INTESA SANPAOLO S.P.A.

Transcription

1 INTESA SANPAOLO S.P.A ,00 Covered Bond Programme unsecured and guaranteed as to payments of interest and by ISP CB Ipotecario S.r.l. Seller and Servicer Intesa Sanpaolo S.p.A. INVESTOR REPORT Collection Period from: 01/09/2016 to: 30/11/2016 Report date 26/01/2017 Guarantor Payment Date 12/01/2017

2 DISCLAIMER Terms and expressions used in this Investor Report have the respective meanings given to them in the Transaction Documents. This Investors Report is based on the following information: - Servicer Report provided by the Servicer; - Cash Manager Report provided by the Cash Manager; - Account Bank Report provided by the Account Bank; - Other information according to the Transaction Documents. EY S.p.A. shall be entitled to, and may, rely upon the information and reports received by it and will not be required to verify the accuracy of such notice, reports or information received by it. Neither EY S.p.A. or their respective directors, managers, officers or employees shall have any responsibility or liability as to their fairness, accuracy, completeness or reliability or for any loss or damage howsoever arising from or otherwise in connection with the use of this document. Calculations contained in this Investors Report are made in accordance with the criteria described in the Portfolio Administration Agreement. This document is provided for information purposes only and does not constitute or form part of, nor may it be construed so as to constitute or form part of, an offer, or the solicitation of any offer, to buy, sell or subscribe for any securities mentioned herein, nor it is intended to provide an evaluation of the risk related to an investment in such securities or for use by any person in making investment decisions. By accepting this document, you agree to be bound by the foregoing restrictions. If this document has been sent to you in electronic form, you are reminded that documents transmitted via this medium may be altered or changed during the process of electronic transmission and consequently none of EY S.p.A., its subsidiaries or affiliates, directors, officers or employees thereof, accepts any liability or responsibility whatsoever in respect of any difference between the documents distributed to you in electronic format and the hard copy version available to you on request from EY S.p.A. Prepared by: EY S.p.A. (as Calculation Agent) Page 1

