ING Groep N : SOL Lion II investor report – June 2024

SOL Lion II RMBS Fondo de Titulización

Monthly Investor Repor t

28 June 2024

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

Description

Issue Date	4	December 2020
Final Maturity Date	31	December 2063
Next Payment Date	30 September 2024

Notes	ISIN	Ratings			Current Principal Balance	Initial Principal Balance	Rate of Interest
			Fitch	DBRS
Class A1 Notes	ES0305515001	AAA(sf)	AAA(sf)	5,262,300,000 €	4,696,500,000 €	Euribor 3M + 0.25%
Class A2 Notes	ES0305515019	AAA(sf)	AAA(sf)	1,052,500,000 €	939,300,000 €	Euribor 3M + 0.35%
Class A3 Notes	ES0305515027	AAA(sf)	AAA(sf)	3,999,300,000 €	3,569,300,000 €	Euribor 3M + 0.45%
Class A4 Notes	ES0305515035	AAA(sf)	AAA(sf)	1,052,300,000 €	939,200,000 €	Euribor 3M + 0.55%
Class A5 Notes	ES0305515043	AAA(sf)	AAA(sf)	842,000,000 €	751,400,000 €	Euribor 3M + 0.65%
Class A6 Notes	ES0305515050	AAA(sf)	AAA(sf)	1,278,600,000 €	1,141,200,000 €	Euribor 3M + 0.75%
Class B Notes	ES0305515068	AAA(sf)	AAA(sf)	1,841,900,000 €	1,643,800,000 €	Euribor 3M + 1.00%
Class C Notes	ES0305515076	NR	NR	421,100,000 €	375,800,000 €	Euribor 3M + 1.50%
Subordinated Loan	NR	NR	120,000,000 €	120,200,000 €	Euribor 3M + 0.10%
Retained by the Originator: 100%				15,870,000,000 €	14,176,700,000 €
1. Summary
All amounts in EURO					Current	At Issue
Reporting Date						28-Jun-24	04-Dec-20
Portfolio Cut off date					31-May-24	31-Oct-20
Current Principal Balance (*)					15,870,000,000.00	14,176,700,000.00
	Of wich Cash Reserve (1)					120,000,000.00	120,200,000.00
	Of wich Cash Available for Replenishment of the Notes (2)		2,779.27	44,820.55
	Of which Active Outstanding Notional Amount (3)				15,749,997,220.73	14,056,455,179.45
	Of which Principal in Arrears					1,678,591.37	0.00
	Realised Loss					6,907.17	0.00
	Number of Loans					167,310	137,493
	Number of Borrowers					166,229	136,884
	Average Principal Balance (Loanparts)				94,136.62	102,233.97
	Average Principal Balance (Borrowers)				94,748.79	102,688.81
	Coupon: Weighted Average					3.72%	1.07%
		Minimum					0.00%	0.00%
		Maximum					8.65%	4.41%
	Weighted Average Original Loan to Market Value				71.99%	70.95%
	Weighted Average Loan to Indexed Market Value				52.34%	58.84%
	Seasoning (months): Weighted Average				71.52	61.59
	Remaining Tenor (months): Weighted Average				303.87	313.60
	Weighted Average Interest Rate on Fixed Interest Rate Loans		2.00%	1.94%
	Weighted Average Spread on Floating Rate Loans		0.98%	1.03%
(*) = (1) + (2) + (3)
	Stop Replenishment Criteria				Current	Initial
	1. Aggregate Outstanding Balance of Delinquent Receivables > 2.5%	0.25%	0.00%
	2. Aggregate realised losses related to Defaulted Receivables > 0.75%	0.00%	0.00%
	3. Outstanding Balance of the Receivables < 13.5 bln		15.7	14.1
	4. Reserve Fund not funded up to the Reserve Fund Required Amount	N	N
	5. Seller replaced as Servicer of the Receivables		N	N
	6. Seller not able to sell Additional Receivables		N	N
	Repurchase Rights					Current	Initial
	1. Sum of 12 months consecutive repurchases <= 1% Outstanding Balance Receivables	0.00%	0.00%

Page 1 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

2. Product Type

		Current Period					Issue Date
	Aggregate	% of	Nr of	% of	Weighted		Aggregate	% of	Nr of		Weighted
	Outstanding	Average		Outstanding	% of	Average
Product Type	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
Fixed	320,671,236	2.04%	3,166	1.89%	2.22%
Mixta	5,438,673,491	34.53%	50,595	30.24%	1.98%	2,481,546,946	17.65%	22,943	16.69%	1.94%
Variable	9,990,652,494	63.43%	113,549	67.87%	4.72%	11,574,908,234	82.35%	114,550	83.31%	0.88%
	15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%

3. Loan Coupon

			Current Period					Issue Date
average: 3.72%
Aggregate	% of	Nr of	% of	Weighted		Aggregate	% of	Nr of		Weighted
		Outstanding	Average		Outstanding	% of	Average
Coupon Loan Part (%)	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
0.00%	- 0.00%	11,792,771	0.07%	108	0.06%	0.00%	178,564,802	1.27%	2,066	1.50%	0.00%
0.01%	- 0.50%						2,353,648,402	16.74%	29,921	21.76%	0.25%
0.51%	- 1.00%	38,552,735	0.24%	142	0.08%	0.99%	5,977,041,876	42.52%	50,632	36.83%	0.79%
1.01%	- 1.50%	1,931,095,075	12.26%	15,491	9.26%	1.34%	1,344,172,283	9.56%	13,601	9.89%	1.21%
1.51%	- 2.00%	2,307,248,354	14.65%	23,089	13.80%	1.84%	3,527,095,943	25.09%	33,151	24.11%	1.84%
2.01%	- 2.50%	626,737,629	3.98%	6,940	4.15%	2.26%	525,134,950	3.74%	6,119	4.45%	2.24%
2.51%	- 3.00%	464,029,625	2.95%	3,967	2.37%	2.78%	139,578,147	0.99%	1,816	1.32%	2.69%
3.01%	- 3.25%	220,238,247	1.40%	1,619	0.97%	3.16%	5,153,514	0.04%	93	0.07%	3.15%
3.26%	- 3.50%	225,724,422	1.43%	1,810	1.08%	3.40%	4,015,968	0.03%	55	0.04%	3.38%
3.51%	- 3.75%	156,483,587	0.99%	1,470	0.88%	3.64%	949,495	0.01%	24	0.02%	3.60%
3.76%	- 4.00%	431,518,413	2.74%	6,125	3.66%	3.97%	457,697	0.00%	7	0.01%	3.92%
4.01%	- 4.25%	696,774,088	4.42%	11,387	6.81%	4.13%	553,095	0.00%	6	0.00%	4.15%
4.26%	- 4.50%	1,041,734,468	6.61%	11,392	6.81%	4.41%	89,008	0.00%	2	0.00%	4.40%
4.51%	- 4.75%	3,093,362,969	19.64%	32,689	19.54%	4.65%
4.76%	- 5.00%	1,093,527,662	6.94%	10,867	6.50%	4.86%
5.01%	- 5.25%	1,937,278,408	12.30%	20,598	12.31%	5.09%
5.26%	- 5.50%	639,669,857	4.06%	7,588	4.54%	5.37%
5.51%	- 5.75%	426,530,556	2.71%	5,774	3.45%	5.62%
5.76%	- 6.00%	221,436,995	1.41%	3,141	1.88%	5.89%
6.01%	- 6.25%	88,375,050	0.56%	1,413	0.84%	6.08%
6.26%	- 6.50%	64,094,547	0.41%	1,046	0.63%	6.38%
6.51%	- 6.75%	15,819,796	0.10%	299	0.18%	6.65%
6.76%	- 7.00%	9,490,652	0.06%	182	0.11%	6.85%
7.01%	- 7.25%	4,507,133	0.03%	87	0.05%	7.16%
7.26%	- 7.50%	888,430	0.01%	29	0.02%	7.37%
7.51%	- >	3,085,752	0.02%	57	0.03%	7.73%
		15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 2 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

