Covered Bond Investor Report

Transcription

1 COVERED BOND INVESTOR REPORT Covered Bond Investor Report Period : Investors Report Date : 26/01/2016

2 COVERED COVERED BOND INVESTOR BOND REPORT INVESTOR REPORT Main 1. Counterparties 2. Series & nominal value test 3. NPV test & interest cover test 4. SPV accounts, SPV balance, SPV ratings 5. Pool Assets Analysis 6. Current & Outstanding loan 7. Interest type, Originator, Maturity date 8. Original loan amount/original market value, seasoning, payment 9. Geographical distribution 10. Arrears

3 Counterparties Counterparties Issuer Dealers Guarantor Servicer Investment Manager Covered Bond Swap Provider Asset Swap Provider Account Bank Credito Emiliano Spa BARCLAYS BANK PLC Credem CB Srl Credito Emiliano Spa Credito Emiliano Spa Credito Emiliano Spa Credito Emiliano Spa Credito Emiliano Spa

4 Series & Nominal Value Test Series ISIN Currency Issue Date Notional Outstanding Maturity Rating Serie VI IT EUR 09/07/ ,00 July 2020 Aa2/A+ Serie VII IT EUR 30/08/ ,00 August 2028 Aa2/A+ Serie VIII IT EUR 27/02/ ,00 February 2019 Aa2/A+ Serie IX IT EUR 06/11/ ,00 November 2021 Aa2/A+ Nominal Value Test A= B= C= - Z= H= W= - Y= K= Adjusted Outstanding Principal Balance multiplied by the Asset Percentage The aggregate of (i) the amount standing to the credit of the Principal Collection Account, (ii) the Principal Balance standing to the credit of the Eligible Investment Account or invested in Eligible Investments, and (iii) the principal amount of any top up assets qualifying as Eligible Investment Outstanding Principal Balace of other eligible assets The weighted average remaining maturity of all Covered Bonds (expressed in years) then outstanding multiplied by the aggregate Principal Amount of the Covered Bonds multiplied by the Negative Carry Factor Aggregate amount of the principal instalments of each Mortgage loans which have been deferred in accordance with a Payment Holiday Potential Commingling Amount (if different from nil) Potential Set-Off amount (if different from nil) Principal Amount Outstanding of all Series of Covered Bonds Total A+B+C-Y-W-Z-H>=K PASS Pass / Fail Amount of Credit Support Result of the overcollateralisation in the Nominal Value Test

5 NPV Test & Interest Cover Test NPV Test A= Adjusted NPV Eligible assets and top up assets comprised in the Cover Pool B= NPV of each of asset Swap agreement and liability Swap agreement C= Aggregate of the Senior Payments up to maturity D= NPV of all Series of Covered Bonds issued under the Programme TEST A+B-C>=D PASS Pass / Fail Interest Cover Test A= B= C= D= E= F= The aggregate of (i) the amount standing to the credit of the Interest Collection Account, (ii) the Interest Balance standing to the credit of the Eligible Investment Account or invested in Eligible Investments, and (iii) any Eligible Investment Revenues Swap Receiving Leg during the ICT period Adjusted Interest instalments falling in the ICT period Interest Payments due under all outstanding Series of Covered Bonds during the ICT period Senior Payments expected during the ICT period Swap Paying Leg during the ICT period A+B+C>=D+E+F PASS Pass / Fail

6 SPV Accounts, SPV Balance Sheet, Credit Ratings SPV Accounts Prinicipal Collection Account ,43 Interest Collection Account ,53 Eligible Investment Account ,58 Total ,54 Authorised Investments / Substitution Assets Balance as at the end of the Collection Period 0,00 Subordinated Loan Prior to the Guarantor Payment Date ,73 After the Guarantor Payment Date ,12 Credit Ratings Short Term (Fitch, Moody's, S&P) Long Term (Fitch, Moody's, S&P) CREDEM F2, Prime-2, A-3 BBB+, Baa2, BBB- CREDEM Event of Default na na Credem CB Srl Event of Default na na

