2012 Popolare Bari SME S.r.l.

Transcription

1 2012 Popolare Bari SME S.r.l. INVESTORS REPORT 497,000,000 Class A1 Asset Backed Floating Rate Notes due October ,000,000 Class A2 Asset Backed Floating Rate Notes due October ,087,000 Class B1 Asset Backed Floating Rate Notes due October ,790,000 Class B2 Asset Backed Floating Rate Notes due October 2054 Contacts Antonio di Nuzzo / Chiara Tassan 2012popbarisme@finint.it Tel.: / 495 Via V.Alfieri, Conegliano (TV) Reporting Dates Quarterly 01/01/ /02/2017 Period 31/01/ /03/2017 Payment Date 10/03/2017 This Investors Report is prepared by Securitisation Services in accordance with the criteria described in the Transaction Documents. Certain information included in this report is provided by the Parties. Please be advised that Securitisation Services will have no liability for the completeness or accuracy of such information.

2 1. Transaction overview Issuer: 2012 Popolare Bari SME S.r.l. Issue Date: 14 December 2012 Originator/Servicer: Banca Popolare di Bari S.c.p.a. Cassa di Risparmio di Orvieto S.p.A. Arranger J.P. Morgan Securities plc The Notes: Notes Class A1 Class A2 Class B1 Class B2 Original 497,000, ,000, ,087,000 47,790,000 Currency Euro Euro Euro Euro Denomination 100, , , ,000 Final Maturity Date October 2054 October 2054 October 2054 October 2054 Listing Irish Stock Exchange Irish Stock Exchange No Listing No Listing ISIN code IT IT IT IT Clearing Monte Titoli / Clearstream Monte Titoli / Clearstream Monte Titoli / Clearstream Monte Titoli / Clearstream Reference Rate Euribor 3m Euribor 3m Euribor 3m Euribor 3m Day Count Convention Actual/360 Actual/360 Actual/360 Actual/360 Spread 0,30% 0,30% 3,00% 3,00% Initial Rating DBRS A(high) (sf) A(high) (sf) Not Rated Not Rated Current Rating DBRS Reimbursed Reimbursed Not Rated Not Rated Initial Rating Fitch A+ (sf) A+ (sf) Not Rated Not Rated Current Rating Fitch Reimbursed Reimbursed Not Rated Not Rated Underlying Assets for the Notes: Payment Date: Period: mortgage loans and unsecured loans classified as performing by the Originators means the last calendar day of January, April, July and October in each year or, if any of such a date does not fall on a Business Day, the following Business Day. means each period from (and including) a Payment Date to (but excluding) the following Payment Date provided that the Initial Period shall start on the Issue Date (included) an end on the First Payment Date (excluded). Parties: Agent Bank: Transaction Bank and Paying Agent: English Transaction Bank: Representative of the Noteholders and Security Trustee: Swap Counterparty: Limited Recourse Loan Provider: Corporate Services Provider and Computation Agent: Cash Manager: The Bank of New York, (Luxembourg) S.A., Italian Branch The Bank of New York, (Luxembourg) S.A., Italian Branch The Bank of New York Mellon, London Branch Securitisation Services S.p.A. J.P. Morgan Securities Plc Banca Popolare di Bari S.c.p.a. and Cassa di Risparmio di Orvieto S.p.A. Securitisation Services S.p.A. Bank of New York, London Branch Page 2

3 2.1 The Notes - Class A Notes Isin Code IT Before Payments Amounts accrued Payments After Payments Period Payment Date Amount Unpaid Rate Accrual Period (days) Accrued Payments Payments Amount Pool factor 14/12/ /04/ /04/ , ,00 0,550% , , , ,20 0, /04/ /07/ /07/ , ,20 0,507% , , , ,80 0, /07/ /10/ /10/ , ,80 0,526% , , , ,50 0, /10/ /01/ /01/ , ,50 0,528% , , , ,90 0, /01/ /04/ /04/ , ,90 0,600% , , , ,00 0, /04/ /07/ /07/ , ,00 0,645% , , , ,90 0, /07/ /10/ /10/ , ,90 0,509% , , , ,90 0, /10/ /02/ /02/ , ,90 0,388% , , , ,30 0, /02/ /04/ /04/ , ,30 0,352% , , , ,90 0, /04/ /07/ /07/ , ,90 0,295% , , , ,90 0, /07/ /11/ /11/ , ,90 0,278% , , , ,60 0, /11/ /02/ /02/ , ,60 0,232% , , , ,40 0, /02/ /05/ /05/ , ,40 0,140% , , , ,00 0, /05/ /08/ /08/ , ,00 0,048% , , , ,50 0, /08/ /11/ /11/ , ,50 0,004% ,57 630, , ,40 0, /11/ /01/ /01/ , ,40-0,012% , ,10 0, /01/ /03/ /03/ , ,10-0,028% ,10-0, Unpaid Page 3

