72 -1 -6 -1.7 138 63 Baa2 BBB+ BBBSRGIM Float 02/21/22 - FL 300 100.1 0.1 DISC 56 1 -9 18.4 88 33 Baa2 BBB+ BBBTerna Rete Elettrica Nazionale SpATRNIM 4 3/4 03/15/21 - FX 1,250 102.6 -0.3 ASW 17 -4 -20 -1.0 96 11 Baa2 BBB+ BBBTRNIM 0 7/8 02/02/22 - FX 1,000 101.4 -0.1 ASW 33 -5 -13 5.2 109 20 Baa2 BBB+ BBBTRNIM 1 07/23/23 - FX 1,000 103.2 -0.1 ASW 34 -5 -13 1.4 127 30 Baa2 BBB+ BBBTRNIM 4.9 10/28/24 - FX 800 120.8 -0.1 ASW 36 -2 -10 2.2 133 29 Baa2 BBB+ BBBTRNIM 0 1/8 07/25/25 - FX 500 100.9 -0.1 ASW 36 -2 -8 -4.6 129 30 Baa2 BBB+ BBBTRNIM 1 04/10/26 - FX 500 105.2 0.1 ASW 47 -2 -8 -4.7 144 36 Baa2 BBB+ BBBTRNIM 1 3/8 07/26/27 - FX 1,000 108.7 0.1 ASW 46 -2 -8 -8.6 147 44 Baa2 BBB+ BBBTRNIM 1 10/11/28 - FX 750 106.7 0.2 ASW 47 -1 -10 -6.6 149 47 Baa2 BBB+ BBBTRNIM 0 3/4 07/24/321 - FX 500 102.7 0.5 ASW 64 - - - Baa2 BBB+ BBBHigh Yield and UnratedAtlantia SpAATLIM 1 5/8 02/03/25 - FX 750 98.8 1.9 ASW 228 -5 -7 -61.1 612 156 Ba3 BB * BB-ATLIM 1 7/8 07/13/27 04/27 FX 1,000 98.2 2.2 ASW 244 -1 -3 -46.0 487 176 Ba3 BB * BB-Autostrade per l'Italia SpAATOSTR 2 7/8 02/26/21 - FX 595 100.9 0.9 ASW 136 -38 -70 -80.7 867 52 Ba3 BB+ * BB-ATOSTR 1 1/8 11/04/21 - FX 480 99.8 1.3 ASW 167 -22 -17 -90.0 805 100 Ba3 BB+ * BB-ATOSTR 1 5/8 06/12/23 - FX 750 99.6 1.8 ASW 218 -14 -14 -94.8 663 115 Ba3 - BB-ATOSTR 5 7/8 06/09/24 - FX 1,000 115.5 1.6 ASW 219 -10 -21 -110.5 579 139 Ba3 BB+ * BB-ATOSTR 4 3/8 09/16/25 - FX 500 112.5 1.7 ASW 230 -7 -19 -72.4 515 190 Ba3 BB+ * BB-ATOSTR 1 7/8 11/04/25 - FX 500 99.8 1.9 ASW 229 -8 -14 -56.8 511 170 Ba3 BB+ * BB-ATOSTR 1 3/4 06/26/26 - FX 750 98.9 1.9 ASW 228 -6 -13 -62.4 546 172 Ba3 BB+ * BB-ATOSTR 1 3/4 02/01/27 - FX 600 98.2 2.1 ASW 236 - - -45.0 504 172 Ba3 BB+ * BB-ATOSTR 1 7/8 09/26/29 06/29 FX 700 98.3 2.1 ASW 228 -10 -21 -26.5 489 171 Ba3 BB+ * BB-Cooperativa Muratori & Cementisti-CMC di Ravenna SCCMCRAV 6 7/8 08/01/22 09/20 FT 250 2.5 NM ASW NM NM NM NM NM NM - - -CMCRAV 6 02/15/23 09/20 FT 325 2.5 NM ASW NM NM NM NM NM NM - - -Fiat Chrysler Automobiles NVFCAIM 3 3/8 07/07/23 04/23 FX 1,250 104.0 1.9 ASW 225 - - - Ba2 BBB- BB+FCAIM 3 3/4 03/29/24 - FX 1,250 106.3 1.9 ASW 240 5 -21 158.8 533 80 Ba2 BBB- BB+FCAIM 3 7/8 01/05/26 10/25 FX 1,250 108.2 2.2 ASW 265 - - - Ba2 BBB- BB+FCAIM 4 1/2 07/07/28 04/28 FX 1,000 112.9 2.6 ASW 309 - - - Ba2 BBB- BB+Fiat Chrysler Finance Europe SENCFCAIM 4 3/4 03/22/21 - FX 1,000 102.4 0.4 ASW 83 4 8 64.7 523 16 Ba2 BBB- BB+FCAIM 4 3/4 07/15/22 - FX 1,350 106.0 1.5 ASW 196 4 -16 155.0 522 42 Ba2 BBB- BB+Kedrion SpAKEDRIM 3 07/12/22 04/22 FX 350 97.4 4.5 ASW 476 -1 -25 -11.5 1156 443 - - -Leonardo SpALDOIM 4 1/2 01/19/21 - FX 739 101.5 0.3 ASW 66 -12 -21 23.3 442 40 Ba1 BBB- BB+LDOIM 5 1/4 01/21/22 - FX 556 106.0 0.8 ASW 129 4 -13 90.9 472 37 Ba1 BBB- BB+LDOIM 1 1/2 06/07/24 03/24 FX 600 100.4 1.4 ASW 180 -4 -9 81.1 436 91 Ba1 BBB- BB+LDOIM 4 7/8 03/24/25 - FX 500 113.3 1.8 ASW 237 4 -8 127.2 475 108 Ba1 BBB- BB+LDOIM 2 3/8 01/08/26 10/25 FX 500 101.0 2.2 ASW 255 - - -25.9 281 255 Ba1 BBB- BB+Prysmian SpAPRYIM 2 1/2 04/11/22 - FX 750 102.5 0.9 ASW 139 -2 -27 64.3 413 74 - - -Saipem Finance International BVSPMIM 2 3/4 04/05/22 - FX 500 102.0 1.4 ASW 192 5 -49 113.5 768 73 Ba2 - BBSPMIM 3 3/4 09/08/23 - FX 500 104.9 2.1 ASW 258 3 -41 158.3 702 97 Ba2 - BBSPMIM 2 5/8 01/07/25 - FX 500 100.3 2.6 ASW 295 5 -24 142.8 629 142 Ba2 - BBSPMIM 3 3/8 07/15/26 04/26 FX 500 100.7 3.2 ASW 360 - - -7.4 367 360 Ba2 - BBTelecom Italia Finance SA