7 Pool Assets Analysis Pool of Residential Mortgage Receivables - as at the end of the Collection Period Pool Totale Aggregate current Principal Outstanding Balance ,53 Aggregate original Principal Outstanding Balance ,96 Average current Principal Outstanding Balance ,19 Average original Principal Outstanding Balance ,50 Maximum current Principal Outstanding Balance ,45 Maximum original Principal Outstanding Balance ,00 Total number of Loans Weighted average seasoning (months) 72 Weighted average remaining maturity (months) 175 Weighted average original term (months) 246 Weighted average Current LTV (%) 53,62 Weighted average Original LTV (%) 61,56 Weighted average interest rate (%) 2,034 % of Floating Rate Assets 80,91 % of Fixed Rate Assets 19,09 Collateral Currency EUR

8 Interest Type, Originator, Maturity Date Interest Type Number of Loans % Current Balance % Fixed rate , ,35 15,11 Floating rate , ,55 38,56 Fixed with Option to Reset , ,95 3,98 Floating with Option to Reset , ,68 42,35 Originator Number of Loans % Current Balance % Credem , ,32 98,54 Unicredit (branches aquired) 626 1, ,20 0,96 Banco Popolare (branches aquired) 240 0, ,01 0,50 Maturity Date Number of Loans % Current Balance % < , ,72 0, , ,82 10, , ,64 25, , ,77 27, , ,78 19, , ,95 11, , ,11 4, , ,74 0,01 > 2058

9 Current Loan Amount / Current Market Value & Outstanding Loan Amount Current Loan Amount / Current Market Value Number of Loans % Current Balance % 0% - 20% , ,14 8,85 20% - 30% , ,12 10,69 30% - 40% , ,43 13,55 40% - 50% , ,09 14,61 50% - 60% , ,77 13,83 60% - 70% , ,05 14,35 70% - 80% , ,46 12,68 > 80% , ,47 11,44 Outstanding Loan Amount Number of Loans % Current Balance % , ,97 7, , ,61 23, , ,15 18, , ,05 27, , ,25 11, , ,73 5, , ,95 5,07 > , ,82 1,13

10 Original Loan Amount/Original Market Value, Seasoning, Payment Original Loan Amount / Original Market Value Number of Loans % Current Balance % 0% - 20% , ,73 1,74 20% - 30% , ,11 4,81 30% - 40% , ,62 8,87 40% - 50% , ,55 14,22 50% - 60% , ,96 14,56 60% - 70% , ,71 16,78 70% - 80% , ,11 28,82 80% - 90% , ,31 5,20 >90% , ,43 4,99 Seasoning (months) Number of Loans % Current Balance % , ,34 1, , ,63 13, , ,74 11, , ,95 26, , ,29 18, , ,76 28,08 > , ,82 0,47 Payment Number of Loans % Current Balance % Monthly , ,76 98,16 Quarterly 440 0, ,34 0,87 Semi-Annual 622 1, ,43 0,96

11 Geographical Distribution Geographical Distribution Number of Loans % Current Balance % Abruzzo 425 0, ,04 0,88 Basilicata 108 0, ,79 0,19 Calabria , ,80 3,14 Campania , ,51 10,34 Emilia Romagna , ,61 21,75 Friuli Venezia Giulia 421 0, ,00 0,86 Lazio , ,37 10,19 Liguria 995 2, ,05 2,29 Lombardia , ,89 14,31 Marche 724 1, ,26 1,72 Molise 117 0, ,25 0,19 Piemonte , ,15 3,36 Puglia , ,70 7,51 Sardegna 446 0, ,40 1,21 Sicilia , ,63 10,16 Toscana , ,03 7,14 Trentino Alto Adige 74 0, ,59 0,17 Umbria 295 0, ,76 0,51 Val D'Aosta 7 0, ,75 0,01 Veneto , ,95 4,09

12 Arrears Arrears Number of Loans % Current Balance % Current , ,84 98,66 1=<=2m 445 0, ,04 0,82 2<=3m 70 0, ,14 0,15 3<=6m 131 0, ,29 0,22 6<=12m 79 0, ,03 0,14 >12 9 0, ,19 0,02 Contact If you have any queries regarding this report please contact: