COVERED BOND INVESTOR REPORT
Summary
Covered Bond Investor Report
Period : 1 2015 3 2015
Investors Report Date : 28/04/2015 COVEREDCOVERED BOND INVESTOR BOND REPORT INVESTOR REPORT
Main
1. Counterparties 2. Series & nominal value test 3. NPV test & interest cover test 4. SPV accounts, SPV balance, SPV ratings 5. Pool Assets Analysis 6. Current & Outstanding loan 7. Interest type, Originator, Maturity date 8. Original loan amount/original market value, seasoning, payment 9. Geographical distribution
10. Arrears COVERED BOND INVESTOR REPORT Counterparties
Counterparties Summary Issuer Credito Emiliano Spa Dealers BARCLAYS BANK PLC, BNP PARIBAS, CRÉDIT AGRICOLE, CORPORATE & INVESTMENT BANK, CREDIT SUISSE SECURITIES (EUROPE) LIMITED, HSBC BANK PLC, ING BANK N.V., NATIXIS, NOMURA, SOCIÉTÉ GÉNÉRALE, THE ROYAL BANK OF SCOTLAND PLC, UBS Investment Bank, UNICREDIT BANK AG J.P. MORGAN SECURITIES PLC Guarantor Credem CB Srl Servicer Credito Emiliano Spa Investment Manager Credito Emiliano Spa Covered Bond Swap Provider Credito Emiliano Spa Asset Swap Provider Credito Emiliano Spa Account Bank Credito Emiliano Spa COVERED BOND INVESTOR REPORT Series & Nominal Value Test
Summary Notional Series ISIN Currency Issue Date Outstanding Maturity Rating Serie VI IT0004940679 EUR 09/07/2013 500.000.000,00 July 2020 A1/A+ Serie VII IT0004955271 EUR 30/08/2013 100.000.000,00 August 2028 A1/A+ Serie VIII IT0005000374 EUR 27/02/2014 750.000.000,00 February 2019 A1/A+ Serie IX IT0005066763 EUR 06/11/2014 750.000.000,00 November 2021 A1/A+
Nominal Value Test
A= 2.668.758.685 € Adjusted Outstanding Principal Balance multiplied by the Asset Percentage The aggregate of (i) the amount standing to the credit of the Principal Collection Account, (ii) the Principal Balance standing to the credit of the Eligible Investment Account or invested in Eligible Investments, and (iii) the principal amount of any top B= 107.698.902 € up assets qualifying as Eligible Investment C= 0 € Outstanding Principal Balace of other eligible assets Z= 132.063.693 € The weighted average remaining maturity of all Covered Bonds (expressed in years) then outstanding multiplied by the aggregate Principal Amount of the Covered Bonds multiplied by the Negative Carry Factor H= 1.717.921 € Aggregate amount of the principal instalments of each Mortgage loans which have been deferred in accordance with a Payment Holiday W= 0 € Potential Commingling Amount (if different from nil) Y= 186.641.182 € Potential Set-Off amount (if different from nil) K= 2.100.000.000 € Principal Amount Outstanding of all Series of Covered Bonds
Total A+B+C-Y-W-Z-H>=K PASS Pass Pass / Fail
Amount of Credit Support 356.034.791 € Result of the overcollateralisation in the Nominal Value Test COVERED BOND INVESTOR REPORT NPV Test & Interest Cover Test
Summary
NPV Test
A= 3.456.180.816 € NPV Eligible assets and top up assets comprised in the Cover Pool B= 87.651.234 € NPV of each of asset Swap agreement and liability Swap agreement C= 10.951.340 € Aggregate of the Senior Payments up to maturity D= 2.281.762.045 € NPV of all Series of Covered Bonds issued under the Programme
TEST A+B-C>=D PASS € Pass / Fail
Interest Cover Test