Sample




SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


TITIM 7 3/4 01/24/33 - FX 1,015 148.4 3.0 ASW 396 -3 -33 48.5 645 317 Ba1 BB+ BB+Telecom Italia SpA/MilanoTITIM 4 7/8 09/25/20 - FX 547 100.3 NM ASW NM NM NM NM NM NM Ba1 BB+ BB+TITIM 4 1/2 01/25/21 - FX 564 101.8 -0.2 ASW 16 -4 -8 -14.0 401 -11 Ba1 BB+ BB+TITIM 5 1/4 02/10/22 - FX 884 107.0 0.3 ASW 84 1 -25 51.9 382 29 Ba1 BB+ BB+TITIM 3 1/4 01/16/23 - FX 1,000 105.5 0.9 ASW 138 2 -16 40.2 415 79 Ba1 BB+ BB+TITIM 2 1/2 07/19/23 - FX 1,000 103.6 1.2 ASW 169 0 -15 65.5 413 80 Ba1 BB+ BB+TITIM 3 5/8 01/19/24 - FX 750 106.8 1.5 ASW 205 1 -7 76.8 434 114 Ba1 BB+ BB+TITIM 4 04/11/24 01/24 FX 1,250 108.0 1.7 ASW 206 2 -18 61.1 543 119 Ba1 BB+ BB+TITIM 2 3/4 04/15/25 01/25 FX 1,000 104.3 1.8 ASW 217 1 -15 48.9 502 139 Ba1 BB+ BB+TITIM 3 09/30/25 - FX 1,000 105.5 1.8 ASW 230 0 -19 51.5 478 138 Ba1 BB+ BB+TITIM 2 7/8 01/28/26 10/25 FX 750 104.7 2.0 ASW 235 0 -17 38.6 478 141 Ba1 BB+ BB+TITIM 3 5/8 05/25/26 - FX 1,000 109.4 1.9 ASW 235 -1 -29 43.8 508 141 Ba1 BB+ BB+TITIM 2 3/8 10/12/27 07/27 FX 1,250 102.2 2.0 ASW 237 -2 -24 35.6 461 151 Ba1 BB+ BB+TITIM 5 1/4 03/17/55 - FX 670 119.4 4.2 ASW 460 -9 -30 46.6 540 394 Ba1 BB+ BB+TITIM Float 01/01/22 - FL 217 100.8 -0.6 DISC 39 - - - - - -Webuild SpAIPGIM 3 3/4 06/24/21 - FX 479 100.1 3.5 ASW 391 -40 -47 171.7 1595 115 - BB BB-IPGIM 1 3/4 10/26/24 - FX 500 89.6 4.6 ASW 460 3 -55 165.1 936 272 - - -IPGIM 3 5/8 01/28/271 - FX 250 85.3 6.5 ASW 616 4 -2 239.5 887 377 - - -

Type: FX = Fixed. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. NM: Not Meaningful related to YTM and Spread if Spread < 0 and > 1,000 bps whilst related to change (-1W, -1M, -YTD) when the reference data is NA. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Italian corporate bonds denominated in euro - Senior SecuredNext Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(bps)-1M

(bps)YTD

(bps)52-week

range RatingsBond


High Yield and Unrated International Game Technology PLCIGT 4 3/4 02/15/23 08/22 FX 850 104.2 2.9 ASW 301 -10 -98 168.8 1,667 129 Ba3 - BB-IGT 3 1/2 07/15/24 01/24 FX 500 102.0 2.9 ASW 330 -6 -102 157.3 1,351 171 Ba3 - BB-IGT 3 1/2 06/15/26 06/22 FX 750 100.2 3.5 ASW 382 1 -66 213.4 1,037 167 Ba3 - BB-IGT 2 3/8 04/15/28 04/23 FX 500 92.6 3.5 ASW 359 3 -49 126.0 794 230 Ba3 - BB-Moby SpAMOBYIT 7 3/4 02/15/23 09/20 300 23.1 91.2 ASW NA - - - - - -

Type: FX = Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. NA: Not Available. Notes: . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Sample



Current Levels of Italian Subordinated Corporate Bonds

Italian corporate bonds denominated in euro - HybridsNext Outst. YTMcall Type EUR M Price %

SPRDTYPE SPRD -1W

(pts)1-1M

(pts)1YTD

(pts)152-weekrange1 Ratings

Bond3.9.20 2.1.20 max min Mdy Fitch BBG

Investment Grade Enel SpAENELIM 5.451 01/10/74 01/24 VR 297 112.1 1.7 ASW 229 0 1 -3.52 117 104 Ba1 BBB BBB-ENELIM 2 1/2 11/24/78 08/23 VR 750 102.7 1.6 ASW 209 0 1 -1.63 105 90 Ba1 BBB BBB-ENELIM 3 1/2 05/24/80 02/25 VR 900 107.1 1.8 ASW 233 1 1 -1.94 111 89 Ba1 BBB BBB-ENELIM 3 3/8 11/24/81 08/26 VR 750 106.8 2.2 ASW 263 0 1 -1.89 111 89 Ba1 BBB BBB-

Type: VR = Variable. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. Notes: 1) Change in prices; min and max are calculated on prices . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.

Sample



Appendix 2: Closed RecommendationsInvestment recommendations CLOSED in the last 12 months: BanksDate Bond/CDS Type Spread rate Buy/Sell Entry level Current level1 Pick-up Status16.07.20 BAMIIM 1 3/4 01/28/25 Sen ASW FX BUY 241.1 229.5 11.6

BPEIM 1 7/8 07/07/25 Sen ASW FX SELL 217.0 217.4CLOSED03.09.20

H15:5611.06.20 UCGIM 1 01/18/23 SNP ASW FX BUY 205.7 118.6 87.1

UCGIM 1.8 01/20/30 SNP ASW FX SELL 232.2 202.9CLOSED03.09.20h 15:56

23.04.20 BAMIIM 2 03/08/22 Sen ASW FX BUY 401.5 188.7 212.8 CLOSEDBAMIIM 2 1/2 06/21/24 Sen ASW FX SELL 404.9 219.0 -185.9 11.06.20

26.9 H15:4023.04.20 BAMIIM 4 3/8 09/21/27 T2 Z-spread VAR BUY 1123.8 517.9 605.9 CLOSED

BAMIIM 4 1/4 10/01/29 T2 Z-spread VAR SELL 800.6 549.6 -251.0 11.06.20354.9 H12:09

23.04.20 UCGIM 1 1/4 06/25/25 Sen ASW VAR BUY 222.3 174.9 47.4 CLOSEDUCGIM 2 1/8 10/24/26 Sen ASW FX SELL 217.8 174.9 -42.9 04.06.20

