Financial Statements As at 31/12/2016 Carige Covered

FINANCIAL STATEMENTS AS AT 31/12/2016

CARIGE COVERED BOND S.R.L.

Registered Office: Via Cassa di Risparmio 15, Genoa

Genoa Companies' Register no. 05887770963

Tax and VAT code no. 05887770963

Quota capital EUR 10,000.00, fully paid-in

Company subject to the Direction and Coordination of Banca CARIGE S.p.A. – Cassa di Risparmio di Genova e Imperia and belonging to the Banca Carige Group, listed in the Banking Group Register under no. 6175-4

CONTENTS

FOREWORD 3

GOVERNING BODIES AND INDEPENDENT AUDITORS 5

REPORT ON OPERATIONS 6

FINANCIAL STATEMENTS AND EXPLANATORY NOTES

FINANCIAL STATEMENTS

Balance Sheet 12 Income Statement 13 Statement of comprehensive income 13 Statement of changes in quotaholders' equity 14 Statement of cash flows 15

EXPLANATORY NOTES

PART A: Accounting policies 17

PART A.1: Introduction 18

PART A.2: Main items of the accounts 21

PART A.3: Information on transfers between portfolios of financial assets 24

PART A.4: Information on fair value 24

PART B: Balance Sheet 25

PART C: Income Statement 30

PART D: Other information 34

FOREWORD

Carige Covered Bond S.r.l. (hereinafter the "Vehicle" or the "Company") is a special purpose vehicle set up to carry out two medium/long-term funding programmes for Banca Carige S.p.A. via the issuance of covered bonds. The first programme (hereinafter “OBG1”) was structured on 5 December 2008 and renewed by a resolution of the Board of Directors’ Meeting of 16 September 2013, whereas the second programme (hereinafter “OBG3”) was structured on 6 December 2016.

Covered bond issues are governed by the legislation on loan securitisations. In particular, Italian Law no. 80/2005, introducing articles 7-bis and 7-ter of Law no. 130/1999, has regulated the issue of bonds backed by specific assets. The legislative framework was supplemented by decree no. 310 of 14 December 2006, decree no. 213 of 12 April 2007 of the Ministry of Economy and Finance and the supervisory instructions issued by the Bank of Italy (provisions no. 501981 of 17 May 2007) as subsequently amended.

Carige Covered Bond S.r.l. is part of Banca Carige S.p.A. and prepared its annual report as at 31 December 2016 in compliance with the International Accounting Standards (IAS/IFRS).

The international accounting standards (IAS/IFRS) and related interpretations (SIC/IFRIC) applied are those officially approved by the European Commission and effective as at the reporting date.

As regards the reporting criteria, the principle of substance over form is applied, which implies that assets and liabilities are recognised or derecognised only when the related risks or rewards are substantially transferred.

The annual report, prepared in accordance with IAS 1, consists of the financial statements as at 31 December 2016 and the Explanatory Notes, along with the Directors’ Report on Operations.

Included in the financial statements are the: - Balance Sheet - Income Statement - Statement of comprehensive income - Statement of changes in quotaholders' equity - Statement of Cash Flows

The securitised loans are assets managed separately from those of the Company and, given the principle of substance over form, all the accounting information on the securitisation transactions is disclosed separately in Section D - Other information - of the Explanatory Notes.

The annual report was audited by EY S.p.A, according to the auditing engagement conferred on this auditing firm by resolution of the Quotaholders’ Meeting of 27 July 2011 for the nine-year period 2012-2020.

QUOTAHOLDERS

− Banca CARIGE S.p.A. – Cassa di Risparmio di Genova e Imperia 60% direct holding − Stichting Otello 40% direct holding

GOVERNING AND CONTROL BODIES

Board of Directors

Chairman: Alessandro PICOLLO

Directors: Francesca RUSSO Gianluca CANIATO

Board of Statutory Auditors

Chairman: Francesco ISOPPI

Standing Auditors: Maddalena COSTA Gianfranco PICCO

Alternate Auditors: Remo DOMINICI Stefano LUNARDI

INDEPENDENT AUDITORS

EY S.p.A.

CARIGE COVERED BOND S.R.L.

Registered Office: Via Cassa di Risparmio 15, Genoa Genoa Companies' Register no. 05887770963 Tax and VAT code no. 05887770963 Quota capital EUR 10,000.00, fully paid-in

REPORT ON OPERATIONS AS AT 31 December 2016

Dear Quotaholders, We hereby present the annual report as at 31 December 2016 for your approval, consisting of Balance Sheet, Income Statement, Statement of Comprehensive Income, Statement of Changes in Quotaholders’ Equity, Statement of Cash Flows and the Explanatory Notes, together with the Report on Operations.