The aggregate of (i) the amount standing to the credit of the Interest Collection Account, (ii) the Interest Balance standing to the credit of the Eligible Investment Account or invested in Eligible Investments, and (iii) A= 18.208.426 € any Eligible Investment Revenues B= 36.132.021 € Swap Receiving Leg during the ICT period C= 66.027.515 € Interest instalments falling in the ICT period D= 41.007.021 Interest Payments due under all outstanding Series of Covered Bonds during the ICT period E= 819.442 € Senior Payments expected during the ICT period F= 20.359.319 € Swap Paying Leg during the ICT period
A+B+C>=D+E+F PASS € Pass / Fail COVERED BOND INVESTOR REPORT SPV Accounts, SPV Balance Sheet, Credit Ratings
Summary
SPV Accounts
Prinicipal Collection Account 4.861.455,06 € Interest Collection Account 1.346.306,71 € Eligible Investment Account 134.369.211,24 € Total 140.576.973,01 €
Authorised Investments / Substitution Assets
Balance as at 31/03/2015 0,00 €
Subordinated Loan Prior to the Guarantor Payment Date 3.161.247.085,34 €
After the Guarantor Payment Date 3.053.548.182,89 €
Short Term Long Term Credit Ratings (Fitch, Moody's, S&P) (Fitch, Moody's, S&P)
CREDEM F2, Prime-3, A-3 BBB+, Baa3, BBB- CREDEM Event of Default na na Credem CB Srl Event of Default na na COVERED BOND INVESTOR REPORT Pool Assets Analysis
Summary
Pool of Residential Mortgage Receivables - Summary as at 31.03.2015 Pool Totale
Aggregate current Principal Outstanding Balance 2.994.698.534,21
Aggregate original Principal Outstanding Balance 4.834.768.608,02
Average current Principal Outstanding Balance 72.112,76
Average original Principal Outstanding Balance 116.421,90
Maximum current Principal Outstanding Balance 2.444.848,15
Maximum original Principal Outstanding Balance 2.500.000,00
Total number of Loans 41.528
Weighted average seasoning (months) 72
Weighted average remaining maturity (months) 172
Weighted average original term (months) 243
Weighted average Current LTV (%) 52,44
Weighted average Original LTV (%) 61,47
Weighted average interest rate (%) 2,320
% of Floating Rate Assets 78,01
% of Fixed Rate Assets 21,99
Collateral Currency EUR COVERED BOND INVESTOR REPORT Current Loan Amount / Current Market Value & Outstanding Loan Amount
Current Loan Amount / Current Market Value Summary Number of Loans % Current Balance % 0% - 20% 12.945 31,17 324.440.755,89 10,83 20% - 30% 6.129 14,76 357.770.758,16 11,95 30% - 40% 5.625 13,55 436.461.599,20 14,57 40% - 50% 4.522 10,89 424.276.801,52 14,17 50% - 60% 3.526 8,49 366.522.994,30 12,24 60% - 70% 3.115 7,50 356.007.641,34 11,89 70% - 80% 2.948 7,10 370.710.642,01 12,38 > 80% 2.718 6,55 358.507.341,79 11,97 Total 41.528 100,00 2.994.698.534,21 100,00
Outstanding Loan Amount Number of Loans % Current Balance % 0 - 37.500 13.247 31,90 253.205.206,14 8,46 37.500 - 75.000 12.014 28,93 669.435.890,59 22,35 75.000 - 100.000 6.128 14,76 533.141.710,33 17,80 100.000 - 150.000 6.790 16,35 820.534.188,13 27,40 150.000 - 200.000 2.038 4,91 346.443.373,52 11,57 200.000 - 250.000 710 1,71 157.048.431,58 5,24 250.000 - 500.000 543 1,31 173.944.551,44 5,81 500.000 - 2.375.000 58 0,14 40.945.182,48 1,37
Total 41.528 100,00 2.994.698.534,21 100,00 COVERED BOND INVESTOR REPORT Interest Type, Originator, Maturity Date
Summary
Interest Type Number of Loans % Current Balance %
Fixed rate 9.359 22,54 493.908.738,46 16,49 Floating rate 11.297 27,20 1.030.729.694,95 34,42 Fixed with Option to Reset 1.543 3,72 164.773.218,92 5,50 Floating with Option to Reset 19.329 46,55 1.305.286.881,88 43,59 Total 41.528 100,00 2.994.698.534,21 100,00
