INVESTOR REPORT Securitisation of residential mortgage Receivables originated by the UBI Group Euro 2.085.600.000 Class A Asset Backed Floating Rate Notes due October 2070 Euro 113.800.000 Class B1 Asset Backed Additional Return Notes due October 2070 Euro 62.700.000 Class B2 Asset Backed Additional Return Notes due October 2070 Euro 133.900.000 Class B3 Asset Backed Additional Return Notes due October 2070 Euro 95.400.000 Class B4 Asset Backed Additional Return Notes due October 2070 Euro 244.400.000 Class B5 Asset Backed Additional Return Notes due October 2070 Euro 51.000.000 Class B6 Asset Backed Additional Return Notes due October 2070 Euro 59.100.000 Class B7 Asset Backed Additional Return Notes due October 2070 CONTACTS UBI Securitisation Administrative Department: calculation.agent@ubibanca.it UBI Funding Department: gabriele.possenti@ubibanca.it DATES Collection Period 13/06/2016-31/08/2016 Interest Period 11/08/2016-07/10/2016 Payment Date 07/10/2016 This Investors Report is prepared by Calculation Agent in accordance with the criteria described in the Transaction Documents. Certain information included in this report is provided by the Parties.
UBI Group SPV RMBS - Investors Report_31082016_discl - 1. Transaction overview TRANSACTION OVERVIEW Principal Parties Issuer UBI SPV GROUP 2016 Srl Originators Unione di Banche Italiane Banca Carime Banca Popolare Commercio e Industria Banca Popolare di Ancona Banca Popolare di Bergamo Banco di Brescia Banca Regionale Europea RETENTION ECONOMIC INTEREST Master Servicer Unione di Banche Italiane Arranger Société Générale Representative of the Noteholders Zenith Service SpA Calculation Agent Unione di Banche Italiane Cash Manager Unione di Banche Italiane Corporate Services Provider TMF Management Italy Srl Account Bank Unione di Banche Italiane Paying Agent The Bank of New York Mellon (Luxembourg) SA, Italian Branch Listing Agent The Bank of New York Mellon SA/NV, Dublin Branch Back-Up Servicer Facilitator Zenith Service SpA Each Originator confirms, as at the date of this report, it continues to maintain a material net economic interest of at least 5% in the Transaction in accordance with option (1) article 405 of the CRR, the Bank of Italy Instructions, article 51 of the AIFMR and article 254 of the Solvency II Regulation, and that such interest comprises, in accordance with option (1) (d) of Article 405, option (1) (d) of Article 51 and option 2(d) of Article 254, an interest in the Junior Notes which is not less than 5 per cent. of the nominal value of the securitised exposures for which it is the relevant Originator. Pag.2
UBI Group SPV RMBS - Investors Report_31082016_discl - 1. Transaction overview MAIN DEFINITIONS Payment Date Interest Period Business Day means the 7th day of January, April, July and October, in each year (or, if such day is not a Business Day, the immediately succeeding Business Day). The First Payment Date will be 7 October 2016 The Notes will bear interest from (and including) a Payment Date to (but excluding) the next following Payment Date (each an Interest Period ) provided that the first Interest Period (the Initial Interest Period ) shall begin on (and include) the Issue Date and end on (but exclude) the First Payment Date. means any day (other than a Saturday or Sunday) on which banks are generally open for business in Milan, London and Dublin and on which the Trans- European Automated Real Time Gross Transfer System (TARGET2) (or any successor thereto) is open. Cumulative Default Ratio means, with reference to any Calculation Date the ratio between: (i) the aggregate of the Outstanding Principal of the Receivables of the Aggregate Portfolio or the Portfolio assigned by each Originator, as the case may be, classified as Defaulted Receivables during all the Collections Periods preceding