Data as of 30 September ,000,000,000 Covered Bond CPT Programme

Transcription

1 Data as of 30 September ,000,000,000 Covered Bond CPT Programme

2 Data as of 30 September ,000,000,000 Covered Bond CPT Programme Counterparties Issuer Sellers Guarantor Servicer Calculation Agent Primary Paying Agent Investment Agent Liability Swap Provider Representative of the Covered Bondholders Corporate Servicer Guarantor Calculation Agent Italian Account Bank Cash Manager Subsequent Paying Agent English Account Bank Asset Monitor Estense CPT Covered Bond S.r.l. n/a Securitisation Services Spa Securitisation Services Spa Securitisation Services Spa Citibank n.a. Citibank n.a. - London branch Citibank n.a. Citibank n.a. - London branch Deloitte & Touche Spa List of the outstanding securities Denomination Series & Tranches Isin Code Currency Notional Amount Maturity Date BCA POP EMILIA ROMAGNA FRN 16/12/ /01/2018 CPT CB I Serie - I Tranche IT Eur /01/2018 BCA POP EMILIA ROMAGNA FRN 01/08/ /10/2020 CPT CB II Serie - I Tranche IT Eur /10/2020

3 Data as of 30 September 2016 Residential Cover Pool details Overview data Eur collateral currency 100,00% Banca popolare dell Emilia Romagna origination 100,00% Total current loan balance Average current loan balance Borrower concentration (% of largest ten borrowers) 1,11% Total number of loans Total number of borrowers Total number of properties Loans to employees of BPER Group 53,56% Residential mortgages loans 100,00% Weighted average seasoning (months) 46,30 Weighted average remaining maturity (months) 217,61 No prior rank on loan collateral 100,00% Weighted average original LTV (as of the granting date) 61,51% Weighted average unindexed current LTV 56,52% Weighted average indexed current LTV 56,97% Fixed rate 26,86% Mixed - Fixed as of this report date 25,53% Floating 9,95% Mixed - Floating as of this report date 37,66% Foreclosure (non performing loans) 0,00% Loans in arrear > 90 days (Foreclosure, alias npl, included) 0,13% WA interest rate on floating loans (Mixed - Floating included) 1,32% WA margin on floating loans (Mixed - Floating included) 0,71% Weighted average interest rate on fixed loans (Mixed - Fixed included) 2,03% Contractual overcollateralisation 25,00% Committed to rating agencies overcollateralisation 25,00% % ABS included in the cover pool 0,00% Unindexed current LTV distribution Number of Loans % Current Balance % 0% - 40% ,24% ,88% 40% - 50% ,35% ,98% 50% - 60% ,83% ,28% 60% - 70% ,82% ,81% 70% - 80% ,82% ,43% > 80% 50 0,95% ,62% Indexed current LTV distribution Number of Loans % Current Balance % 0% - 40% ,10% ,84% 40% - 50% ,21% ,78% 50% - 60% ,65% ,13% 60% - 70% ,69% ,45% 70% - 80% ,31% ,74% > 80% 2 0,04% ,06% 3

4 Current Loan Amount Number of Loans % Current Balance % Euro 384 7,26% ,23% Euro ,59% ,95% Euro ,65% ,44% Euro ,96% ,54% Euro ,70% ,49% Euro 507 9,58% ,59% Euro 251 4,74% ,46% over Euro 27 0,51% ,31% Interest Type Number of Loans % Current Balance % Fixed rate ,19% ,86% Mixed - Fixed as of this report date ,15% ,53% Floating ,64% ,95% Mixed - Floating as of this report date ,03% ,66% Foreclosure (non performing loans) - 0,00% - 0,00% Loans legal maturity Number of Loans % Current Balance % 0-1 year 23 0,43% ,03% 1-2 year 48 0,91% ,11% 2-3 year 89 1,68% ,37% 3-4 year 94 1,78% ,64% 4-5 year 109 2,06% ,84% 5-10 year ,17% ,72% over 10 year ,97% ,29% Foreclosure (non performing loans) - 0,00% - 0,00% Seasoning (months) Number of Loans % Current Balance % < ,03% ,13% 12 - < ,89% ,15% 24 - < ,24% ,43% 36 - < ,72% ,36% ,13% ,93% 4

5 Interest payment frequency Number of Loans % Current Balance % Monthly ,26% ,22% Bimonthly - 0,00% - 0,00% Quarterly 11 0,21% ,22% Semi-Annual 28 0,53% ,57% Annual - 0,00% - 0,00% Foreclosure (non performing loans) - 0,00% - 0,00% Geographical Distribution Number of Loans % Current Balance % Abruzzo ,49% ,78% Basilicata 183 3,46% ,88% Calabria 334 6,31% ,73% Campania ,09% ,41% Emilia Romagna ,92% ,92% Friuli Venezia Giulia 3 0,06% ,10% Lazio 376 7,11% ,23% Liguria 6 0,11% ,13% Lombardia 356 6,73% ,27% Marche 64 1,21% ,19% Molise 42 0,79% ,66% Piemonte 8 0,15% ,11% Puglia 221 4,18% ,76% Sardegna 10 0,19% ,16% Sicilia 83 1,57% ,64% Toscana 66 1,25% ,38% Trentino Alto Adige 24 0,45% ,51% Umbria 9 0,17% ,12% Valle d'aosta 0,00% 0,00% Veneto 146 2,76% ,02% Loans performance Number of Loans % Current Balance % 0 (alias no delay on payments) ,17% ,28% > 0 - < 2 months 79 1,49% ,40% 2 - < 6 months 18 0,34% ,32% Foreclosure (non performing loans) - 0,00% - 0,00% 5

