To: Guarantor, Representative of the Covered Bondholders, Servicers, Corporate Servicer, Administrative Servicer, Calculation Agent * pursuant to Clause 6 (i) of the Cash Management and Agency Agreement BP COVERED BOND S.r.l. Guarantor of: Società Cooperativa 10,000,000,000 Covered Bond Programme Investor Report Calculation Period 01/03/2016 31/05/2016 Guarantor Payment Date 30/06/2016 CB Payment Date 30/06/2016 Investor Report Date 07/07/2016 Contents: 1. Details of the issuer 2. Details of the Transaction Parties 3. Details of the Pool 4. ACT Test 5. Mandatary Tests 6. Covered Bonds
Disclaimer This Investor Report is based on the following information: - Test Performance Report provided by the Calculation Agent - Payments Report by the Cash Manager - Calculations in relation to the interest accrued and payable on the Covered Bonds by the Principal Paying Agent - Other information according to the Transaction Documents. - All assets and liabilities reported on the Investor Report are in Euro Terms and expressions used in this Investor Report have the respective meanings given to them in the Transaction Documents.
1. Details of the issuer Bank Rating Agency Short Term Ratings Long Term Ratings (outlook) Other Società Cooperativa Fitch Ratings Moody's Investors Service B BB (Negative) Viability: bb Support: 5 N-P Ba3 (Review for Upgrade) BCA: b2 DBRS Ratings R-2 (mid) BBB(low) (Stable) IA: BBB(low) Support; SA-3 Note: Long Term ratings are referred to senior debt. BANCO POPOLARE - SOCIETÀ COOPERATIVA is a bank organised as a limited co-operative company under the laws of the Republic of Italy, parent company of the Group, whose registered office is at Piazza Nogara 2, 37121 Verona, Italy, and registered with the Bank of Italy pursuant to article 13 of the Italian Banking Law under number 5668
2. Details of the Transaction Parties Role Seller, Servicer, Subordinated Loan Provider Calculation Agent Asset Monitor Italian Account Bank English Account Bank Cash Manager Principal Paying Agent Representative of the Covered Bondholders Party DBO S.o.A. BNP Paribas Securities Servicer, London branch BNP Paribas Securities Servicer, Milan branch BNP Paribas Securities Servicer, Milan branch
3. Details of the Pool Pool Asset Analisys Pool Summary Aggregate current Principal Outstanding Balance Average current Principal Outstanding Balance Total number of loans Weighted Average Seasoning (Years) Weighted Average Remaining (Years) % of Floating Rate Assets (By Out. Bal.) % of Fixed Rate Assets (By Out. Bal.) WA Interest Rate of Fixed Rate Assets WA Spread of Floating Rate Assets 9,559,591,221.50 88,127.95 108,474 5.77 17.43 74.02% 25.98% 4.10% 1.52% WA Current LTV (original valuation) 47.96% WA Current LTV (latest valuation) 54.29% Current Loan to Value Number of Loans % Current Balance % <= 10% 8,662 7.99% 168,876,778.96 1.77% > 10% - <= 20% 14,018 12.92% 626,110,252.88 6.55% > 20% - <= 30% 15,331 14.13% 1,022,873,933.16 10.70% > 30% - <= 40% 15,380 14.18% 1,304,412,101.07 13.65% > 40% - <= 50% 15,623 14.40% 1,597,093,151.05 16.71% > 50% - <= 60% 16,397 15.12% 