Marche Mutui 4 S.r.l.

Transcription

1 Originator: Banca delle Marche S.p.A Class A Mortgage Backed Floating Rate Notes due Class J Mortgage Backed Floating Rate Notes due 2055 Investors Report Prepared by:

2 This Investors Report is based in particular on the Semiannual Servicer's Report and on the Payments Report. Calculations here contained are made in accordance with the criteria described in the Transaction Documents. Terms and expressions used in this Investors Report have the respective meanings given to them in the Transaction Documents. Prepared by Securitisation Services S.p.A. Page 2

3 1. Description Issuer: Marche Mutui 4 S.r.l. Originator: Banca delle Marche S.p.A. Issue Date: 24 July 2009 Arranger: J.P. Morgan Securities Ltd. The Notes: Class A J Original Balance Currency Euro Euro Final Maturity Date February 2055 February 2055 Listing Luxembourg Stock Exchange - ISIN code IT IT Clearing Monte Titoli Monte Titoli Payments Amortising Amortising Indexation Euribor 6M Euribor 6M Spread 0,30% 1,00% Rating Moody's at Issue Date Aaa (sf) - Rating Fitch at Issue Date - - Rating Moody's up to date Aa2 (sf) - Rating Fitch up to date A (sf) - Underlying assets for the Notes: Originator and Servicer: Payment Date: Interest Period: Interest calculation: Computation Agent and Corporate Servicer Collection Account Bank and Cash Manager: Replacement Account Bank and Replacement Italian Paying Agent: Representative of the Noteholders: Swap Counterparty: receivables arise out of residential and commercial Mortgage Loans classified as performing by the Originator. Banca delle Marche S.p.A. means the 25th day of February and August in each year or, if such day is not a Business Day, the immediately following Business Day. each period from (and including) a Payment Date to (but excluding) the next following Payment Date. ACTUAL/360 Securitisation Services S.p.A. Banca delle Marche S.p.A. Deustche Bank AG, London Branch Securitisation Services S.p.A. J.P. Morgan Securities Ltd. Prepared by Securitisation Services S.p.A. Page 3

4 2. Class A Notes (ISIN code IT ) Interest Period Payment Date Amount Before payments Unpaid Interest * Interest Rate Amounts accrued Accrual Period (days) Accrued Interest Interest Payments Payments Payments Amount After payments Unpaid Interest Pool factor 24/07/ /02/ /02/ , ,90 1,5160% , , ,00-1, /02/ /08/ /08/ , ,79 1,2640% , , ,00-1, /08/ /02/ /02/ , ,15 1,4430% , , , ,85-0, /02/ /08/ /08/ , ,44 1,6670% , , , ,41-0, /08/ /02/ /02/ , ,62 2,0390% , , , ,80-0, /02/ /08/ /08/ , ,16 1,6090% , , , ,64-0, /08/ /02/ /02/ , ,37 0,8720% , , , ,27-0, /02/ /08/ /08/ , ,85 0,6540% , , , ,42-0, /08/ /02/ /02/ , ,67 0,6430% , , , ,75-0, /02/ /08/ /08/ , ,05 0,6840% , , , ,70-0, /08/ /02/ /02/ , ,94 0,5870% , , , ,76-0, /02/ /08/ /08/ , ,18 0,4190% , , , ,57-0, /08/ /02/ /02/ , ,19 0,3420% , , , ,38-0, /02/ /08/ /08/ , ,09 0,1750% , , , ,29-0,08518 * Provided that prior to the Payment Date falling in February 2011 (excluded) the principal payment due in respect of the Class A shall not be made, but shall be credited to the Accumulation Account. Prepared by Securitisation Services S.p.A. Page 4

5 3. Collections Semi-annual Collection Period Amounts collected on Performing and Delinquent Receivables Prepayments Other Interest Recoveries on Defaulted Receivables Amount received according to Clause of the Servicing Agreement Other amounts received according to the Transaction Documents Total Collections 01/06/ /01/ , , , , , , ,31 01/02/ /07/ , , , , , , ,07 01/08/ /01/ , , , , , , ,49 01/02/ /07/ , , , , , , ,10 01/08/ /01/ , , , , , , ,09 01/02/ /07/ , , , , , , ,70 01/08/ /01/ , , , , , , ,58 01/02/ /07/ , , , , , , ,20 01/08/ /01/ , , , , , , ,90 01/02/ /07/ , , , , , , ,13 01/08/ /01/ , , , , , , ,88 01/02/ /07/ , , , , , , ,41 01/08/ /01/ , , , , , , ,54 01/02/ /07/ , , , , , , ,12 Prepared by Securitisation Services S.p.A. Page 5