4 2.2 Class A2 Notes Isin Code IT Before Payments Amounts accrued Payments After Payments Period Payment Date Amount Unpaid Rate Accrual Period (days) Accrued Payments Payments Amount Pool factor 14/12/ /04/ /04/ , ,00 0,550% , , , ,00 0, /04/ /07/ /07/ , ,00 0,507% , , , ,40 0, /07/ /10/ /10/ , ,40 0,526% , , , ,40 0, /10/ /01/ /01/ , ,40 0,528% , , , ,40 0, /01/ /04/ /04/ , ,40 0,600% , , , ,40 0, /04/ /07/ /07/ , ,40 0,645% , , , ,40 0, /07/ /10/ /10/ , ,40 0,509% , , , ,40 0, /10/ /02/ /02/ , ,40 0,388% , , , ,40 0, /02/ /04/ /04/ , ,40 0,352% , , , ,40 0, /04/ /07/ /07/ , ,40 0,295% , , , ,40 0, /07/ /11/ /11/ , ,40 0,278% , , , ,40 0, /11/ /02/ /02/ , ,40 0,232% , , , ,40 0, /02/ /05/ /05/ , ,40 0,140% , , , ,40 0, /05/ /08/ /08/ , ,40 0,048% , , , ,40 0, /08/ /11/ /11/ , ,40 0,004% ,25 144, , ,40 0, /11/ /01/ /01/ , ,40-0,012% ,40-0, /01/ /03/ /03/ ,028% , Unpaid Page 4

5 2.3 Class B1 Notes Isin Code IT Period Payment Date Before Payments Amounts accrued Payments After Payments Amount Unpaid Rate Accrual Period (days) Accrued Payments Payments Amount Pool factor 14/12/ /04/ /04/ , ,00 3,250% , ,00 1, ,02 30/04/ /07/ /07/ , , ,00 3,207% , ,00 1, ,04 31/07/ /10/ /10/ , , ,00 3,226% , ,00 1, ,29 31/10/ /01/ /01/ , , ,00 3,228% , ,00 1, ,98 31/01/ /04/ /04/ , , ,00 3,300% , ,00 1, ,76 30/04/ /07/ /07/ , , ,00 3,345% , ,00 1, ,47 31/07/ /10/ /10/ , , ,00 3,209% , ,00 1, ,94 31/10/ /02/ /02/ , , ,00 3,088% , ,00 1, ,43 02/02/ /04/ /04/ , , ,00 3,052% , ,00 1, ,11 30/04/ /07/ /07/ , , ,00 2,995% , ,00 1, ,00 31/07/ /11/ /11/ , , ,00 2,978% , ,00 1, ,50 02/11/ /02/ /02/ , , ,00 2,932% , ,00 1, ,30 01/02/ /05/ /05/ , , ,00 2,840% , ,00 1, ,73 03/05/ /08/ /08/ , , ,00 2,748% , ,00 1, ,06 02/08/ /11/ /11/ , , ,00 2,704% , ,00 1, ,25 02/11/ /01/ /01/ , , ,00 2,688% , ,00 1, ,89 31/01/ /03/ /03/ , , ,00 2,672% , , ,00-0, Unpaid Page 5

