1. PROGRAMME OVERVIEW 1.1 Group Group parent company Group consolidated financial information (link) T. Vakıflar Bankası T.A.O. T. Vakıflar Bankası T.A.O. http://www.vakifbank.com.tr/tas-consolidated.aspx?pageid=646 Rating Rating Watch Outlook 1.2 Fitch BBB- Not on Watch Stable Senior Unsecured rating (group parent company) Moody's Baa3 On Watch Negative S&P N/A N/A N/A 1.3 Covered Bond Issuer Name of the Covered Bond Issuer Country in which the Issuer is based Financial information (link) Information on the legal framework (link) T. Vakıflar Bankası T.A.O. Turkey http://www.vakifbank.com.tr/base-prospectus-relating-to-3000000000-covered-bond-programme.aspx?pageid=1174 http://www.resmigazete.gov.tr/eskiler/2-14/-1/2-14-121-14.htm http://www.cmb.gov.tr/apps/teblig/displayteblig.aspx?id=495&ct=f&action=displayfile 1.4 Covered Bonds Ratings Rating Rating Watch Outlook Covered Bonds Rating Moody's A3 On Watch Negative 1.5 Transaction Parties Role Name Rating (Moody's/S&P/Fitch) Issuer T. Vakıflar Bankası T.A.O. Baa3/BB+/BBB- Security Agent The Bank Of New York Mellon A1/A+/AA- Natixis, London Branch A2/A/A Hedging Counterparties Societe Generale A2/A/A ING Bank, N.V. A1/A/A+ Offshore Account Bank The Bank Of New York Mellon A1/A+/AA- Fiscal & Paying Agent The Bank Of New York Mellon A1/A+/AA- Calculation Agent The Bank Of New York Mellon A1/A+/AA- Registrar, Exchange Agent, Transfer Agent The Bank Of New York Mellon A1/A+/AA- Listing Agent Arthur Cox Listing Services Limited NR/NR/NR Cover Monitor Akis Bağımsız Denetim ve SMMM A.Ş. (KPMG Türkiye) NR/NR/NR 1.6 Outstanding Covered Bonds ISIN Issue Date Currency Issue Amount FX Rate (FX/TL) Issue Amount TL Legal Maturity Date Maturity Yrs Int. rate type Interest rate XS1403416222 04.05.2016 EUR 500.000.000 0,3138 1.593.500.000 04.05.2016 5 Fixed 2,375% 1.7 Overcollateralisation Ratios % Legal ("coverage ratio") 2% [Contractual] 20% Current 83,13% 1
2. STATUTORY TESTS & EVENTS 2.1 Events Issuer Event Occured Event of Default Occured NO NO Detailed information 2.2 Nominal Value Test 2.5 Net Present Value Stress Test Test date: 08/08/2016 Test date: 08/08/2016 Spot TRY EUR exchange rate (08/08/2016 - CBT) 0,3017 Nominal value of total mortgage assets (TRY) 3.000.050.392 Note: No foreign interest rate stresses are run as neither CBs nor CP assets are based on floating foreign rates minus Nominal value of non-eligible mortgage assets (TRY) 0 Nominal value of eligible mortgage assets (TRY) 3.000.050.392 CPR 10,0% Nominal value of substitute assets (TRY) 35.000.000 Prepayment fee (% of notional repaid) 2,0% Nominal value of total cover assets (TRY) 3.035.050.392 Total nominal value of EUR-denominated covered bonds (EUR) 500.000.000 Stress Test: TRY swap rates up TRY equivalent nominal of covered bonds (TRY) 1.657.350.000 Nominal value of TRY-denominated covered bonds (TRY) 0 Stressed NPV of mortgage assets (TRY) (inc. prepayment fees) 2.850.703.564 Nominal value of covered bonds (TRY) (taking into account derivatives) 1.657.350.000 Stressed NPV of substitute assets (TRY) 33.773.427 Total stressed NPV of cover assets (TRY) 2.884.476.992 Stressed NPV of covered bonds (TRY) (post XCCY) 1.627.212.967 2.3 Cash Flow Matching Test