4. Origination Year

		Current Period					Issue Date
	Aggregate				Weighted		Aggregate		Nr of		Weighted
	Outstanding	% of	Nr of	% of	Average		Outstanding	% of	% of	Average
Origination Year	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
2003	7,773,893	0.05%	201	0.12%	4.46%	13,138,132	0.09%	251	0.18%	0.37%
2004	63,587,599	0.40%	1,732	1.04%	4.39%	103,314,791	0.73%	1,998	1.45%	0.33%
2005	186,027,883	1.18%	4,538	2.71%	4.37%	287,211,705	2.04%	4,998	3.64%	0.31%
2006	239,927,807	1.52%	4,609	2.75%	4.29%	375,351,882	2.67%	5,255	3.82%	0.25%
2007	392,215,763	2.49%	6,261	3.74%	4.19%	607,645,344	4.32%	7,458	5.42%	0.17%
2008	374,218,119	2.38%	5,627	3.36%	4.22%	618,346,496	4.40%	7,288	5.30%	0.22%
2009	145,670,663	0.92%	2,243	1.34%	4.58%	247,761,256	1.76%	3,034	2.21%	0.55%
2010	216,123,585	1.37%	2,934	1.75%	4.59%	327,574,661	2.33%	3,506	2.55%	0.51%
2011	352,956,596	2.24%	4,570	2.73%	4.55%	370,047,109	2.63%	3,673	2.67%	0.54%
2012	192,396,902	1.22%	2,946	1.76%	5.44%	387,209,073	2.75%	4,372	3.18%	1.41%
2013	113,774,078	0.72%	1,753	1.05%	6.11%	238,585,452	1.70%	2,845	2.07%	2.05%
2014	264,630,907	1.68%	4,000	2.39%	5.75%	584,279,691	4.16%	6,694	4.87%	1.72%
2015	503,764,708	3.20%	6,644	3.97%	5.01%	954,246,142	6.79%	9,806	7.13%	1.12%
2016	838,260,656	5.32%	10,089	6.03%	4.57%	1,493,188,650	10.62%	14,006	10.19%	0.95%
2017	1,090,376,220	6.92%	11,922	7.13%	4.28%	1,733,815,511	12.33%	15,154	11.02%	1.06%
2018	1,780,248,479	11.30%	17,924	10.71%	3.74%	2,468,206,483	17.56%	20,561	14.95%	1.19%
2019	2,225,033,540	14.13%	21,698	12.97%	3.69%	2,871,385,545	20.43%	23,511	17.10%	1.42%
2020	1,641,100,894	10.42%	15,498	9.26%	3.22%	375,147,259	2.67%	3,083	2.24%	1.85%
2021	2,074,720,735	13.17%	17,843	10.66%	2.97%
2022	1,607,177,959	10.20%	13,521	8.08%	2.94%
2023	1,296,963,702	8.23%	9,670	5.78%	3.27%
2024	143,046,535	0.91%	1,087	0.65%	3.13%
	15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 3 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

5. Maturity Year

		Current Period						Issue Date
	Aggregate			% of	Weighted		Aggregate		Nr of	% of	Weighted
	Outstanding	% of	Nr of	Average		Outstanding	% of	Average
Maturity Year	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon

2021
2022
2023	3,811	0.00%	1
2024	1,630,667	0.01%	853
2025	11,552,774	0.07%	1,648
2026	23,825,089	0.15%	1,836
2027	36,008,020	0.23%	1,893
2028	48,441,645	0.31%	1,990
2029	68,176,250	0.43%	2,338
2030	99,962,947	0.63%	2,844
2031	122,218,577	0.78%	2,997
2032	147,261,510	0.93%	3,204
2033	176,261,557	1.12%	3,441
2034	201,102,980	1.28%	3,715
2035	261,176,109	1.66%	4,568
2036	325,551,907	2.07%	4,979
2037	345,007,704	2.19%	4,882
2038	317,414,303	2.02%	4,252
2039	269,140,293	1.71%	3,572
2040	305,614,225	1.94%	3,839
2041	378,710,409	2.40%	4,458
2042	393,015,880	2.50%	4,450
2043	488,242,007	3.10%	5,250
2044	467,588,438	2.97%	5,037
2045	501,100,513	3.18%	5,134
2046	690,776,416	4.39%	6,763
2047	669,290,970	4.25%	6,370
2048	641,852,647	4.08%	6,020
2049	650,096,290	4.13%	5,995
2050	613,149,631	3.89%	5,395
2051	682,656,013	4.33%	5,655
2052	590,293,032	3.75%	4,840
2053	589,017,951	3.74%	4,703
2054	559,831,782	3.55%	4,574
2055	511,512,528	3.25%	4,130
2056	589,975,626	3.75%	4,782
2057	633,033,276	4.02%	5,060
2058	740,878,924	4.70%	6,049
2059	822,101,060	5.22%	6,685
2060	587,719,441	3.73%	4,613
2061	558,070,035	3.54%	4,025
2062	381,948,697	2.43%	2,737
2063	248,785,288	1.58%	1,733