Core business The Company was set up on 3 October 2007 pursuant to Italian Law no. 130 of 1999 which, as known, was introduced to regulate securitisation transactions in Italy.

In accordance with its articles of association and the provisions of the above-mentioned law, the Company’s sole business scope under covered bond issuance programmes implemented pursuant to article 7-bis of Italian Law no. 130 of 30 April 199 is the purchase for consideration of mortgage loans and securities from banks, through loans granted and/or secured by the transferring Banks. Loans and securities purchased are the guarantee for bonds issued and are designed to satisfy the bondholders’ rights in such a way as to prevent any credit risk for the company. In compliance with the foregoing legal requirements and contracts entered into, the loans purchased by the company under each securitisation transaction are assets managed separately from those of the vehicle and those relating to other transactions, in relation to which separate assets creditors other than the holders of the bonds issued to finance the transaction have no right to make any claims.

More specifically, the Company is the vehicle set up to carry out two medium/long-term funding programmes via the issuance of covered bonds guaranteed by Banca Carige S.p.A., to be implemented over a five-year period for a maximum amount of EUR 5 bn for the first programme and EUR 3 bn for the second programme.

As at 31 December 2016, Carige Covered Bond S.r.l. made 24 loan purchases under the OBG1 programme, of which 11 from Banca Carige, 4 from Banca del Monte di Lucca and 3 each from Cassa di Risparmio di Savona and Cassa di Risparmio di Carrara, which were merged by absorption into Banca Carige in 2015, and from Banca Carige Italia, which was merged by absorption into Banca Carige in the fourth quarter of 2016.

As at 31 December 2016, the Company made 3 loan purchases under the OBG3 programme.

The tables below summarise the individual disposals, detailing the overall transfer price and the quota of such price settled with a subordinated loan granted by the transferor of the loans.

OBG1

Portion of the sale Portion of the sale price settled through the provision of a subordinated loan price already paid Portion of the subordinated subordinated subordinated Disposal subordinated subordinated Transfe r price sale price to be loan to the loan to the loan to the Portion of the sale pe riod loan to the loan to the settled transfe ror Cassa transfe ror Cassa transfe ror Banca price settled via transfe ror Banca transfe ror Banca di Risparmio di di Risparmio di del Monte di payment Carige Carige Italia Savona Carrara Lucca 11-2008 1,505,288,305 - 1,505,288,305 - - - - 09-2009 1,034,318,857 - 848,318,857 - - - 186,000,000 07-2010 847,337,674 - 597,337,674 - - - 250,000,000 02-2011 634,148,588 - 444,148,588 - - - 190,000,000 05-2011 413,836,378 - 308,836,378 - - - 105,000,000 05-2011 625,212,749 - - 290,453,245 166,008,748 168,750,756 - 10-2011 414,567,759 229,567,759 - - - 185,000,000 01-2012 385,008,744 - 245,008,744 - - - 140,000,000 06-2012 622,567,530 - 450,567,530 - - - 172,000,000 06-2013 597,634,065 - 43,830,349 48,403,711 26,150,050 16,976,216 12,273,739 450,000,000 09-2015 559,049,045 - 187,328,398 230,994,322 67,043,195 41,399,200 32,283,930 - 02-2016 443,466,603 135,466,603 - - - - - 308,000,000 Total 8,082,436,297 135,466,603 4,860,232,582 279,398,033 383,646,490 224,384,164 213,308,425 1,986,000,000

OBG3

Portion of the sale price settled through the provision of a Portion of the sale Portion of the subordinated loan price already paid Disposal Transfe r price sale price to be subordinated loan to subordinated loan to subordinated loan to Portion of the sale pe riod settled the transfe ror Banca the transfe ror Banca the transfe ror Banca price settled via Carige Carige Italia del Monte di Lucca payment 12-2016 133,373,764 - 65,868,049 60,691,223 6,814,492 -

Total 133,373,764 - 65,868,049 60,691,223 6,814,492 -

The amounts not covered by the loan granted were settled by liquidity from he securitised assets.

As at 31 December 2016 the covered bonds issued by Banca Carige following disposal of the foregoing assets to the Vehicle totalled EUR 3,080,500,000 for OBG1 and EUR 95,000,000 for OBG3.

Details on the bonds issued and their performance are set out in the Explanatory Notes - Section D – Other information.

Quota capital

The vehicle’s quota capital is held as follows: - 60% Banca Carige S.p.A. - 40% Stichting Otello, Amsterdam.