6 2.4 Class B2 Notes Isin Code IT Period Payment Date Before Payments Amounts accrued Payments After Payments Amount Unpaid Rate Accrual Period (days) Accrued Payments Payments Amount Pool factor 14/12/ /04/ /04/ , ,250% , ,00 1, ,38 30/04/ /07/ /07/ , , ,207% , ,00 1, ,29 31/07/ /10/ /10/ , , ,226% , ,00 1, ,67 31/10/ /01/ /01/ , , ,228% , ,00 1, ,31 31/01/ /04/ /04/ , , ,300% , ,00 1, ,06 30/04/ /07/ /07/ , , ,345% , ,00 1, ,91 31/07/ /10/ /10/ , , ,209% , ,00 1, ,08 31/10/ /02/ /02/ , , ,088% , ,00 1, ,16 02/02/ /04/ /04/ , , ,052% , ,00 1, ,27 30/04/ /07/ /07/ , , ,995% , ,00 1, ,62 31/07/ /11/ /11/ , , ,978% , ,00 1, ,35 02/11/ /02/ /02/ , , ,932% , ,00 1, ,28 01/02/ /05/ /05/ , , ,840% , ,00 1, ,48 03/05/ /08/ /08/ , , ,748% , ,00 1, ,75 02/08/ /11/ /11/ , , ,704% , ,00 1, ,27 02/11/ /01/ /01/ , , ,688% , ,00 1, ,07 31/01/ /03/ /03/ , , ,672% , , ,00-0, Unpaid Page 6

7 3.a BPB Collections and Recoveries Instalments Prepayments Other payments Recoveries on Other payments under the Servicing Agreement under the Late charges Other Defaulted Transfer Repurchase Repurchase Repurchase (Late Receivables Renegotiations Agreement ( Amount) ( Amount) Charge Amount) Other payments under the Transaction Documents 15/10/ /03/ , , , , , , ,61 841, ,51 01/04/ /06/ , , , , , , , , , , ,57 01/07/ /09/ , , , , , , , , , ,48 01/10/ /12/ , , , , , , , , ,09 01/01/ /03/ , , , , , , , , , , , ,75 01/04/ /06/ , , , , , , , , ,01 499, , ,14 01/07/ /09/ , , , , , , , , ,66 01/10/ /12/ , , , , , , , , , , ,56 01/01/ /03/ , , , , , , , , , , , , ,83 01/04/ /06/ , , , , , , , , , , , ,04 01/07/ /09/ , , , , , , , , , , , ,84 01/10/ /12/ , , , , , , , , , , , ,30 01/01/ /03/ , , , , , , , , , ,01 121, ,03 01/04/ /06/ , , , , , , , , , , ,37 01/07/ /09/ , , , , , , , , , , , ,49 01/10/ /12/ , , , , , , , , , , , ,73 01/01/ /02/ , , , , , , , , ,87 Euro Total proceeds Page 7

8 3.b CRO Collections and Recoveries Instalments Prepayments Other payments Recoveries on Other payments under the Servicing Agreement Other payments under the under the Late charges Other Defaulted Total proceeds Transfer Repurchase Repurchase Repurchase (Late Transaction Receivables Renegotiations Agreement ( Amount) ( Amount) Charge Amount) Documents 15/10/ /03/ , , , , , , , , ,61 01/04/ /06/ , , , , , , , , , , ,48 01/07/ /09/ , , , , , , , , ,82 01/10/ /12/ , , , , ,01 509, , , , ,67 01/01/ /03/ , , , , , , , , , , ,74 01/04/ /06/ , , , , , , , , ,74 01/07/ /09/ , , , , , , , , , ,22 01/10/ /12/ , , , , , , , , ,78 344, ,16 01/01/ /03/ , , , , , , , ,28 974, , ,46 01/04/ /06/ , , , , , , , , , , ,95 01/07/ /09/ , , , , , , , , , , ,28 01/10/ /12/ , , , , , , , , ,54 950, ,98 01/01/ /03/ , , , , , , , , , , , ,95 01/04/ /06/ , , , , , , , , , , , ,01 01/07/ /09/ , , , , , , , , , , , ,92 01/10/ /12/ , , , , , , , , , , ,03 01/01/ /02/ , ,60 616, , ,09 538, , ,50 Euro Page 8

9 3.c Total Collections and Recoveries Instalments Prepayments Other payments Recoveries on Other payments under the Servicing Agreement under the Late charges Other Defaulted Transfer Repurchase Repurchase Repurchase (Late Receivables Renegotiations Agreement ( Amount) ( Amount) Charge Amount) Other payments under the Transaction Documents 15/10/ /03/ , , , , , , , , ,12 01/04/ /06/ , , , , , , , , , , ,05 01/07/ /09/ , , , , , , , , , ,30 01/10/ /12/ , , , , , , , , , ,76 01/01/ /03/ , , , , , , , , , , , ,49 01/04/ /06/ , , , , , , , , ,81 499, , ,88 01/07/ /09/ , , , , , , , , , , , ,88 01/10/ /12/ , , , , , , , , ,83 344, , ,72 01/01/ /03/ , , , , , , , , , , , , ,29 01/04/ /06/ , , , , , , , , , , , ,99 01/07/ /09/ , , , , , , , , , , , ,12 01/10/ /12/ , , , , , , , , , , , ,28 01/01/ /03/ , , , , , , , , , , , ,98 01/04/ /06/ , , , , , , , , , , , ,38 01/07/ /09/ , , , , , , , , , , , ,41 01/10/ /12/ , , , , , , , , , , , ,76 01/01/ /02/ , , , , , , , , ,37 Euro Total proceeds Page 9