Required overcollateralisation 2,0% Test date: 08/08/2016 Stressed NPV of all liabilities (inc XCCY) (TRY) including required overcollateralisation 1.659.757.226 Interest receipts from mortgage assets (TRY) 272.269.763 Interest receipts from substitute assets (TRY) 1.365.000 Total interest receipts from cover assets (TRY) 273.634.763 Stress Test: TRY swap rates down Total payments under EUR-denominated covered bonds (EUR) 11.875.000 Stressed NPV of mortgage assets (TRY) (inc. prepayment fees) 3.225.947.846 Total payments under TRY-denominated covered bonds (TRY) 0 Stressed NPV of substitute assets (TRY) 35.285.094 Total stressed NPV of cover assets (TRY) 3.261.232.941 Receipts under the XCCY (EUR) 11.875.000 Payments under the XCCY (TRY) 215.122.500 Stressed NPV of covered bonds (TRY) (post XCCY) 2.033.733.324 Required overcollateralisation 2,0% Total net payments denominated in EUR (inc XCCY) (EUR) 0 Stressed NPV of all liabilities (inc XCCY) (TRY) including required overcollateralisation 2.074.407.991 Total net payments denominated in TRY (inc XCCY) (TRY) 215.122.500 Total payments under all liabilities (inc XCCY) (TRY) 215.122.500 2
2.4 Net Present Value Test Test date: 08/08/2016 Stress Test: TRY depreciation NPV of mortgage assets (TRY) (inc. prepayment fees) 3.028.476.600 NPV of mortgage assets (TRY) 3.017.044.257 NPV of substitute assets (TRY) 34.965.967 NPV of substitute assets (TRY) 34.965.967 Total NPV of cover assets (TRY) 3.063.442.567 Total NPV of cover assets (TRY) 3.052.010.224 NPV of EUR-denominated covered bonds (EUR) 548.777.230 NPV of EUR-denominated covered bonds (EUR) 548.777.230 NPV of TRY-denominated covered bonds (TRY) - NPV of TRY-denominated covered bonds (TRY) 0 NPV of receipts under the XCCY (EUR) 548.777.230 NPV of receipts under the XCCY (EUR) 548.777.230 NPV of payments under the XCCY (TRY) NPV of payments under the XCCY (TRY) Total NPV for liabilities denominated in EUR (inc XCCY) (EUR) 0 Total NPV for liabilities denominated in EUR (inc XCCY) (EUR) 0 Stressed spot TRY EUR exchange rate (30% TRY depreciation) 0,21 Spot TRY EUR exchange rate 0,30 Total NPV for liabilities denominated in EUR (inc XCCY) (TRY) 0 Total NPV for liabilities denominated in EUR (inc XCCY) (TRY) 0 Total NPV for liabilities denominated in TRY (inc XCCY) (TRY) Total NPV for liabilities denominated in TRY (inc XCCY) (TRY) NPV of all liabilities (inc XCCY) (TRY) NPV of all liabilities (inc XCCY) (TRY) Required overcollateralisation 2,0% Required overcollateralisation 2,0% NPV of all liabilities (inc XCCY) (TRY) including required overcollateralisation 1.853.557.257 NPV of all liabilities (inc XCCY) (TRY) including required overcollateralisation 1.853.557.257 Stress Test: TRY appreciation Stressed NPV of mortgage assets (TRY) (inc. prepayment fees) 3.028.476.600 2.6 Bond Legal Maturity Stressed NPV of substitute assets (TRY) Total stressed NPV of cover assets (TRY) 34.965.967 3.063.442.567 Maturity Outstanding (TL) % of outstanding Less than 1 year NPV of EUR-denominated covered bonds (EUR) 548.777.230 1-2 years NPV of TRY-denominated covered bonds (TRY) - 2-3 years 3-4 years NPV of receipts under the XCCY (EUR) 548.777.230 4-5 years 1.593.500.000 100% NPV of