Pursuant to article 2497-bis of the Italian Civil Code, it is noted that the Company is subject to the Direction and Coordination of the Parent Company Banca Carige S.p.A.

Relations with the Parent Company, Banca Carige S.p.A.

of which Total (amounts denominated in Euro) Banca Carige 31.12.2016 S.p.A. BALANCE SHEET

Assets 60. LOANS AND RECEIVABLES 9,877 9,877 Liabilities 10. PAYABLES - - 90. OTHER LIABILITIES 32,729 18,300 120. QUOTA CAPITAL 10,000 6,000

INCOME STATEMENT

Costs 40. FEE AND COMMISSION EXPENSES - - 110b. OTHER ADMINISTRATIVE EXPENSES 29,347 18,300 Revenues 10. INTEREST INCOME 1 1

Under specific marked-to-market contracts, Banca Carige S.p.A. provides the Company with administrative services, auxiliary to its business.

The securitisation transaction - originally conceived of as a single-originator structure - was modified in order to allow other banks of the Banca Carige Group to transfer their mortgage loans to the vehicle Carige Covered Bond S.r.l.. Following such disposals, the contracts in place were integrated, entrusting the Group's transferring banks with the task of collecting receivables, paying them a fee for this collection service.

In addition, under the Corporate Services Contract, Banca Carige S.p.A. undertakes to provide Carige Covered Bond S.r.l. with all the necessary services to ensure the proper performance of its activities.

Treasury shares or quotas and/or shares or quotas of the Parent Company

The Company does not hold, nor did it hold during the period, any treasury shares or quotas and/or shares or quotas of the Parent Company either directly or through a trustee or an intermediary.

Research and Development

No specific R&D activities were conducted. Secondary offices

The Company has no secondary offices.

Employees

The Company has no employees.

Business performance

The vehicle performed regularly in 2016. Receivables collected by the Company since the OBG1 programme was put in place amount to EUR 4,803.2 mln, in line with the forecasts made when the transaction was structured. Receivables collected for the OBG3 programme amount to EUR 3.7 mln. Financial performance indicators are not included in this report as they are not considered relevant given the vehicle’s activities.

Risks and Uncertainties (art. 2428 of the Italian Civil Code)

As already pointed out in the introduction, the Company is the vehicle set up to carry out two medium to long-term issuance programmes for Banca Carige S.p.A., to be implemented via the issuance of covered bonds. From the banks of the Banca Carige Group S.p.A., the Company purchased 27 loan portfolios, consisting in residential and/or commercial mortgage loans. Therefore, pursuant to Italian Law no. 130/1999, the loans transferred to the vehicle are for all purposes segregated from the company’s assets, as a guarantee for bondholders. The risks associated with the securitisation are not borne by the company but by the bondholders and by the guarantors for the bonds issued, in particular the originators Banca Carige S.p.A. and Banca del Monte di Lucca S.p.A., which granted subordinated loans for settlement of the loans transferred. Given the nature of covered bond transactions, the amount of the loans pledged as collateral with respect to the bonds issued and the loan-backing mortgages available, the risks for bondholders are very limited.

Going concern and outlook

The Company will continue regularly with the covered bond issuance programme as described in the introduction. The purchase of a portfolio of mortgage loans originated by each bank of the Banca Carige Group during 2016 is expected to take place under the OBG1 programme in February 2017 , as was resolved upon by the Board of Directors’ meeting on 25 January 2017. The transfer of a pool of assets in the OBG1 equity to the transferring banks, with subsequent repurchase of the same pool for segregation in the OBG3 equity, is expected to take place in March 2017; the transaction was resolved upon by the Board of Directors’ meeting of 13 October 2016.

******

Dear Quotaholders, We propose that the financial statements and the report on operations as at 31 December 2016 be approved.

Genoa, 27 February 2017

The Board of Directors The Chairman (Mr. Alessandro Picollo) [signed on the original]

FINANCIAL STATEMENTS (AMOUNTS DENOMINATED IN EUROS)

BALANCE SHEET

Change Assets 31/12/2016 31/12/2015 absolute %

60. Loans and receivables 9,877 9,876 1 0.0

120. Tax assets - - - …. a) current - - - …. b) deferred - - - …. pursuant to Law no. 214/2011 - - - ….

140. Other assets 32,852 21,781 11,071 50.8

TOTAL ASSETS 42,729 31,657 11,072 35.0

Change Liabilities and quotaholders' Equity 31/12/2016 31/12/2015 absolute %

10. Financial liabilities - - - ….

90. Other liabilities 32,729 21,657 11,072 51.1

120. Quota capital 10,000 10,000 - -

TOTAL LIABILITIES AND QUOTAHOLDERS' EQUITY 42,729 31,657 11,072 35.0

INCOME STATEMENT Change Items 2016 2015 absolute %

10. Interest and similar income 1 1 - - NET INTEREST INCOME 1 1 - - NET FEE AND COMMISSION INCOME - - - …. NET INTEREST AND OTHER BANKING INCOME 1 1 - -