4.6 H12:2823.04.20 UCGIM 2 09/23/29 T2 Z-spread VAR BUY 589.2 475.5 113.7 CLOSED

UCGIM 2.731 01/15/32 T2 Z-spread VAR SELL 563.8 476.3 -87.5 04.06.2026.2 H12:28

13.03.20 UCGIM 6 3/4 PERP T1 ASW VR BUY 1183 1179.1 3.9 CLOSED iBoxx Financials BB 1-3Y Index ASW - SELL 470 663.1 193.1 09.04.20 197 17:50 13.03.20 UCGIM 6 5/8 PERP T1 ASW VR BUY 1067 1084 -17 CLOSED iBoxx Financials BB 3-5Y Index ASW - SELL 451 572.8 121.8 09.04.20 104.7 17:50 30.01.20 MONTE 5 3/8 01/18/28 T2 Z-Spread VR BUY 855.0 2809.9 -1954.9 CLOSED MONTE 8 01/22/30 T2 Z-Spread VR SELL 728.0 1953.5 1225.5 13.03.20 -729.3 H10:20

09.01.20 BAMIIM 4 3/8 09/21/27 T2 Z-Spread VR BUY 302.0 181.9 120.1 OPENBPEIM 5 1/8 05/31/27 T2 Z-Spread VR SELL 262.0 221.1 -40.9 21.02.20

79.2 H12:5709.12.19 UCGIM 5 3/8 PERP AT1 Price VR BUY 100.4 107.1 6.7 CLOSED

UCGIM 7 1/2 PERP AT1 Price VR SELL 116.7 121.9 -5.2 06.02.201.4 H 17:00

09.01.20 BAMIIM 2 03/08/22 Sen Z-Spread FX BUY 148.0 130.1 17.9 CLOSEDBAMIIM 4 3/8 09/21/27 T2 Z-Spread VR SELL 302.0 296.8 -5.2 30.01.20

12.810.10.19 BAMIIM 4 3/8 09/21/27 T2 Z-Spread VR BUY 361.0 300.8 60.2 OPEN

UBIIM 4.45 09/15/27 T2 Z-Spread VR SELL 247.0 265.1 18.1 09.01.2078.3

10.10.19 UCGIM 6 3/4 PERP AT1 Price VR BUY 103.8 107.1 3.3UCGIM 7 1/2 PERP AT1 Price VR SELL 110.7 116.7 -6.0

-2.7

CLOSED09.12.09

H12:4510.10.19 UCGIM 6 5/8 PERP AT1 Price VR BUY 103.5 108.1 4.6

UCGIM 7 1/2 PERP AT1 Price VR SELL 110.7 116.7 -6.0-1.4

CLOSED09.12.09

H12:4505.08.19 UBIIM 4.45 09/15/27 T2 Z-Spread VR BUY 395.0 330.2 64.8 CLOSED UBIIM 1 3/4 04/12/23 SNP Z-Spread FX SELL 199.6 175.4 -24.2 05.09.19 40.7 H. 10:4205.08.19 UBIIM 5 7/8 03/04/29 T2 Z-Spread VR BUY 485.0 423.4 61.6 CLOSED UBIIM 2 5/8 06/20/24 SNP Z-Spread FX SELL 244.6 207.5 -37.1 05.09.19 24.5 H. 10:42

FX=FIXED; VR = Variable; BAMIIM = Banco BPM; UCGIM = Unicredit; UBIIM = UBI Banca; . 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Sample



Italian Investment Grade Corporate Bonds: Closed RecommendationsInvestment recommendations CLOSED in the last 12 monthsDate Bond/CDS Type Spread rate Buy/Sell Entry level

(bps)Current level1 (bps) Pick-up

(pbs)Status

23.04.20 ENELIM 0 06/17/24 Sen ASW FX BUY 105.3 44.2 61.1 CLOSEDENELIM 03/8 06/17/27 Sen ASW FX SELL 111.0 65.5 -45.6 03.09.20

15.527.05.20 TRNIM 0 7/8 02/02/22 Sen ASW FX BUY 98.2 46.7 51.5 CLOSED

IGIM 0 1/2 01/19/22 Sen ASW FX SELL 77.7 48.2 -29.6 28.07/2022.0

10.10.19 TRNIM 1 3/8 07/26/27 Sen ASW FX BUY 62.5 75.2 -12.7 CLOSEDTRNIM 1 10/11/28 Sen ASW FX SELL 60.5 80.5 20.0 25.06.20

7.305.12.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 78.2 83.4 -5.2 CLOSED

IREIM 0 7/8 10/14/29 Sen ASW FX SELL 76.6 93.4 16.8 25.06.2011.6

30.04.20 IGIM 1 5/8 01/18/29 Sen ASW FX BUY 136.2 92.3 44.0 CLOSEDSRGIM 1 5/8 01/07/30 Sen ASW FX SELL 109.7 135.1 25.4 12.06.20

69.429.10.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 78.4 82.6 -4.2 CLOSED

HERIM 0 7/8 07/05/27 Sen ASW FX SELL 59.4 86.2 26.8 11.06.2022.6

23.04.20 CNHI 2 7/8 09/27/21 Sen ASW FX BUY 235.5 148.4 87.1 CLOSEDCNHI 1 3/8 05/23/22 Sen ASW FX SELL 193.1 135.8 -57.2 11.06.20

29.927.02.20 CNHI 1 5/8 07/03/29 Sen ASW FX BUY 158.6 203.1 -44.5 CLOSED

CNHI 1 3/8 05/23/22 Sen ASW FX SELL 36.8 135.8 99.1 11.06.2054.6

21.11.19 AEMSPA 4 3/8 01/10/21 Sen ASW FX BUY 26.2 61.5 -35.3 CLOSEDHERIM 3 1/4 10/04/21 Sen ASW FX SELL 15.5 73.8 58.3 15.05.20

22.909.01.20 ACEIM 1 1/2 06/08/27 Sen ASW FX BUY 60.9 137.8 -76.9 CLOSED

ACEIM 1 3/4 05/23/28 Sen ASW FX SELL 63.1 155.0 91.9 14.05.20 15.0

05.08.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 94.5 134.9 -40.4 CLOSEDAEMSPA 1 5/8 10/19/27 Sen ASW FX SELL 79.1 129.2 50.1 13.05.20

