ECBC CB Label Transparency Template for Italian covered bond (OBG) issuers

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Lynette Dickerson
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1 ECBC CB Label Transparency Template for Italian covered bond (OBG) issuers General issuer information Table A. General Issuer Detail (million Euro) (million Euro) (million Euro) Key information regarding issuers' balance sheet (at most 31/12/ /12/ /12/2012 recent reporting date and for the preceding two fiscal years) Total Balance Sheet Assets 646, , ,472 Gross loans/asset entry of eligible collateral in cover pool in last 6 months and previous year Gross loans/asset entry of eligible collateral in cover pool in previous years Tier 1 Ratio (%) Market Capitalisation Total customer deposit Direct deposits from banking business Direct deposits from insurance business and technical reserves Outstanding Covered Bonds (excluding Not Rated Covered Bonds) Funding (amounts) Covered bonds 2, ,384 4, % 11.3% 12.1% 40,300 29,174 21, , , , ,612 93,493 81,766 40,861 21,426 19,876 31/12/ /12/ /12/2012 Mortgage vs public sector Mortgage 32,161 32,691 28,641 Public Sector 8,700 10,100 10,300 Jumbo vs other Jumbo 38,701 40,631 38,331 Other 2,160 2, by currency EUR 40,861 42,791 38,941 GBP USD other Registered vs bearer registered bearer 40,251 42,181 38,331 by legal final maturity 1 5 years 27,467 35,728 33, years 11,534 5,903 5,103 over 10 years 1,860 1,

2 Customer deposits (Deposits and current accounts) 1 31/12/ /12/ /12/2012 by legal maturity up to 30 days 174, , up to 1 year 18,408 34,026 31,510 1 year and beyond 12,871 11,595 10,003 by currency EUR 189, , ,073 GBP USD 5,669 5,764 4,758 other 10,176 10,340 10,922 Customer loans (amounts) Composition by 1 Maturity 0 <= 1 year < 1 <= 5 years over 5 years Currency EUR USD Other Non performing loans (net exposures) Loan loss provisions (total adjustments) Status of covered bonds Eligibility for repo transaction with central bank (/No) UCITS compliance (/No) CRD compliance (/No) 155, , ,284 87,411 98, ,315 89,580 90,694 98, , , ,894 13,427 11,308 11,493 12,768 11,816 14,372 33,461 31,075 28,472 29,406 26,500 21,201 Cover Pool Data Table B. Cover Pool Data (Euro) Date of reporting data: 31/05/2015 General cover pool information Nominal value of mortgage cover pool size 15,144,477, Liquidity included in the cover pool 2,066,265, Other Eligible Assets 1 As required by the instructions of the Bank of Italy, the information is provided solely with respect to the banking group, as defined in the Supervisory Instructions, and include the share proportional to the interest held of the assets and liabilities of jointly controlled banking, financial and instrumental companies consolidated proportionally for regulatory purposes. Amounts are stated gross of transactions with other companies within the scope of consolidation. 2

3 Nominal value of outstanding covered bond 13,576,278, Overcollateralisation information Current overcollateralisation ratio % By law >=100.00% Contractual % Committed to rating agencies/others (lowest ratio) % Inclusion/Eligibility of ABS in the Cover pool (/No) % ABS 0.00% % substitute asset 0.00% Weighted LTV unindexed 59.45% (Intended as original loan and on original property value) Weighted LTV indexed 51.94% (Intended as current loan on updated property value e.g. NOMISMA) WAL of cover pool (residual years) 9.72 WAL of outstanding cover bond (residual years) 5.15 Maturity structure cover pool/cover bond Assets: Remaining Legal maturity 0 1 year 14,255, year 39,770, year 79,53, year 393,131, year 1,913,041, year or longer 12,705,125, CBs: Remaining Legal maturity 0 1 year 1,000,000, year 4,363,250, year 3 4 year 750,000, year 1,000,000, year 4,603,028, year or longer 1,860,000, Composition of the mortgage cover pool (data specific to commercial and residential mortgages) Percentage of residential mortgages in the cover pool 97.62% Percentage of commercial mortgages in the cover pool 2.38% Percentage of non first lien mortgages in the cover pool 1.51% Percentage of insured mortgages in the cover pool 100% Geographical distribution of loans in the cover pool South 12.59% Centre 16.00% North 71.41% Percentage and sum of loans in the cover pool of the 5 and 10 biggest borrowers Sum of the 5 biggest borrowers 15,747,

4 Percentage of the 5 biggest borrowers 0.10% Sum of the 10 biggest borrowers 25,519, Percentage of the 10 biggest borrowers 0.16% Presence of soft/hard bullet structures in the mortgage cover bond If present, length of the extension periods Inclusion of derivatives included in the cover pool Being some Capped floating rate loans included in the portfolio, a derivative component is embedded in the above mentioned loans. Percentage of ECB eligible ABS in cover pool 0% Percentage of loans more than 90 days past due 1.20% Residential mortgages: Percentage of interest only loans 0% Percentage of self certified loans 0% Percentage of limited certification loans 0% Repayment type (repayment/interest only) Repayments 100% (contractual repayment) Interest only 0% Residential Cover Pool Pivot table (amounts) Unindexed LTV buckets: ,334,959, ,731,782, ,021,962, ,030,565, ,068,855, ,872, ,320, ,476, ,249, ,266, ,694, ,441, Indexed LTV buckets: ,185,370, ,197,707, ,414,173, ,624,700, ,984,789, ,883,