110 Administrative expenses (42,343) (31,343) 11,000 35.1 a) personnel expenses (12,996) (8,691) 4,305 49.5 b) other administrative expenses (29,347) (22,652) 6,695 29.6

160 Other operating income and expenses 42,342 31,342 11,000 35.1 OPERATING INCOME - - - …. PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS - - - …. 190 Taxes on income from continuing operations - - - …. PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS - - - …. NET PROFIT (LOSS) FOR THE YEAR - - - ….

STATEMENT OF COMPREHENSIVE INCOME

Change Items 2016 2015 absolute % 10 - NET INCOME (LOSS) FOR THE YEAR - - - …. Other comprehensive income (net of tax), without reversal to income statement Other comprehensive income (net of tax), with reversal to income statement 130 - Total other comprehensive income (net of tax) - - - ….

140 - TOTAL COMPREHENSIVE INCOME (Items 10 + 130) - - - ….

STATEMENT OF CHANGES IN QUOTAHOLDERS' EQUITY

Allocation of net income Changes in the year (loss) Quotaholders’ equity transactions of previous year

Changes in Dividends Purchase of Extraordinary Changes in reserves Issue of Other

Reserves and other treasury distribution of equity 31/12/2016 new shares changes 31/12/2016 at payout shares dividends instruments Amount as at 1/1/2016 at as Amount Amount as at 31/12/2015 at as Amount Quotaholders’ equity as at at as equity Quotaholders’ Change in opening balances opening in Change Total comprehensiveTotal income as

Quota capital 10,000 10,000 10,000

Share premium reserves

Reserves:

a) from profits b) other

Valuation reserves

Equity instruments

Treasury shares

Net income (loss)

Quotaholders' 10,000 10,000 10,000 equity

Allocation of net Changes in the year income (loss) Quotaholders’ equity transactions of previous year

Changes Dividends Issue of Purchase Extraordinary Changes in in reserves Other 31/12/2015

Reserves and other new of treasury distribution of equity 31/12/2015 at changes payout shares shares dividends instruments Amount as at 1/1/2015 at as Amount Amount as at 31/12/2014 at as Amount Quotaholders’ equity as at at as equity Quotaholders’ Change in opening balances opening in Change Total comprehensive income as

Quota capital 10,000 10,000 10,000

Share premium reserves

Reserves:

a) from profits b) other

Valuation reserves

Equity instruments

Treasury shares

Net income (loss)

Quotaholders' 10,000 10,000 10,000 equity

STATEMENT OF CASH FLOWS- DIRECT METHOD Amount A. OPERATING ACTIVITIES 31/12/2016 31/12/2015 1. CASH FLOWS FROM OPERATIONS (332) (6,527) - interest income received 1 1 - interest expense paid - - - dividend and similar income - - - net fees and commissions - - - personnel expenses (12,070) (9,024) - other costs (23,247) (31,960) - other income 34,984 34,456 - taxes and duties - - - costs/revenues from groups of assets held for sale after tax - - 2. CASH FLOW FROM (USED IN) FINANCIAL ASSETS (3,713) 6,527 - financial assets held for trading - - - financial assets designated at fair value through profit and loss - - - financial assets available for sale - - - due from banks - - - due from financial entities - - - due from customers - - - other assets (3,713) 6,527 3. CASH FLOW FROM (USED IN) FINANCIAL LIABILITIES 4,046 - - due to banks - - - due to financial entities - - - due to customers - - - securities issued - - - financial liabilities held for trading - - Financial liabilities designated at fair value through profit and loss - - - other liabilities 4,046 - Net cash flows from (used in) operating activities 1 (0) B. INVESTING ACTIVITIES 1. CASH FLOWS FROM - sales of equity investments - - - dividends collected on equity investments - - - sale/reimbursement of financial assets held to maturity - - - sales of property and equipment - - - sales of intangible assets - - - sales of subisidiaries business branches - - 2. CASH FLOWS USED IN - purchase of equity investments - - - purchase of financial assets held to maturity - - - purchase of property and equipment - - - purchase of intangible assets - - - purchase of subsidiaries and business branches - - Net cash flows from (used in) investing activities C. FUNDING ACTIVITIES - issue/purchase of treasury shares - - - issue/purchase of equity instruments - - - dividend distribution and other purposes - - Net cash flows from (used in) funding activities NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS (D=A+B+C) 1 (0) RECONCILIATION

