LSF11 Boson Investments S.à r.l. (Compartment 2): Rating Report

The Notes are backed by a portfolio consisting of Spanish nonperforming loans (NPL) and real estate-owned assets (REOs) situated in Spain. The total outstanding balance of the NPL portfolio as of the cut-off date (31 July 2021) equalled EUR 626.8 million. The total real estate value (REV) backing the portfolio amounted to EUR 564.9 million and mostly consists of residential properties situated in Spain (93.8% by REV). About 5.4% of the real estate assets by value were already repossessed as of the cut-off date.