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 01/09/2014 30/11/2014 Guarantor Payment Date 31/12/2014 Calculation Date 18/12/2014 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. 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 F3 BBB (negative) Viability: bb+ Support: 2 Moody's Investors Service N-P Ba3 (negative) BFSR: E+ Standard & Poor's NR NR 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 Seller, Servicer, Subordinated Loan Provider Calculation Agent Asset Monitor English Account Bank Additional English Account Bank Cash Manager Principal Paying Agent Representative of the Covered Bondholders Party Credito Bergamasco Mazars S.p.A BNP Paribas Securities Services, London branch BNP Paribas Securities Services, Milan branch BNP Paribas Securities Services S.A., 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 9.747.359.001,73 94.107,37 103.577 5,15 17,97 71,55% 28,45% 4,83% 1,46% WA Current LTV (original valuation) 47,78% WA Current LTV (latest valuation) 54,36% Current Loan to Value Number of Loans % Current Balance % <= 10% 7.180 6,93% 142.622.855,97 1,46% > 10% - <= 20% 12.260 11,84% 584.145.286,29 5,99% > 20% - <= 30% 14.406 13,91% 1.009.457.386,28 10,36% > 30% - <= 40% 15.096 14,57% 1.334.983.052,62 13,70% > 40% - <= 50% 15.084 14,56% 1.582.031.792,68 16,23% > 50% - <= 60% 15.437 14,90% 1.854.483.082,25 19,03% > 60% - <= 70% 17.011 16,42% 2.238.904.168,16 22,97% > 70% - <= 80% 7.103 6,86% 1.000.731.377,47 10,27% > 80% - <= 90% - 0,00% - 0,00% > 90% - 0,00% - 0,00% Outstanding Loan Amount Number of Loans % Current Balance % <=20.000 6.589 6,36% 72.372.894,19 0,74% > 20.000 - <= 40.000 11.549 11,15% 357.292.710,48 3,67% > 40.000 - <= 60.000 16.196 15,64% 806.262.393,64 8,27% > 60.000 - <= 80.000 15.602 15,06% 1.087.621.745,78 11,16% > 80.000 - <= 100.000 14.908 14,39% 1.328.942.358,54 13,63% > 100.000 - <= 200.000 32.664 31,54% 4.360.627.930,60 44,74% > 200.000 - <= 300.000 4.451 4,30% 1.044.700.044,41 10,72% > 300.000 - <= 400.000 970 0,94% 326.226.786,85 3,35% > 400.000 - <= 500.000 333 0,32% 147.555.618,66 1,51% > 500.000 - <= 600.000 123 0,12% 65.628.253,12 0,67% > 600.000 - <= 700.000 73 0,07% 46.858.594,83 0,48% > 700.000 - <= 800.000 50 0,05% 37.373.775,84 0,38% > 800.000 69 0,07% 65.895.894,82 0,68% Asset Type Number of Loans % Current Balance % Residential 103.577 100,00% 9.747.359.001,73 100,00% Commercial - 0,00% - 0,00% Remaining Term (in years) Number of Loans % Current Balance % <=5 11.392 11,00% 294.584.060,07 3,02% > 5 - <= 10 18.769 18,12% 1.126.525.407,27 11,56% > 10 - <= 15 21.107 20,38% 1.836.819.740,75 18,84% > 15 - <= 20 19.915 19,23% 2.159.851.639,17 22,16% > 20 - <= 25 21.383 20,64% 2.698.443.032,12 27,68% > 25 - <= 30 10.492 10,13% 1.544.354.677,35 15,84% > 30 519 0,50% 86.780.445,01 0,89% Seasoning (in years) Number of Loans % Current Balance % <= 2 6.037 5,83% 685.490.188,88 7,03% > 2 - <= 4 23.218 22,42% 2.600.157.531,45 26,68% > 4 - <= 6 35.724 34,49% 3.669.118.323,63 37,64% > 6 - <= 7 7.830 7,56% 691.076.610,67 7,09% > 7 - <= 8 11.527 11,13% 976.902.304,90 10,02% > 8 - <= 9 7.526 7,27% 582.587.353,40 5,98% > 9 - <= 10 4.184 4,04% 255.486.327,40 2,62% > 10 7.531 7,27% 286.540.361,40 2,94%
3. Details of the Pool Interest Rate - % - (Fixed loans) Number of Loans % Current Balance % <=2.0 34 0,11% 2.725.896,15 0,10% > 2.0 - <= 2.5 54 0,17% 4.639.298,84 0,17% > 2.5 - <= 3.0 105 0,33% 9.662.012,88 0,35% > 3.0 - <= 3.5 203 0,63% 21.423.301,05 0,77% > 3.5 - <= 4.0 7.343 22,93% 745.462.697,19 26,88% > 4.0 - <= 4.5 2.337 7,30% 198.684.629,35 7,16% > 4.5 - <= 5.0 7.069 22,07% 629.148.521,45 22,68% > 5.0 - <= 5.5 6.961 21,74% 564.921.598,75 20,37% > 5.5 - <= 6.0 5.265 16,44% 400.495.690,71 14,44% > 6.0 - <= 6.5 1.705 5,32% 130.093.159,17 4,69% > 6.5 - <= 7.0 510 1,59% 37.464.487,66 1,35% > 7.0 439 1,37% 28.700.146,13 1,03% Total 32.025 100,00% 2.773.421.439,34 100,00% Spread - bps - (Floating loans) Number of Loans % Current Balance % <= 50 88 0,12% 7.779.335,21 0,11% > 50 - <= 75 2.275 3,18% 165.885.361,96 2,38% > 75 - <= 100 19.366 27,07% 1.809.371.761,79 25,94% > 100 - <= 125 15.127 21,14% 1.538.974.665,42 22,07% > 125 - <= 150 14.570 