3 Collection Period: from 01/09/2016 to 30/11/2016 Guarantor Payment Date: 12/01/2017 Covered Bonds Counterparties: Issuer: Intesa Sanpaolo S.p.A. Servicer: Intesa Sanpaolo S.p.A. Asset Swap Counterparty: Intesa Sanpaolo S.p.A. Administrative Services Provider: Intesa Sanpaolo S.p.A. Portfolio Manager: Intesa Sanpaolo S.p.A. Representative of the Covered Bondholders: KPMG Fides Servizi di Amministrazione S.p.A. Account Bank: Intesa Sanpaolo S.p.A. Cash Manager: Intesa Sanpaolo S.p.A. Calculation Agent: EY S.p.A. - Formerly Ernst & Young Financial-Business Advisors S.p.A. Asset Monitor: Deloitte & Touche S.p.A. Covered Bonds Overview Next Coupon Issue Date ISIN Currency Issued Interest Rate type Interest Rate IPD Final Maturity Rating* 04/11/2010 IT Euro ,00 Fixed 3,00% per annum 04/11/2015 Moody's: Aa2 16/02/2011 IT Euro ,00 Fixed 4,375% per annum 16/08/2016 Moody's: Aa2 17/02/2011 IT Euro ,00 Fixed 5,25% per annum 17/02/ /02/2026 Moody's: Aa2 17/02/2011 IT Euro ,00 Fixed 5,375% per annum 17/02/ /02/2031 Moody's: Aa2 16/09/2011 IT Euro ,00 Fixed 5,25% per annum 16/09/ /09/2027 Moody's: Aa2 19/09/2011 IT ** Euro ,00 Floating 3M Euribor plus 0.75% per annum 14/10/2013 Moody's: Aa2 26/09/2011 IT *** Euro ,00 Floating 3M Euribor plus 0.75% per annum 02/04/2012 Moody's: Aa2 18/11/2011 IT *** Euro ,00 Floating 3M Euribor plus 0.75% per annum 02/04/2012 Moody's: Aa2 23/12/2011 IT *** Euro ,00 Floating 3M Euribor plus 0.75% per annum 02/04/2012 Moody's: Aa2 16/07/2012 IT Euro ,00 Fixed 3,25% per annum 28/04/ /04/2017 Moody's: Aa2 16/07/2012 IT Euro ,00 Fixed 5,00% per annum 27/01/ /01/2021 Moody's: Aa2 25/09/2012 IT Euro ,00 Fixed 3,75% per annum 25/09/ /09/2019 Moody's: Aa2 03/12/2012 IT Euro ,00 Fixed 3,625% per annum 05/12/ /12/2022 Moody's: Aa2 24/01/2013 IT Euro ,00 Fixed 3,375% per annum 24/01/ /01/2025 Moody's: Aa2 24/09/2013 IT Euro ,00 Fixed 2,25% per annum 24/09/ /09/2018 Moody's: Aa2 10/02/2014 IT Euro ,00 Fixed 3,25% per annum 10/02/ /02/2026 Moody's: Aa2 23/01/2015 IT Euro ,00 Fixed 0,625% per annum 20/01/ /01/2022 Moody's: Aa2 18/12/2015 IT Euro ,00 Fixed 1,375% per annum 18/12/ /12/2025 Moody's: Aa2 23/03/2016 IT Euro ,00 Fixed 0,625% per annum 23/03/ /03/2023 Moody's: Aa2 16/09/2016 IT Euro ,00 Floating 3M Euribor plus 0.20% per annum 12/01/ /10/2020 Moody's: Aa2 25/11/2016 IT Euro ,00 Floating 3M Euribor plus 0.20% per annum 12/01/ /10/2024 Moody's: Aa2 * Downgraded to "Aa2" from "Aa1" on 23/02/2012 and to "A2" from "Aa2" on 17/07/2012, Upgrated to "Aa2" from "A2" on 21/01/2015 ** Covered bond totally redeemed on 24/09/2012 before due date *** Covered bond totally redeemed on 02/04/2012 before due date Prepared by EY S.p.A. - Formerly Ernst & Young Financial-Buisiness Advisors S.p.A. (as Calculation Agent) Page 7

4 Collection Period: from 01/09/2016 to 30/11/2016 Guarantor Payment Date: 12/01/2017 Statutory Tests Nominal Value Test (NVT) Tests Nominal Value of the Portfolio Oustanding Principal Balance of all Series of Covered Bonds Parameters ( ) A* R B C D X Y - Z OBG Description Adjusted Outstanding Principal Balance Outstanding Principal Balance of all MBS Notes Investment Account + Integration Assets Aggregate of all Eligible Investments Eligible Assets not included in A) and R) parameters Supplemental Liquidity Reserve Potential Set-Off The weighted average remaining maturity (expressed in years) of all Covered Bonds then multiplied by the aggregate Outstanding Principal Balance of the Covered Bonds multiplied by the Negative Carry Factor The aggregate Outstanding Principal Balance of all Series of Covered Bonds Test: (A+R)*P +min(b;15%(a+b+c+r+d)+c +D-X-Y-Z-OBG PASS Asset Percentage (P) 93,00% * The A Parameter differs from the value of the Current as of (Euro as for 1. Breakdown of the Portfolio by Current Loan to Value schedule - page 4) because non CB eligible mortgage loans are not factorised Net Present Value Test (NPV Test) Net Present Value of the Portfolio, Asset and Liability Swaps (net of the costs) Net Present Value of all Series of the Oustanding Covered Bonds Parameters ( ) NPV EP NPV OBG Test: NPV EP - NPV OBG PASS Interest Coverage Test (ICT) First: Net Interest Collections from the Eligible Portfolio Interest Payments Parameters ( ) NIC from EP Interest Payments Test: NIC EP - IP PASS Second: Annual Net Interest Collections from the Eligible Portfolio Annual Interest Payments Parameters ANIC from EP* AIP Test: ANIC EP - AIP PASS *Such amount includes the Reserve Fund Required as of Credit Ratings Intesa SanPaolo Credit Rating Long Term Short Term Fitch BBB+ F2 Moody's Baa1 P-2 DBRS BBB (high) R-1 (low) S&P BBB- A-3 Issuer Event of Default? Guarantor Event of Default? NO NO Prepared by EY S.p.A. (as Calculation Agent) Page 3