1,892,918,849.52 19.80% > 60% - <= 70% 16,454 15.17% 2,088,431,047.74 21.85% > 70% - <= 80% 6,538 6.03% 850,874,408.05 8.90% > 80% - <= 90% 22 0.02% 3,084,020.55 0.03% > 90% 49 0.05% 4,916,678.53 0.05% Outstanding Loan Amount Number of Loans % Current Balance % <=20.000 8,237 7.59% 95,738,396.79 1.00% > 20.000 - <= 40.000 14,709 13.56% 451,295,010.43 4.72% > 40.000 - <= 60.000 17,311 15.96% 863,555,525.74 9.03% > 60.000 - <= 80.000 16,666 15.36% 1,162,594,176.53 12.16% > 80.000 - <= 100.000 14,905 13.74% 1,330,136,552.92 13.91% > 100.000 - <= 200.000 31,248 28.81% 4,138,077,729.19 43.29% > 200.000 - <= 300.000 4,031 3.72% 942,204,391.87 9.86% > 300.000 - <= 400.000 842 0.78% 283,300,467.28 2.96% > 400.000 - <= 500.000 264 0.24% 115,969,404.50 1.21% > 500.000 - <= 600.000 113 0.10% 60,010,653.45 0.63% > 600.000 - <= 700.000 58 0.05% 37,591,074.52 0.39% > 700.000 - <= 800.000 34 0.03% 25,519,208.12 0.27% > 800.000 56 0.05% 53,598,630.17 0.56% Asset Type Number of Loans % Current Balance % Residential 108,474 100.00% 9,559,591,221.50 100.00% Commercial - 0.00% - 0.00% Remaining Term (in years) Number of Loans % Current Balance % <=5 14,183 13.08% 354,695,664.92 3.71% > 5 - <= 10 21,002 19.36% 1,217,726,780.28 12.74% > 10 - <= 15 23,250 21.43% 1,984,711,272.20 20.76% > 15 - <= 20 19,442 17.92% 2,072,434,493.17 21.68% > 20 - <= 25 24,352 22.45% 3,017,808,503.84 31.57% > 25 - <= 30 6,120 5.64% 890,865,212.00 9.32% > 30 125 0.12% 21,349,295.10 0.22% Seasoning (in years) Number of Loans % Current Balance % <= 2 13,492 12.44% 1,467,691,805.52 15.35% > 2 - <= 4 7,719 7.12% 771,426,258.27 8.07% > 4 - <= 6 26,926 24.82% 2,753,522,941.30 28.80% > 6 - <= 7 18,952 17.47% 1,750,175,914.69 18.31% > 7 - <= 8 8,819 8.13% 720,046,109.82 7.53% > 8 - <= 9 8,872 8.18% 691,211,120.82 7.23% > 9 - <= 10 11,111 10.24% 837,090,710.14 8.76% > 10 12,583 11.60% 568,426,360.94 5.95%
3. Details of the Pool Interest Rate - % - (Fixed loans) Number of Loans % Current Balance % <=2.0 298 0.96% 26,170,451.32 1.05% > 2.0 - <= 2.5 3,610 11.64% 361,270,048.01 14.55% > 2.5 - <= 3.0 2,596 8.37% 257,311,602.51 10.36% > 3.0 - <= 3.5 3,007 9.69% 299,254,523.02 12.05% > 3.5 - <= 4.0 4,969 16.02% 442,421,391.00 17.81% > 4.0 - <= 4.5 1,570 5.06% 109,783,101.99 4.42% > 4.5 - <= 5.0 4,483 14.45% 326,436,859.47 13.14% > 5.0 - <= 5.5 4,617 14.88% 298,692,443.38 12.03% > 5.5 - <= 6.0 4,001 12.90% 249,097,278.68 10.03% > 6.0 - <= 6.5 1,451 4.68% 91,899,045.85 3.70% > 6.5 - <= 7.0 367 1.18% 19,075,660.28 0.77% > 7.0 54 0.17% 2,024,575.24 0.08% Total 31,023 100.00% 2,483,436,980.73 100.00% Spread - bps - (Floating loans) Number of Loans % Current Balance % <= 50 92 0.12% 6,947,737.13 0.10% > 50 - <= 75 2,169 2.80% 136,294,081.41 1.93% > 75 - <= 100 18,936 24.45% 1,598,245,325.44 22.59% > 100 - <= 125 14,733 19.02% 1,364,826,879.58 19.29% > 125 - <= 150 15,303 19.76% 1,428,063,755.86 20.18% > 150 - <= 175 7,435 9.60% 653,630,076.95 9.24% > 175 - <= 200 8,940 11.54% 881,156,349.43 12.45% > 200 - <= 225 1,026 1.32% 102,468,457.63 1.45% > 225 - <= 250 3,304 4.27% 338,146,774.66 4.78% > 250 5,513 7.12% 566,374,802.68 