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 per Azioni 10,000,000,000 Covered Bond Programme Investor Report Calculation Period 01/03/2017 31/05/2017 Guarantor Payment Date 30/06/2017 CB Payment Date 30/06/2017 Investor Report Date 07/07/2017 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 per Azioni Moody's Investors Service N-P Ba1 (Stable) CRA Ba1; BCA: b1 DBRS Ratings R-2 (mid) BBB(low) (Stable) COR: BBB(high)/R- 1(low); IA: BBB(low) (whose registered office is Piazza F. Meda, 20121 Milan, Italy) commences on 1 January 2017 following the merger of two major cooperative banks, Banco Popolare and Banca Popolare di Milano. Upon the Merger,, by operation of law, assumed all the obligations of Banco Popolare under the Banco Popolare Covered Bonds, as issuer.
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 BDO S.p.A. BNP Paribas Securities Servicer, London 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 WA Current LTV 9.089.780.570,09 83.417,74 108.967 6,32 16,93 74,48% 25,52% 3,57% 1,51% 54,26% Current Loan to Value Number of Loans % Current Balance % <= 10% 10.162 9,33% 188.104.851,20 2,07% > 10% - <= 20% 14.919 13,69% 644.730.482,96 7,09% > 20% - <= 30% 15.690 14,40% 1.008.532.182,35 11,10% > 30% - <= 40% 15.594 14,31% 1.296.793.868,05 14,27% > 40% - <= 50% 15.609 14,32% 1.556.020.375,62 17,12% > 50% - <= 60% 16.817 15,43% 1.898.489.386,82 20,89% > 60% - <= 70% 14.854 13,63% 1.823.564.287,62 20,06% > 70% - <= 80% 5.284 4,85% 667.712.480,85 7,35% > 80% - <= 90% 14 0,01% 1.941.936,65 0,02% > 90% 24 0,02% 3.890.717,96 0,04% Outstanding Loan Amount Number of Loans % Current Balance % <=20.000 10.352 9,50% 122.279.625,47 1,35% > 20.000 - <= 40.000 16.365 15,02% 496.169.540,40 5,46% > 40.000 - <= 60.000 17.485 16,05% 870.466.474,51 9,58% > 60.000 - <= 80.000 16.426 15,07% 1.143.192.539,19 12,58% > 80.000 - <= 100.000 14.578 13,38% 1.297.438.298,86 14,27% > 100.000 - <= 200.000 28.969 26,59% 3.816.409.926,05 41,99% > 200.000 - <= 300.000 3.604 3,31% 839.934.417,62 9,24% > 300.000 - <= 400.000 714 0,66% 240.581.618,49 2,65% > 400.000 - <= 500.000 262 0,24% 115.316.374,46 1,27% > 500.000 - <= 600.000 86 0,08% 46.426.886,61 0,51% > 600.000 - <= 700.000 38 0,03% 24.540.951,37 0,27% > 700.000 - <= 800.000 32 0,03% 23.737.838,66 0,26% > 800.000 56 0,05% 53.286.078,39 0,59% Asset Type Number of Loans % Current Balance % Residential 108.967 100,00% 9.089.780.570,09 100,00% Commercial - 0,00% - 0,00% Remaining Term (in years) Number of Loans % Current Balance % <=5 15.816 14,51% 371.886.530,92 4,09% >5-<=10 21.981 20,17% 1.222.139.505,42 13,45% >10-<=15 23.595 21,65% 1.960.941.178,56 21,57% >15-<=20 20.568 18,88% 2.144.179.772,15 23,59% >20-<=25 22.656 20,79% 2.778.360.106,93 30,57% >25-<=30 4.346 3,99% 611.705.991,10 6,73% >30 5 0,00% 567.485,00 0,01% Seasoning (in years) Number of Loans % Current Balance % <= 2 9.116 8,37% 949.539.724,49 10,45% > 2 - <= 4 10.862 9,97% 1.074.042.459,85 11,82% > 4 - <= 6 11.935 10,95% 1.162.646.773,45 12,79% > 6 - <= 7 18.801 17,25% 1.751.722.475,30 19,27% > 7 - <= 8 18.902 17,35% 1.612.488.658,81 17,74% > 8 - <= 9 8.836 8,11% 655.014.829,68 7,21% > 9 - <= 10 8.692 7,98% 632.383.122,82 6,96% > 10 21.823 20,03% 1.251.942.525,68 13,77%
3. Details of the Pool Interest Rate - % - (Fixed loans) Number of Loans % Current Balance % <=2.0 1.850 6,09% 161.019.297,35 6,94% > 2.0 - <= 2.5 4.446 14,63% 438.649.117,55 18,91% > 2.5 - <= 3.0 4.597 15,12% 435.477.006,49 18,77% > 3.0 - <= 3.5 2.846 9,36% 252.394.632,93 10,88% > 3.5 - <= 4.0 4.490 14,77% 356.180.778,92 15,35% > 4.0 - <= 4.5 1.254 4,13% 71.601.388,33 3,09% > 4.5 - <= 5.0 3.137 10,32% 188.830.360,51 8,14% > 5.0 - <= 5.5 3.417 11,24% 189.477.696,51 8,17% > 5.5 - <= 6.0 3.026 9,95% 155.011.015,94 6,68% > 6.0 - <= 6.5 1.042 3,43% 57.427.235,61 2,48% > 6.5 - <= 7.0 272 0,89% 13.012.700,07 0,56% > 7.0 22 0,07% 1.035.851,13 0,04% Total 30.399 100,00% 2.320.117.081,34 100,00% Spread - bps - (Floating loans) Number of Loans % Current Balance % <= 50 82 0,10% 5.820.381,23 0,09% > 50 - <= 75 1.927 2,45% 114.544.725,05 1,69% > 75 - <= 100 18.635 23,72% 1.482.916.885,33 21,91% > 100 - <= 125 15.121 19,25% 1.338.166.612,57 19,77% > 125 - <= 150 16.262 20,70% 1.434.627.317,67 21,19% > 150 - <= 175 8.200 10,44% 699.723.845,11 10,34% > 175 - <= 200 9.117 11,60% 839.329.945,01 12,40% > 200 - <= 225 1.057 1,35% 98.576.578,60 1,46% > 225 - <= 250 3.030 3,86% 284.803.480,07 4,21% > 250 5.137 6,54% 471.153.718,11 6,96% Total 78.568 100,00% 6.769.663.488,75 100,00% Arrears Number of Loans % Current Balance % >0 - <30 297 14,21% 20.575.316,04 9,96% =>30 - <60 873 41,77% 87.025.250,90 42,14% =>60 - <90 383 18,33% 37.656.681,63 18,23% =>90 537 25,69% 61.255.291,56 29,66% Total 2.090 100,00% 206.512.540,13 100,00% Non-Performing Loans Number of Loans % Current Balance % NPL (excluded Defaulted Claims) 587 97,19% 61.259.583,64 96,84% Defaulted Claims 17 2,81% 2.001.422,77 3,16% Total 604 100,00% 63.261.006,41 100,00% Payment Frequency Number of Loans % Current Balance % Monthly 104.730 96,11% 8.852.829.752,47 97,39% Bi - Monthly - 0,00% - 0,00% Quarterly 1.654 1,52% 96.569.694,45 1,06% Semi-annual 2.583 2,37% 140.381.123,16 1,54% Annual - 0,00% - 0,00% Geografical Distribution Number of Loans % Current Balance % Abruzzo - 0,00% - 0,00% Basilicata 111 0,10% 6.668.194,97 0,07% Calabria 183 0,17% 10.679.810,55 0,12% Campania 2.805 2,57% 231.424.057,86 2,55% Emilia Romagna 13.178 12,09% 1.084.632.797,93 11,93% Friuli Venezia Giulia 788 0,72% 55.967.803,83 0,62% Lazio 7.468 6,85% 813.775.131,89 8,95% Liguria 7.974 7,32% 649.962.308,92 7,15% Lombardia 30.487 27,98% 2.560.683.595,72 28,17% Marche 185 0,17% 14.527.141,05 0,16% Molise 446 0,41% 25.900.667,93 0,28% Piemonte 9.076 8,33% 693.026.173,05 7,62% Puglia 826 0,76% 65.437.661,66 0,72% Sardegna 404 0,37% 39.093.041,75 0,43% Sicilia 5.301 4,86% 393.679.037,79 4,33% Toscana 13.221 12,13% 1.087.293.403,98 11,96% Trentino Alto Adige 637 0,58% 63.299.458,62 0,70% Umbria 768 0,70% 55.448.722,01 0,61% Valle D'Aosta 367 0,34% 28.482.380,41 0,31% Veneto 14.742 13,53% 1.209.799.180,16 13,31%
4. ACT Test Asset Coverage Test; A+B+C+D-Z-Y-W >= F Pass? y ASSET COVERAGE TEST A = B = 8.352.598.399 1.639.102.851 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 = 54.897.260 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) Y = 46.511.809 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 W = 45.448.903 F = 5.250.000.000 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 5.250.000.000 Aggregate Principal Amount of all series of Covered Bonds (b) COVER POOL PRINCIPAL BALANCE 10.697.621.894 Outstanding aggregate principal balance of the Cover Pool (b) NPV Test; (b) >= (a) Pass? Y NPV TEST (a) NPV COVERED BOND 5.409.970.371 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 10.446.663.750 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 173.888.676 Sum of Interest payment scheduled to be due in respect of all outstanding Series of Covered Bond (b) INTEREST FROM COVER POOL 2.233.276.358 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 Unpaid interest Currency Maturity Date Rate of Interest Value Date Applicable Interest Rate Reg CB IT0004681158 31/03/2017 100.000.000,00 - - NA 100.000.000,00 - EUR 03/04/2029 FIXED 31/03/2018 NA Serie VI IT0004908544 31/03/2017 150.000.000,00 - - 6.000.000,00 150.000.000,00 - EUR 31/03/2023 FIXED 31/03/2018 4,000 Serie VII IT0004982291 31/03/2017 1.500.000.000,00 - - 2.540.416,67 1.500.000.000,00 - EUR 31/03/2019 FLOATING 30/06/2017 0,670 Serie VIII IT0005054546 31/03/2017 1.500.000.000,00 - - 2.540.416,67 1.500.000.000,00 - EUR 30/09/2017 FLOATING 30/06/2017 0,670 Serie IX IT0005090516 31/03/2017 1.000.000.000,00 - - 7.500.000,00 1.000.000.000,00 - EUR 31/03/2022 FIXED 31/03/2018 0,750 Serie X IT0005170284 31/03/2017 1.000.000.000,00 1.584.916,67 1.000.000.000,00 EUR 31/03/2018 FLOATING 30/06/2017 0,627 Total 6.650.000.000,00 - - 20.165.750,01 5.250.000.000,00 -