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FINANCIAL INSTITUTIONS

CREDIT OPINION20 July 2020

Update

RATINGS

Banca del Mezzogiorno - MCC S.p.A.Domicile Rome, Italy

Long Term CRR Baa3 , PossibleDowngrade

Type LT Counterparty RiskRating - Fgn Curr

Outlook Not Assigned

Long Term Debt Ba1 , PossibleDowngrade

Type Senior Unsecured -Dom Curr

Outlook Not Assigned

Long Term Deposit Baa3 , PossibleDowngrade

Type LT Bank Deposits - FgnCurr

Outlook Rating(s) Under Review

Please see the ratings section at the end of this reportfor more information. The ratings and outlook shownreflect information as of the publication date.

Contacts

Paolo Parziano +44.20.7772.1065Associate [email protected]

Guy Combot +33.1.5330.5981VP-Senior [email protected]

Alain Laurin +33.1.5330.1059Associate Managing [email protected]

Nick Hill [email protected]

CLIENT SERVICES

Americas 1-212-553-1653

Asia Pacific 852-3551-3077

Japan 81-3-5408-4100

EMEA 44-20-7772-5454

Banca del Mezzogiorno - MCC S.p.A.Update to credit analysis

SummaryThe Baa3 long-term deposit rating and Ba1 issuer rating of Banca del Mezzogiorno - MCCS.p.A. (Banca del Mezzogiorno) reflect (i) the bank's standalone profile, with a Baseline CreditAssessment (BCA) of ba3, which takes into account the bank's plan to focus on lendingto companies in the weaker South of Italy, (ii) the bank's extremely low and very low lossgiven failure for deposit and issuer ratings, which result in an uplift of three and two notches,respectively and, (iii) the moderate probability of government support for the bank throughits parent, Invitalia S.p.A. (Invitalia, Baa3 stable), the Italian national agency for investmentand economic development, which does not result in any rating uplift.

Banca del Mezzogiorno's ratings and assessments were placed under review for downgradefollowing the announcement by the Italian government on 15 December 2019 that thebank will be involved in the rescue of Banca Popolare di Bari (BPB). On 29 July 2020, theshareholders' meeting of the mutual BPB approved the acquisition plan requiring, amongother things, the bank's transformation into a joint stock company and a capital increasefinanced by the national deposits guarantee fund (FITD) and Banca del Mezzogiorno'sparents, which are aimed at offsetting the cost of the disposal of a large share of BPB'sproblem loans. The acquisition of BPB by Banca del Mezzogiorno will require the approval ofBank of Italy.

Exhibit 1

Rating Scorecard - Key financial ratios

8.4% 17.0% 0.8% 41.0% 33.1%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Asset Risk:Problem Loans/

Gross Loans

Capital:Tangible Common

Equity/Risk-WeightedAssets

Profitability:Net Income/

Tangible Assets

Funding Structure:Market Funds/

Tangible BankingAssets

Liquid Resources:Liquid Banking

Assets/TangibleBanking Assets

Solvency Factors (LHS) Liquidity Factors (RHS)

Banca del Mezzogiorno (BCA: ba3) Median ba3-rated banks

So

lve

ncy F

acto

rs

Liq

uid

ity F

acto

rs

Source: Moody's Investors Service

http://www.surveygizmo.com/s3/1133212/Rate-this-research?pubid=PBC_1236730https://www.moodys.com/credit-ratings/Banca-del-Mezzogiorno-MCC-SpA-credit-rating-600017327https://www.moodys.com/credit-ratings/Banca-del-Mezzogiorno-MCC-SpA-credit-rating-600017327

MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths

» Good capitalization

» High stream of commissions from government-guaranteed funds

Credit challenges

» Evolving strategy with the integration of the rescued retail bank BPB

» Loan growth towards small sized companies in the weaker South of Italy

» Potential rise in the stock of problem loans in Banca del Mezzogiorno's core business

OutlookBanca del Mezzogiorno's ratings are under review for downgrade, reflecting the potentially increased risks to its assets and solvency,that would be prompted by the acquisition of the mutual bank BPB placed under special administration.