		1,274,836	0.01%	111
		8,855,293	0.06%	660
0.00%	4.01%	19,524,532	0.14%	1,081
0.51%	4.58%	32,658,946	0.23%	1,397
0.98%	4.53%	49,125,210	0.35%	1,741
1.10%	4.44%	63,676,850	0.45%	1,828
1.13%	4.45%	74,337,243	0.53%	1,828
1.19%	4.41%	91,885,973	0.65%	2,023
1.40%	4.41%	116,828,123	0.83%	2,384
1.70%	4.32%	153,173,220	1.09%	2,746
1.79%	4.26%	176,728,911	1.26%	2,884
1.92%	4.09%	194,930,795	1.39%	2,917
2.06%	4.05%	221,224,315	1.57%	3,139
2.22%	4.14%	268,342,582	1.91%	3,720
2.73%	4.19%	335,904,703	2.39%	4,421
2.98%	4.09%	392,523,341	2.79%	4,593
2.92%	4.06%	427,858,114	3.04%	4,722
2.54%	4.03%	393,011,450	2.80%	4,276
2.13%	4.08%	325,858,353	2.32%	3,586
2.29%	4.09%	324,970,084	2.31%	3,300
2.66%	4.04%	374,976,384	2.67%	3,611
2.66%	3.99%	443,752,321	3.16%	4,156
3.14%	4.02%	560,173,840	3.99%	5,127
3.01%	4.10%	562,840,272	4.00%	5,267
3.07%	3.99%	511,236,944	3.64%	4,527
4.04%	3.53%	531,827,367	3.78%	4,571
3.81%	3.53%	552,902,631	3.93%	4,594
3.60%	3.76%	600,422,208	4.27%	4,970
3.58%	3.79%	708,031,330	5.04%	5,776
3.22%	3.63%	440,317,156	3.13%	3,418
3.38%	3.71%	469,832,207	3.34%	3,434
2.89%	3.59%	449,186,821	3.20%	3,272
2.81%	3.70%	475,306,779	3.38%	3,502
2.73%	3.67%	531,807,168	3.78%	3,968
2.47%	3.67%	436,764,042	3.11%	3,236
2.86%	3.73%	498,078,881	3.54%	3,762
3.02%	3.70%	553,324,804	3.94%	4,151
3.62%	3.64%	722,488,002	5.14%	5,464
4.00%	3.53%	795,760,632	5.66%	6,041
2.76%	3.12%	164,732,515	1.17%	1,289
2.41%	3.03%
1.64%	2.85%
1.04%	3.43%

0.08% 0.58%

0.48% 0.61%

0.79% 0.63%

1.02% 0.67%

1.27% 0.62%

1.33% 0.65%

1.33% 0.65%

1.47% 0.76%

1.73% 0.86%

2.00% 0.80%

2.10% 0.78%

2.12% 0.78%

2.28% 0.80%

2.71% 0.90%

3.22% 0.70%

3.34% 0.64%

3.43% 0.67%

3.11% 0.86%

2.61% 1.21%

2.40% 1.07%

2.63% 0.93%

3.02% 0.92%

3.73% 0.92%

3.83% 1.22%

3.29% 1.11%

3.32% 1.00%

3.34% 1.11%

3.61% 1.21%

4.20% 1.30%

2.49% 1.26%

2.50% 1.04%

2.38% 1.15%

2.55% 1.23%

2.89% 1.28%

2.35% 1.21%

2.74% 1.06%

3.02% 1.11%

3.97% 1.15%

4.39% 1.34%

0.94% 1.77%

15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 4 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