payments under the XCCY (TRY) 5-10 years Total Maturity 1.593.500.000 100% Total NPV for liabilities denominated in EUR (inc XCCY) (EUR) Stressed spot TRY EUR exchange rate (30% TRY appreciation) Total NPV for liabilities denominated in EUR (inc XCCY) (TRY) Total NPV for liabilities denominated in TRY (inc XCCY) (TRY) 0 0,39 0 NPV of all liabilities (inc XCCY) (TRY) Required overcollateralisation NPV of all liabilities (inc XCCY) (TRY) including required overcollateralisation 2,0% 1.853.557.257 3
3. RESIDENTIAL COVER POOL DATA 3.1 Portfolio Loan Summary Reporting Date 08.08.2016 Period Start Date 03.07.2016 Period End Date 07.08.2016 Number of Mortgage Loans 60.329 Mortgage Loan Pool Size (TL) 3.000.050.392 98,85% of total amount of cover assets Ineligible Assets (TL) - Interest only Loans - Loans with payment option - Number of Borrower 60.222 Average Mortgage Loan Balance (TL) 49.728 Maximum Mortgage Loan Balance (TL) 1.052.584 Current Loan-to-Value Limit for Residential mortgage loans 75% Weighted Average Current Loan-to-Value Ratio (Unindexed) 45,90% Weighted Average Interest Rate (%) 9,78% Weighted Average Seasoning (months) 36,31 Weighted Average Term to Maturity (months) 67 Maximum Term to Maturity (months) 189 Expected WAL of cover pool (yrs)* 2,28 Revenue Receipts for the Period (TL) 96.013.176 Principal Receipts for the Period (TL) 65.916.032 *Based on the portfolio scheduled amortisation profile Substitute Assets Balance (TL) 35.000.000 1,15% of total amount of cover assets 3.2 Cover Assets Characteristics Cover Assets Purposes Mortgage Loans 3.000.050.392 98,847% 60.329 99,998% Cash 0 0,000% 0 0,000% Substitute Cover Assets types 0 0,000% 0 0,000% Government bonds 35.000.000 1,153% 1 0,002% Cash 0 0,000% 0 0,000% Other Substitute Assets 0 0,000% 0 0,000% Other Cover Assets 0 0,000% 0 0,000% Total 3.035.050.392 100,000% 60.330 100,000% 3.3 Arrears and Defaulted Loans Outstanding Current 2.921.572.665 97,384% 58.942 97,701% Past due 1-30 days 78.477.727 2,616% 1.387 2,299% Past due 31-60 days 0 0,000% 0 0,000% Past due 61-90 days 0 0,000% 0 0,000% Defaulted Loans 0 0,000% 0 0,000% 4
3.4 Current Loan Balance [ 0 ; 10000 [ 12.113.928 0,404% 1.648 2,732% [ 10000 ; 15000 [ 32.001.476 1,067% 2.527 4,189% [ 15000 ; 20000 [ 58.940.173 1,965% 3.342 5,540% [ 20000 ; 25000 [ 91.287.444 3,043% 4.040 6,697% [ 25000 ; 50000 [ 897.831.836 29,927% 24.025 39,823% [ 50000 ; 75000 [ 922.754.692 30,758% 15.102 25,033% [ 75000 ; 100000 [ 540.285.042 18,009% 6.340 10,509% [ 100000 ; 125000 [ 215.060.126 7,169% 1.952 3,236% [ 125000 ; 250000 [ 193.868.755 6,462% 1.247 2,067% [ 250000 ; 1000000 [ 34.854.336 1,162% 105 0,174% [ 1000000 ; 1500000 [ 1.052.584 0,035% 1 0,002% [ 1500000 ; 2000000 [ 0 0,000% 0 0,000% Over 2000000 TL 0 0,000% 0 0,000% 3.5 Current LTV [ 0% ; 10% [ 24.421.403 0,814% 2.105 3,489% [ 10% ; 20% [ 144.453.944 4,815% 6.613 10,962% [ 20% ; 30% [ 300.420.991 10,014% 8.932 14,805% [ 30% ; 40% [ 471.429.374 15,714% 10.446 17,315% [ 40% ; 50% [ 711.591.371 23,719% 13.305 22,054% [ 50% ; 60% [ 883.975.290 29,465% 13.282 22,016% [ 60% ; 70% [ 420.246.361 14,008% 5.212 8,639% [ 70% ; 75% [ 43.511.658 1,450% 434 0,719% Over 75% 0 0,000% 0 0,000% 3.6 Interest Rate [ 0% ; 5% [ 0 0,000% 0 0,000% [ 5% ; 8% [ 321.787.220 10,726% 6.483 10,746% [ 8% ; 9% [ 467.356.409 15,578% 10.407 17,250% [ 9% ; 10% [ 899.143.287 29,971% 20.691 34,297% [ 10% ; 11% [ 752.585.283 25,086% 13.302 22,049% [ 11% ; 12% [ 240.664.325 8,022% 4.106 6,806% [ 12% ; 15% [ 317.670.574 10,589% 5.311 8,803% Over 15% 843.294 0,028% 29 0,048% 5