8.00% Total 77,451 100.00% 7,076,154,240.77 100.00% Arrears Number of Loans % Current Balance % >0 - <30 323 11.89% 25,103,781.29 9.03% =>30 - <60 1,038 38.20% 111,039,678.91 39.95% =>60 - <90 533 19.62% 53,999,403.76 19.43% =>90 - <120 319 11.74% 31,601,958.52 11.37% =>120 - <150 276 10.16% 29,626,241.22 10.66% =>150 - <180 228 8.39% 26,559,349.99 9.56% Total 2,717 100.00% 277,930,413.69 100.00% Non-Performing Loans Number of Loans % Current Balance % Arrears =>180 1,869 51.86% 206,869,408.44 46.08% Defaulted Claims 1,735 48.14% 242,084,231.50 53.92% Total 3,604 100.00% 448,953,639.94 100.00% Payment Frequency Number of Loans % Current Balance % Monthly 103,729 95.63% 9,277,015,938.45 97.04% Bi - Monthly - 0.00% - 0.00% Quarterly 1,830 1.69% 113,641,784.28 1.19% Semi-Annual 2,915 2.69% 168,933,498.78 1.77% Annual - 0.00% - 0.00% Geografical Distribution Number of Loans % Current Balance % Abruzzo - 0.00% - 0.00% Basilicata 115 0.11% 7,344,048.74 0.08% Calabria 179 0.17% 11,116,507.10 0.12% Campania 2,780 2.56% 239,931,337.29 2.51% Emilia Romagna 13,374 12.33% 1,159,200,117.73 12.13% Friuli Venezia Giulia 787 0.73% 59,593,611.06 0.62% Lazio 7,427 6.85% 851,441,288.34 8.91% Liguria 8,098 7.47% 700,727,176.96 7.33% Lombardia 29,783 27.46% 2,649,722,673.00 27.72% Marche 193 0.18% 16,176,190.45 0.17% Molise 431 0.40% 26,783,519.71 0.28% Piemonte 8,943 8.24% 725,031,534.83 7.58% Puglia 807 0.74% 68,126,839.58 0.71% Sardegna 416 0.38% 42,488,116.71 0.44% Sicilia 5,283 4.87% 411,422,982.34 4.30% Toscana 13,414 12.37% 1,166,125,065.26 12.20% Trentino Alto Adige 632 0.58% 66,382,657.97 0.69% Umbria 751 0.69% 58,502,841.35 0.61% Valle D'Aosta 357 0.33% 29,573,589.46 0.31% Veneto 14,704 13.56% 1,269,901,123.62 13.28%
4. ACT Test Asset Coverage Test; A+B+C+D-Z-Y-W >= F Pass? y ASSET COVERAGE TEST A = B = 8,760,853,160 1,311,063,264 The lower of the aggregate of the LTV Adjusted Principal Balance and the aggregate Asset Percentage Adjusted Principal Balance of the Mortgage Loans in the Cover Pool Aggregate amount of all amounts standing to the credit of Accounts up to the end of the immediately preceding Calculation Period which have not been applied in accordance with the rilevant Priority of Payments C = - D = - Z = Y = W = 86,977,397 48,580,661 66,917,139 F = 6,650,000,000 Outstanding principal balance of any Integration Assets Outstanding principal balance of any Public Assets and ABS Amount resulting from the multiplication of (i) the weighted average remaining maturity of all Covered Bonds then outstanding expressed in days and divided by 365, (ii) the Euro Equivalent amount of the aggregate Principal Amount Outstanding of the Covered Bond and (iii) 0,50% (the Negative Carry Factor) Equal to, nil if the higher of (a) the DBRS Long Term Rating of the Issuer (b) the DBRS CBAP of the Issuer and (c) the DBRS COR of the Issuer is at least equal to the then applicable DBRS Minimum Reference Rating, and the Issuer's short term ratings are at least P-1 by Moody's, otherwise the Potential Set-Off Amounts Equal to, nil if the higher of (a) the DBRS Long Term Rating of the Issuer (b) the DBRS CBAP of the Issuer and (c) the DBRS COR of the Issuer is at least equal to the then applicable DBRS Minimum Reference Rating, and the Issuer's short term ratings are at least P-1 by Moody's, otherwise the Potential Commingling Amounts Principal Amount Outstanding of all Series of Covered Bonds