6. Seasoning

			Current Period					Issue Date
average: 5.96
Aggregate				Weighted		Aggregate		Nr of		Weighted
		Outstanding	% of	Nr of	% of	Average		Outstanding	% of	% of	Average
Seasoning (years)	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
< 0.5	202,813,720	1.29%	1,543	0.92%	3.18%
0.5 - 1	575,723,690	3.66%	4,200	2.51%	2.85%	761,219,408	5.42%	6,313	4.59%	1.86%
1	- 2	1,526,819,246	9.69%	12,277	7.34%	3.54%	2,961,969,309	21.07%	24,155	17.57%	1.33%
2	- 3	1,987,001,063	12.62%	16,889	10.09%	2.64%	2,315,214,835	16.47%	19,426	14.13%	1.17%
3	- 4	1,880,591,222	11.94%	16,923	10.11%	3.17%	1,696,089,645	12.07%	15,056	10.95%	1.03%
4	- 5	1,847,489,184	11.73%	17,983	10.75%	3.65%	1,473,547,946	10.48%	13,982	10.17%	0.95%
5	- 6	2,122,333,222	13.48%	20,968	12.53%	3.57%	809,692,012	5.76%	8,492	6.18%	1.23%
6	- 7	1,295,863,662	8.23%	13,612	8.14%	4.11%	534,692,213	3.80%	6,277	4.57%	1.79%
7	- 8	925,929,697	5.88%	10,733	6.42%	4.46%	278,628,071	1.98%	3,251	2.36%	1.92%
8	- 9	693,987,983	4.41%	8,788	5.25%	4.75%	320,556,193	2.28%	3,625	2.64%	1.19%
9	- 10	312,326,858	1.98%	4,474	2.67%	5.56%	432,180,356	3.07%	4,123	3.00%	0.50%
10 - more	2,379,117,673	15.11%	38,920	23.26%	4.60%	2,472,665,192	17.59%	32,793	23.85%	0.29%
		15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%

7. Original Tenor

			Current Period						Issue Date
Tenor (years)		Aggregate				Weighted		Aggregate		Nr of		Weighted
	Outstanding	% of	Nr of	% of	Average		Outstanding	% of	% of	Average
		Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
0 - 5	589,781	0.00%	32	0.02%	4.45%	22,090	0.00%	1	0.00%	1.49%
6 - 10	37,433,134	0.24%	1,022	0.61%	4.74%	36,558,870	0.26%	934	0.68%	1.31%
11 - 15	408,320,153	2.59%	8,136	4.86%	3.40%	323,201,039	2.30%	6,199	4.51%	1.50%
16 - 20	962,948,102	6.11%	16,376	9.79%	3.70%	892,834,553	6.35%	14,241	10.36%	1.20%
21 - 25	2,307,136,328	14.65%	28,913	17.28%	3.59%	1,755,871,629	12.49%	21,275	15.47%	1.08%
26 - 30	4,072,480,126	25.86%	45,234	27.04%	3.86%	4,166,819,471	29.64%	41,333	30.06%	0.95%
31 - 35	3,031,711,316	19.25%	26,784	16.01%	3.83%	2,913,245,007	20.73%	23,054	16.77%	0.97%
36 - 40	4,929,378,282	31.30%	40,813	24.39%	3.63%	3,967,902,520	28.23%	30,456	22.15%	1.19%
	15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 5 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