20,36% 1.436.339.266,21 20,60% > 150 - <= 175 6.217 8,69% 571.051.158,98 8,19% > 175 - <= 200 6.356 8,88% 589.610.496,12 8,45% > 200 - <= 225 724 1,01% 62.916.734,12 0,90% > 225 - <= 250 1.019 1,42% 110.162.252,74 1,58% > 250 5.810 8,12% 681.846.529,84 9,78% Total 71.552 100,00% 6.973.937.562,40 100,00% Arrears Number of Loans % Current Balance % >0 - <30 344 10,70% 28.146.352,21 8,02% =>30 - <60 1.302 40,51% 148.694.003,77 42,37% =>60 - <90 627 19,51% 68.589.874,39 19,55% =>90 - <120 396 12,32% 43.212.482,81 12,31% =>120 - <150 288 8,96% 32.453.105,66 9,25% =>150 - <180 257 8,00% 29.822.515,78 8,50% Total 3.214 100,00% 350.918.334,62 100,00% Non-Performing Loans Number of Loans % Current Balance % Arrears =>180 1.618 63,50% 183.024.886,73 57,61% Defaulted Claims 930 36,50% 134.653.337,70 42,39% Total 2.548 100,00% 317.678.224,43 100,00% Payment Frequency Number of Loans % Current Balance % Monthly 98.365 94,97% 9.390.135.782,95 96,34% Bi - Monthly - 0,00% - 0,00% Quarterly 2.099 2,03% 148.487.196,79 1,52% Semi-Annual 3.113 3,01% 208.736.021,99 2,14% Annual - 0,00% - 0,00% Geografical Distribution Number of Loans % Current Balance % Abruzzo - 0,00% - 0,00% Basilicata 114 0,11% 8.362.845,95 0,09% Calabria 152 0,15% 10.606.463,08 0,11% Campania 2.594 2,50% 241.367.632,66 2,48% Emilia Romagna 13.207 12,75% 1.224.535.977,96 12,56% Friuli Venezia Giulia 769 0,74% 63.176.197,85 0,65% Lazio 6.860 6,62% 838.094.750,90 8,60% Liguria 7.277 7,03% 709.400.340,18 7,28% Lombardia 28.578 27,59% 2.688.123.704,16 27,58% Marche 190 0,18% 17.093.778,93 0,18% Molise 449 0,43% 29.603.445,84 0,30% Piemonte 8.542 8,25% 742.084.341,89 7,61% Puglia 630 0,61% 58.959.168,51 0,60% Sardegna 395 0,38% 43.520.488,79 0,45% Sicilia 4.992 4,82% 409.200.905,45 4,20% Toscana 12.898 12,45% 1.214.115.766,20 12,46% Trentino Alto Adige 599 0,58% 67.327.420,78 0,69% Umbria 793 0,77% 65.512.768,22 0,67% Valle D'Aosta 329 0,32% 29.586.966,12 0,30% Veneto 14.209 13,72% 1.286.686.038,28 13,20%
4. ACT Test Asset Coverage Test; A+B+C+D-Z-Y-W >= F Pass? y ASSET COVERAGE TEST A = B = 7.640.051.059 1.347.759.737 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 = 76.587.671 51.988.616 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 Issuer's short and long term ratings are at least F1 and A by Fitch, and the Issuer's short term ratings are at least P-1 by Moody's, otherwise the Potential Set-Off Amounts W = 68.231.513 Equal to, nil if the Issuer's short and long term ratings are at least F1 and A by Fitch, and the Issuer's short term ratings are at least P1 by Moody's, otherwise the Potential Commingling Amounts F = 7.450.000.000 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 7.450.000.000 Aggregate Principal Amount of all series of Covered Bonds (b) COVER POOL PRINCIPAL BALANCE 11.041.789.308 Outstanding aggregate principal balance of the Cover Pool (b) NPV Test; (b) >= (a) Pass? Y NPV TEST (a) NPV COVERED BOND 7.946.707.571 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 11.540.405.340 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 556.930.602 Sum of Interest payment scheduled to be due in respect of all outstanding Series of Covered Bond (b) INTEREST FROM COVER POOL 3.043.119.924 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 31/03/2014 1.400.000.000,00 - - 50.750.000,00 1.400.000.000,00 - EUR FIXED 31/03/2015 3,625 Serie II IT0004641855 30/09/2014 1.250.000.000,00 - - 40.625.000,00 1.250.000.000,00 - EUR FIXED 30/09/2015 3,250 Reg CB IT0004681158 31/03/2014 100.000.000,00 - - - 100.000.000,00 - EUR FIXED 31/03/2015 0,000 Serie IV IT0004701568 31/03/2014 1.550.000.000,00 - - 73.625.000,00 1.550.000.000,00 - EUR FIXED 31/03/2015 4,750 Serie VI IT0004908544 31/03/2014 150.000.000,00 - - 6.000.000,00 150.000.000,00 - EUR FIXED 31/03/2015 4,000 Serie VII IT0004982291 30/09/2014 1.500.000.000,00 - - 4.147.666,67 1.500.000.000,00 EUR FLOATING 31/12/2014 1,082 Serie VIII IT0005054546 19/09/2014 1.500.000.000,00 - - 4.703.666,67 1.500.000.000,00 EUR FLOATING 31/12/2014 1,096 Total 7.450.000.000,00 - - 179.851.333,33 7.450.000.000,00 - Unpaid interest Currency Rate of Interest Value Date Applicable Interest Rate