5 ,821, Outstanding amount Buckets (in Eur): 0 (included) ,553, (Included) ,850, ( Included ) ,364,976, ( Included ) ,229,599, (Included) ,747,875, (Included) ,122,398, (Included) ,893,470, (Included) ,226,485, Over (Included) 906,235, Eligible assets in cover pool 15,108,124, Non eligible assets in cover pool 36,353, Seasoning: < 12 months 314,492, months 1,008,410, months 1,435,818, months 4,065,670, >60 months 7,959,055, Interest rate type: Floating not capped, 8,540,414, Floating capped 1,741,508, Fixed or reset < 2 year 18,828, Fixed or reset 2 5 year 208,450, Fixed or reset > 5 year 4,274,245, Performance: Not delinquent performing loans 14,463,146, Delinquent performing loans 320,301, Defaulted loans 224,120, Remaining legal maturity: < 12 months 13,472, years 485,293, over 5 years 14,284,682, Outstanding Amount per Currency Euro 14,783,447, Other (Amounts per each foreign currency) 5

6 Commercial mortgages: by sector distribution Commercial Cover Pool Pivot table (amounts) Unindexed LTV buckets: ,857, ,742, ,715, ,603, ,234, , , ,113, ,823, , Indexed LTV buckets: ,986, ,361, ,219, ,039, ,794, , Outstanding amount Buckets (in Eur): 0 (included) , (Included) ,905, (Included) ,197, (Included) ,807, (Included) ,131, (Included) ,435, (Included) ,399, (Included) ,081, Over (Included) 49,104, Seasoning: < 12 months, 18,241,

7 12 24 months 44,273, months 52,144, months 94,404, >60 months 151,966, Interest rate type: Floating not capped, 260,007, Floating capped 13,660, Fixed or reset < 2 year 923, Fixed or reset 2 5 year 9,578, Fixed or reset > 5 year 76,859, Performance: Not delinquent performing loans 352,018, Delinquent performing loans 9,011, Defaulted loans 7,471, Remaining legal maturity: < 12 months 782, years 26,762, over 5 years 333,484, Outstanding Amount per Currency Euro 361,030, Other (Amounts per each foreign currency) 0 Composition of the public cover pool Public Cover Pool Pivot table Type of claim: State, Regional authorities, Local authorities, enterprise with implicit guarantee, enterprise with explicit guarantee, other debtors Proportion of bonds and loans Geographical and type of distribution of loans within public sector cover pool (by country and within a country by State, Region, City, Municipality, PS company, etc) Country Exposure (10 biggest borrowers) Presence of soft/hard bullet structures in the public sector covered bond If present, length of the extension periods Inclusion of derivatives included in the cover pool 7

8 Key Concepts Explanation Table C. Overcollateralization Key Concepts Explanation Information on overcollateralization calculation method and asset composition Refers to the Value of total Assets included in the cover pool (defaulted loans excluded) compared to the outstanding amount of underlying Covered Bonds. Residential vs. commercial mortgages Description of the difference made between residential and commercial properties Description of property classification as commercial Inclusion of working capital in the valuation for commercial property (/No) Insured mortgages (if part of the cover pool) Loans insurance characteristics Details of insurers NPLs Definition of Defaulted Receivable Residential Mortgage Loan means a Mortgage Loan referred to under Article 2, Paragraph 1, letter a) of the MEF Decree. Commercial Mortgage Loan means a Mortgage Loan referred to under Article 2, Paragraph 1, letter b) of the MEF Decree. Properties classified as commercial have a commercial use, either for businesses or as offices insurance against flood, fire, destruction of the real estate property, insurance against death, accident or unemployment of the relevant borrower, insurance or high LTV mortgage loans. prime Insurance companies acting in Italy means a Mortgage Loan in relation to which the relevant Receivable is a Defaulted Receivable. Defaulted Receivable means a Receivable classified as defaulted in accordance with the provisions of the Collection Policies of the CB Programme, as applied in compliance with the provisions of the Bank of Italy's supervisory regulations (Istruzioni di Vigilanza della 8