Because BPB is many times larger than Banca del Mezzogiorno, the transaction will likely significantly affect the latter's risk profileand creditworthiness. As per public financial reports, BPB had €2.3 billion of NPLs (NPL ratio of 30%) as of March 2020. However, theacquisition plan included a problem loan disposal worth €2 billion to AMCO, a “bad bank” 100% held by the Italian government.

During the review period, we will seek more clarity on the likely future financial profile of Banca del Mezzogiorno. The review willassess the implications of the risks transferred to Banca del Mezzogiorno from BPB and Banca del Mezzogiorno's updated business planfollowing the acquisition of BPB.

Factors that could lead to an upgradeThere is no upward pressure on the ratings, as indicated by the review for downgrade. However, if, upon the conclusion of the review,Banca del Mezzogiorno's creditworthiness were to remain broadly unchanged, its ratings and assessments could be confirmed.

Factors that could lead to a downgradeBanca del Mezzogiorno's deposit and long-term issuer ratings could be downgraded if the restructuring of BPB were to resultin a weakening of the creditworthiness of Banca del Mezzogiorno, prompted in particular by a weakening of its asset quality orcapitalization, or both.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page onwww.moodys.com for the most updated credit rating action information and rating history.

2 20 July 2020 Banca del Mezzogiorno - MCC S.p.A.: Update to credit analysis


Key indicators

Exhibit 2

Banca del Mezzogiorno - MCC S.p.A. (Unconsolidated Financials) [1]

12-192 12-182 12-172 12-162 12-152 CAGR/Avg.3

Total Assets (EUR Million) 2,524.3 2,350.5 2,610.1 2,725.7 2,554.4 (0.3)4

Total Assets (USD Million) 2,833.5 2,686.9 3,134.2 2,874.9 2,774.9 0.54

Tangible Common Equity (EUR Million) 296.5 273.9 259.6 427.0 423.7 (8.5)4

Tangible Common Equity (USD Million) 332.8 313.1 311.7 450.4 460.3 (7.8)4

Problem Loans / Gross Loans (%) 8.3 8.9 7.9 4.5 2.7 6.55

Tangible Common Equity / Risk Weighted Assets (%) 17.0 17.2 14.2 22.1 24.1 18.96

Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 34.5 37.4 40.5 17.0 9.4 27.75

Net Interest Margin (%) 1.0 1.3 1.4 1.6 2.0 1.55

PPI / Average RWA (%) 2.8 2.8 2.6 2.9 3.4 2.96

Net Income / Tangible Assets (%) 0.9 0.9 0.8 1.1 1.3 1.05

Cost / Income Ratio (%) 47.1 45.3 49.9 46.7 45.3 46.95

Market Funds / Tangible Banking Assets (%) 41.0 53.8 67.2 61.3 66.8 58.05

Liquid Banking Assets / Tangible Banking Assets (%) 33.1 34.2 33.0 30.8 33.3 32.95

Gross Loans / Due to Customers (%) 142.3 190.8 294.3 292.4 404.3 264.85[1] All figures and ratios are adjusted using Moody's standard adjustments. [2] Basel III - fully loaded or transitional phase-in; IFRS. [3] May include rounding differences because of thescale of reported amounts. [4] Compound annual growth rate (%) based on the periods for the latest accounting regime. [5] Simple average of periods for the latest accounting regime. [6]Simple average of Basel III periods.Sources: Moody's Investors Service and company filings

ProfileBanca del Mezzogiorno - MCC S.p.A.'s (Banca del Mezzogiorno) remit consists of supporting the development of southern Italy. Thebank is indirectly controlled by the Government of Italy (Baa3 stable) through the national agency for investment and economicdevelopment, Invitalia, which fully owns Banca del Mezzogiorno.

