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 8.472.926.133 0.96% Commercial Mortgage Loans euro 123.859.290 Total Oustanding Principal Portfolio : euro 12.895.809.284 Liquidity: euro 1.897.519.647 Source: Quarterly Report Note: all data refer to 29 February 2012 2
AF1 Pool Summary (MBS) General Statistics (data as of 29 February 2012 - Amounts in Euro, unless otherwise stated) Loan Positions 67.502 Average Original Outstanding Amount 103.655,81 Largest Original Outstanding Amount 810,000,00 Average Current Outstanding Amount 70.272,16 Largest Current Outstanding Amount 470.242,82 Weighted Average Original Loan to Value 57,28% Weighted Average Current Loan to Value (*) 42,71% Weighted Average Indexed Loan to Value 42,32% Weighted Average Seasoning (Months) 82,32 Weighted Average Residual Maturity (Months) 188,79 Weighted Average Original Maturity (Months) 255,56 Weighted Average Current Interest Rate 3,95% Currency EUR Fractioned Loans 13,19% 19% (*) Current LTV defined as the ratio between the current outstanding amount and the historical value Source: Adriano Finance loan-by-loan file (RAs surveillance purpose) Note: all data refer to 29 February 2012 3
Mortgage Loans Portfolio Summary General Statistics (data as of 29 February 2012 - Amounts in Euro, unless otherwise stated) Loan Positions 90.609 Average Original i Outstanding t Amount 113.495,25 Largest Original Outstanding Amount 4.000.000,00 Average Current Outstanding Amount 94.708,88 Largest Current Outstanding Amount 2.929.131,91 Weighted Average Original Loan to Value 55,92% Weighted Average Current Loan to Value (*) 49,21% Weighted Average Indexed Loan to Value 53,42% Weighted Average Seasoning (Months) 32,80 Weighted Average Residual Maturity (Months) 226,99 Weighted Average Original Maturity (Months) 259,79 Weighted Average Current Interest Rate 3,45% % of loans' CB granted by non-residential properties 1,51% Currency EUR Fractioned Loans 9,94% (*) Current LTV defined as the ratio between the current outstanding amount and the historical value Source: Mortgage Loans loan-by-loan file (RAs surveillance purpose) Note: all data refer to 29 February 2012 4
AF1: Mortgage Loan Portfolio composition as of 29 February 2012 Mortgage Loans: Portfolio composition as of 29 February 2012 Delinquent Loans(1) 2.38% Defaulted Loans(2) 3.42% Delinquent Loans(1) 1.31% Defaulted Loans (2) 0.07% Mortgage Loans Mortgage Loans not Delinquent not Delinquent 94.20% 98.62% (1) Delinquent Loan - any Mortgage Loan which is not a Defaulted Loan and which has an Arrears Ratio (the ratio between all amounts due and unpaid as principal and interests installments in respect of such mortgage loan and the amount of the last installment of such Mortgage Loan) equal to or higher than 1 for a period of at least one month. (2) Is a Defaulted Loan, a Mortgage Loan which at any time (a) has been classified by the Servicer as in sofferenza and/or (b) has, or has had, an Arrears Ratio equal to or greater than 10 (or, in case of a quarterly or semi-annual Mortgage Loan, respectively, than 4 and 2). These loans are not accounted for in the tests. Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) Note: all data refer to 29 February 2012 5
AF1: Portfolio breakdown by Current Outstanding Amount Mortgage Loans: Portfolio breakdown by Current Outstanding Amount from 150 to 200k 10.0% from 200k to 250k 4.3% over 250k 3.6% Up to 50k 16.1% 1% from 200k to 250k 6.8% over 250k 12.7% Up to 50k 8.6% from 50k to 100k 29.5% from 100k to 150k 26.0% from 50k to 100k 40.0% from 150 to 200k 14.6% from 100k to _ 150k 27.8% Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) Note: all data refer to 29 February 2012 6
AF1: Breakdown by Current and Original LTV* 44.3% 35.6% Mortgage Loans: Breakdown by Current and Original LTV* 34.4% 33.4% 25.0% 22.1% 18.1% 18.5% 13.1% 13.9% 14.8% 14.8% 12.7% 15.0% 14.2% 16.5% 14.9% 12.8% 18.4% 4.3% 0.5% 0.0% 1.9% 0.8% 0-40 % 40-50 % 50-60 % 60-70 % 70-80 % over 80% AF1: Breakdown by Property Location South 22% Original LTV Current LTV 0-40 % 40-50 % 50-60 % 60-70 % 70-80 % over 80% Mortgage Loans: Breakdown by Property Location Centre 18% South 11% Original LTV Current LTV Centre 17% North 61% North 71% *Both the OLTV and the CLTV refer to the Current Balance of the Portfolio Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) Note: all data refer to 29 February 2012 7
AF1: Breakdown by Seasoning (months) 96-120 14.53% 84-96 16.22% over 120 6.96% AF1: Breakdown by Maturity Date 48-60 11.51% 72-84 24.86% 60-72 25.97% Mortgage Loans: Breakdown by Seasoning (months) 48-60 8.79% 36-48 5.03% 60-120 8.63% 24-36 29.26% over 120 2.37% 0-12 15.01% 12-24 30.91% Mortgage Loans: Breakdown by Maturity Date (over 2040) 0.19% (2035-2040) 12.82% (today- 2015) 1.20% (2015-2020) 15.62% (over 2040) 647% 6.47% (today- 2015) 0.73% (2015-2020) 10.59% (2030-2035) 21.43% (2035-2040) 22.27% (2020-2025 17.02% (2020-2025) 26.31% (2025-2030) 22.43% Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) 8 (2030-2035) 19.20% (2025-2030) 23.73% Note: all data refer to 29 February 2012
AF1: Breakdown of the Payment Frequency Quarterly 0.3% Semiannual 6.2% Mortgage Loans : Breakdown of the Payment Frequency Semiannual 2.17% Monthly 93.5% Monthly 97.83% AF1: Breakdown of the Portfolio by Interest Rate Mortgage Loans : Breakdown of the Portfolio by Interest Rate Fixed 38.42% Floating 49.18% Fixed 50.82% Floating 61.58% Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) 9 Note: all data refer to 29 February 2012
AF1: Breakdown by Method of Payment Mortgage Loans: Breakdown by Method of Payment RID 7.35% MAV 163% 1.63% RID 32.87% Direct Debit 60.48% MAV 6.64% Direct Debit 91.02% AF1: Breakdown of the Portfolio by Debtor Type Producer families and handcraft 15.23% Mortgage Loans : Breakdown of the Portfolio by Debtor Type Producer families and handcraft 10.34% Consumer Families 84.77% Consumer Families 89.36% Source: Adriano and Mortgage Loans loan-by-loan files (RAs surveillance purpose) 10 Note: all data refer to 29 February 2012