31/12/2016 31/12/2015 Cash and cash equivalents at the beginning of the period 9,876 9,876

Net increase (decrease) in cash and cash equivalents during the period 1 (0)

Cash and cash equivalents at the end of the period 9,877 9,876

EXPLANATORY NOTES

Part A

ACCOUNTING POLICIES

A.1 – INTRODUCTION

Section 1 – Statement of compliance with the international accounting standards

The financial statements of the Company, approved by the Board of Directors during its meeting of 27 February 2017, were prepared in accordance with the International Accounting Principles IAS/IFRSs and related interpretations (SIC/IFRIC) as issued by the International Accounting Standards Board (IASB), endorsed by the European Commission and effective as at the close of these Financial Statements.

Pursuant to article 2 letter e) of Legislative Decree no. 38/2005 the Company, being consolidated in the Banca Carige S.p.A. Group in line with IFRS 10, prepares its financial statements in accordance with the international accounting principles issued by the International Accounting Standards Board (IASB) and the related interpretations of the International Financial Reporting Interpretations Committee (IFRIC), as ratified by the European Commission and transposed into Italian law through the foregoing Legislative Decree no. 38/2005. The Company continues to prepare its financial statements as an IFRS intermediary, according to the accounting standards issued by the International Accounting Standards Board, as this option is provided for by article 4 paragraph 6-bis of the same Legislative Decree no. 38/2005 introduced by Legislative Decree no. 230 of 29 December 2011 which extended the opportunity to prepare financial statements using the IAS/IFRS accounting standards also to those companies which, after preparation of the financial statements in accordance with the international accounting principles, no longer meet the conditions for the mandatory application of such principles. The financial statements are prepared according to the "Instructions for the preparation of financial statements and statements of cash flows of financial intermediaries, payment institutions, electronic money institutions, Asset Management Companies and securities investment firms" of 15 December 2015 issued by the Bank of Italy, although they have been replaced by the regulations of 9 December 2016 which cancelled from the regulating scope all references to securitisation vehicles, as the latter no longer qualify as non-banking financial intermediaries, pursuant to Legislative Decree 141/2010 and subsequent amendments.

Pending the enactment of new laws replacing the previous ones to regulate the financial reporting of securitisation vehicles, the present financial statements were prepared using the rules previously in force. The latter were considered the most suitable to provide information on the financial position, P&L result and cash flows of the Company, which is of use for the stakeholders to make economic decisions and which is at the same time consistent, reliable, comparable and understandable both in terms of business management and segregated assets. The decision was also based on the general principle of ensuring continuity in the description of operational events in order to increase the understanding of financial statements.

Section 2 - Preparation Criteria

The financial statements of Carige Covered Bond S.r.l. were prepared in accordance with the general guidelines set out in IAS 1.

- Financial statements and explanatory notes

With reference to the financial statements - Balance Sheet, Income Statement and Statement of Comprehensive Income -, items with no amounts reported for either the current or previous financial year are not shown. Items and tables with nil balances were not considered in the explanatory notes.

- Reporting currency and rounding off The Financial Statements were prepared in Euros.

In rounding off, the amounts of items, sub-items and “of which” decimals equal to or lower than EUR 50 cents are ignored; decimals greater than EUR 50 cents are rounded up to the nearest decimal. The rounded-off figures of each item are obtained by summing the rounded-off sub-items. The algebraic sum of differences from these roundings is shown under “Other assets/liabilities” in the Balance sheet and under “Other operating income/expenses” in the income statement.

- Statement of comprehensive income This statement includes income and expense recognised directly in equity for non-owner transactions. Owner transactions and the overall operating result are shown in the Statement of changes in quotaholders' equity. It is noted that no income or expense were recognised directly in equity and, therefore, all items included in this statement have a nil balance.

- Statement of changes in quotaholders' equity The statement of changes in quotaholders’ equity illustrates the breakdown and changes in quotaholders’ equity for the current and prior years.

- Statement of cash flows The statement of cash flows was prepared using the direct method as recommended by the Bank of Italy.

- Going concern The financial statements were prepared on a going concern basis: therefore assets, liabilities and off-balance-sheet transactions were measured according to their ongoing values.

- Accrual basis of accounting Costs and revenues are recognised, regardless of their monetary settlement date, according to the accrual and matching principles.