Under Invitalia's ownership, Banca del Mezzogiorno launched a 2018-20 business plan that includes the following objectives:

» New loan activity mainly dedicated to supporting companies in the South of Italy

» No new residential mortgage activity, with legacy outstanding loans set to decrease slowly over time

» Continued management of government-guaranteed funds

» Rapid loan growth (+10% each year), funded mainly through the issuance of bonds in the wholesale market

» Lending in partnership and sharing credit risks with other banks

» A reduction in the Common Equity Tier 1 (CET1) capital ratio (despite dividend retention) as the loan portfolio grows in size. Theannounced CET1 capital ratio target was 16.8% from 28.1% reported in June 2017

Invitalia acquired Banca del Mezzogiorno from Poste Italiane S.p.A. (Poste Italiane, Baa3 stable), Italy's government-controlled postalnetwork, in 2017. Under Poste Italiane, Banca del Mezzogiorno was focused on supporting the development of southern Italy throughlending to small and medium-sized enterprises and facilitating public investments.

Poste Italiane acquired Banca del Mezzogiorno from UniCredit S.p.A. (UniCredit, Baa1, Baa1, baa3 stable1) in 2011. Before theacquisition, UniCredit had carved out most of the assets and liabilities of Banca del Mezzogiorno (then named MedioCredito CentraleS.p.A.). Effectively, Poste Italiane acquired a bank with no real franchise, starting a new lending business from scratch.

On 15 December 2019, the Italian government announced that the bank would be involved in the rescue of BPB (whose total assetsrepresented 10x Banca del Mezzogiorno's assets), which has a capital shortfall stemming from insufficient provisions against its largestock of NPLs (22.9% of total assets as of year-end 2019). BPB has been placed under special administration by the Bank of Italy sincemid-December 2019.


https://www.moodys.com/credit-ratings/Italy-Government-of-credit-rating-423690https://www.moodys.com/credit-ratings/Poste-Italiane-SpA-credit-rating-600052995https://www.moodys.com/credit-ratings/UniCredit-SpA-credit-rating-212250


The FITD injected €1170 million along with a €430 million transfer from the Italian Ministry of Finance to Banca del Mezzogiornothrough the parent, Invitalia, to facilitate the acquisition of BPB. On 29 June 2020, the shareholders' meeting of BPB approved thetransformation of the status of the mutual bank into an S.p.A. (joint stock company) as a requirement for its acquisition by Banca delMezzogiorno. The deal is still pending the Bank of Italy's approval qualifying Banca del Mezzogiorno as a holding company.

Detailed credit considerationsOur credit considerations detailed here do not take into account the pending transaction of BPB, which could significantly affect therisk profile and creditworthiness of Banca del Mezzogiorno. Our review will also help us gauge the impact of the acquisition on Bancadel Mezzogiorno's operations.

Rising stock of problem loans, unseasoned asset riskWe assign a b3 score to Banca del Mezzogiorno's Asset Risk, two notches below the b1 Macro-Adjusted score. Our adjustment reflectsour expectation that problem loans will increase as the bank implements its new strategy to mainly finance companies operating in thesouth of Italy and the likely rapid loan growth. These factors are partially offset by the government guarantees on a significant portionof loans granted by Banca del Mezzogiorno.

Banca del Mezzogiorno's problem loan ratio has now stabilized at around 8%2, but could still be strained by the adverse operatingenvironment the bank is active in. The ratio was 8.3% as of December 2019 (8.9% as of year-end 2018 and 7.9% as of year-end2017). Since year-end 2017, this ratio suffered both a 3% increase in outstanding NPLs (to €135 million from €131 million, essentiallycomprising unlikely-to-pay loans) and a decrease in loans to customers (-2% to €1.63 billion from €1.66 billion).