8. Remaining Tenor

average: 25.32			Current Period						Issue Date
	Aggregate				Weighted		Aggregate				Weighted
Remaining Tenor							Nr of
	Outstanding	% of	Nr of	% of	Average		Outstanding	% of	% of	Average
(years)		Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
< 1	3,823,017	0.02%	1,308	0.78%	4.54%	427,186	0.00%	40	0.03%	0.52%
1	- 2	15,807,961	0.10%	1,804	1.08%	4.48%	6,565,346	0.05%	522	0.38%	0.61%
2	- 3	26,945,520	0.17%	1,802	1.08%	4.45%	16,903,036	0.12%	1,013	0.74%	0.63%
3	- 4	39,513,840	0.25%	1,914	1.14%	4.44%	29,113,819	0.21%	1,299	0.94%	0.68%
4	- 5	54,805,487	0.35%	2,089	1.25%	4.41%	43,199,003	0.31%	1,609	1.17%	0.64%
5	- 6	76,670,717	0.49%	2,486	1.49%	4.37%	62,477,988	0.44%	1,894	1.38%	0.62%
6	- 7	111,919,177	0.71%	3,037	1.82%	4.31%	72,558,676	0.52%	1,833	1.33%	0.66%
7	- 8	127,962,045	0.81%	2,988	1.79%	4.23%	87,537,464	0.62%	1,981	1.44%	0.69%
8	- 9	152,825,959	0.97%	3,210	1.92%	4.03%	107,640,396	0.77%	2,242	1.63%	0.88%
9	- 10	185,377,529	1.18%	3,544	2.12%	4.09%	143,895,239	1.02%	2,667	1.94%	0.82%
10	- 11	218,659,614	1.39%	3,961	2.37%	4.15%	171,690,566	1.22%	2,879	2.09%	0.77%
11	- 12	288,781,407	1.83%	4,899	2.93%	4.17%	191,531,844	1.36%	2,893	2.10%	0.78%
12	- 13	346,422,293	2.20%	5,036	3.01%	4.04%	214,077,188	1.52%	3,072	2.23%	0.77%
13	- 14	323,900,911	2.06%	4,512	2.70%	4.11%	254,247,906	1.81%	3,546	2.58%	0.89%
14	- 15	304,944,625	1.94%	4,075	2.44%	3.98%	315,742,737	2.25%	4,218	3.07%	0.77%
15	- 16	264,235,003	1.68%	3,489	2.09%	4.13%	381,744,373	2.72%	4,674	3.40%	0.64%
16	- 17	338,539,526	2.15%	4,146	2.48%	4.11%	442,525,225	3.15%	4,827	3.51%	0.64%
17	- 18	372,002,060	2.36%	4,326	2.59%	3.94%	401,103,468	2.85%	4,383	3.19%	0.79%
18	- 19	432,784,560	2.75%	4,779	2.86%	4.07%	325,729,941	2.32%	3,624	2.64%	1.17%
19	- 20	494,828,771	3.14%	5,346	3.20%	4.00%	316,174,911	2.25%	3,243	2.36%	1.15%
20	- 21	459,560,995	2.92%	4,882	2.92%	4.13%	371,773,976	2.64%	3,664	2.66%	0.93%
21	- 22	570,787,348	3.62%	5,757	3.44%	3.85%	410,979,635	2.92%	3,853	2.80%	0.93%
22	- 23	705,193,676	4.48%	6,851	4.09%	3.39%	555,924,050	3.95%	5,069	3.69%	0.86%
23	- 24	632,262,678	4.01%	5,946	3.55%	3.76%	561,269,873	3.99%	5,297	3.85%	1.18%
24	- 25	676,634,779	4.30%	6,345	3.79%	3.67%	511,002,771	3.64%	4,590	3.34%	1.21%
25	- 26	615,325,802	3.91%	5,592	3.34%	3.78%	540,825,999	3.85%	4,631	3.37%	0.97%
26	- 27	640,365,780	4.07%	5,493	3.28%	3.70%	542,484,422	3.86%	4,561	3.32%	1.09%
27	- 28	657,623,291	4.18%	5,433	3.25%	3.56%	571,827,558	4.07%	4,754	3.46%	1.20%
28	- 29	582,446,489	3.70%	4,714	2.82%	3.74%	697,744,472	4.96%	5,732	4.17%	1.25%
29	- 30	605,573,838	3.84%	4,835	2.89%	3.60%	509,097,067	3.62%	4,013	2.92%	1.36%
30	- more	5,423,467,602	34.43%	42,709	25.53%	3.47%	5,198,639,048	36.98%	38,870	28.27%	1.20%
Matured *	4,924	0.00%	2	0.00%	4.11%
			15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 6 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

9. Interest Type

		Current Period					Issue Date
	Aggregate				Weighted	Aggregate				Weighted
	Outstanding	% of	Nr of	% of	Average	Outstanding	% of	Nr of	% of	Average
Interest Type	Not. Amount	Total	Loans	Total	Coupon	Not. Amount	Total	Loans	Total	Coupon
Fixed 10Y	5,438,673,491	34.53%	50,595	30.24%	1.98%	2,481,546,946	17.65%	22,943	16.69%	1.94%
Floating EURIBOR BOE	9,990,652,494	63.43%	113,549	67.87%	4.72% 11,574,908,234	82.35%	114,550	83.31%	0.88%
Fixed	320,671,236	2.04%	3,166	1.89%	2.22%
	15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