- Consistency of presentation Presentation and classification of items are kept consistent from one year to another to ensure comparability unless changes are required by an international accounting principle or interpretation or it is clear that another presentation or classification would be more appropriate for the reliable and material presentation of information. When the presentation or classification of items is changed, the corresponding amounts are restated accordingly, unless this is not feasible, and a description of the nature and reasons for the restatement is given.

- Materiality and aggregation

Each material class of similar items were presented separately in the Financial statements. Items of a different nature or with different allocation are presented separately, unless they are considered irrelevant.

- Netting Assets, liabilities, costs and revenues are not netted, unless required or permitted by an international accounting principle or interpretation or if this is expressly required by the financial statements in use for financial companies.

- Comparative information Comparative information in respect of the prior period is provided for all data reported in the financial statements, unless otherwise permitted by an international accounting principle or interpretation. Additional information is also provided when considered appropriate. When compatible with the IASs/IFRSs, national legislation was applied. The financial statements thus comply with Legislative Decree no. 87/1992, the articles of the Italian Civil Code and corresponding provisions of the Consolidated Law on Finance (TUF) applicable to reporting obligations for listed companies (Article 2428, Italian Civil Code), auditing (Article 2409-bis, Italian Civil Code) and publication of financial statements (Article 2435, Italian Civil Code).

- Transactions carried out

In light of the above, the Company continues to comply with the Bank of Italy's instructions of 15 December 2015 to prepare its Financial statements.

The Company has the sole purpose of acquiring loans through funding pursuant to Law n. 130/1999 , in connection with covered bonds transactions. The Company has recorded the acquired receivables and the other transactions connected with the covered bonds in the notes to the financial statements consistent with the provisions of Law n. 130/1999 according to which the receivables involved in each securitisation are in all respect separated from the assets of the Company and from those related to other securitisations.

Additionally, it is pointed out that with the publication of Legislative Decree no. 139/2015 in September 2015, applicable for annual periods commencing from 1 January 2016, important changes to the valuation criteria of some items in the financial statements were introduced for companies required to comply with both the accounting rules set by the Italian Civil Code and the Italian accounting standards.

It must be noted that, pending an explicit regulatory clarification on the applicability of these changes to the segregated assets of securitisation vehicles, the Company decided to keep the valuation criteria unchanged for the items of the prospectus, in accordance with the principle of continuity. Accounting information and qualitative and quantitative data on the covered bond transaction are disclosed in part D of these Explanatory Notes, “Other information” section.

Section 3 – Subsequent events

No relevant event is to be disclosed.

Section 4 - Other aspects

No other aspect is to be disclosed.

A.2 – MAIN ITEMS OF THE ACCOUNTS

The accounting standards applied in the preparation of the financial statements of Carige Covered Bond S.r.l. as at 31 December 2016 are illustrated below. In accordance with regulations, the presentation of financial statements requires that, for each class of assets and liabilities considered, an indication should be provided of the criteria adopted for the classification, recognition (initial and subsequent), measurement, cancellation and reporting of income component.

1. FINANCIAL ASSETS HELD FOR TRADING The Company has no financial assets held for trading.

2. FINANCIAL ASSETS AVAILABLE FOR SALE The Company has no financial assets available for sale.

3. FINANCIAL ASSETS HELD TO MATURITY The Company has no financial assets held to maturity.

4. LOANS AND RECEIVABLES This category includes trade receivables. These are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market and cannot be classified as financial assets available for sale. Loans and receivables are recognised when Carige Covered Bond S.r.l. becomes a party to the related contract. They must be unconditional. Short-term liabilities for which the time factor is negligible are recognised at thir nominal value. Loans and receivables are derecognised when the asset is sold, transferring substantially all the related risks and rewards of ownership, when the contractual rights expire or when the loan or receivable is considered definitively irrecoverable.

5. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE The Company has no financial assets designated at fair value.

6. HEDGING DERIVATIVES The Company has no hedging transactions in place.

7. EQUITY INVESTMENTS The Company has no equity investments.

8. PROPERTY AND EQUIPMENT The Company has no property and equipment.

9. INTANGIBLE ASSETS The Company has no intangible assets.

10. NON-CURRENT ASSETS HELD FOR SALE The Company has no non-current assets held for sale .

11. CURRENT AND DEFERRED TAXES The Company calculates taxes on income (current, deferred and prepaid) using tax rates applicable and recognises them in profit or loss, except for those attributable to items that are debited or credited directly to equity. Income tax provisions are calculated according to a forecast of the current, prepaid and deferred tax charges. Specifically, deferred tax assets and liabilities are calculated according to temporary differences - without time limits - between the value attributed to an asset or liability, based on statutory criteria, and the corresponding value accepted for tax purposes. Deferred tax assets are recognised in the financial statements to the extent their recovery is probable, assessed on the basis of the continued capacity of the company to generate positive taxable income. Deferred tax assets and liabilities are recognised in the Balance sheet, with open balances and without offsetting, under tax assets and tax liabilities, respectively. Deferred tax assets and liabilities are systematically assessed to take into account any changes in regulations or tax rates. The tax liabilities total is adjusted to meet charges that could derive from findings already notified or in any event from disputes pending with tax authorities. During 2016, there were no transactions generating current, deferred or prepaid taxes.