The 8.3% problem loan ratio of Banca del Mezzogiorno exceeds the Italian system average of 6.7% as of year-end 20193 and is wellabove the average of 2.7% for European banks, according to data published by the European Banking Authority.4

As the bank focuses on weaker southern Italian companies and as its portfolio of residential mortgages (put in runoff) matures, thepercentage of problem loans is likely to increase. Our assumptions also take into account the bank’s high loan growth strategy (10%annual loan growth targeted), at a time when we expect a contraction of 9.7% in Italy's GDP in 2020 (followed by +5.8% in 2021).5

Banca del Mezzogiorno will provide loans to companies that have received government guarantees, which will partially mitigate risksrelated to growth strategy. As of 30 September 2019 (most recent data available), state guaranteed loans represented 70% of Bancadel Mezzogiorno's new lending.

To counteract the impact of the coronavirus pandemic and support the local economy, the bank has also benefited from the loanguarantee scheme provided by the national government through the “Decreto Liquidità.6”

Banca del Mezzogiorno's assets also include high exposures to Italian government bonds7 (30% of its total assets). This exposure isclose to 3x the Italian commercial banks' average holdings of government securities (11.4% as of the end of May 2020).

Good capitalization despite recent loan book growthOur Capital score for Banca del Mezzogiorno is baa2, two notches below the a3 Macro-Adjusted score, reflecting our expectation ofdeclining capital ratios as the bank plans to grow its loan portfolio.

After its acquisition by Invitalia in August 2017, Banca del Mezzogiorno's capitalization decreased. The bank's Moody's-adjusted tangiblecommon equity (TCE)/risk-weighted assets (RWA) declined to 14.2% as of year-end 2017 from 22.1% as of year-end 2016. The TCEratio has partly recovered since 2018 to 17.0% as of December 2019 because of both non-distributed benefits and balance-sheetdownsizing due to maturing loans not replaced by new ones in line with adjusted business plan criteria.

Despite the impact of the pandemic and a more proactive lending activity, we expect the bank's capitalization to remain good.Loan exposure increased by 7.1% in the 12 months ended 2019 to €1.5 billion from €1.4 billion as of December 2018. Banca delMezzogiorno's CET1 ratio was 20.36% as of December 2019 (19.6% as of year-end 2018). The bank computes its RWA using thestandardized approach, and we do not expect it to adopt advanced credit risk models in the foreseeable future.

The bank has not disclosed its CET1 ratio target under the new business plan. Its minimum total capital ratio requirement (currentlymade only of CET1 capital) is 12.36% for 2020 (it was 13% for 2019). The bank's CET1 ratio remains well above the 8.04% CET1



prudential regulatory requirement for 2020 set by the Bank of Italy which consists of a 4.5% Pillar I ratio, a 1.04% Pillar II ratio andcapital conservation buffer of 2.5%. The bank also disclosed a 0.5% CET1 pillar II guidance ratio.

The difference between the CET1 and TCE capital ratios arises from our adjustment to the risk weight applied to the bank's exposures8

to the Italian government (50% versus 0% in banks' calculations).

Profitability suffers from lower revenue, partly mitigated by cost controlWe assign a ba3 Profitability score to Banca del Mezzogiorno, two notches lower than the Macro-Adjusted score of ba1. Theadjustment reflects our expectation that the bank’s profit will decline despite a growing loan book and because of the negativeeconomic impact of the pandemic and a low interest rate environment.

The bank's profitability will suffer from lower interest margins and a still high cost of risk. This cost of risk on lending was around 1% ofgross loans as of year-end 2019 and 1.8% in 2018 which absorbed a significant part of the pre-provision income (28% in 2019, 54.9%in 2018). However, in 2019, Banca del Mezzogiorno reported a net profit of €22.5 million, up 11% from 2018 (€20.2 million) thanks tolower administrative costs and lower tax charges (€3.2 million versus €3.9 million as of December 2018). These elements had offsetnegative impacts from lower interest rate environment and lower fees charged on loans guaranteed by the Italian government becauseof lower demand.