10. Interest Reset Dates

			Current Period							Issue Date
Interest Reset Dates		Aggregate				Weighted			Aggregate		Nr of		Weighted
	Outstanding	% of	Nr of	% of	Average			Outstanding	% of	% of	Average
		Not. Amount	Total	Loans	Total	Coupon			Not. Amount	Total	Loans	Total	Coupon
Floating	9,990,652,494	63.43%	113,549	67.87%	4.72%	11,574,908,234	82.35%	114,550	83.31%	0.88%
<2024							3,797,304	0.03%	60	0.04%	1.16%
2024	1,836,007	0.01%	21	0.01%	5.14%	577,280	0.00%	27	0.02%	2.08%
2025	12,524,475	0.08%	187	0.11%	2.31%	22,646,882	0.16%	290	0.21%	2.30%
2026	179,470,494	1.14%	1,855	1.11%	2.57%	134,751,016	0.96%	1,510	1.10%	2.10%
2027	280,083,744	1.78%	2,969	1.77%	2.29%	288,052,533	2.05%	2,863	2.08%	2.05%
2028	730,349,321	4.64%	7,403	4.42%	2.11%	771,572,850	5.49%	6,992	5.09%	1.91%
2029	1,011,389,006	6.42%	10,084	6.03%	2.05%	1,041,626,250	7.41%	9,248	6.73%	1.95%
2030	824,051,513	5.23%	7,999	4.78%	1.64%	218,522,830	1.55%	1,953	1.42%	1.69%
2031	988,084,055	6.27%	8,431	5.04%	1.48%
2032	941,631,423	5.98%	7,820	4.67%	1.69%
2033	369,040,358	2.34%	2,976	1.78%	3.43%
2034	48,895,552	0.31%	402	0.24%	3.44%
>2034	51,317,540	0.33%	448	0.27%	3.47%
Fixed	320,671,236	2.04%	3,166	1.89%	2.22%
	15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

11. Interest and Principal Payment Frequency

		Current Period					Issue Date
Payment Frequency	Aggregate		Nr of		Weighted		Aggregate				Weighted
Outstanding	% of	% of	Average		Outstanding	% of	Nr of	% of	Average
	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total	Loans	Total	Coupon
P1M	15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%
	15,749,997,221	100.00%	167,310	100.00%	3.72%	14,056,455,179	100.00%	137,493	100.00%	1.07%

12. Payment Holidays

				Current Period					Issue Date
		Aggregate			Nr of		Weighted	Aggregate		Nr of			Weighted
		Outstanding		% of	% of	Average	Outstanding	% of		% of	Average
Payment Holidays		Not. Amount	Total	Loans	Total	Coupon	Not. Amount	Total	Loans		Total	Coupon
None	15,733,443,909		99.89%	167,184	99.92%	3.72%		13,862,607,211	98.62%	135,929	98.86%	1.05%
Royal Decree									13,751,245	0.10%	123	0.09%	0.00%
SBA									180,096,724	1.28%	1,441	1.05%	0.01%
Royal Decree Euribor	16,553,311		0.11%	126	0.08%	0.00%
	15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 7 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

13a. Original Loan to Market Value

average: 71.99%			Current Period						Issue Date
	Aggregate				Weighted		Aggregate				Weighted
Original Loan to
	Outstanding	% of	Nr of	% of	Average		Outstanding	% of	Nr of Loans	% of	Average
Market Value (%)		Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total		Total	Coupon
<= 30.00%	226,539,342	1.44%	5,145	3.08%	3.84%	215,847,648	1.54%	4,550	3.31%	0.95%
30.01%	- 40.00%	405,671,819	2.58%	7,539	4.51%	3.78%	416,772,642	2.96%	7,053	5.13%	0.90%
40.01%	- 50.00%	720,495,540	4.57%	11,308	6.76%	3.82%	704,843,218	5.01%	10,110	7.35%	0.90%
50.01%	- 60.00%	1,159,763,250	7.36%	15,477	9.25%	3.82%	1,114,961,822	7.93%	13,672	9.94%	0.95%
60.01%	- 70.00%	2,072,604,165	13.16%	23,995	14.34%	3.75%	1,897,853,577	13.50%	20,027	14.57%	1.03%
70.01%	- 80.00%	9,877,066,690	62.71%	92,645	55.37%	3.72%	8,689,520,241	61.82%	74,140	53.92%	1.12%
80.01%	- 90.00%	1,277,928,161	8.11%	11,061	6.61%	3.56%	1,016,656,032	7.23%	7,941	5.78%	1.06%
90.01%	- 100.00%	79,243	0.00%	1	0.00%	1.45%
130.00% >=	9,461,233	0.06%	134	0.08%	4.48%
unknown	387,778	0.00%	5	0.00%	1.02%
		15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