6 Data as of 30 September 2016 Commercial Cover Pool details Overview data Eur collateral currency 100,00% Banca popolare dell Emilia Romagna origination 100,00% Total current loan balance Average current loan balance Borrower concentration (% of largest ten borrowers) 8,26% Total number of loans Total number of borrowers Total number of properties Loans to employees of BPER Group 0,00% Residential mortgages loans 0,00% Weighted average seasoning (months) 68,74 Weighted average remaining maturity (months) 113,01 No prior rank on loan collateral 100,00% Weighted average original LTV (as of the granting date) 54,33% Weighted average unindexed current LTV 34,75% Weighted average indexed current LTV 34,87% Fixed rate 12,91% Mixed - Fixed as of this report date 1,81% Floating 41,34% Mixed - Floating as of this report date 42,26% Foreclosure (non performing loans) 1,69% Loans in arrear > 90 days (Foreclosure, alias npl, included) 2,61% WA interest rate on floating loans (Mixed - Floating included) 2,87% WA margin on floating loans (Mixed - Floating included) 2,28% Weighted average interest rate on fixed loans (Mixed - Fixed included) 4,45% Contractual overcollateralisation 25,00% Committed to rating agencies overcollateralisation 25,00% % ABS included in the cover pool 0,00% Unindexed current LTV distribution Number of Loans % Current Balance % 0% - 40% ,15% ,09% 40% - 50% ,32% ,98% 50% - 60% ,09% ,50% 60% - 70% 47 1,17% ,85% 70% - 80% 10 0,25% ,54% > 80% 1 0,02% ,03% Indexed current LTV distribution Number of Loans % Current Balance % 0% - 40% ,73% ,62% 40% - 50% ,84% ,46% 50% - 60% ,08% ,16% 60% - 70% 8 0,20% ,44% 70% - 80% 4 0,10% ,15% > 80% 2 0,05% ,17% 6

7 Current Loan Amount Number of Loans % Current Balance % Euro ,98% ,74% Euro ,43% ,90% Euro ,91% ,89% Euro ,34% ,85% Euro 254 6,33% ,68% Euro 74 1,84% ,79% Euro 48 1,20% ,34% Euro 31 0,77% ,82% over Euro 8 0,20% ,99% Interest Type Number of Loans % Current Balance % Fixed rate ,12% ,91% Mixed - Fixed as of this report date 146 3,64% ,81% Floating ,54% ,34% Mixed - Floating as of this report date ,86% ,26% Foreclosure (non performing loans) 74 1,84% ,69% Loans legal maturity Number of Loans % Current Balance % 0-1 year 118 2,94% ,41% 1-2 year 182 4,54% ,78% 2-3 year 214 5,33% ,97% 3-4 year 308 7,68% ,81% 4-5 year 322 8,02% ,37% 5-10 year ,74% ,87% over 10 year ,91% ,11% Foreclosure (non performing loans) 74 1,84% ,69% Seasoning (months) Number of Loans % Current Balance % < ,07% ,74% 12 - < ,52% ,79% 24 - < ,80% ,67% 36 - < ,34% ,31% ,28% ,49% 7

8 Interest payment frequency Number of Loans % Current Balance % Monthly ,44% ,39% Bimonthly 1 0,02% ,02% Quarterly 126 3,14% ,94% Semi-Annual 303 7,55% ,96% Annual - 0,00% 0 0,00% Foreclosure (non performing loans) 74 1,84% ,69% Geographical Distribution Number of Loans % Current Balance % Abruzzo ,37% ,87% Basilicata 196 4,88% ,14% Calabria ,68% ,89% Campania ,82% ,04% Emilia Romagna ,95% ,06% Friuli Venezia Giulia 0,00% 0,00% Lazio 322 8,02% ,58% Liguria 4 0,10% ,43% Lombardia 129 3,21% ,42% Marche 28 0,70% ,89% Molise 66 1,64% ,74% Piemonte 17 0,42% ,19% Puglia 194 4,83% ,99% Sardegna 18 0,45% ,32% Sicilia 72 1,79% ,93% Toscana 25 0,62% ,77% Trentino Alto Adige 3 0,07% ,04% Umbria 9 0,22% ,09% Valle d'aosta 0,00% 0,00% Veneto 88 2,19% ,61% Loans performance Number of Loans % Current Balance % 0 (alias no delay on payments) ,52% ,39% > 0 - < 2 months 113 2,82% ,54% 2 - < 6 months 73 1,82% ,39% Foreclosure (non performing loans) 74 1,84% ,69% If you have any queries regarding this report please contact: Investor Relations Structure Finance Office Mr. Gilberto Borghi Mr. Marco Biale phone or phone or gilberto.borghi@bper.it marco.biale@bper.it 8