such Calculation Date, calculated as at the Collection Date immediately following the date on which such Receivables have been classified as Defaulted Receivables; and (ii) the aggregate of (a) the Purchase Price of the Initial Portfolios or, as the case maybe, each Initial Portfolio and (b) the sum of all the Purchase Price of any Subsequent Portfolio transferred to the Issuer by the Originators, or, as the case maybe, each Originator before 3 months preceding such Calculation Date, provided that the Receivables repurchased by the Originator pursuant to Clause 14 (Opzione di Riacquisto Parziale) of the Master Transfer Agreements (but only to the extent not yet classified as Defaulted Receivables) will be excluded from the computation of such ratio. Defaulted Receivables means the Receivables which have been classified as sofferenze ( bad loans ) or inadempienze probabili ( unlikely to pay ) pursuant to the Bank of Italy Circular no. 272 of 30 July 2008 on the Matrice dei Conti, as subsequently amended and supplemented and the Collection Policy. Delinquent Receivables Cash Trapping condition means the Receivables in relation to which certain amounts are due but not paid by the relevant Borrower (importi scaduti e/o sconfinanti) for at least 90 (ninety) days after the relevant due date but which have not been classified as Defaulted Receivables. means, with reference to any Calculation Date, the event which occurs when the Cumulative Default Ratio exceeds 9%. Pag.3
UBI Group SPV RMBS - Investors Report_31082016_discl - 2. Notes Overview THE NOTES - OVERVIEW The Notes Issue Date 11/08/2016 Classes Class A Class B1 Class B2 Class B3 Class B4 Class B5 Class B6 Class B7 Principal Amount Outstanding on Issue 2.085.600.000,00 113.800.000,00 62.700.000,00 133.900.000,00 95.400.000,00 244.400.000,00 51.000.000,00 59.100.000,00 Currency EUR EUR EUR EUR EUR EUR EUR EUR Issue Date 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 Final Maturity Date Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Listing Irish Stock Exchange Not listed Not listed Not listed Not listed Not listed Not listed Not listed ISIN code IT0005209967 IT0005209983 IT0005209975 IT0005209991 IT0005210007 IT0005210015 IT0005210130 IT0005210148 Common code 146211470 146324215 146324231 146324614 146324304 146325521 146325955 146326293 Denomination 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 Type of amortisation Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Indexation Euribor 3M NA NA NA NA NA NA NA Relevant Margin 0,750% NA NA NA NA NA NA NA Payment frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly 1 st Payment Date 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 Rating Moody's on Issue Date A1(sf) NR NR NR NR NR NR NR Rating Moody's up to date A1(sf) NR NR NR NR NR NR NR Rating DBRS on Issue Date A(low)(sf) NR NR NR NR NR NR NR Rating DBRS up to date A(low)(sf) NR NR NR NR NR NR NR Pag.4
UBI Group SPV RMBS - Investors Report_31082016_discl - 2.1 Class A Notes CLASS A NOTES Before payments Accrued Interest Payments After payments Interest Period Payment Date Principal Amount Euribor Principal Amount Margin Days Interest Principal Interest Outstanding Unpaid Interest 3m Outstanding Unpaid Interest 11-Aug-16 7-Oct-16 7-Oct-16 2.085.600.000,00-0,750% -0,334% 57 1.373.784,72-1.373.784,72 2.085.600.000,00 - Pag.5
UBI Group SPV RMBS - Investors Report_31082016_discl - 2.2 Class B notes CLASS B NOTES B1 B2 B3 B4 B5 B6 B7 Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Interest Period Payment Date Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments 11-Aug-16 7-Oct-16 7-Oct-16 113.800.000,00-113.800.000,00 62.700.000,00-62.700.000,00 133.900.000,00-133.900.000,00 95.400.000,00-95.400.000,00 244.400.000,00-244.400.000,00 51.000.000,00-51.000.000,00 59.100.000,00-59.100.000,00 Pag.6