13b. Current Loan to Market Value

average:	59.83%			Current Period						Issue Date
	Aggregate				Weighted		Aggregate				Weighted
Current Loan to Market
	Outstanding	% of	Nr of	% of	Average		Outstanding	% of	Nr of Loans	% of	Average
Value (%)			Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total		Total	Coupon
<= 30.00%		1,457,764,397	9.26%	35,752	21.37%	4.23%	1,226,052,350	8.72%	25,386	18.46%	0.63%
30.01%	- 40.00%	1,139,929,121	7.24%	14,906	8.91%	4.11%	1,067,286,904	7.59%	12,970	9.43%	0.74%
40.01%	- 50.00%	1,460,760,263	9.27%	16,108	9.63%	4.05%	1,364,949,648	9.71%	14,139	10.28%	0.83%
50.01%	- 60.00%	1,984,890,386	12.60%	20,207	12.08%	3.93%	1,748,904,292	12.44%	16,102	11.71%	1.00%
60.01%	- 70.00%	4,386,463,144	27.85%	39,797	23.79%	3.75%	2,818,558,885	20.05%	24,490	17.81%	1.20%
70.01%	- 80.00%	5,180,020,513	32.89%	39,601	23.67%	3.28%	5,810,748,913	41.34%	44,297	32.22%	1.24%
80.01%	- 90.00%	76,254,596	0.48%	476	0.28%	4.43%	19,510,830	0.14%	106	0.08%	1.37%
90.01%	- 100.00%	28,265,852	0.18%	193	0.12%	4.97%	443,358	0.00%	3	0.00%	0.68%
100.01%	- 110.00%	10,635,705	0.07%	74	0.04%	4.99%
110.01%	- 120.00%	4,009,760	0.03%	31	0.02%	4.96%
120.01%	- 130.00%	2,483,932	0.02%	17	0.01%	4.82%
130.00%	>=		18,131,772	0.12%	143	0.09%	4.33%
unknown			387,778	0.00%	5	0.00%	1.02%
				15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 8 / 16

SOL Lion II

Monthly Investor Repor t as of 28-Jun-24

13c. Current Loan to Indexed Market Value

average:	52.34%		Current Period						Issue Date
Aggregate				Weighted		Aggregate				Weighted
Current Loan to Indexed
Outstanding	% of	Nr of	% of	Average		Outstanding	% of	Nr of Loans	% of	Average
Market Value (%)	Not. Amount	Total	Loans	Total	Coupon		Not. Amount	Total		Total	Coupon
<= 30.00%		1,863,497,924	11.83%	41,144	24.59%	4.27%	1,152,363,587	8.20%	24,052	17.49%	0.77%
30.01%	- 40.00%	1,604,664,856	10.19%	18,911	11.30%	4.19%	1,060,151,680	7.54%	12,915	9.39%	0.86%
40.01%	- 50.00%	2,534,801,153	16.09%	25,610	15.31%	4.03%	1,521,645,307	10.83%	15,498	11.27%	0.97%
50.01%	- 60.00%	4,081,515,319	25.91%	36,791	21.99%	3.66%	2,508,754,086	17.85%	21,656	15.75%	1.02%
60.01%	- 70.00%	4,305,726,097	27.34%	34,472	20.60%	3.29%	3,216,021,266	22.88%	26,877	19.55%	1.07%
70.01%	- 80.00%	1,310,541,611	8.32%	9,998	5.98%	3.39%	4,169,121,210	29.66%	33,030	24.02%	1.25%
80.01%	- 90.00%	23,601,482	0.15%	175	0.10%	4.51%	409,291,492	2.91%	3,305	2.40%	1.37%
90.01%	- 100.00%	5,950,820	0.04%	48	0.03%	4.84%	19,106,551	0.14%	160	0.12%	0.38%
100.01%	- 110.00%	1,682,594	0.01%	15	0.01%	5.10%
110.01%	- 120.00%	1,226,251	0.01%	8	0.00%	4.69%
120.01%	- 130.00%	557,150	0.00%	4	0.00%	5.09%
130.00%	>=		15,844,185	0.10%	129	0.08%	4.23%
unknown			387,778	0.00%	5	0.00%	1.02%
			15,749,997,221	100.00%	167,310	100.00%	3.72% 14,056,455,179	100.00%	137,493	100.00%	1.07%

Page 9 / 16