5. Mandatory Tests (a) Nominal Value Test; (b) > (a) Pass? Y NOMINAL VALUE TEST (a) COVERED BOND OUTSTANDING 6,650,000,000 Aggregate Principal Amount of all series of Covered Bonds (b) COVER POOL PRINCIPAL BALANCE 10,856,058,398 Outstanding aggregate principal balance of the Cover Pool (b) NPV Test; (b) >= (a) Pass? Y NPV TEST (a) NPV COVERED BOND 6,925,426,549 Equal to the product of each relevant Discount Factor and expected principal and interest payments in respect of the outstanding Series of Covered Bonds (b) NPV COVER POOL 11,256,651,814 Equal to the algebraic sum of the product of each relevant Discount Factor and (a) expected future principal and future interest payments from the Cover Pool, (b) expected payments to be received or to be effected in connection with hedging arrangements, minus the product of each relevant Discount Factor and any amount expected to be paid by the Guarantor in priority to the hedging arrangements in accordance with the relevant Priorities of Payments. (c) Interest Coverage Test; (b) >= (a) Pass? Y INTEREST COVERAGE TEST (a) INTEREST ON COVERED BOND 282,883,527 Sum of Interest payment scheduled to be due in respect of all outstanding Series of Covered Bond (b) INTEREST FROM COVER POOL 2,475,787,627 Equal to the difference between the sum of interest payments from the Cover Pool and any amount to be received by the Guarantor as payments under the hedging arrangements and the payments to be effected in accordance with the relevant Priority of Payments in priority to any amount to be paid on the Covered Bonds, including payments under the hedging arrangements
6. Covered Bonds ISIN CODE Accrual date Principal Amount Outstanding Before payments Payments After payments Unpaid interest Principal Interest Principal Amount Outstanding Serie I IT0004587363 31/03/2016 1,400,000,000.00 - - 50,750,000.00 1,400,000,000.00 - EUR 31/03/2017 FIXED 31/03/2017 3.625 Reg CB IT0004681158 31/03/2016 100,000,000.00 - - NA 100,000,000.00 - EUR 03/04/2029 FIXED 31/03/2017 NA Serie VI IT0004908544 31/03/2015 150,000,000.00 - - 6,000,000.00 150,000,000.00 - EUR 31/03/2023 FIXED 31/03/2017 4.000 Serie VII IT0004982291 31/12/2015 1,500,000,000.00 - - 2,874,083.33 1,500,000,000.00 - EUR 31/03/2016 FLOATING 31/03/2019 0.758 Serie VIII IT0005054546 31/12/2015 1,500,000,000.00 - - 2,874,083.33 1,500,000,000.00 - EUR 30/09/2017 FLOATING 30/06/2016 0.758 Serie IX IT0005090516 05/03/2015 1,000,000,000.00 - - 7,500,000.00 1,000,000,000.00 - EUR 31/03/2022 FIXED 31/03/2017 0.750 Serie X IT0005170284 22/02/2016 1,000,000,000.00 2,990,650.00 1,000,000,000.00 EUR 31/03/2018 FLOATING 30/06/2016 0.835 Total 6,650,000,000.00 - - 72,988,816.66 6,650,000,000.00 - Unpaid interest Currency Maturity Date Rate of Interest Value Date Applicable Interest Rate