UBI Group SPV RMBS - Investors Report_31082016_discl - 3. Collections and Recoveries COLLECTIONS AND RECOVERIES Scheduled Unscheduled Payments due by Collections and Collection Period Other the Originators to Recoveries Adjustments Recoveries Principal Interest Principal Interest the SPV 13-Jun-16 31-Aug-16 27.075.439,80 13.008.811,12 22.059.289,73 74.654,25 20.090,69-190.642,49-62.428.928,08 Pag.7
UBI Group SPV RMBS - Investors Report_31082016_discl - 4.1 IAF - int IAF - Interest Issuer Interest Available Funds Payment Date Interest Collections Amount credited into the Cash Reserve Account All amounts of interest accrued and available Recoveries Any other amount Residual amount to the Payment Account Issuer Interest Available Funds ISSUER AVAILABLE FUNDS 7-Oct-16 13.103.556,06 83.424.000,00-190.642,49 - - 96.718.198,55 152.927.437,11 - - Pag.8
UBI Group SPV RMBS - Investors Report_31082016_discl - 4.2 IAF - princ IAF - Principal Issuer Principal Available Funds Payment Date Principal Collections Principal Allocation Amount Principal Deficiency Amount Amount credited into the Cash Reserve Account Relevant Collateral Integration Amount Principal proceeds arising from the disposal of the Receivables Any amount credited (and not used) in the Payment Account and in the Principal Collection Accounts Issuer Principal Available Funds 7-Oct-16 49.134.729,53-7.068.815,43 - - - 5.693,60 56.209.238,56 Pag.9
UBI Group SPV RMBS - Investors Report_31082016_discl - 5.1 Pre-Enf PoP Int Pre-Enforcement Priority of Payments - Interest Payment Date Interest Priority of Payments Expenses Any amount to the Representative of the Noteholders Any amounts due to the Parties below * Interest due and payable on the Senior Notes Required Cash Reserve Amount Principal Deficiency Amount Principal Allocation Amount Any amounts due and payable to the Originators Pre-Enforcement Junior Notes Additional Return During Amortisation Period Any residual amounts due in accordance to the Relevant Proportion 7-Oct-16 3.325,55 1.526,67 267.691,19 1.373.784,72 83.424.000,00 7.068.815,43 - - 4.579.054,99 - * Account Bank, Back-Up Servicer Facilitator, Calculation Agent, Paying Agent, Cash Manager, Corporate Servicer, Listing Agent, Master Servicer, Sub-Servicers Pag.10
UBI Group SPV RMBS - Investors Report_31082016_discl - 5.2 Pre-Enf PoP Princ Pre-Enforcement Priority of Payments - Principal Principal Priority of Payments - Revolving Period Payment Date Any amount payable under items First to Fourth of the Int PoP Purchase Price for any Subsequent Portfolio Principal due in respect of the Senior Notes Relevant Collateral Integration Amount Any price adjustment to the relevant Purchase Price Residual amount to the Payment Account 7-Oct-16 - - - 56.209.238,56 - - Principal Priority of Payments - Amortising Period Payment Date Any amount payable under items First to Fourth of the Int PoP Principal due in respect of the Senior Notes Any price adjustment to the relevant Purchase Price Any Purchase Price due but not already paid If Senior Notes fully reimbursed, Junior Notes Principal Amount Residual amount to the Payment Account Pag.11
UBI Group SPV RMBS - Investors Report_31082016_discl - 6.1 RCR Amount REQUIRED CASH RESERVE AMOUNT During Revolving Period During Amortising Period Required Cash Reserve Amount of the relevant PD Payment Date Initial Cash Reserve Amount a) Aggregate Portfolio Breach of Ratio a) Cash Trapping condition b) Cash Reserve Amount lower than Required Cash Reserve Amount * Required Cash Reserve Amount of the previous PD If a) or b) occurs Else 7-Oct-16 83.424.000,00 - - * As of the immediately preceding Payment Date Pag. 12