Higher customer deposits and inaugural social bond improved the fundingOur Funding Structure score for Banca del Mezzogiorno is b3, in line with our Macro-Adjusted score.

The bank has recently reshuffled its funding mix. Customer funding reached €1 billion from €0.8 billion (especially deposits fromcompanies and Italian local governments). This additional customer funding somewhat improved the weak loan-to-deposit ratio to142% as of December 2019 from 191% as of December 2018.

An inaugural social bond of €300 million in October 2019 more than offset bonds that matured in the year. At the same time,exposures to the ECB dwindled (-€76 million, -19% as of December 2019 compared to previous year) and time deposits with bankswere fully repaid (-€180 million).

In the updated business plan for 2020 - which doesn't factor in the acquisition of BPB -, Banca del Mezzogiorno has targeted high loangrowth, which will be mainly (58%) financed through corporates deposits (+€258 million), and higher ECB funding (+€170 million)rather than issuance of bonds (€400 million in the market as anticipated in 2019). The stock of bonds is targeted to remain around itsyear-end 2019 level of €460 million (representing 18% of total funding).

Banca del Mezzogiorno’s parent, Invitalia, and other government agencies would likely provide funding to the bank in case it wereunable to access the capital markets.

Banca del Mezzogiorno's Liquid Resources score is baa2, in line with the Macro-Adjusted score. As of December 2019 the LiquidityCoverage Ratio (LCR) was 331% and the Net Stable Funding Ratio (NSFR) reached 130%. Bank's internal targets mention a minimumLCR of 100% and NSFR of 140% for 2020 as well as a limit of 65% of encumbered assets.



Environmental, social and governance (ESG) considerationsIn line with our general view for the banking sector, Banca del Mezzogiorno has a low exposure to environmental risks and moderateexposure to social risks. See our Environmental risk heat map for further information.

Governance is highly relevant for Banca del Mezzogiorno, as it is to all entities in the banking industry. Corporate governanceweaknesses can lead to a deterioration in a company’s credit quality, while governance strengths can benefit its credit profile.Governance risks are largely internal rather than externally driven, and, for Banca del Mezzogiorno, we do not have any particulargovernance concern.

Nonetheless, corporate governance remains a key credit consideration and requires ongoing monitoring. The Italian government'sdecision to involve Banca del Mezzogiorno in BPB's rescue plan would have major implications for its activities as well as governancesince Banca del Mezzogiorno has now limited expertise in retail banking, which is a core business of BPB.

Support and structural considerationsLoss Given Failure analysisBanca del Mezzogiorno is subject to the European Union Bank Recovery and Resolution Directive, which we consider an operationalresolution regime. Our analysis assumes a residual TCE of 3%, post-failure losses of 8% of tangible banking assets, a 25% runoff injunior wholesale deposits, a 5% runoff in preferred deposits and 26% junior deposits as a proportion of total deposits. These are in linewith our standard assumptions. Furthermore, we take into account full depositor preference, whereby junior deposits are preferred oversenior debt creditors, in accordance with a law decree introducing full depositor preference in Italy, starting from 2019.

Under these assumptions, Banca del Mezzogiorno's deposits are likely to face extremely low loss given failure because of the lossabsorption provided by the residual equity that we expect in resolution (3%) and senior unsecured debt, as well as the volume ofdeposits. This is supported by the combination of deposit volume and subordination, which results in an uplift of three notches fromthe bank's ba3 BCA.

Banca del Mezzogiorno's senior unsecured creditors are likely to face very low loss given failure because of the loss absorption providedby the residual equity that we expect in resolution (3%), as well as the volume of senior unsecured debt. This is supported by thecombination of senior unsecured debt volume and subordination, which results in an uplift of two notches from the bank's ba3Adjusted BCA.

Government support considerationsWe assign a moderate probability of government support for Banca del Mezzogiorno's wholesale deposits and issuer ratings through itsparent Invitalia, which does not result in any uplift.