5 Collection Period: from 01/09/2016 to 30/11/2016 Guarantor Payment Date: 12/01/2017 Mortgage - Pool Summary Number of Total Loan Balance Average Original Largest Original Average Current Largest Current Weighted Average Original Loan to Value Weighted Average Current Loan to Value Weighted Average Indexed Loan to Value Weighted Average Seasoning (Months) Weighted Average Residual Maturity (Months) Weighted Average Original Maturity (Months) Weighted Average Current Interest Rate % of Current Balance granted by non-residential properties Currency , , , , ,84 58,32% 47,30% 50,88% 71,96 208,14 280,10 2,44% 2,91% EUR 1) Breakdown of the Portfolio by Current Loan to Value Range Original Outstanding % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current ,21 6,08% ,86% ,85 2,07% ,14 10,55% ,70% ,14 7,09% ,65 12,91% ,55% ,42 11,16% ,87 14,52% ,59% ,33 14,38% ,24 16,68% ,15% ,83 18,05% ,61 15,36% ,22% ,71 17,40% ,22 16,15% ,33% ,46 19,66% ,23 7,64% ,52% ,89 10,06% ,40 0,10% 168 0,08% ,82 0,13% > ,25 0,01% 26 0,01% ,82 0,02% Total ,82 100,00% ,00% ,27 100,00% 2) Breakdown of the Portfolio by Current Outstanding Principal Balance Range Original Outstanding % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current ,31 7,07% ,29% ,91 2,37% ,78 12,98% ,85% ,80 9,75% ,42 16,44% ,63% ,16 15,92% ,04 17,46% ,47% ,26 18,83% ,35 13,93% ,48% ,35 15,87% ,39 9,84% ,81% ,44 11,49% ,06 6,26% ,66% ,17 7,31% ,53 4,13% ,11% ,73 4,88% ,53 4,50% ,93% ,14 5,29% ,41 2,27% ,78% ,33 2,64% ,32 3,01% ,74% ,66 3,35% ,19 1,07% 326 0,16% ,28 1,16% > ,49 1,03% 178 0,09% ,04 1,15% Total ,82 100,00% ,00% ,27 100,00% 3) Breakdown of the Portfolio by Interest Type Interest Type Original Outstanding % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current Fixed Rate Floating ,33 40,74% ,97% ,98 42,92% ,49 59,26% ,03% ,29 57,08% Total ,82 100,00% ,00% ,27 100,00% 4) Breakdown of the Portfolio by Maturity Date Maturiy Date Original Outstanding % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current today ,21 0,24% 693 0,33% ,92 0,01% ,91 7,64% ,83% ,09 2,67% ,02 15,80% ,47% ,24 11,84% ,78 22,21% ,17% ,22 21,62% ,82 20,25% ,93% ,83 22,65% ,00 20,08% ,43% ,76 23,65% ,56 12,50% ,85% ,87 15,83% ,56 1,14% ,88% ,93 1,55% ,96 0,14% 228 0,11% ,41 0,19% Total ,82 100,00% ,00% ,27 100,00% Prepared by EY S.p.A. (as Calculation Agent) Page 4