10 4.a BPB Issuer Available Funds Amounts received or recovered from or in respect of the BPB Claims Amounts received pursuant to the terms of the Swap Agreement Other amounts received according to the Transaction Documents Any profit generated by the Eligible Investments Amount standing to the credit of the BPB Liquidity Reserve Account (if any) accrued on and credited to the BPB Accounts Amounts received from the sale of all or part of the BPB Portfolio (if any) Residual amount standing to the credit of the BPB Expenses Account* Any other amount received, not included in the foregoing items ** Any Swap Collateral Account Surplus BPB Cured Shortfall Amount *** 15/10/ /03/ , , ,69-625, ,51 01/04/ /06/ , , , ,51-20, ,94 01/07/ /09/ , , ,27-3, ,91 01/10/ /12/ , ,00 62, ,98-16, ,09 01/01/ /03/ , , , , ,30-27, ,31 01/04/ /06/ , , , , ,04-411, ,13 01/07/ /09/ , , ,00 93, , ,81 01/10/ /12/ , , , ,49-17, ,02 01/01/ /03/ , , , ,76-35, ,82 01/04/ /06/ , , ,56-31, ,90 01/07/ /09/ , , ,98-7, ,55 01/10/ /12/ , , ,65-1, ,19 01/01/ /03/ , , ,47-11, ,40 01/04/ /06/ , , ,25-2, ,07 01/07/ /09/ , , ,76-19, ,24 01/10/ /12/ , , ,69-27, , ,38 01/01/ /02/ , ,00 0, ,53-39, ,36 Euro Issuer Available Funds * Only with reference to the earlier of (a) the Payment Date on which the Notes will be redeemed in full and (b) the Final Maturity Date ** Received by the Issuer and standing to the credit of the BPB Accounts on the Collection Date immediately preceding such Payment Date *** Starting from the Payment Date on which the Class A2 are redeemed in full Page 10

11 4.b CRO Available Funds Amounts received or recovered from or in respect of the CRO Claims Amounts received pursuant to the terms of the Swap Agreement Other amounts received according to the Transaction Documents Any profit generated by the Eligible Investments Amount standing to the credit of the CRO Liquidity Reserve Account (if any) accrued on and credited to the CRO Accounts Amounts received from the sale of all or part of the CRO Portfolio (if any) Residual amount standing to the credit of the CRO Expenses Account* Any other amount received, not included in the foregoing items ** Any Swap Collateral Account Surplus CRO Cured Shortfall Amount *** 15/10/ /03/ , , ,34-19, ,61 01/04/ /06/ , , , ,56-5, ,97 01/07/ /09/ , , ,77-2, ,89 01/10/ /12/ , ,00 14, ,03-6, ,45 01/01/ /03/ , , ,00 285, ,87-10, ,37 01/04/ /06/ , ,00 853, ,71-137, ,02 01/07/ /09/ , ,00 29, ,14-4, ,80 01/10/ /12/ , , ,54-8, ,80 01/01/ /03/ , , , ,17-3, ,70 01/04/ /06/ , , ,93-3, ,72 01/07/ /09/ , , ,46-9, ,84 01/10/ /12/ , , ,02-2, ,59 01/01/ /03/ , , ,06-6, ,52 01/04/ /06/ , , ,19-8, ,49 01/07/ /09/ , , ,24-5, ,23 01/10/ /12/ , , ,52-0, ,28 01/01/ /02/ , , , , ,68 Euro Issuer Available Funds * Only with reference to the earlier of (a) the Payment Date on which the Notes will be redeemed in full and (b) the Final Maturity Date ** Received by the Issuer and standing to the credit of the CRO Accounts on the Collection Date immediately preceding such Payment Date *** Starting from the Payment Date on which the Class A1 are redeemed in full Page 11