UBI Group SPV RMBS - Investors Report_31082016_discl - 6.2 Released CR Amount RELEASED CASH RESERVE AMOUNT Payment Date a) Cash Reserve Amount 1 b) the aggregate of: (i) the Required Cash Reserve Amount 2 (ii) any amount of the Cash Reserve to be drawn 3 Released Cash Reserve Amount - - 1 as at the immediately preceding Payment Date 2 with reference to such Payment Date 3 towards payment of items (First) to (Fourth) of the Pre-Enforcement Interest Priority of Payments during the Amortisation Period Pag.13
UBI Group SPV RMBS - Investors Report_31082016_discl - 7. PTE PURCHASE TERMINATION EVENTS PURCHASE TERMINATION EVENT OCCURRED N 1. Breach of ratios ACTUAL LIMIT TRIGGERED Cumulative Default Ratio 0,10% 2% N Deliquency Ratio 0,60% 6% N Uncured Principal Deficiency Amount ACTUAL TRIGGERED Last payment date - N Current payment date - Outstanding Principal 2.695.834.468,21 2% 2. Cash Reserve ACTUAL TARGET TRIGGERED 83.424.000,00 83.424.000,00 N 3. Occurrence of an Insolvency Event upon one or more Seller FINE TRIGGERED X N 4. Breach of Representations and Warranties given by UBI FINE TRIGGERED (not remedied within 10 BD) X N 5. Revocation of the appointment of the Servicer FINE TRIGGERED X N 6. Minimum rating for UBI of B2 by Moody's or B by DBRS FINE TRIGGERED X N PURCHASE TERMINATION NOTICE DELIVERED ENFORCEMENT NOTICE DELIVERED Payment Date (included) falling 36 months after the Issue Date ELASPED N N N REVOLVING PERIOD TERMINATION DATE OCCURED Pag.14 N
UBI Group SPV RMBS - Investors Report_31082016_discl - 8. Portf Performance PORTFOLIO PERFORMANCE & TRIGGERS Defaults Collection Period New Defaults Cumulative Defaulted Amount Ratio From To # Outstanding Principal # Outstanding Principal CGD% 13-Jun-16 31-Aug-16 21 2.713.058,84 21 2.713.058,84 0,10% Recoveries Collection Period From To - - - - - Recoveries of the Period Cumulative Recoveries Cumulative Net Defaulted Amount 13-Jun-16 31-Aug-16 180.889,00 180.889,00 2.532.169,84 0,09% Ratio CND% Other Triggers Cash Trapping Condition N Y/N Cumulative Default Ratio 0,10% exceeds 9,00% BUS Rating Event N Y/N - - - - Pag. 15
UBI Group SPV RMBS - Investors Report_31082016_discl - 9. Portfolio Description PORTFOLIO DESCRIPTION Overview Aggregate current Principal Outstanding Balance 2.698.547.527,05 Number of Debtors 21.930,00 Total number of Loans 22.414,00 WA seasoning (in years) 6,20 WA time to maturity (in years) 21,34 WA interest rate (%) 2,05 Maximum spread on the Loans 6,00 Minimum spread on the Loans (1,00) Geographical Distribution Borrower Number of loans % Outstanding Principal % Abruzzo 220 0,98% 22.532.302,03 0,83% Basilicata 156 0,70% 10.417.983,78 0,39% Calabria 732 3,27% 64.421.264,73 2,39% Campania 810 3,61% 102.402.466,24 3,79% Emilia Romagna 895 3,99% 114.090.145,37 4,23% Friuli Venezia Giulia 129 0,58% 13.770.850,41 0,51% Lazio 1.455 6,49% 214.593.364,57 7,95% Liguria 611 2,73% 82.843.650,68 3,07% Lombardia 12.501 55,77% 1.491.907.062,98 55,29% Marche 730 3,26% 92.089.004,66 3,41% Molise 61 0,27% 5.040.562,15 0,19% Piemonte 1.672 7,46% 193.556.753,88 7,17% Puglia 920 4,10% 95.683.329,06 3,55% Sardegna 355 1,58% 45.115.554,49 1,67% Sicilia 248 1,11% 30.791.769,63 1,14% Toscana 143 0,64% 22.032.926,63 0,82% Trentino Alto Adige 12 0,05% 1.815.601,41 0,07% Umbria 201 0,90% 23.072.026,92 0,85% Val d'aosta 13 0,06% 4.098.939,52 0,15% Veneto 550 2,45% 68.271.967,91 2,53% Total 22.414 100,00% 2.698.547.527,05 100,00% Pag.16