9.721.11.19 TRNIM 0 7/8 02/02/22 Sen ASW FX BUY 33.6 89.3 -55.7 CLOSED

TRNIM 4.9 10/28/24 Sen ASW FX SELL 42.0 115.6 73.6 23.04.20 17.9 H.11.02

31.07.19 IGIM 0 1/2 01/19/22 Sen ASW FX BUY 26.4 68.6 -42.3 CLOSEDIGIM 1 1/8 03/14/24 Sen ASW FX SELL 26.7 92.3 65.6 23.04.20

23.3 H.11.0207.02.19 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 131.3 127.4 3.9 CLOSED

IGIM 1 5/8 01/18/29 Sen ASW FX SELL 135.5 142.0 6.5 23.04.20 10.4 H.11.02

30.01.20 FIREIT 1.608 10/31/27 Sen ASW FX BUY 85.3 193.9 -108.6 CLOSEDIGIM 1 5/8 01/19/27 Sen ASW FX SELL 43.3 143.8 100.5 08.04.20

H09:00AM13.02.20 EXOIM 1 3/4 10/14/34 Sen ASW FX BUY 130.2 205.3 -75.1 CLOSED iBoxx Corporates A +10Y Sen ASW FX SELL 71.8 185.6 113.9 26.03.20h16.30 38.8 30.01.20 EXOIM 1 3/4 01/18/28 Sen ASW FX BUY 94.4 157.7 -63.3 CLOSED iBoxx Corporates A 7-10Y Sen ASW FX SELL 56.0 195.8 139.8 26.03.20

h16.30 76.6 10.10.19 EXOIM 1 3/4 10/14/34 Sen ASW FX BUY 162.9 205.3 -42.4 CLOSED06.09.19 EXOIM 1 3/4 01/18/28 Sen ASW FX BUY 121.6 157.7 -36.1 CLOSED

25.07.19 ERG 1 7/8 04/11/25 Sen ASW FX BUY 128.0 116.2 11.9 CLOSED12/03/20

H10:20ERG 1 7/8 04/11/25 Sen ASW FX BUY 128.0 116.2 11.9 CLOSEDiBoxx NFI BBB 5-7Y Sen ASW FX SELL 88.2 130.3 42.1 12/03/2020

54.0 H10:20FX = Fixed; ACEIM = ACEA; ATLIM = Atlantia; ADRIT = Aeroporti di Roma; TRNIM = Terna; AEMSPA = A2A; ENELIM = Enel; IGIM = Italgas; ENIIM = Eni; ERGIM = ERG; CNHI = CNH Industrial; IREIM = Iren; EXOIM = Exor; SRGIM = Snam; TERNIM = Terna; HERIM = Hera. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Sample



Investment recommendations CLOSED in the last 12 months - continueDate Bond/CDS Type Spread rate Buy/Sell Entry

level (bps)

Current level1 (bps) Pick-up (pbs)

Status

14.11.19 ACEIM 2 5/8 07/15/24 Sen ASW FX BUY 50.1 38.0 12.1 CLOSEDHERIM 2 3/8 07/04/24 Sen ASW FX SELL 31.7 30.1 -1.6 30.01.20

10.508.01.19 ADRIT 3 1/4 02/20/21 Sen ASW FX SELL 52.9 86.0 33.1 CLOSED

24.01.2027.06.19 ENELIM 1 1/2 07/21/25 Sen ASW FX BUY 58.1 39.8 18.3 CLOSED

ENELIM 1 3/8 06/01/26 Sen ASW FX SELL 53.1 42.9 -10.2 9.1.208.1 H10.14

13.12.18 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 52.6 19.8 32.9 CLOSEDSRGIM 5 1/4 09/19/22 Sen ASW FX SELL 32.7 5.0 -27.8 9.1.20

5.1 H10.1402.05.19 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 6.2 19.8 -13.6 CLOSED

TRNIM 0 7/8 02/02/22 Sen ASW FX SELL 8.1 28.3 20.1 9.1.206.6 H10.14

27.06.19 ENELIM 1 1/2 07/21/25 Sen ASW FX BUY 58.1 39.8 18.3 CLOSEDENELIM 1 3/8 06/01/26 Sen ASW FX SELL 53.1 42.9 -10.2 9.1.20

8.1 H10.1413.12.18 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 52.6 19.8 32.9 CLOSED

SRGIM 5 1/4 09/19/22 Sen ASW FX SELL 32.7 5.0 -27.8 9.1.205.1 H10.14

02.05.19 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 6.2 19.8 -13.6 CLOSEDTRNIM 0 7/8 02/02/22 Sen ASW FX SELL 8.1 28.3 20.1 9.1.20

6.6 H10.1407.11.19 EXOIM 2 1/8 12/02/22 Sen ASW FX BUY 51.4 48.8 2.6 CLOSED CNHI 1 3/8 05/23/22 Sen ASW FX SELL 33.8 41.0 7.2 3.12.19 9.9 H10.3007.03.19 FIREIT 2.195 09/11/25 Sen ASW FX BUY 154.5 77.1 77.4 CLOSED

FIREIT 1.608 10/31/27 Sen ASW FX SELL 155.5 94.7 -60.8 21.11.19 16.6 H11:1502.05.19 ATLIM 1 1/8 11/04/21 Sen ASW FX BUY 65.9 141.7 -75.8 CLOSED

ATLIM 2 7/8 02/26/21 Sen ASW FX SELL 28.9 120.1 91.1 20.11.19 15.4 H15:4521.02.19 ATLIM 4 3/8 09/16/25 Sen ASW FX BUY 246.8 275.2 -28.5 CLOSED

ATLIM 1 3/4 06/26/26 Sen ASW FX SELL 225.7 272.5 46.8 20.11.19 18.3 H15:4505.09.19 IREIM 1.95 09/19/25 Sen ASW FX BUY 82.5 53.7 28.8 CLOSED

IREIM 0 7/8 11/04/24 Sen ASW FX SELL 49.0 40.6 -8.5 07.11.1920.3 H.12.48

11.07.19 HERIM 5.2 01/29/28 Sen ASW FX BUY 113.6 84.2 29.4 CLOSEDiBoxx Non-Financials BBB 7-10Y Sen ASW FX SELL 100.6 103.4 2.7 24.10.19

32.1 H14.0027.06.19 ENELIM 5 01/15/75 Sub ASW FX BUY 259.6 173.0 87.2 CLOSED

10.10.19H10.56

30.05.19 SRGIM 1 3/8 10/25/27 Sen ASW FX BUY 107.6 63.8 43.8 CLOSEDTRNIM 1 3/8 07/26/27 Sen ASW FX SELL 86.7 63.4 -23.3 10.10.19