12 4.c Following the delivery of a Trigger Notice, Redemption for Taxation or Optional Redemption all amounts received from the sale of all or part of the Portfolio the residual balance standing to the credit of the Accounts the residual amount standing to the credit of the Expenses Account all amounts due and payable to the Issuer in respect of such Payment Date under the terms of the Swap Agreement any Swap Collateral Account Surplus paid into the Payments Accounts in accordance with the Collateral Account Priority of Payments Euro Issuer Available Funds 01/01/ /02/ , , ,04 Page 12

13 5.1.a BPB Priority of Payments - Prior to the service of a Trigger Notice - Euro Amounts due Amounts due Payment of the Amounts due Amounts due any other amount due any other amount due Amounts due under items (i) Termination and payable to and payable to the Amout under item (vii) under item (ix) under item (xi) pursuant to the to (v) of the payment due and on the on the of the Class B1 Notes Payment BPB Available on the BPB Liquidity of the CRO Pre- Amount of the CRO Pre- of the CRO Pre- BPB, pursuant to the on the any surplus to Expenses terms of the CRO Pre- payable to the Master Servicer and BPB Limited BPB Limited Class B1 Notes, after Additional Residual balance Date Funds Class A1 Notes Reserve Account Acceleration of Acceleration Acceleration BPB Transfer the Servicer pursuant Class B1 Notes BPB Swap Acceleration Swap Recourse Loan Recourse Loan the full redemption of Return Order of Priority the Class A1 Order of Priority Order of Priority Agreement Agreement Order of Priority Counterparty ** to the Servicing the Class A Notes * Notes * * Agreement * 30/04/ , , , , , , ,37 31/07/ , , , , , , ,42 31/10/ , , , , , , ,95 31/01/ , , , , , , ,38 30/04/ , , , , , , ,81 31/07/ , , , , , , ,08 31/10/ , , , , , , ,46 02/02/ , , , , , , ,99 30/04/ , , , , , , ,86 31/07/ , , , , , , ,71 02/11/ , , , , , , ,89 01/02/ , , , , , , ,37 03/05/ , , , , , , ,70 02/08/ , , , , , , ,75 02/11/ , , ,39 630, , , ,07 31/01/ , , ,45 0, , , ,76 10/03/ , , ,78 0, , ,36 * to the extent unpaid following application of the CRO Available Funds under the CRO Pre-Acceleration Order of Priority ** under the terms of the Swap Agreement upon termination of the BPB Swap Transactions Page 13

14 5.1.b CRO Priority of Payments - Prior to the service of a Trigger Notice - Payment Date CRO Available Funds Expenses Amounts due pursuant to the terms of the Swap Agreement on the Class A2 Notes Amounts due under items (i) to (v) of the BPB Pre-Acceleration Order of Priority * CRO Liquidity Reserve Account Agreement 30/04/ , , , , , , ,50 31/07/ , , , , , , ,07 31/10/ , , , , , , ,67 31/01/ , , , , , , ,83 30/04/ , , , , , , ,32 31/07/ , , , , , , ,52 31/10/ , , , , , , ,64 02/02/ , , , , , , ,24 30/04/ , , , , , , ,77 31/07/ , , , , , , ,56 02/11/ , , , , , , ,61 01/02/ , , , , , , ,57 03/05/ , , , , , , ,48 02/08/ , , , , , , ,31 02/11/ , , ,10 144, , , ,25 31/01/ , , ,80 0, , /03/ , , ,22 0, * to the extent unpaid following application of the BPB Available Funds under the BPB Pre-Acceleration Order of Priority ** under the terms of the Swap Agreement upon termination of the CRO Swap Transactions Amounts due under item (vii) of the BPB Pre- Acceleration Order of Priority * Payment of the Amount of the Class A2 Notes Amounts due under item (ix) of the BPB Pre- Acceleration Order of Priority * Termination payment due and payable to the Swap Counterparty ** Amounts due under item (xi) of the BPB Pre- Acceleration Order of Priority * any other amount due and payable to CRO, pursuant to the CRO Transfer Agreement any other amount due and payable to Master Servicer and the Servicer pursuant to the Servicing on the CRO Limited Recourse Loan on the Class B2 Notes on the CRO Limited Recourse Loan the Amout of the Class B2 Notes, after the full redemption of the Class A Notes Class B2 Notes Additional Return any surplus to CRO Euro Residual balance Page 14