6 5) Breakdown of the Portfolio by Months of Seasoning Months Original Outstanding % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current ,84 1,50% ,51% ,47 2,06% ,36 10,40% ,26% ,51 13,93% ,44 4,97% ,36% ,69 6,19% ,57 5,82% ,16% ,19 6,92% ,21 6,36% ,69% ,37 7,19% ,36 10,95% ,52% ,01 11,53% ,92 14,88% ,83% ,71 14,74% ,24 12,92% ,56% ,86 11,93% ,86 8,07% ,96% ,53 7,42% ,63 8,44% ,61% ,46 7,25% ,44 10,74% ,30% ,83 8,49% > ,95 4,96% ,24% ,64 2,36% Total ,82 100,00% ,00% ,27 100,00% 6) Breakdown of the Portfolio by Payment Frequency Payment Frequency Original % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current Monthly ,48 98,46% ,19% ,91 99,13% Bimonthly Quarterly ,38 0,00% ,91 0 Semiannual ,96 1,54% ,81% ,45 0,87% Annually Total ,82 100,00% ,00% ,27 100,00% 7) Breakdown of the Portfolio by Property Location Geographic Area Original % of Original No of Mortgage % of No of Mortgage Current Outstanding % of Current Lombardia ,79 41,89% ,20% ,10 42,59% Piemonte ,51 13,95% ,54% ,99 14,19% Veneto ,30 5,41% ,61% ,22 4,89% Liguria ,72 5,87% ,65% ,33 5,92% Emilia Romagna ,59 0,50% ,50% ,00 0,49% Friuli Venezia Giulia ,04 0,08% 187 0,09% ,15 0,07% Trentino Alto Adige ,47 1,46% ,16% ,01 1,46% Valle d'aosta ,95 0,55% ,51% ,86 0,50% Total North ,37 69,72% ,25% ,66 70,10% Lazio ,63 13,21% ,90% ,45 13,41% Toscana ,12 2,77% ,51% ,34 2,44% Umbria ,71 0,23% 541 0,26% ,42 0,21% Abruzzo ,14 0,11% 308 0,15% ,31 0,10% Marche ,58 0,10% 225 0,11% ,85 0,09% Total Centre ,18 16,42% ,93% ,37 16,26% Puglia ,08 0,51% ,63% ,04 0,43% Sardegna ,11 5,88% ,55% ,03 5,69% Sicilia ,22 7,02% ,14% ,27 7,13% Calabria ,29 0,14% 356 0,17% ,79 0,12% Campania ,54 0,20% 446 0,21% ,53 0,18% Basilicata ,11 0,09% 196 0,09% ,21 0,08% Molise ,92 0,02% 54 0,03% ,37 0,02% Total South ,27 13,86% ,82% ,24 13,64% Total ,82 100,00% ,00% ,27 100,00% 8) Cash Manager investments Value Date Due date ISIN Nominal Interest Prepared by EY S.p.A. (as Calculation Agent) Page 5