20.5 H10.5613.09.18 IREN 1.95 09/19/25 Sen ASW FX BUY 148.5 81.6 66.9 CLOSED

AEMSPA 1 3/4 02/25/25 Sen ASW FX SELL 113.5 71.3 -42.1 05.09.19 24.8 H10.4207.02.19 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 131.3 65.8 65.5 CLOSED

TRNIM 1 3/8 07/26/27 Sen ASW FX SELL 111.0 62.9 -48.2 05.09.19 17.4 H10.42

AFX = Fixed; ACEIM = ACEA; ATLIM = Atlantia; ADRIT = Aeroporti di Roma; BZUIM = Buzzi Unicem; TRNIM = Terna; AEMSPA = A2A; ENELIM = Enel; IGIM = Italgas; ENIIM = Eni; CNHI = CNH Industrial; IREIM = Iren; EXOIM = Exor; SRGIM = Snam; TERNIM = Terna; HERIM = Hera. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Sample



Italian High Yield Corporate Bonds: Closed Recommendations

Investment recommendations CLOSED in the last 12 months: High Yield and UnratedDate Bond/CDS Type Spread Rate Buy/Sell Entry level (bps) Current level1

(bps)Pick-up

(pbs)Status

15.07.21 ATOSTR 2 7/8 02/26/21 Sen ASW FX BUY 237.7 204.5 33.2 CLOSED6.08.20

H8.3015.07.21 ATOSTR 1 7/8 11/04/25 Sen ASW FX BUY 234.5 239.9 -5.4 CLOSED

6.08.20H8.30

15.07.22 ATOSTR 1 3/4 02/01/27 Sen ASW FX BUY 274.9 250.9 24.0 CLOSED6.08.20

H8.3025.06.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 449.2 356.4 92.8 CLOSED

IGT 3 1/2 06/15/26 Sen ASW FX SELL 453.6 411.2 -42.3 5.08.2050.5 H9.00

11.06.20 CNHI 2 7/8 09/27/21 Sen ASW FX BUY 148 120.4 28.1 CLOSEDCNHI 2 7/8 05/17/23 Sen ASW FX SELL 112 126.5 14.7 16.07.20

42.811.06.20 iBoxx NFI BB 1-3Y Sen ASW FX BUY 339.8 361.1 -21.3 CLOSED

ATOSTR 1 1/8 11/04/21 Sen ASW FX SELL 290.8 123.9 -166.9 15.07.20-188.2 H9.15

25.05.20 ATOSTR 1 1/8 11/04/21 Sen ASW FX SELL 281.4 433.1 151.7 CLOSED25.06.20

11.05.20 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 288.4 159.4 129.0 CLOSEDLDOIM 1 1/2 06/07/24 Sen ASW FX SELL 293.2 184.4 -108.8 25.06.20

20.319.05.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 604.4 451.1 153.3 CLOSED

IGT 2 3/8 04/15/28 Sen ASW FX SELL 481.4 378.9 -102.6 25.06.2050.7

19.05.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 708.4 500.7 207.7 CLOSED11.06.20

23.04.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 704.0 479.3 224.8 CLOSEDIGT 3 1/2 07/15/24 Sen ASW FX SELL 606.3 470.0 -136.3 11.06.20

88.423.04.20 FCAIM 4 3/4 07/15/22 Sen ASW FX BUY 400.0 237.7 162.3 CLOSED

FCAIM 3 3/4 03/29/24 Sen ASW FX SELL 379.9 251.0 -128.9 11.06.2033.4

10.01.19 TITIM 4 04/11/24 Sen ASW FX BUY 367.7 300.7 67.0 CLOSEDTITIM 3 5/8 01/19/24 Sen ASW FX SELL 330.4 290.0 -40.5 23.4.20

26.510.10.19 IGT 3 1/2 07/15/24 Sen ASW FX BUY 207.9 628.4 -420.5 CLOSED

IGT 4 3/4 02/15/23 Sen ASW FX SELL 166.2 740.5 574.3 23.04.20153.7

18.12.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 89.6 380.2 -290.6 CLOSED23.04.20

18.12.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 89.6 380.2 -290.6 CLOSEDiBoxx NFI BBB 3-5Y Sen ASW FX SELL 69.7 192.2 122.5 23.04.20

-168.118.12.19 FCA 5Y CDS - - - SELL 106.1 430.5 -324.4 CLOSED

23.04.2018.12.19 FCA 5Y CDS - - - SELL 106.1 430.5 -324.4 CLOSED

iTraxx Europe 5Y BUY 45.2 85.4 40.2 23.04.20-284.3

8.11.19 LDOIM 1 1/2 06/07/24 Sen ASW FX BUY 100.7 298.9 -198.2 CLOSED23.04.20

8.11.19 LDOIM 1 1/2 06/07/24 Sen ASW FX BUY 100.7 298.9 -198.2 CLOSEDiBoxx NFI BBB 3-5Y Sen ASW FX SELL 75.2 192.2 117.0 23.04.20

-81.28.11.19 LDOIM 4 7/8 03/24/25 Sen ASW FX BUY 124.7 315.5 -190.8 CLOSED

iBoxx NFI BBB 5-7Y Sen ASW FX SELL 87.8 190.2 102.4 23.04.20-88.5

26.03.19 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 89.2 298.7 -209.4 CLOSED23.04.20

FX = FIXED; FCAIM = FCA; LDOIM = Leonardo; IPGIM = Salini Impregilo; IGT = International Game Thecnology; PRYM = Prysmian; TITIM = Telecom Italia; SPMIM = Saipem; WINTRE = Wind Tre. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Sample



Investment recommendations CLOSED in the last 12 months: High Yield and Unrated - continueDate Bond/CDS Type Spread Rate Buy/Sell Entry level (bps) Current level1

(bps)Pick-up

(pbs)Status

10.10.19 IGT 2 3/8 04/15/28 Sen ASW FX BUY 253.1 312.8 -59.7 CLOSEDIGT 3 1/2 06/15/26 Sen ASW FX SELL 229.6 319.5 89.9 27.02.20

30.230.01.20 IGT 3 1/2 07/15/24 Sen ASW FX BUY 223.0 256.9 -33.9 CLOSED

IGT 3 1/2 06/15/26 Sen ASW FX SELL 220.5 313.9 93.4 27.02.2059.5

27.07.18 SPMIM 3 3/4 09/08/23 Sen ASW FX BUY 234.0 154.5 79.5 CLOSED26.02.20

H13:5020.11.19 ATLIM 2 7/8 02/26/21 Sen ASW FX SELL 119.2 219.0 99.8 CLOSED

24.01.20 H12:00

20.11.19 ATLIM 5 7/8 06/09/24 Sen ASW FX SELL 260.2 263.0 2.8 CLOSED24.01.20

H12:0020.11.19 ATLIM 4 3/8 09/16/25 Sen ASW FX SELL 275.2 239.0 -36.2 CLOSED

24.01.20 H12:00

16.05.18 MOBYIT 7 3/4 02/15/23 Sen ASW FX SELL 1005 2723 1719 CLOSED 05.11.19

13:30CET1.08.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 145.4 100.8 44.5 CLOSED

1.11.191.08.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 145.4 100.8 44.5 CLOSED

Non-Financials BBB 3-5Y Sen ASW FX SELL 72.7 80.5 7.7 1.11.1952.3

16.05.19 TITIM 2 3/4 04/15/25 Sen ASW FX BUY 337.6 215.9 121.6 CLOSEDTITIM 3 09/30/25 Sen ASW FX SELL 307.6 213.7 -93.8 10.10.19

27.8 13.06.19 IGT 3 1/2 06/15/26 Sen ASW FX BUY 349.6 234.0 115.6 CLOSED

IGT 3 1/2 07/15/24 Sen ASW FX SELL 282.0 212.3 -69.7 10.10.19 45.9 26.03.19 LDOIM 4 7/8 03/24/25 Sen ASW FX BUY 195.2 147.9 47.3 CLOSED

10.10.19

FX = FIXED; FCAIM = FCA; LDOIM = Leonardo; IPGIM = Salini Impregilo; IGT = International Game Thecnology; PRYM = Prysmian; TITIM = Telecom Italia; SPMIM = Saipem; WINTRE = Wind Tre. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data

Sample



DisclaimerAnalyst certificationThe financial analyst who prepared this report, and whose name and role appear on the first page, certifies that:1. The views expressed on the companies mentioned herein accurately reflect independent, fair and balanced personal views; 2. No direct or indirect compensation has been or will be received in exchange for any views expressed.

Specific disclosures Neither the analyst nor any person closely associated with the analyst has a financial interest in the securities of the companies.

Neither the analyst nor any person closely associated with the analyst serves as an officer, director or advisory board member of the companies.

The analyst named in the document is a member of AIAF.

The analyst named in this document is not registered with or qualified by FINRA, the U.S. regulatory body with oversight over Intesa Sanpaolo IMI Securities Corp. Accordingly, the analyst may not be subject to FINRA Rule 2241 and NYSE Rule 472 with respect to communications with a subject company, public appearances and trading securities in a personal account. For additional information, please contact the Compliance Department of Intesa Sanpaolo IMI Securities Corp. at 212-326-1133.

The analyst of this report does not receive bonuses, salaries, or any other form of compensation that is based upon specific investment banking transactions.

The research department supervisors do not have a financial interest in the securities of the companies.

This research has been prepared by Intesa Sanpaolo SpA and distributed by Banca IMI SpA Milan, Banca IMI SpA-London Branch (a member of the London Stock Exchange) and Banca IMI Securities Corp (a member of the NYSE and FINRA). Intesa Sanpaolo SpA accepts full responsibility for the contents of this report and also reserves the right to issue this document to its own clients. Banca IMI SpA and Intesa Sanpaolo SpA, which are both part of the Intesa Sanpaolo Group, are both authorised by the Banca d'Italia and are both regulated by the Financial Conduct Authority in the conduct of designated investment business in the UK and by the SEC for the conduct of US business.Opinions and estimates in this research are as at the date of this material and are subject to change without notice to the recipient. Information and opinions have been obtained from sources believed to be reliable, but no representation or warranty is made as to their accuracy or correctness. Past performance is not a guarantee of future results. The investments and strategies discussed in this research may not be suitable for all investors. If you are in any doubt you should consult your investment advisor.This report has been prepared solely for information purposes and is not intended as an offer or solicitation with respect to the purchase or sale of any financial products. It should not be regarded as a substitute for the exercise of the recipient’s own judgment. No Intesa Sanpaolo SpA or Banca IMI SpA entities accept any liability whatsoever for any direct, consequential or indirect loss arising from any use of material contained in this report. This document may only be reproduced or published together with the name of Intesa Sanpaolo SpA and Banca IMI SpAIntesa Sanpaolo SpA and Banca IMI SpA have in place the Conflicts of Interest Management Rules for managing effectively the conflicts of interest which might affect the impartiality of all investment research which is held out, or where it is reasonable for the user to rely on the research, as being an impartial assessment of the value or prospects of its subject matter. A copy of these Rules are available to the recipient of this research upon making a written request to the Compliance Officer, Intesa Sanpaolo SpA, C.so Matteotti n° 1, 20121 Milan (MI) Italy. Intesa Sanpaolo SpA has formalised a set of principles and procedures for dealing with conflicts of interest (“Rules for Research”). The Rules for Research is clearly explained in the relevant section of Intesa Sanpaolo’s web site (www.intesasanpaolo.com).Member companies of the Intesa Sanpaolo Group, or their directors and/or representatives and/or employees and/or persons closely associated with them, may have a long or short position in any securities mentioned at any time, and may make a purchase and/or sale, or offer to make a purchase and/or sale, of any of the securities from time to time in the open market or otherwise.Intesa Sanpaolo SpA issues and circulates research to Major Institutional Investors in the USA only through Banca IMI Securities Corp., 1 William Street, New York, NY 10004, USA, Tel: (1) 212 326 1150. This document has been prepared and issued for, and thereof is intended for use by, MiFID II eligible counterparties/professional clients (other than elective professional clients) or otherwise by market professionals or institutional investors only, who are financially sophisticated and capable of evaluating investment risks independently, both in general and with regard to particular transactions and investment strategies.Person and residents in the UK: This document is not for distribution in the United Kingdom to persons who would be defined as private customers under rules of the Financial Conduct Authority.US persons: This document is intended for distribution in the United States only to Major US Institutional Investors as defined in SEC Rule 15a-6. US Customers wishing to effect a transaction should do so only by contacting a representative at Banca IMI Securities Corp. in the US (see contact details above).

Distribution MethodThis document is for the exclusive use of the person to whom it is delivered by Banca IMI and Intesa Sanpaolo and may not be reproduced, redistributed, directly or indirectly, to third parties or published, in whole or in part, for any reason, without prior consent expressed by Banca IMI and/or Intesa Sanpaolo. The copyright and all other intellectual property rights on the data, information, opinions and assessments referred to in this information document are the exclusive domain of the Intesa Sanpaolo banking group, unless

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otherwise indicated. Such data, information, opinions and assessments cannot be the subject of further distribution or reproduction in any form and using any technique, even partially, except with express written consent by Banca IMI and/or Intesa Sanpaolo. Persons who receive this document are obliged to comply with the above indications.