12. ALLOWANCES FOR RISKS AND CHARGES The Company has no allowances for risks and charges.

13. FINANCIAL LIABILITIES This category includes Due to banks, Due to financial entities and Due to customers.

Financial liabilities are:

- initially recognised at fair value; - subsequently measured at amortised cost using the effective interest method; - short-term liabilities for which the time factor is negligible are recognised at their nominal value;

- derecognised when the liabilities in question have matured or are settled, or repurchased in the case of previously issued securities. In this latter case, the difference between the carrying amount and the purchase cost is recognised through profit or loss.

14. FINANCIAL LIABILITIES HELD FOR TRADING The Company has no financial liabilities held for trading.

15. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE The Company has no financial liabilities designated at fair value.

16. FOREIGN CURRENCY TRANSACTIONS The Company has no foreign currency transactions in place.

17. OTHER INFORMATION Recognition of costs and revenues.

Revenues are recognised when they are collected or when it is probable that future economic benefits will be received and may be reliably measured. Costs are recognised on an accrual and correlation basis with respect to related revenues.

A.3 - INFORMATION ON TRANSFERS BETWEEN PORTFOLIOS OF FINANCIAL ASSETS

The Company does not own any financial assets other than those classified as loans to banks.

A.4 – INFORMATION ON FAIR VALUE

The Company does not own any assets and liabilities designated at fair value as it was set up as a vehicle to carry out the performing loans’ securitisation for Banca Carige S.p.A.

Part B

BALANCE SHEET

ASSETS

Section 6 – Loans and Receivables – Item 60

6.1 “Due from banks”

Total Total Composition 31/12/2016 31/12/2015

Fair value Fair value Book Book value value L1 L2 L3 L1 L2 L3

1. Deposits and current accounts 9,877 9,877 9,876 9,876

2. Loans - -

2.1 Repurchase agreements - -

2.2 Financial leasing - -

2.3 Factoring - -

- with recourse - -

- without recourse - -

2.4 Other loans - -

3. Debt securities - -

- structured securities - -

- other debt securities - -

4. Other assets - -

Total 9,877 - 9,877 - 9,876 - 9,876 -

The fair value of loans and receivables as at 31 December 2016 corresponds to their book value, as they are loans repayable on demand.

Section 14 – Other assets – Item 140

14.1 Item 140 “Other assets”

This item includes:

Nature of the item Totale 31/12/2016 Totale 31/12/2015

Advance payments for 3,714 - services Receivables on 23,038 21,780 securitisation Obg1 Receivables on 6,100 - securitisation Obg3

Total other assets 32,852 21,780

The item “Loans to securitised assets” represents the amount payable to the Company for “the segregated assets” used to cover the running expenses necessary for the Company to operate.

LIABILITIES

Section 9 – Other liabilities – Item 90

9.1 Item 90 “Other liabilities”

Total Total Type of liability 31/12/2016 31/12/2015 Tax payables on withholding tax claimed to third parties 1,820 1,370 Payables to I.N.P.S. contributions 809 - Trade payables 22,014 12,200 Other payables 8,086 8,087 Total 32,729 21,657

Section 12 – Equity – Items 120, 130, 140, 150

12.1 Analysis of item 120 “Quota Capital”

Type Amount

1. Quota capital 10,000 1.1 Ordinary shares - 1.2 Other shares -

The Parent Company Banca Carige S.p.A holds 60% of the Company’s quota capital, while the remaining 40% is held by the Stichting Otello Foundation.

Part C

INCOME STATEMENT

Section 1 – Interest – Items 10 and 20

1.1 Breakdown of item 10 “Interest and similar income”

Debt Assets Total Total Items/Technical forms Loans Other securities Impaired 31/12/2016 31/12/2015

1. Financial assets held for trading ------

2. Financial assets designated at fair value ------

3. Financial assets available for sale ------

4. Financial assets held to maturity ------

5. Loans and receivables - 1 - - 1 1

5.1 Due from banks - 1 - - 1 1

5.2 Due from financial entities ------

5.3 Due from customers ------

6. Other assets X X - - - -

7. Hedging derivatives X X - - - -

Total - 1 - - 1 1

This item includes interest income accrued during the year on the bank account.