Counterparty Risk (CR) AssessmentCR Assessments are opinions of how counterparty obligations are likely to be treated if a bank fails, and are distinct from debt anddeposit ratings in that they (1) consider only the risk of default rather than both the likelihood of default and the expected financial losssuffered in the event of default, and (2) apply to counterparty obligations and contractual commitments rather than debt or depositinstruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performanceobligations (servicing), derivatives (for example, swaps), letters of credit, guarantees and liquidity facilities.

Banca del Mezzogiorno's CR Assessment is positioned at Baa3(cr)/Prime-3(cr)The long-term CR Assessment is three notches above the Adjusted BCA of ba3, based on the buffer against default provided to thesenior obligations represented by the CR Assessment by subordinated instruments. The main difference with our Advanced Loss GivenFailure approach used to determine instrument ratings is that the CR Assessment captures the probability of default on certain seniorobligations, rather than the expected loss; therefore, we focus purely on subordination and take no account of the volume of theinstrument class.

Counterparty Risk Ratings (CRRs)CRRs are opinions on the ability of entities to honor the uncollateralized portion of non-debt counterparty financial liabilities (CRRliabilities) and also reflect the expected financial losses in the event that such liabilities are not honored. CRR liabilities typicallyrelate to transactions with unrelated parties. Examples of CRR liabilities include the uncollateralized portion of payables arising from


https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1135665


derivative transactions and the uncollateralized portion of liabilities under sale and repurchase agreements. CRRs are not applicable tofunding commitments or other obligations associated with covered bonds, letters of credit, guarantees, servicer and trustee obligations,and other similar obligations that arise from a bank performing its essential operating functions.

Banca del Mezzogiorno's CRRs are positioned at Baa3/Prime-3The long-term CRR is three notches above the bank's Adjusted BCA of ba3. The uplift is derived from the buffer against defaultprovided to the operating obligations by substantial bail-in-able debt and deposits.

Methodology and scorecardAbout Moody's Bank ScorecardOur scorecard is designed to capture, express and explain in summary form our Rating Committee's judgment. When read inconjunction with our research, a fulsome presentation of our judgment is expressed. As a result, the output of our scorecardmay materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strongdivergence). The scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down toreflect conditions specific to each rated entity.



Rating methodology and scorecard factors

Exhibit 3

Banca del Mezzogiorno - MCC S.p.A.

Macro FactorsWeighted Macro Profile Moderate 100%

Factor HistoricRatio

InitialScore

ExpectedTrend

Assigned Score Key driver #1 Key driver #2

SolvencyAsset RiskProblem Loans / Gross Loans 8.4% b1 ←→ b3 Loan growth Expected trendCapitalTangible Common Equity / Risk Weighted Assets(Basel III - transitional phase-in)

17.0% a3 ←→ baa2 Expected trend

ProfitabilityNet Income / Tangible Assets 0.8% ba1 ←→ ba3 Expected trend Return on assetsCombined Solvency Score ba1 ba3LiquidityFunding StructureMarket Funds / Tangible Banking Assets 41.0% b3 ←→ b3 Market

funding qualityLiquid ResourcesLiquid Banking Assets / Tangible Banking Assets 33.1% baa2 ←→ baa2 Expected trendCombined Liquidity Score ba3 ba3Financial Profile ba3Qualitative Adjustments Adjustment

Business Diversification 0Opacity and Complexity 0Corporate Behavior 0

Total Qualitative Adjustments 0Sovereign or Affiliate constraint -BCA Scorecard-indicated Outcome - Range ba2 - b1Assigned BCA ba3Affiliate Support notching 0Adjusted BCA ba3

Balance Sheet in-scope(EUR Million)

% in-scope at-failure(EUR Million)

% at-failure

Other liabilities 911 36.1% 721 28.6%Deposits 1,079 42.8% 968 38.4%

Preferred deposits 798 31.6% 758 30.1%Junior deposits 280 11.1% 210 8.3%Senior unsecured bank debt 457 18.1% 757 30.0%Equity 76 3.0% 76 3.0%Total Tangible Banking Assets 2,522 100.0% 2,522 100.0%