Coverage policy and frequency of research reportsThe list of companies covered by the Research Department is available upon request. Intesa Sanpaolo SpA aims to provide continuous coverage of the companies on the list in conjunction with the timing of periodical accounting reports and any exceptional event that affects the issuer’s operations. In the case of a short note, we advise investors to refer to the most recent company report published by Intesa Sanpaolo SpA’s Research Department for a full analysis of company profile/strategy, risks, and recommendation methodology. Research is available on Banca IMI’s web site (www.bancaimi.com or www.intesasanpaolo.com) or by contacting your sales representative.

Credit Research Publications in Last 12MThe list of all recommendations on any financial instrument or issuer produced by Intesa Sanpaolo Research Department and distributed during the preceding 12-month period is available on the Intesa Sanpaolo website at the following address: https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest0

Valuation methodology Banca IMI’s credit views are based on the expected trend of the company’s fundamentals. The view reflects the sector trend and the competitive scenario, the company’s financial strength, as well as its profitability outlook and competitive positioning. In our credit quality valuation, we consider management’s intention and ability to meet debt obligations, the company’s dividend policy and, in general, its attention to bondholders’ interests. Among key financial ratios, for those sectors where relevant, we assess the company’s ability to generate operating cash flow, its capacity to repay maturing debt through cash flow, its net interest coverage ratio and capital ratios.In the case of significant events, which could determine a change in our credit view, we may place our recommendation under review. This review does not necessarily imply a change in the credit view.

Corporate credit view keyCredit rating keyCredit view DefinitionPOSITIVE We expect an improvement in fundamentals over the next six monthsNEUTRAL We expect substantially stable fundamentals over the next six monthsNEGATIVE We expect a deterioration in fundamentals or visibility on fundamentals over the next six monthsSUSPENDED The credit view and investment recommendation for this company have been suspended as there is not a sufficient fundamental basis for determining

an investment view. The previous credit view, if any, is no longer in effect for this companyNOT ASSIGNED The company is or may be covered by the Research Department but no credit view and investment recommendation are assigned either voluntarily or

to comply with applicable regulations and/or firm policies in certain circumstances.

Historical Credit View and Investment Recommendation Changes

2i Rete Gas - Historical Credit View (-1Y)Date Credit View

D at e Inv es t m ent Grade Senio r Uns ec ured

08-Apr-20 Hold

2i Rete Gas - Historical Investment Recommendation (-1Y)

A2A - Historical Credit View (-1Y)Date Credit View

A2A - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

Acea - Historical Credit View (-1Y)Date Credit View

Acea - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured14-May-20 BUY

Date Credit View17-Mar-20 Under Review

ADR - Historical Credit Views (-1Y)Date Investment Grade Senior Unsecured24-Jan-20 Hold08-Jan-20 Sell

ADR - Historical Investment Recommendation (-1Y)

Date Credit View15-Jul-20 Under Review

ASPI- Historical Credit Views (-1Y)Date High Yield Senior Unsecured06-Aug-20 Hold15-Jul-20 Buy25-May-20 Sell24-Jan-20 Hold20-Nov-19 Sell

ASPI - Historical Investment Recommendation (-1Y)

Date Credit View17-Jul-20 Under Review

Atlantia- Historical Credit Views (-1Y) Date High Yield Senior Unsecured24-Jan-20 Hold20-Nov-19 Sell

Atlantia - Historical Investment Recommendation (-1Y)

https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest0

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Buzzi Unicem - Historical Credit View (-1Y)Date Credit View27-Mar-20 UNDER REVIEW

Buzzi Unicem - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

CNH Ind. - Historical Credit View (-1Y)Date Credit View07-May-20 UNDER REVIEW02-Oct-19 NEUTRAL

CNH Ind. - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

Enel - Historical Credit View (-1Y)Date Credit View

Enel - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured07-Aug-20 HOLD07-May-20 BUY

Enel - Historical Investment Recommendations (-1Y)Date Investment Grade Hybrids

Eni - Historical Credit View (-1Y)Date Credit View24-Mar-20 NEUTRAL28-Oct-19 UNDER REVIEW

Eni - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

ERG - Historical Credit View (-1Y)Date Credit View

Date Investment Grade Senior Unsecured19-May-20 Buy12-Mar-20 Hold

ERG - Historical Investment Recommendation (-1Y)EXOR - Historical Credit View (-1Y)Date Credit View25-Nov-19 POSITIVE

EXOR - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured26-Mar-20 HOLD

FCA - Historical Credit View (-1Y)Date Credit View06-May-20 NEUTRAL18-Dec-19 UNDER REVIEW

Date High Yield Senior Unsecured06-May-20 Hold18-Dec-19 Buy01-Nov-19 Hold

FCA - Historical Investment Recommendation (-1Y)

Hera - Historical Credit View (-1Y)Date Credit View

Hera - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

IGT - Historical Credit View (-1Y)Date Credit View

IGT - Historical Investment Recommendations (-1Y)Date High Yield Senior Secured19-May-20 BUY

Iren - Historical Credit View (-1Y)Date Credit View30-Oct-19 NEUTRAL

Iren - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured16-Sep-19 HOLD

Italgas - Historical Credit View (-1Y)Date Credit View

Italgas - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured28-Jul-20 BUY

Kedrion - Historical Credit View (-1Y)Date Credit View31-Jan-20 NEUTRAL

Kedrion - Historical Investment Recommendations (-1Y)Date Unrated Senior Unsecured31-Mar-20 BUY

Leonardo - Historical Credit View (-1Y)Date Credit View

Leonardo - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured11-May-20 HOLD

Prysmian - Historical Credit View (-1Y)Date Credit View13-May-20 UNDER REVIEW

Prysmian - Historical Investment Recommendations (-1Y)Date Unrated Senior Unsecured

Saipem - Historical Credit View (-1Y)Date Credit View27-Feb-20 UNDER REVIEW

Saipem - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured27-Feb-20 HOLD

Sisal Group - Historical Credit View (-1Y)Date Credit View21-Feb-20 NEUTRAL

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Sisal Group - Historical Investment Recommendations (-1Y)Date High Yield Senior Secured21-Feb-20 HOLD

Snam - Historical Credit View (-1Y)Date Credit View

Snam - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured

Telecom Italia - Historical Credit View (-1Y)Date Credit View13-Nov-19 NEUTRAL

Telecom Italia - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured

Terna - Historical Credit View (-1Y)Date Credit View

Terna - Historical Investment Recommendations (-1Y)Date Investment Grade Senior Unsecured27-May-20 BUY

Webuild - Historical Credit View (-1Y)Date Credit View

Webuild - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured

Banca MPS - Historical Credit View (-1Y)Date Credit View16-Jul-20 NEUTRAL28-Feb-20 UNDER REVIEW