6 4. Issuer Available Funds Semi-annual Collection Period Collections and Recoveries Payments received from the Swap Counterparty Other amounts received from the Originator according to the Transaction Documents Indemnities received pursuant to Clause 6 of the Servicing Agreement Accumulation Account Debt Service Reserve Available Amount Interest accrued and credited in relation to the Eligible Investments Interest accrued on the Accounts (other than the Securities Account) Proceeds deriving from the sale (if any) of the Portfolio Other amounts received under the Transaction Documents Issuer Available Funds 01/06/ /01/ , , , , ,48 01/02/ /07/ , , , , , ,32 01/08/ /01/ , , , , , ,39 01/02/ /07/ , , , , ,70 01/08/ /01/ , , , , ,35 01/02/ /07/ , , , , ,65 01/08/ /01/ , , ,89-20, ,46 01/02/ /07/ , , , , , ,75 01/08/ /01/ , , , ,88 01/02/ /07/ , , , ,42 01/08/ /01/ , , ,88 01/02/ /07/ , , , ,19 01/08/ /01/ , , ,54 01/02/ /07/ , , ,12 Prepared by Securitisation Services S.p.A. Page 6

7 5.1 Priority of Payments - Prior to the delivery of a Trigger Notice - Payment Date Expenses Any amounts due to the Swap Counterparty Interest due on the Class A Notes Target Debt Service Reserve Amount Available Advance Suspension Amount (if any) due on the Class A Notes* Any other amounts due to the Swap Counterparty Adjustment Purchase Price Any other amount due under the Transaction Documents All amounts in respect of interest due and payable on the Junior Notes Amount in respect of the Junior Notes Additional Return on Class J Notes Final balance 25/02/ , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , /02/ , , , , , /08/ , , , , , * Provided that prior to the Payment Date falling in February 2011 (excluded) the principal payment due in respect of the Class A shall not be made, but shall be credited to the Accumulation Account. Prepared by Securitisation Services S.p.A. Page 7

8 5.2 Priority of Payments - Following the delivery of a Trigger Notice - Payment Date Expenses Any amounts due to the Swap Counterparty Interest due on the Class A Notes due on the Class A Notes* Any other amounts due to the Swap Counterparty Adjustment Purchase Price Any other amount due under the Transaction Documents All amounts in respect of interest due and payable on the Junior Notes Amount in respect of the Junior Notes Additional Return on Class J Notes Final balance * Provided that prior to the Payment Date falling in February 2011 (excluded) the principal payment due in respect of the Class A shall not be made, but shall be credited to the Accumulation Account. Prepared by Securitisation Services S.p.A. Page 8

9 6. Portfolio description Semi-annual Collection Period Performing Receivables (a) Instalments Delinquent Receivables (b) Total (c)=(a)+(b) Performing Receivables (d) Unpaid Instalments Delinquent Receivables (e) Total (f)=(d)+(e) Performing Receivables (h) Delinquent Receivables (i) 01/06/ /01/ , , , , , , , , , , , , ,90 01/02/ /07/ , , , , , , , , , , , , ,55 01/08/ /01/ , , , , , , , , , , , , ,76 01/02/ /07/ , , , , , , , , , , , , ,18 01/08/ /01/ , , , , , , , , , , , , ,23 01/02/ /07/ , , , , , , , , , , , , ,79 01/08/ /01/ , , , , , , , , , , , , ,17 01/02/ /07/ , , , , , , , , , , , , ,68 01/08/ /01/ , , , , , , , , , , , , ,90 01/02/ /07/ , , , , , , , , , , , , ,90 01/08/ /01/ , , , , , , , , , , , , ,80 01/02/ /07/ , , , , , , , , , , , , ,53 01/08/ /01/ , , , , , , , , , , , , ,04 01/02/ /07/ , , , , , , , , , , , , ,48 (g)=(c)+(f) Accrued Interest Total (j)=(h)+(i) Unpaid Interest Instalments (k) Defaulted Receivables (l) Accounting Porfolio (g)+(j)+(k)+(l) Prepared by Securitisation Services S.p.A. Page 9

10 7. Performance ratio Semiannual Collection Period Prepaid Receivables (a) Average (b) Prepayment ratio (a)/(b) Delinquent Receivables (c) * (d) Delinquency ratio (c)/(d) Defaulted Receivables (e) Average (f) 01/06/ /01/ , ,46 5,13% , ,54 8,17% , ,46 1,01% , ,37 0,96% ,90 0,94% 01/02/ /07/ , ,25 3,53% , ,97 7,43% , ,25 1,38% , ,37 2,14% ,76 2,06% 01/08/ /01/ , ,43 2,78% , ,89 8,00% , ,43 1,68% , ,37 3,46% ,41 3,24% 01/02/ /07/ , ,19 2,92% , ,48 7,42% , ,19 2,28% , ,37 5,11% ,77 4,74% 01/08/ /01/ , ,18 2,12% , ,87 8,32% , ,18 3,00% , ,37 7,08% ,17 6,49% 01/02/ /07/ , ,20 1,71% , ,53 7,99% , ,20 2,75% , ,37 8,74% ,96 7,91% 01/08/ /01/ , ,18 1,79% , ,83 6,49% , ,18 3,28% , ,37 10,54% ,20 9,36% 01/02/ /07/ , ,66 1,61% , ,49 7,11% , ,66 2,40% , ,37 11,75% ,90 10,24% 01/08/ /01/ , ,88 1,66% , ,27 7,82% , ,88 2,35% , ,37 12,84% ,56 11,15% 01/02/ /07/ , ,36 2,61% , ,46 7,90% , ,36 2,21% , ,37 13,77% ,38 11,82% 01/08/ /01/ , ,83 2,76% , ,19 7,61% , ,83 2,25% , ,37 14,64% ,11 12,47% 01/02/ /07/ , ,76 3,44% , ,32 6,82% , ,76 1,93% , ,37 15,31% ,65 12,89% 01/08/ /01/ , ,72 3,11% , ,12 6,58% , ,72 1,51% , ,37 15,78% ,20 13,08% 01/02/ /07/ , ,98 4,00% , ,83 5,26% , ,98 1,64% , ,37 16,25% ,31 5,99% Default ratio (e)/(f) Cumulated Defaulted Receivables (g) ** (h) Gross cumulative default ratio (g)/(h) Cumulated Recoveries (i) Cumulative net default ratio [(g)-(i)]/(h) * At the end of the Semi-annual Collection Period ** As at the Valuation Date Prepared by Securitisation Services S.p.A. Page 10