Originator Number of Loans % Current Balance %
Credem 40.616 97,80 2.937.315.557,15 98,08 Unicredit (branches aquired) 656 1,58 37.025.338,90 1,24 Banco Popolare (branches aquired) 256 0,62 20.357.638,16 0,68
Total 41.528 100,00 2.994.698.534,21 100,00
Maturity Date Number of Loans % Current Balance %
< 2017 5.547 13,36 63.549.056,67 2,12 2018 - 2022 10.101 24,32 398.898.781,92 13,32 2023 - 2027 11.381 27,41 852.778.679,76 28,48 2028 - 2032 7.387 17,79 763.365.715,45 25,49 2033 - 2037 4.284 10,32 525.578.738,39 17,55 2038 - 2042 2.067 4,98 278.917.020,91 9,31 2043 - 2047 756 1,82 110.918.670,76 3,70 2048 - 2058 5 0,01 691.870,35 0,02 > 2058 Total 41.528 100,00 2.994.698.534,21 100,00 COVERED BOND INVESTOR REPORT Original Loan Amount/Original Market Value, Seasoning, Payment
Summary Original Loan Amount / Original Market Value Number of Loans % Current Balance % 0% - 20% 1.369 3,30 56.722.959,89 1,89 20% - 30% 2.909 7,00 145.711.151,97 4,87 30% - 40% 4.424 10,65 261.517.876,39 8,73 40% - 50% 6.186 14,90 419.360.372,01 14,00 50% - 60% 5.903 14,21 434.521.939,61 14,51 60% - 70% 6.999 16,85 511.976.791,32 17,10 70% - 80% 10.750 25,89 876.986.067,31 29,28 80% - 90% 1.573 3,79 147.070.193,78 4,91 >90% 1.415 3,41 140.831.181,93 4,70 Total 41.528 100,00 2.994.698.534,21 100,00
Seasoning (months) Number of Loans % Current Balance % 0 - 12 1.258 3,03 146.227.991,04 4,88 12 - 24 3.099 7,46 342.016.118,84 11,42 24 - 48 3.095 7,45 344.320.862,44 11,50 48 - 72 8.164 19,66 766.697.262,83 25,60 72 - 96 7.059 17,00 514.608.743,69 17,18 96 - 163 17.367 41,82 869.505.165,90 29,03 > 163 1.486 3,58 11.322.389,47 0,38 Total 41.528 100,00 2.994.698.534,21 100,00
Payment Number of Loans % Current Balance %
Monthly 40.378 97,23 2.920.593.102,69 97,53 Quarterly 483 1,16 36.159.915,79 1,21 Semi-Annual 667 1,61 37.945.515,73 1,27
Total 41.528 100,00 2.994.698.534,21 100,00 COVERED BOND INVESTOR REPORT Geographical Distribution
Summary
Geographical Distribution Number of Loans % Current Balance %
Abruzzo 368 0,89 27.977.189,85 0,93 Basilicata 94 0,23 5.388.364,22 0,18 Calabria 1.926 4,64 97.577.798,04 3,26 Campania 3.934 9,47 300.255.710,63 10,03 Emilia Romagna 9.116 21,95 677.263.805,21 22,62 Friuli Venezia Giulia 303 0,73 22.874.060,86 0,76 Lazio 2.862 6,89 278.155.975,00 9,29 Liguria 717 1,73 59.289.894,85 1,98 Lombardia 5.667 13,65 438.949.574,66 14,66 Marche 574 1,38 50.149.582,63 1,67 Molise 108 0,26 6.371.259,28 0,21 Piemonte 1.377 3,32 106.903.520,06 3,57 Puglia 4.127 9,94 228.888.212,74 7,64 Sardegna 282 0,68 29.310.597,53 0,98 Sicilia 5.935 14,29 321.041.619,19 10,72 Toscana 2.492 6,00 207.444.088,60 6,93 Trentino Alto Adige 56 0,13 4.797.195,14 0,16 Umbria 270 0,65 16.018.031,11 0,53 Val D'Aosta 6 0,01 263.274,19 0,01 Veneto 1.314 3,16 115.778.780,42 3,87
Total 41.528 100,00 2.994.698.534,21 100,00 COVERED BOND INVESTOR REPORT Arrears
Summary
Arrears Number of Loans % Current Balance %
Current 40.544 97,63 2.925.360.565,34 97,69 1=<=2m 572 1,38 39.695.484,65 1,33 2<=3m 116 0,28 9.102.786,15 0,30 3<=6m 179 0,43 12.366.749,33 0,41 6<=12m 94 0,23 6.946.925,98 0,23 >12 23 0,06 1.226.022,76 0,04
Total 41.528 100,00 2.994.698.534,21 100,00
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