Banca MPS - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured

Date High Yield Subordinated30-Jun-20 Hold27-Mar-20 Sell18-Sep-19 Hold

MPS - Historical Investment Recommendation (-1Y)

Date Inv es t m ent Grade C o v ered B o nds

13-Mar-20 Hold18-Sep-19 Buy

MPS - Historical Investment Recommendation (-1Y)

BPER - Historical Credit View (-1Y)Date Credit View06-Aug-20 UNDER REVIEW

BPER - Historical Investment Recommendation (-1Y)Date High Yield Subordinated05-Aug-20 Hod27-Mar-20 Sell

BPER - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured06-Aug-20 HOLD

BPER - Historical Investment Recommendations (-1Y)Date Investment Grade Covered

Date Credit View19-Jun-20 Negative11-May-20 Under Review

Banco BPM - Historical Credit Views (-1Y)

Banco BPM - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured04-Mar-20 HOLD

Banco BPM - Historical Investment Recommendations (-1Y)Date High Yield Senior Unsecured Not Preferred04-Mar-20 HOLD

Banco BPM - Historical Investment Recommendations (-1Y)Date High Yield Subordinated04-Mar-20 HOLD07-Feb-20 BUY

Banco BPM - Historical Investment Recommendations (-1Y)Date High Yield Hybrids04-Mar-20 HOLD07-Feb-20 BUY

Banco BPM - Historical Investment Recommendations (-1Y)Date Investment Grade Covered04-Mar-20 HOLD12-Nov-19 BUY

Date Credit View04/06/2020 Negative07/05/2020 Under Review

Unicredit - Historical Credit Views (-1Y)

Date High Yield Subordinated13-Mar-20 Hold

UNICREDIT - Historical Investment Recommendation (-1Y) UNICREDIT - Historical Investment Recommendation Date High Yield Hybrids04-Jun-20 Hold08-Nov-19 Buy

Date Investment Grade Senior Unsecured13-Mar-20 Hold

UNICREDIT - Historical Investment Recommendation (-1Y) Date Investment Grade Senior not Preferred13-Mar-20 Hold

UNICREDIT - Historical Investment Recommendation (-1Y)

Unicredit - Historical Investment Recommendations (-1Y)Date Investment Grade Covered

Credit View allocations

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Intesa Sanpaolo Research Credit View distribution at July 2020Number of Companies subject to credit views: 23** Positive Neutral NegativeTotal Credit Research coverage - last credit view (%) 13.0 69.6 17.4of which Intesa Sanpaolo's clients* (%) 67 88 75(*) Companies on behalf of whom Intesa Sanpaolo and the other companies of the Intesa Sanpaolo Group have provided corporate and investment banking services in the last 12 months; percentage of clients in each rating category; ** Total number of companies covered is 33.

Investment recommendationsIntesa Sanpaolo’s recommendations on the issuer(s) bonds or relative CDS are based on the following rating system:Investment recommendationRecommendation DefinitionBUY We expect the bond or CDS subject to the recommendation to outperform the reference index, sector or

benchmark in a period up to six monthsHOLD We expect the bond or CDS subject to the recommendation to perform in line with the reference index,

sector or benchmark in a period up to six monthsSELL We expect the bond or CDS subject to the recommendation to underperform the reference index, sector or

benchmark in a period up to six months

Company-specific disclosuresIntesa Sanpaolo S.p.A. and the other companies belonging to the Intesa Sanpaolo Banking Group (hereafter the “Intesa Sanpaolo Banking Group”) have adopted written guidelines ”Organisational, Management and Control Model” pursuant to Legislative Decree 8 June 2001 no. 231 (available at the Intesa Sanpaolo website, https://group.intesasanpaolo.com/en/governance/leg-decree-231-2001) setting forth practices and procedures, in accordance with applicable regulations by the competent Italian authorities and best international practice, including those known as Information Barriers, to restrict the flow of information, namely inside and/or confidential information, to prevent the misuse of such information and to prevent any conflicts of interest arising from the many activities of the Intesa Sanpaolo Banking Group, which may adversely affect the interests of the customer in accordance with current regulations. In particular, the description of the measures taken to manage interest and conflicts of interest – related to Articles 5 and 6 of the Commission Delegated Regulation (EU) 2016/958 of 9 March 2016 supplementing Regulation (EU) No. 596/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the technical arrangements for objective presentation of investment recommendations or other information recommending or suggesting an investment strategy and for disclosure of particular interests or indications of conflicts of interest as subsequently amended and supplemented, the FINRA Rule 2241, as well as the FCA Conduct of Business Sourcebook rules COBS 12.4 - between the Intesa Sanpaolo Banking Group and issuers of financial instruments, and their group companies, and referred to in research products produced by analysts at Intesa Sanpaolo S.p.A. is available in the "Rules for Research " and in the extract of the "Corporate model on the management of inside information and conflicts of interest" published on the website of Intesa Sanpaolo S.p.A..At the Intesa Sanpaolo website, webpage https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest you can find the archive of disclosure of interests or conflicts of interest of the Intesa Sanpaolo Banking Group in compliance with the applicable laws and regulations.Furthermore, in accordance with the aforesaid regulations, the disclosures of the Intesa Sanpaolo Banking Group’s conflicts of interest are available through the above-mentioned webpage. The conflicts of interest published on the internet site are updated to at least the day before the publishing date of this report.We highlight that disclosures are also available to the recipient of this report upon making a written request to Intesa Sanpaolo – Equity & Credit Research, Via Manzoni, 4 - 20121 Milan - Italy.

https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest

https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest

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Intesa Sanpaolo Research Dept.Gregorio De Felice - Head of Research +39 02 8796 2012 [email protected]

Equity&Credit ResearchGiampaolo Trasi +39 02 8794 9803 [email protected] ResearchMaria Grazia Antola Banking +39 02 8794 1114 maria.antola @intesasanpaolo.comAlessandro Chiodini Utilities +39 02 8794 1115 alessandro.chiodini @intesasanpaolo.comMelanie Gavin Telecoms, Industrials +39 02 8794 1118 [email protected] Gabriella Tronconi Industrials +39 02 8794 1117 [email protected] Pizzarelli Research Assistant +39 02 8794 1116 [email protected]

Intesa SanpaoloLargo Mattioli, 3 20121 Italy

Intesa SanpaoloLondon Branch

90 Queen Street – EC4N 1SA UK

Intesa Sanpaolo IMI Securities Corp.

1 William St. – 10004 New York (NY) USA

mailto:[email protected]

corporate (asw)

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