15 5.2 Acceleration Order of Priority 5.2 Acceleration Order of Priority Euro Payment Date Available Funds Expenses Amounts due pursuant to the terms of the Swap Agreement on the Class A1 and Class A2 Notes Amount on the Class A1 Notes and the Class A2 Notes Amounts due pursuant to the terms of the Swap Agreement, not already paid Cured Shortfall Amount * Any amount to the Originators on the Limited Recourse Loans on the Limited Recourse Loans on the Class B1 Notes and on the Class B2 Notes Amount of the Class B Notes Class B Notes Additional Return any surplus to the each Originators Total Payments out of The Payment Account 10/03/ , , ,00 0, , , , , , , , , ,04 * to BPB any CRO Cured Shortfall Amount (if any) and to CRO any BPB Cured Shortfall Amount (if any) Page 15

16 6. Total Collateral Portfolio Euro Unpaid Instalments Perfoming Residential Mortgage Loans Late Performing Residential Mortgage Loans Delinquent Residential Mortgage Loans Impaired Claims Perfoming Residential Mortgage Loans Late Performing Residential Mortgage Loans Delinquent Residential Mortgage Loans Impaired Claims Unpaid Instalments Collateral Porfolio Defaulted Mortgage Loans Total Portfolio 15/10/ /03/ , , , , , , , , , , ,97 01/04/ /06/ , , , , , , , , , , ,99 01/07/ /09/ , , , , , , , , , , ,26 01/10/ /12/ , , , , , , , , , , , ,13 01/01/ /03/ , , , , , , , , , , , ,64 01/04/ /06/ , , , , , , , , , , , ,20 01/07/ /09/ , , , , , , , , , , , ,31 01/10/ /12/ , , , , , , , , , , , ,71 01/01/ /03/ , , , , , , , , , , , ,63 01/04/ /06/ , , , , , , , , , , , ,13 01/07/ /09/ , , , , , , , , , , , ,06 01/10/ /12/ , , , , ,29 899, , , , , , ,45 01/01/ /03/ , , , , ,14 922, , , , , , ,34 01/04/ /06/ , , , , , , , , , , , ,49 01/07/ /09/ , , , , , , , , , , , ,28 01/10/ /12/ , , , , , , , , , , , ,29 01/01/ /02/2017 0,00 0,00 0,00 0, ,00 Page 16

17 7. Bond collateralisation Payment Date Amount Class A1 Notes Class A2 Notes Class B1 Notes Class B2 Notes Total Total Collateral Portfolio Collateral Required Liquidity Reserve Amount 15/10/ /03/ /04/ , , , , , , , ,24 01/04/ /06/ /07/ , , , , , , , ,84 01/07/ /09/ /10/ , , , , , , , ,60 01/10/ /12/ /01/ , , , , , , , ,99 01/01/ /03/ /04/ , , , , , , , ,98 01/04/ /06/ /07/ , , , , , , , ,86 01/07/ /09/ /10/ , , , , , , , ,13 01/10/ /12/ /02/ , , , , , , , ,90 01/01/ /03/ /04/ , , , , , , , ,09 01/04/ /06/ /07/ , , , , , , , ,86 01/07/ /09/ /11/ , , , , , , , ,01 01/10/ /12/ /02/ , , , , , , , ,83 01/01/ /03/ /05/ , , , , , , , ,11 01/04/ /06/ /08/ , , , , , , , ,31 01/07/ /09/ /11/ , , , , , , , ,48 01/10/ /12/ /01/ ,10 0, , , , , , ,63 01/01/ /02/ /03/2017 0,00 0,00 0,00 0,00 0, Euro Total Page 17