UBI Group SPV RMBS - Investors Report_31082016_discl - 9. Portfolio Description PORTFOLIO DESCRIPTION Current LTV (CLTV) buckets Number of loans % Current balance % 0%-60% 4.366 19,48% 379.401.549 14,06% 60%-80% 4.232 18,88% 505.837.717 18,74% 80%-100% 9.519 42,47% 1.234.492.229 45,75% 100%-110% 1.633 7,29% 218.797.924 8,11% 110%-120% 1.042 4,65% 137.910.651 5,11% >120% 1.622 7,24% 222.107.458 8,23% Total 22.414 100,00% 2.698.547.527,05 100,00% Arrears Number of loans % Current balance % Current 21.067 93,99% 2.526.732.354 93,63% Current+ <= 1m 1.019 4,55% 126.480.907 4,69% 1<=2m 113 0,50% 15.153.002 0,56% 2<=3m 71 0,32% 11.962.019 0,44% 3<=6m 98 0,44% 12.255.089 0,45% 6<=9m 40 0,18% 5.104.434 0,19% >=9m 6 0,03% 859.722 0,03% Total 22.414 100,00% 2.698.547.527,05 100,00% Seasoning (in years) Number of loans % Current balance % 0-1 1.412 6,30% 165.781.400 6,14% 1-2 2.241 10,00% 286.372.062 10,61% 2-3 1.426 6,36% 182.479.529 6,76% 3-4 1.145 5,11% 146.961.694 5,45% 4-5 1.066 4,76% 141.834.013 5,26% 5-6 1.468 6,55% 202.799.743 7,52% 6-7 1.927 8,60% 265.118.850 9,82% 7-8 2.747 12,26% 342.837.873 12,70% 8-9 3.728 16,63% 458.662.654 17,00% 9-10 2.085 9,30% 241.085.773 8,93% 10-11 1.451 6,47% 151.293.917 5,61% > 11 1.718 7,66% 113.320.019 4,20% Total 22.414 100,00% 2.698.547.527 100,00% Pag.17
UBI Group SPV RMBS - Investors Report_31082016_discl - 9. Portfolio Description PORTFOLIO DESCRIPTION ORIGINATORS Number of loans % Current balance % UBI BANCA SPA 3.001 13,39% 405.384.038 15,02% BANCA CARIME 1.877 8,37% 180.606.230 6,69% BANCO DI BRESCIA 2.951 13,17% 339.394.987 12,58% BANCA POPOLARE COMMERCIO E INDUSTRIA 3.692 16,47% 474.147.271 17,57% BANCA POPOLARE DI ANCONA 1.822 8,13% 221.669.210 8,21% BANCA REGIONALE EUROPEA 1.767 7,88% 209.729.511 7,77% BANCA POPOLARE DI BERGAMO 7.304 32,59% 867.616.281 32,15% Total 22.414 100,00% 2.698.547.527,05 100,00% Current interest rate type Number of loans % Outstanding Principal % Fixed 4.342 19,37% 470.104.736,39 17,42% Floating 18.072 80,63% 2.228.442.790,66 82,58% Total 22.414 100,00% 2.698.547.527,05 100,00% Pag.18
UBI Group SPV RMBS - Investors Report_31082016_discl - Disclaimer With reference to the transaction specified above, this report is prepared by Unione di Banche Italiane S.p.A. acting as calculation agent (the Calculation Agent or UBI ) in accordance with the criteria described in the relevant transaction documents (the Transaction Documents ). Terms and expressions used in this report have the respective meanings given to them in the Transaction Documents. Certain information included in this report may be provided by other agents appointed under the Transaction Documents. The Calculation Agent shall be entitled to, and may, rely upon the information and reports received by such agents and will not be required to verify the accuracy or completeness of such notice, reports or information received by them. Calculations contained in this report are made in accordance with the criteria described in the Transaction Documents. This document is provided for information purposes only and does not constitute or form part of, nor may it be construed so as to constitute or form part of, an offer, or the solicitation of any offer, to buy, sell or subscribe for any securities mentioned herein, nor is it intended to provide an evaluation of the risk related to an investment in such securities or for use by any person in making investment decisions. The information provided in the report cannot substitute the obtaining of independent financial advice. If this document has been sent to you in electronic form, you are reminded that documents transmitted via this medium may be altered or changed during the process of electronic transmission and consequently neither UBI nor its subsidiaries or affiliates, or any of their respective directors, managers, officers or employees, accepts any liability or responsibility whatsoever in respect of any difference between the documents distributed to you in electronic format and the copy made available on UBI s website. Neither UBI nor its subsidiaries or affiliates, or any of their respective directors, managers, officers or employees shall have any responsibility or liability as to their fairness, accuracy, completeness or reliability or for any loss or damage howsoever arising from or otherwise in connection with the use of this document. Pag. 19