7 Collection Period: from 01/09/2016 to 30/11/2016 Guarantor Payment Date: 12/01/2017 Portfolio A.1.a) MBS Payments during the Collection Period / Incassi nel periodo ISIN Code/ Codice ISIN Issuer name/ Nome dell'emittente MBS rating Outstanding Outstanding Principal amount at the purchased beginning of the during the Collection Collection Period/ Period/ Portafoglio Principal Capitale residuo acquistato durante il due and paid / all'inizio del periodo periodo di incasso Incassi capitale d'incasso Interest due and paid / Incassi interessi Outstanding Outstanding Principal Principal SOLD during at the end of the Total / Totale the Collection Period Collection Period / incassi / Capitale residuo Capitale residuo ceduto durante il alla fine del periodo d'incasso periodo d'incasso a b c d e = c + d f g =a + b - c - f 1. MBS 2. MBS 0,00 0,00 Total MBS/Totale MBS - 0,00 0,00 0,00 0,00 0,00 A.1.b) Residential Mortgage / Mutui Residenziali: Outstanding amount at the beginning of the Collection Period/ Capitale residuo all'inizio del periodo d'incasso (da analitico precedente) Outstanding Principal - Not Principal in Arrears Interests in Arrears Outstanding Principal of the PURCHASED Payments received during the Collection Period / Outstanding Principal of the SOLD Capitale residuo dei mutui acquistati Incassi nel periodo Total received Principal Instalments Interest Instalments Totale incassato (capitale collettato a (interessi collettati a Outstanding Principal Outstanding Principal in vario titolo: vario titolo: Interests in - Not Interests in Arrears Principal - Principal in Arrears Arrears accertamenti del accertamenti del Arrears Not periodo, prepayments, periodo, prepayments, arretrati sanati etc) arretrati sanati etc) Outstanding amount at the end of the Outstanding Principal not Collection Period / Capitale residuo alla Capitale a scadere fine del periodo d'incasso Overdue Instalments during the Collection Period/ Rate scadute e non ancora pagate Principal Interest Total Instalments Instalments Totale quote Quote capitale Quote interessi scadute scaduto di fine scadute (da periodo (da analitico) analitico) a b c d e f g h i = g+h k k bis k ter l=m+n m=a+b+d+e-g-n-k-k bis n o p = n + o 1. Performing (excluded Delinquent )/ mutui in bonis , , ,90 0,00 0,00 0, , , , , ,70 (esclusi mutui in ritardo) 2. Delinquent / mutui in ritardo , , ,82 0,00 0,00 0, , , , , ,15 (i) Performing Portfolio / Portafoglio , , ,72 0,00 0,00 0, , , , , ,85 in bonis (1+2) Defaulted / Mutui in default , , ,84 0,00 0,00 0, , , , , ,36 Mortgages in breach of representation contained in the Master Transfer 0 0,00 0,00 0,00 \ 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Agreement Total Residential Mortgage Loan , , ,56 0,00 0,00 0, , , , , , , , ,03 Portfolio (i) Only for the pourpose of this Report, is a Delinquent Loan any Mortgage Loan which is not a Defaulted Loan and which has an Arrears Ratio equal to or higher than 1 for a period of at least one month A.1.c) 1. Other Eligible Assets - / Mutui commerciali Outstanding amount at the beginning of the Collection Period/ Capitale residuo all'inizio del periodo d'incasso (da analitico precedente) Outstanding Principal - Not Principal in Arrears Interests in Arrears Outstanding Principal of the PURCHASED Payments received during the Collection Period / Outstanding Principal of the SOLD Capitale residuo dei mutui acquistati Incassi nel periodo Principal Instalments Interest Instalments (capitale collettato a (interessi collettati a Outstanding Principal Outstanding Principal in vario titolo: vario titolo: Total received Interests in - Not Interests in Arrears Principal - Principal in Arrears Arrears accertamenti del accertamenti del Totale incassato Arrears Not periodo, prepayments, periodo, prepayments, arretrati sanati etc) arretrati sanati etc) Outstanding amount at the end of the Outstanding Principal not Collection Period / Capitale residuo alla Capitale a scadere fine del periodo d'incasso Overdue Instalments during the Collection Period/ Rate scadute e non ancora pagate Principal Interest Total Instalments Instalments Totale quote Quote capitale Quote interessi scadute scaduto di fine scadute (da periodo (da analitico) analitico) a b c d e f g h i = g+h k k bis k ter l=m+n m=a+b+d+e-g-n-k-k bis n o p = n + o 1. Performing (excluded Delinquent )/ mutui in bonis , , , , , , ,45 (esclusi mutui in ritardo) 2. Delinquent / mutui in ritardo , , , , , , ,95 (i) Performing Portfolio / Portafoglio , , , , , , ,40 in bonis (1+2) Defaulted / Mutui in default , , , , , , ,96 Mortgages in breach of representation contained in the Master Transfer ,00 0,00 0,00 0,00 0,00 Agreement Total Residential Mortgage Loan , , ,46 0,00 0,00 0, , , , , , , , ,88 Portfolio (i) Only for the pourpose of this Report, is a Delinquent Loan any Mortgage Loan which is not a Defaulted Loan and which has an Arrears Ratio equal to or higher than 1 for a period of at least one month Prepared by EY S.p.A. (as Calculation Agent) Page 6