3.7 Interest Rate Type Fixed Rate 3.000.050.392 100,000% 60.329 100,000% Floating Rate 0 0,000% 0 0,000% Other 0 0,000% 0 0,000% 3.8 Seasoning [ 0 ; 12 [ 120.034.689 4,001% 1.381 2,289% [ 12 ; 24 [ 365.664.265 12,189% 5.253 8,707% [ 24 ; 36 [ 734.179.458 24,472% 12.561 20,821% [ 36 ; 48 [ 1.507.001.521 50,233% 33.114 54,889% [ 48 ; 54 [ 25.097.370 0,837% 887 1,470% [ 54 ; 72 [ 241.703.192 8,057% 6.813 11,293% [ 72 ; 96 [ 6.006.704 0,200% 296 0,491% [ 96 ; 108 [ 241.069 0,008% 17 0,028% [ 108 ; 120 [ 9.943 0,000% 2 0,003% [ 120 ; 144 [ 112.181 0,004% 5 0,008% [ 144 ; 168 [ 0 0,000% 0 0,000% [ 168 ; 192 [ 0 0,000% 0 0,000% Over 192 months 0 0,000% 0 0,000% 3.9 Year of Origination Weighted Average Term to Maturity 2005 29.863 0,001% 2 0,003% 52,90 2006 82.317 0,003% 3 0,005% 83,23 2007 73.137 0,002% 5 0,008% 28,69 2008 201.363 0,007% 16 0,027% 22,79 2009 2.436.651 0,081% 125 0,207% 30,03 2010 12.907.876 0,430% 507 0,840% 36,73 2011 229.955.426 7,665% 6.388 10,589% 53,69 2012 253.461.370 8,449% 6.619 10,972% 58,46 2013 1.660.944.289 55,364% 34.117 56,552% 64,96 2014 513.599.821 17,120% 8.322 13,794% 75,12 2015 264.227.128 8,807% 3.551 5,886% 77,72 2016 62.131.151 2,071% 674 1,117% 88,37 66,74 6
3.10 Term to Maturity [ 0 ; 12 [ 33.494.294 1,116% 2.466 4,088% [ 12 ; 24 [ 196.616.254 6,554% 7.724 12,803% [ 24 ; 36 [ 226.950.813 7,565% 6.152 10,197% [ 36 ; 48 [ 281.920.187 9,397% 6.201 10,279% [ 48 ; 54 [ 147.049.544 4,902% 3.029 5,021% [ 54 ; 72 [ 596.831.277 19,894% 12.158 20,153% [ 72 ; 96 [ 1.229.472.939 40,982% 19.193 31,814% [ 96 ; 108 [ 208.228.062 6,941% 2.551 4,228% [ 108 ; 120 [ 74.860.660 2,495% 799 1,324% [ 120 ; 144 [ 3.022.503 0,101% 36 0,060% [ 144 ; 168 [ 117.151 0,004% 2 0,003% [ 168 ; 192 [ 1.486.710 0,050% 18 0,030% Over 192 months 0 0,000% 0 0,000% 3.11 Security Types First Lien Mortgage 3.000.050.392 100,000% 60.329 100,000% Non First Lien Mortgage 0 0,000% 0 0,000% 3.12 Loan Purpose Purchase 2.268.921.267 75,629% 42.687 70,757% Re-mortgage 731.129.125 24,371% 17.642 29,243% Construction loans 0 0,000% 0 0,000% 3.13 Payment Type Principal and Interest 3.000.050.392 100,000% 60.329 100,000% Interest Only 0 0,000% 0 0,000% Other 0 0,000% 0 0,000% 3.14 Prepayment Option Loans with Prepayment option 3.000.050.392 100,000% 60.329 100,000% Loans without Prepayment option 0 0,000% 0 0,000% 7
3.15 Borrower Type Employed 2.438.165.287 81,271% 47.831 79,284% Retired / Pensioner 444.472.370 14,815% 10.575 17,529% Self-Employed 117.412.736 3,914% 1.923 3,188% Unemployed 0 0,000% 0 0,000 3.16 Regional Distribution Region Name Aegean 456.591.999 15,219% 9.115 15,109% Black Sea 186.617.728 6,220% 4.194 6,952% Central Anatolia 769.305.141 25,643% 16.236 26,912% Eastern Anatolia 77.869.989 2,596% 1.672 2,771% Marmara 1.078.238.752 35,941% 20.285 33,624% Mediterranean 322.450.148 10,748% 6.781 11,240% Southeastern Anatolia 