9 Banca d'italia) and in accordance with a prudent management of the Receivables carried out with the highest professional standards; as at the date hereof, a Receivable is classified as defaulted if it is classified as in sofferenza in accordance with the provisions of the Bank of Italy's supervisory regulations (Istruzioni di Vigilanza della Banca d'italia) and with the provisions of the Collection Policies when the Arrears Ratio is at least equal to (i) 10, in case of Mortgage Loans providing for monthly instalments, (ii) 4, in case of Mortgage Loans providing for quarterly instalments and (iii) 2, in case of Mortgage Loans providing for semi annual instalments. For the purposes of this definition, Arrears Ratio means, at the end of each instalment reference period, the ratio between (a) all amounts due and unpaid as principal and/or interest (excluding any default interest) in relation to the relevant Receivable and (b) the amount of the instalment of the relevant Receivable which was due immediately prior to the end of that instalment reference period. Distinction between performing and non performing loans in the cover pool Eligibility of defaulted loans as part of the cover pool (/No) Eligibility of loans in foreclosure procedure as part of the cover pool (and, in case, provisioning made in respect of the value of these loans in the cover pool) (/No) Capped floating rate loans Description of the types of caps for the loans Soft Bullets (Extendable maturity) Description of the soft bullet structures (circumstances under which soft bullet could be used) ABS Limitations on ABS in the cover pool Further regulations (legal or contractual) for ABS in the pool (e.g. only self issued/others) Performing loans are loans which are not classified as Defaulted Receivables. No No Capped floating rate loans are loans for which interest rates are subject to a cap. None (RMBS) 10% cap of the total cover pool (CMBS) Under the MEF Decree, the following assets, inter alia, may be assigned to the purchasing company, together with any ancillary contracts aimed at hedging the financial risks embedded in the relevant assets: (iii) securities satisfying the requirements set forth 9

10 Substitute Asset Details on eligibility criteria of the types of assets that can be considered as substitute asset List of eligible assets allowed by law / Asset classes currently included in the cover pool Loan to Value Description of LTV calculation method (indexed) Frequency of real estate valuation for the purpose of calculating index CLTV under article 2, paragraph 1, letter c) of the MEF Decree (as define below) (the Public Securities ) and (iv) securities issued in the framework of securitisations with 95% of the underlying assets of the same nature as in (i) and (ii) above and having a risk weighting non higher than 20% under the standardised approach (the ABS Securities and, together with the Mortgage Receivables and the Public Securities, the Assets ), and, within certain limits, Integration Assets For the purpose of ensuring compliance with the tests described above and pursuant to article 2 of the MEF Decree, in addition to eligible assets which are generally eligible, the following assets may be used for the purpose of the integration of the cover pool: (a) the creation of deposits with banks incorporated in public administrations of States comprised in the European Union, the European Economic Space and the Swiss Confederation (the Admitted States or in a State which attract a risk weight factor equal to 0% under the Standardised Approach to credit risk measurement; (b) the assignment of securities issued by the banks referred to under (a) above, having a residual maturity not exceeding one year Deposits with banks incorporated in public administrations of States comprised in the European Union, the European Economic Space and the Swiss Confederation "Loan to Value Ratio means on a certain date and with reference to any single Mortgage Receivable, the ratio between: (a) the Outstanding Principal Balance of the specific Mortgage Receivable and (b) the most recent Market Value of the Real Estate related to such Mortgage Receivable Valuation of the property are made with Nomisma data on 10

11 Description of issuer s valuation techniques (e.g only once at inception vs. frequent re evaluation which also will have an effect on accounting treatment of the loan/collateral) semi annual basis Only one valuation at inception, revaluation twice a year based on indexed real estate market, with possible reappraisal in case of heavy fluctuation of the market value. Date of the last valuation of the property 31st of March 2014 Derivatives Hedging of interest risk Hedging of duration risk Hedging of currency risk Further information on derivatives Presence of internal vs. external swap counterparties Legal maturity Definition of legal maturity for asset in cover pool and cover bond Delinquent loans Definition of delinquent loan Limited certification Definition of limited certification loan No Intesa Sanpaolo SpA acts as swap counterparty For Covered Bond legal maturity date is defined as "item 8" of Issue Final Terms (Maturity Date). For asset in cover pool legal maturity is defined as the date of last instalment contractually scheduled Loans defined in the stratification tables as "delinquent loans" are those Mortgage Receivables which have not been classified as Credito in Sofferenza and which have at least one Unpaid Instalment "Limited Certification Loan" is a loan for which not all documentation have been certified with a final validation of the bank Additional information Table D. Additional information Current year Y 1 Y 2 Ratings information Current ratings and recent rating history Baa1/BBB Baa2/BBB+/A A2/A/A Senior unsecured ratings by Moody's, S&P, Fitch, DBRS /BBB+/A (low) Senior secured (covered bond) ratings by Moody's Aa2 A2 Aa1 Financial strength ratings by Moody's and Viability Rating by Fitch Sovereign ratings by Moody's, S&P, Fitch, DBRS n.a./ bbb+ C /a C+/a Baa2/BBB / BBB+/A (low) Baa2/ BBB+/A /A A2/A/A+/A (high) 11

Intesa Sanpaolo OBG Mortgage Programme

Intesa Sanpaolo OBG Mortgage Programme Collateral Portfolio as at 29/02/2012 Pool Summary The cover pool: 33.34% Class A Adriano Finance Srl (AF1) euro 4.299.023.860 65.70% Residential Mortgage Loans euro