8 A.1.c) 2. Other Eligible Assets - Bonds ISIN Code / Codice ISIN Issuer name / Nome dell'emittente Bond rating Payments during the Collection Period / Outstanding Outstanding Principal Incassi nel periodo amount at the purchased beginning of the during the Collection Outstanding Collection Period/ Outstanding Principal Period/ Portafoglio Principal Interest due and Principal Capitale residuo Total / Totale SOLD during acquistato durante il due and paid / paid / Incassi at the end of the all'inizio del periodo incassi the Collection Period periodo di incasso Incassi capitale Interessi Collection Period / d'incasso / Capitale residuo dei Capitale residuo titoli ceduti alla fine del a b c d e = c + d f g =a + b - c - f 1. Bond 2. Bond 0 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Total Other Eligible Assets - Bonds 0 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 A.1.d) Integration Assets / Attivi idonei integrativi ISIN Code - Deposit acct nr. /Codice ISIN - Securities name / Nome del titolo Securities' Issuer or Bank where the Securities' rating or deposits are open / Banks' rating nominativo della (in case of deposits)/ banca emittente i rating dei titoli o della titoli o dove sono banca in caso di aperti i depositi depositi Maturity/ Scadenza Outstanding Payments received during the Collection Period / Incassi nel periodo amount/nominal Outstanding amount at the Portfolio purchased Portfolio sold / amount/nominal beginning of the / titoli acquistati titoli venduti amount at the end of Collection Period durante il periodo durante il periodo the Collection Period Principal amount Interest amount Total received / Capitale residuo all'inizio del periodo d'incasso a b c d e = c + d f g = a + b - c - f Deposits with Banks / Depositi bancari Securities / Titoli Defaulted Securities / Titoli in default Total Integration Assets / Attivi idonei integrativi A.1.e) Total Portfolio / Portafoglio totale Payments during the Collection Period/ Rate pagate nel periodo d'incasso Outstanding Portfolio PURCHASED amount at during the the beginning of the Collection Period / Interest Collection Period/ Principal Instalments / Portafoglio venduto Instalment / Total paid / Capitale residuo Quote capitale delle durante il periodo Quote interessi Totale rate all'inizio del periodo rate d'incasso della rata d'incasso Instalments due and not yet paid / Rate scadute e non ancora pagate Outstanding Portfolio sold amount at the end of during the the Collection Period Total due and not Collection Period / / Principal in Arrears Interest in Arrears yet paid/ Portafoglio venduto Capitale residuo alla (end of period) (end of period) Totale dovuto e durante il periodo fine del periodo non ancora scaduto d'incasso d'incasso Percent of Portfolio a b c d e = c + d f g h = f + g i j = j / total portfolio 1 Total MBS / Totale MBS Total Residential Mortgage Loan Portfolio / Totale portafoglio mutui , , , , , , , ,86 97,08% residenziali Total Other Eligible Assets , , , , , , , ,87 2,92% Total Other Eligible Assets - Bonds Total Other Eligibile Assets , , , , , , , ,87 2,92% 4 Total Integration Assets / Attivi idonei integrativi Total Portfolio / Portafoglio totale , , , , , , , ,73 100,00% Prepared by EY S.p.A. (as Calculation Agent) Page 7

9 Cover pool asset by assignment of 27/06/2011 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 01 - TF Index 03 - TF Index 11 - TV Index 12 - TV Index 31 - TV Index 99B - CAP not not not not , , , , , , , , , , ,01 0, , , , , , , , , , , ,09 793, , , , , , , , , , , ,10 793,39 Index 61 - TV Index 62 - TV Index 63 - TV Index 64 - TV Index 65 - TV Index 99A - TV not not not not , , , , , , , ,37 0,00 0, , , , , , , , , , ,97 0,00 0, , , , , , , , , , ,34 0,00 0, , ,53 Cover pool asset by assignment of 29/08/2011 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 01 - TF Index 10 - TV Index 11 - CAP Index 12 - CAP Index 13 - CAP not not not , , , , , , ,30 524,89 0,00 0, , , , , , , , ,05 0,00 0, , , , , , , , ,94 0,00 0,00 Index 14 - CAP Index 15 - CAP Index 16 - CAP Index 17 - CAP Index 18 - CAP not not not 0,00 0,00 0,00 0, , , ,86 580, , ,82 0,00 0,00 0,00 0, , , , , , ,05 0,00 0,00 0,00 0, , , , , , ,87 Index 19 - CAP Index 30 - TV Index 60 - TV Index 99B - CAP Index 98 - TF Index 99A - TV not not not not ,67 69, , ,37 0,00 0, ,29 0, ,92 492, ,69 24, , , , ,13 0,00 0,00 0,00 0, , , , , , , , ,50 0,00 0, ,29 0, , , , ,88 Prepared by EY S.p.A. (as Calculation Agent) Page 8