De Jure waterfall De Facto waterfall NotchingDebt ClassInstrumentvolume +

subordination

Sub-ordination

Instrumentvolume +

subordination

Sub-ordination

De Jure De FactoLGF

NotchingGuidance

vs.Adjusted

BCA

AssignedLGF

notching

AdditionalNotching

PreliminaryRating

Assessment

Counterparty Risk Rating 41.4% 41.4% 41.4% 41.4% 3 3 3 3 0 baa3Counterparty Risk Assessment 41.4% 41.4% 41.4% 41.4% 3 3 3 3 0 baa3 (cr)Deposits 41.4% 3.0% 41.4% 33.0% 2 3 3 3 0 baa3Senior unsecured bank debt 41.4% 3.0% 33.0% 3.0% 2 2 2 2 0 ba1

Instrument Class Loss GivenFailure notching

Additionalnotching

Preliminary RatingAssessment

GovernmentSupport notching

Local CurrencyRating

ForeignCurrency

RatingCounterparty Risk Rating 3 0 baa3 0 Baa3 RUR Possible

DowngradeBaa3 RURPossible

DowngradeCounterparty Risk Assessment 3 0 baa3 (cr) 0 Baa3(cr) RUR

Possible DowngradeDeposits 3 0 baa3 0 Baa3 RUR Possible

DowngradeBaa3 RURPossible

DowngradeSenior unsecured bank debt 2 0 ba1 0 Ba1 RUR Possible

Downgrade[1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information.Source: Moody’s Investors Service

Ratings

Exhibit 4

Category Moody's RatingBANCA DEL MEZZOGIORNO - MCC S.P.A.

Outlook Rating(s) Under ReviewCounterparty Risk Rating Baa3/P-31

Bank Deposits Baa3/P-31

Baseline Credit Assessment ba32

Adjusted Baseline Credit Assessment ba32

Counterparty Risk Assessment Baa3(cr)/P-3(cr)1

Issuer Rating Ba12

Senior Unsecured -Dom Curr Ba12

PARENT: INVITALIA S.P.A.

Outlook StableIssuer Rating -Dom Curr Baa3Senior Unsecured -Dom Curr Baa3

[1] Rating(s) within this class was/were placed on review on 31 December 2019. [2] Placed under review for possible downgrade on 31 December 2019.Source: Moody's Investors Service



Endnotes1 The ratings shown in this report are the deposit rating, senior unsecured debt rating and Baseline Credit Assessment.

2 Problem loans are the sum of three categories (from most to least problematic): bad loans (known as sofferenze in Italian, which are loans to insolventborrowers); unlikely to pay (known as inadempienze probabili in Italian); and past due (known as esposizioni scadute e/o sconfinanti deteriorate in Italian,which are past due by more than 90 days).

3 Source: Bank of Italy, Financial Stability Report, ratio of NPLs to total loans gross of provisions.

4 European Banking Authority, Risk Dashboard data as of Q4 2019.

5 Global Macro Outlook 2020-21 (June 2020 Update), June 2020.

6 See “Italian government strengthens support measures for economy and banks amid coronavirus,” April 2020.

7 Banca del Mezzogiorno's Italian government bonds are classified as financial assets measured at fair value through other comprehensive income directlyaffecting banks’ CET1 ratios.

8 See Moody's Adjustment to Increase the Risk Weightings of Sovereign Debt Securities in the Analysis of Banks: Frequently Asked Questions, published inSeptember 2013.


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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (includingcorporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating,agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody’sinvestors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regardingcertain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publiclyreported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance —Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s InvestorsService Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intendedto be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, yourepresent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly orindirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as tothe creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’sOverseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a NationallyRecognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by anentity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registeredwith the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferredstock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and servicesrendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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