108.976.635 3,632% 2.046 3,391% City Name Adana 76.269.685 2,542% 1.394 2,311% Adıyaman 5.542.284 0,185% 106 0,176% Afyon 12.456.918 0,415% 261 0,433% Ağrı 1.942.468 0,065% 42 0,070% Aksaray 5.886.071 0,196% 149 0,247% Amasya 12.263.714 0,409% 267 0,443% Ankara 551.494.117 18,383% 11.074 18,356% Antalya 114.593.499 3,820% 2.574 4,267% Ardahan 1.116.366 0,037% 27 0,045% Artvin 8.397.352 0,280% 154 0,255% Aydın 20.180.720 0,673% 453 0,751% Balıkesir 17.825.480 0,594% 420 0,696% Bartın 4.417.690 0,147% 103 0,171% Batman 2.731.365 0,091% 64 0,106% Bayburt 2.416.683 0,081% 48 0,080% Bilecik 14.353.271 0,478% 388 0,643% Bingöl 1.281.568 0,043% 24 0,040% Bitlis 4.437.457 0,148% 89 0,148% Bolu 10.262.478 0,342% 245 0,406% Burdur 2.887.697 0,096% 73 0,121% Bursa 113.504.001 3,783% 2.430 4,028% Çanakkale 18.749.423 0,625% 452 0,749% Çankırı 11.516.919 0,384% 289 0,479% Çorum 11.946.650 0,398% 326 0,540% Denizli 12.300.053 0,410% 283 0,469% Diyarbakır 36.902.786 1,230% 649 1,076% Düzce 4.367.120 0,146% 88 0,146% Edirne 15.792.978 0,526% 365 0,605% Elazığ 8.820.431 0,294% 230 0,381% Erzincan 10.141.208 0,338% 209 0,346% Erzurum 18.384.462 0,613% 344 0,570% Eskisehir 34.471.222 1,149% 795 1,318% Gaziantep 46.797.181 1,560% 894 1,482% Giresun 8.052.273 0,268% 193 0,320% Gümüşhane 3.589.749 0,120% 79 0,131% Hakkari 214.704 0,007% 3 0,005% Hatay 20.005.017 0,667% 381 0,632% Iğdır 2.461.169 0,082% 51 0,085% Isparta 5.481.766 0,183% 121 0,201% Istanbul 710.712.549 23,690% 12.026 19,934% İzmir 342.439.488 11,414% 6.640 11,006% Kahramanmaraş 6.299.524 0,210% 159 0,264% Karabük 13.614.316 0,454% 288 0,477% Karaman 8.171.004 0,272% 229 0,380% Kars 6.165.199 0,206% 125 0,207% 8
Kastamonu 7.897.911 0,263% 183 0,303% Kayseri 37.841.578 1,261% 991 1,643% Kilis 1.923.680 0,064% 46 0,076% Kırıkkale 9.655.183 0,322% 213 0,353% Kırklareli 18.825.361 0,628% 471 0,781% Kırşehir 11.027.386 0,368% 272 0,451% Kocaeli (İzmit) 104.817.743 3,494% 2.272 3,766% Konya 51.738.229 1,725% 1.169 1,938% Kütahya 11.309.228 0,377% 266 0,441% Malatya 15.736.645 0,525% 379 0,628% Manisa 35.302.362 1,177% 769 1,275% Mardin 3.912.751 0,130% 78 0,129% İçel 80.813.199 2,694% 1.751 2,902% Muğla 15.126.619 0,504% 280 0,464% Muş 1.516.456 0,051% 36 0,060% Nevşehir 8.026.161 0,268% 167 0,277% Niğde 6.471.180 0,216% 139 0,230% Ordu 6.149.487 0,205% 148 0,245% Osmaniye 16.099.761 0,537% 328 0,544% Rize 5.152.030 0,172% 115 0,191% Sakarya (Adapazarı) 31.188.070 1,040% 717 1,188% Samsun 41.209.226 1,374% 960 1,591% Şanlıurfa 8.263.941 0,275% 145 0,240% Siirt 2.431.245 0,081% 54 0,090% Sinop 7.646.669 0,255% 158 0,262% Sivas 25.556.810 0,852% 563 0,933% Şırnak 471.403 0,016% 10 0,017% Tekirdağ 23.391.753 0,780% 545 0,903% Tokat 25.096.596 0,837% 548 0,908% Trabzon 6.739.780 0,225% 143 0,237% Tunceli 4.790.923 0,160% 89 0,148% Uşak 7.476.610 0,249% 163 0,270% Van 860.933 0,029% 24 0,040% Yalova 9.078.123 0,303% 199 0,330% Yozgat 7.449.281 0,248% 186 0,308% Zonguldak 7.398.004 0,247% 148 0,245% 3.17 City Concentration TOP 1 710.712.549 23,690% 12.026 19,934% TOP 5 1.832.743.653 61,090% 34.744 57,591% TOP 10 2.193.179.690 73,105% 42.321 70,150% TOP 20 2.504.320.813 83,476% 49.232 81,606% TOP 30 2.675.219.830 89,172% 53.068 87,964% 9