10 Cover pool asset by assignment of 28/11/2011 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 01 - TF Index 10 - TV Index 11 - CAP Index 60 - TV Index 70 - TV Index 99A - TV not not not not , , , , , , ,26 0, ,95 0, ,20 0, , , , , , ,11 0,00 0,00 0,00 0, , , , , , , , , ,26 0, ,95 0, , ,11 Index 99B - CAP Index 98 - TF not not ,72 0, ,97 0,00 0,00 0, ,87 241, ,72 0, ,84 241,91 Cover pool asset by assignment of 29/10/2012 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 1 - TF 1A - TF Index 3 - TF Index 3A - TF Index 4 - TF not not not , , , , ,22 0, , , , , , , , , , , , , , , , , , , , , , , , ,69 Index 10 - TV Index 10A - TV Index 19 - TV Index 30 - TV Index 39 - TV not not not , , , , , , , , ,94 495, , , , , , , , , , , , , , , , , , , , ,64 Index 60A - TV Index 63A - TV Index 68A - TV SONNI TRANQUILLI Index 99A - TV Index 99B - TV not not not , , , , , , , , ,94 0, , , , , , , , ,07 0,00 0, , , , , , , , , ,94 0,00 Prepared by EY S.p.A. (as Calculation Agent) Page 9

11 Cover pool asset by assignment of 22/04/2013 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 1 - TF 1A - TF Index 4 - TF Index 10 - TV Index 10A - TV not not not , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,45 Index 11 - CAP Index 12 - CAP Index 13 - CAP Index 14 - CAP Index 15 - CAP not not not , , ,72 0, , , ,61 0, ,40 0, , , , , , ,29 0,00 0,00 0,00 0, , , , , , , ,61 0, ,40 0,00 Index 16 - CAP Index 16A - TV Index 19 - TV Index 30 - TV Index 39 - TV not not not ,05 196,20 0,00 0, ,71 0, , , ,39 0,00 0,00 0,00 0,00 0, , , , , ,56 0, ,05 196,20 0,00 0, , , , , ,95 0,00 Index 70 - TV Index 60A - TV Index 63A - TV Index 99B - CAP Index 99A - TV not not not ,60 274, , , , , ,55 0, , , , , , , , ,86 0,00 0, , , , , , , , , ,55 0, , ,73 Prepared by EY S.p.A. (as Calculation Agent) Page 10

12 Cover pool asset by assignment of 26/05/2014 A2) Performing Portfolio per Index Type / Portafoglio in bonis per tipologia di indice Index 1 - TF 1A - TF Index 10 - TV Index 10A - TV Index 30 - TV not not not , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,05 Index 60A - TV Index 64 - TV Index 70 - TV Index 99A - TV Index 5A - TV not not not , , , , ,48 265, , , , , , , , ,83 0,00 0, , , , , , , , , ,48 265, , , , ,42 Index 5B - TV Index 6A - TV Index 6B - TV Index 7A - TV Index 7B - TV not not not ,96 576, ,67 0, ,70 0, , , , ,78 0,00 0,00 0,00 0,00 0,00 0, , , , , ,96 576, ,67 0, ,70 0, , , , ,17 Index 8A - TV Index 8B - TV Index 15A - TV Index 16A - TV Index 17A - TV not not not ,28 705, ,45 0, , , ,54 986, , , , ,91 0,00 0, , , , , , , , , ,45 0, , , , , , ,87 Index 18A - TV Index 98 - TF Index 99B - CAP not not , , ,11 0, ,98 0, , , , ,65 0,00 0, , , , , ,98 0,00 Prepared by EY S.p.A. (as Calculation Agent) Page 11