18 8. Total Portfolio performance Arrears ratio Prepayments Ratio Cumulative Gross Default Ratio Cumulative Net Default Ratio Delinquent Mortgage Loans (a) Collateral Portfolio * (b) Arrears Ratio (a)/(b) Prepaid Receivables (c) Average Collateral Portfolio (d) Prepayments ratio (c)/(d) Cumulative Defaulted Loans (e) Collateral Portfolio ** (f) Cumulative Gross Default Ratio (e)/(f) Cumulative Recoveries (g) Cumulative Net Default Ratio [(e)- (g)]/(f) 15/10/ /03/ , ,24 3,48% , ,40 1,44% ,12 0,00% - 0,00% 01/04/ /06/ , ,84 2,63% , ,49 0,64% ,86 0,00% - 0,00% 01/07/ /09/ , ,60 4,32% , ,92 0,18% ,86 0,00% - 0,00% 01/10/ /12/ , ,99 5,31% , ,61 0,86% , ,86 0,51% - 0,51% 01/01/ /03/ , ,98 8,43% , ,94 0,52% , ,86 0,87% ,08 0,84% 01/04/ /06/ , ,86 6,30% , ,37 0,82% , ,86 1,87% ,08 1,84% 01/07/ /09/ , ,13 8,08% , ,68 0,48% , ,86 2,27% ,07 2,24% 01/10/ /12/ , ,90 7,25% , ,92 1,15% , ,86 3,13% ,76 3,09% 01/01/ /03/ , ,09 9,83% , ,61 0,37% , ,86 3,72% ,45 3,66% 01/04/ /06/ , ,86 5,69% , ,66 1,34% , ,86 5,08% ,95 4,48% 01/07/ /09/ , ,01 6,92% , ,84 2,83% , ,86 5,44% ,27 4,50% 01/10/ /12/ , ,83 6,89% , ,74 1,25% , ,86 6,12% ,34 5,02% 01/01/ /03/ , ,11 8,71% , ,40 0,77% , ,86 6,29% ,05 5,12% 01/04/ /06/ , ,31 6,49% , ,39 1,56% , ,86 6,82% ,88 5,51% 01/07/ /09/ , ,48 6,98% , ,71 1,40% , ,86 7,19% ,53 5,78% 01/10/ /12/ , ,63 6,17% , ,89 1,25% , ,86 7,70% ,05 6,04% 01/01/ /02/2017 0,00 0,00 #DIV/0! ,88 - #DIV/0! ,86 0,00% - 0,00% * As at the Collection Date ** As at the Effective Date Page 18

19 9. BPB Portfolio description by Rate Client's concentration Unpaid by Age Unpaid Instalments by Age Floating Rate (with cap) Floating Rate (no cap) Fixed Rate First Client First five Clients First ten Clients First twenty Clients days days over 90 days days days over 90 days 15/10/ /03/ , , , , , , , , , , , , ,91 01/04/ /06/ , , , , , , , , , , , , ,89 01/07/ /09/ , , , , , , , , , , , , ,71 01/10/ /12/ , , , , , , , , , , , , ,34 01/01/ /03/ , , , , , , , , , , , , ,95 01/04/ /06/ , , , , , , , , , , , , ,04 01/07/ /09/ , , , , , , , , , , , , ,22 01/10/ /12/ , , , , , , , , , , , , ,38 01/01/ /03/ , , , , , , , , , , , , ,70 01/04/ /06/ , , , , , , , , , , , , ,23 01/07/ /09/ , , , , , , , , , , , , ,74 01/10/ /12/ , , , , , , , , , , , , ,83 01/01/ /03/ , , , , , , , , , , , , ,97 01/04/ /06/ , , , , , , ,84 0, , , , , ,42 01/07/ /09/ , , , , , , , , , , , , ,64 01/10/ /12/ , , , , , , , , , , , , ,25 01/01/ /02/2017 0,00 0,00 0, ,00 0,00 0,00 0,00 0,00 0,00 Page 19

20 10. CRO Portfolio description by Rate Client's concentration Unpaid by Age Unpaid Instalments by Age Floating Rate (with cap) Floating Rate (no cap) Fixed Rate First Client First five Clients First ten Clients First twenty Clients days days over 90 days days days over 90 days 15/10/ /03/ , , , , , , , , , , , , ,62 01/04/ /06/ , , , , , , , , , , , , ,45 01/07/ /09/ , , , , , , , , , , , , ,95 01/10/ /12/ , , , , , , , , , , , , ,88 01/01/ /03/ , , , , , , , , , , , , ,15 01/04/ /06/ , , , , , , , , , , , , ,11 01/07/ /09/ , , , , , , , , , , , , ,99 01/10/ /12/ , , , , , , , , , , , , ,57 01/01/ /03/ , , , , , , , , , , , , ,95 01/04/ /06/ , , , , , , , , , , ,40 01/07/ /09/ , , , , , , , , , , ,89 01/10/ /12/ , , , , , , , , , , , , ,94 01/01/ /03/ , , , , , , , , , ,55 0, ,77 01/04/ /06/ , , , , , , , , , , ,96 01/07/ /09/ , , , , , , , , , ,70 938, , ,86 01/10/ /12/ , , , , , , , , , , , , ,44 01/01/ /02/ ,00 0,00 Page 20