11 8. Portfolio description Semi-annual Collection Period Breakdown of the by Interest Rate by Range Fixed Misto * Opzione** Floating 0, , , , , ,00 over ,00 Breakdown of the Unpaid by Age Breakdown of the Unpaid Instalments by Age 0-60 days days over 90 days 0-60 days days over 90 days 01/06/ /01/ ,54% 2,80% 3,99% 61,67% 1,11% 17,34% 55,61% 25,93% , , , , , ,93 01/02/ /07/ ,39% 2,54% 3,90% 65,18% 1,44% 17,97% 55,15% 25,44% , , , , , ,97 01/08/ /01/ ,35% 2,50% 3,98% 67,17% 1,74% 18,53% 54,97% 24,76% , , , , , ,36 01/02/ /07/ ,53% 2,42% 4,07% 67,98% 2,10% 18,94% 55,11% 23,85% , , , , , ,36 01/08/ /01/ ,66% 2,40% 4,11% 67,83% 2,41% 19,64% 55,74% 22,21% , , , , , ,47 01/02/ /07/ ,89% 2,42% 4,18% 67,51% 2,75% 20,14% 55,87% 21,24% , , , , , ,00 01/08/ /01/ ,29% 2,42% 4,30% 66,99% 3,07% 20,88% 56,59% 19,46% , , , , , ,38 01/02/ /07/ ,48% 2,42% 4,41% 66,68% 3,30% 21,43% 56,78% 18,49% , , , , , ,24 01/08/ /01/ ,79% 2,39% 4,53% 66,29% 3,56% 21,98% 56,80% 17,65% , , , , , ,03 01/02/ /07/ ,32% 2,42% 4,72% 66,55% 3,83% 22,62% 57,26% 16,29% , , , , , ,58 01/08/ /01/ ,87% 2,33% 4,85% 66,95% 4,07% 23,23% 57,22% 15,48% , , , , , ,62 01/02/ /07/ ,17% 2,23% 5,05% 68,56% 4,32% 24,22% 56,60% 14,85% , , , , , ,63 01/08/ /01/ ,68% 2,21% 5,24% 69,87% 4,53% 24,72% 56,55% 14,21% , , , , , ,47 01/02/ /07/ ,82% 1,88% 5,55% 70,76% 4,79% 25,57% 56,38% 13,26% , , , , , ,97 * Misto Mortgage Loans means the Mortgage Loans which provide for the payment of interests calculated on the basis of a fixed rate, for an initial period contractually predetermined, and on the basis of a variable rate following the expiry of the initial period and for the remainder of the duration of the Mortgage Loan. ** Opzione Mortgage Loans means the Mortgage Loans which provide for the payment of interests within predefined periods to be calculated on the basis of a fixed rate or of a variable rate, depending on the value of certain market interest rates as of the beginning of such predefined periods. Prepared by Securitisation Services S.p.A. Page 11

12 9. Bond collateralisation Semi-annual Collection Period Payment Date Series A Notes Series J Notes Total Debt Service Reserve Account * Collateralisation Accumulation Account 01/06/ /01/ /02/ , , , , , , ,44 01/02/ /07/ /08/ , , , , , , ,76 01/08/ /01/ /02/ , , , , , ,89 01/02/ /07/ /08/ , , , , , ,48 01/08/ /01/ /02/ , , , , , ,87 01/02/ /07/ /08/ , , , , , ,53 01/08/ /01/ /02/ , , , , , ,83 01/02/ /07/ /08/ , , , , , ,49 01/08/ /01/ /02/ , , , , , ,27 01/02/ /07/ /08/ , , , , , ,46 01/08/ /01/ /02/ , , , , , ,19 01/02/ /07/ /08/ , , , , , ,32 01/08/ /01/ /02/ , , , , , ,12 01/02/ /07/ /08/ , , , , , ,83 Total * As reported in the Payments Report as at the last Valuation Date the Target Debt Service Reserve Amount is equal to Euro ,00 shortfall = 0,00 Prepared by Securitisation Services S.p.A. Page 12