13 Cover pool asset by assignment of 27/04/2015 A2) Total Performing Portfolio per Index Type / Portafoglio totale in bonis per tipologia di indice Index 10 - TV Index 10A - TV Index 30 - TV Index 60A - TV not not not , , , , , , , , , , , , , , , , , , , , , , , ,95 Index 63A - TV Index 70 - TV Index 6A - TV Index 6B - TV not not not , , ,66 268, ,25 0, ,84 0, , , , ,27 0,00 0,00 0,00 0, , , , , ,25 0, ,84 0,00 Index 7A - TV Index 7B - TV Index 16A - TV Index 18A - TV not not not ,95 377, ,04 0, , , , , ,93 868,94 0,00 0, , , , , , , ,04 0, , , , ,85 Index 99A - TV Index 99B - CAP Index 98 - TF not not ,38 0, ,35 0, ,11 34, ,41 476,15 0,00 0,00 0,00 0, ,79 476, ,35 0, ,11 34,21 Prepared by EY S.p.A. (as Calculation Agent) Page 12

14 Cover pool asset by assignment of 26/10/2015 A2) Total Performing Portfolio per Index Type / Portafoglio totale in bonis per tipologia di indice Index TF Index A TF Index TV Index 98 - TF not not not , , , , , , ,50 0, , , , , , ,57 0,00 0, , , , , , , ,50 0,00 Index 99A - TV Index 99B - CAP not not ,34 0, ,50 0,00 0, ,12 0,00 0, , , ,50 0,00 Prepared by EY S.p.A. (as Calculation Agent) Page 13

15 Cover pool asset by assignment of 31/05/2016 A2) Total Performing Portfolio per Index Type / Portafoglio totale in bonis per tipologia di indice Index FI100- TF Index FF100- TF Index 98 - TF Index VI110 - TV not not not , , , ,96 0,00 0, , , , , , ,25 0,00 0, , , , , , ,21 0,00 0, , ,91 Index VF110 - TV Index VF166 - TV Index VC150 - TV Index 99A - TV not not not , , , , , ,57 0,00 0, , , , , , ,19 0,00 0, , , , , , ,76 0,00 0,00 Index C340A - CAP Index C350A - CAP Index C360A - CAP Index C370A - CAP not not not ,38 986, ,16 259, , , ,11 211, , ,38 0,00 0, , , , , , , ,16 259, , , , ,01 Index DI110 - CAP Index D340A - CAP Index D370A - CAP Index D435A - CAP not not not ,05 0, ,06 0, ,45 0, ,85 516, , , , ,20 0,00 0, , , , , , , ,45 0, , ,41 Index 0099B - CAP not 0,00 0,00 0,00 0,00 0,00 0,00 Prepared by EY S.p.A. (as Calculation Agent) Page 14

16 Collection Period: from 01/09/2016 to 30/11/2016 Guarantor Payment Date: 12/01/2017 Purchase and Sale of Assets Euro MBS sold to the CB Guarantor during the Collection Period / MBS ceduti al CB Guarantor durante il Period Oustanding Principal - Purchase for Issuance Collateralisation / Cessioni Successive per Emissione - - Purchase for Revolving Assignments / Cessioni Successive Revolving - - Purchase for Integration Assignments / Cessioni di Ripristino - Mortgages sold to the CB Guarantor during the Collection Period / Mutui ceduti dal CB Guarantor durante il Periodo Oustanding Principal - Purchase for Issuance Collateralisation / Cessioni Successive per Emissione - - Purchase for Revolving Assignments / Cessioni Successive Revolving - - Purchase for Integration Assignments / Cessioni di Ripristino - Integration Assets sold to the CB Guarantor during the Relevant Period: - Attivi idonei integrativi ceduti al CB Guarantor durante il Relevant Period - Deposits with Banks / Depositi bancari - - Securities / Titoli - MBS sold by the CB Guarantor in accordance with the Transaction Documents: - MBS venduti dal CB Guarantor in accordo con i documenti dell'operazione Mortgages sold by the CB Guarantor in accordance with the Transaction Documents: - Mutui venduti dal CB Guarantor in accordo con i documenti dell'operazione Integration Assets sold by the Guarantor in accordance with the Transaction Documents: - Attivi idonei integrativi ceduti dal CB Guarantor ai sensi dei Transaction Documents Prepared by EY S.p.A. (as Calculation Agent) Page 15