Section 9 – Administrative expenses – Item 110

9.1 Breakdown of Item 110.a “Personnel expenses”

Total Total Items/Sectors 31/12/2016 31/12/2015

1. Employees - -

a) wages and salaries - -

b) social security contributions - -

c) employee severance pay - -

d) welfare expenditure - -

e) provision for employee severance pay - -

f) provision for pension fund and similar obligations:

- defined contribution

- defined benefit

g) contributions to external complementary pension funds - defined contribution - defined benefit h) other expenses - - 2. Other staff - - 3. Directors and Statutory Auditors 12,996 8,691 4. Retired personnel - - 5. Expense recovery for employees seconded to other companies - - 6. Expense recovery for employees seconded to the Company - - Total 12,996 8,691

9.2 Average number of employees by category

The Company has no employees but it is supported, for the purposes of its business, by the Parent Company’s staff, as provided for in the Corporate Services Contract under which Banca Carige S.p.A. undertakes to provide Carige Covered Bond S.r.l. with all the services necessary to ensure the proper performance of its activities.

9.3 Breakdown of item 110.b “Other administrative expenses”

Total Total Description 31/12/2016 31/12/2015 Administrative expenses - - Remuneration for administrative services 18,300 12,200 Remuneration for external professionals 10,617 10,012 Other taxes 430 440 Total 29,347 22,652

Section 14 – Other operating income and expenses – Item 160

14.1 Breakdown of item 160 “Other operating income”

Total Total Description 31/12/2016 31/12/2015 Other income - - Repayments from securitised assets - OBG1 36,242 31,342 Repayments from securitised assets - OBG3 6,100 -

Total 42,342 31,342

These mainly comprise the proceeds from charging to the segregated assets the costs incurred and accrued as at the reporting date, which are necessary to preserve the company's existence.

Part D

OTHER INFORMATION

Section 1 – Specific information on the core business

F. SECURITISATION OF LOANS AND RECEIVABLES

OBG1 PROGRAMME

F1 - Summary of securitised assets and bonds issued

SITUATION AS AT SITUATION AS AT 31 DECEMBER 2016 31 DECEMBER 2015 A. SECURITISED ASSETS 4,251,041,805 4,498,333,439 A1 Loans and Receivables 4,251,041,805 4,498,333,439 A1 1 Loans - residual debt 4,222,336,107 4,463,191,538 A1 2 Loans - Outstanding instalments 28,534,162 34,882,490 A1 3 Accrued interest on loan 171,536 259,411 A2 Securities - - A3 Other - - B. INVESTMENT OF CASH GENERATED 165,283,500 203,038,030 THROUGH CREDIT MANAGEMENT

B1 Debt securities - - B2 Equity instruments - - B3 Other 165,283,500 203,038,030 B3 1 Cash and cash equivalents 104,715,433 136,416,021 B3 2 Accrued income on Covered Bond Swap 8,926,222 13,285,263 B3 3 Receivables on Covered Bond Swap - - B3 4 Other loans 51,641,845 53,336,746 TOTAL ASSETS 4,416,325,305 4,701,371,469 C. SECURITIES ISSUED - - D. FUNDING RECEIVED 4,358,461,298 4,072,945,651 D 1 Subordinated loans granted by originator Banks 4,358,461,298 4,072,945,651 E. OTHER LIABILITIES 57,864,007 628,425,818 E 1 Payables to Carige for interest on initial price - - E 2 Trade payables 25,329 56,365 E 3 Advances from future instalments 876,546 101,764 E 4 Payables to corporate governance 23,038 21,780 E 5 Payables to Carige for price of subsequent disposals - 559,049,045 E 6 Payables - additional interest on subordinated loan 22,814,490 44,073,945 E 7 Payables - Swap fees - - E 8 Accrued expenses on base interest on subordinated loan 8,905,051 3,708,826 E 9 Accrued expenses on Cover Pool Swap 418,916 478,479 E 10 Payables to bank for servicing commissions 346,533 350,083 E 11 Loan loss reserve 23,420,207 19,661,326 E 12 Other payables 1,033,897 924,205 TOTAL LIABILITIES 4,416,325,305 4,701,371,469

F. INTEREST EXPENSE ON - - SECURITIES ISSUED G. FEES AND COMMISSIONS 2,941,147 2,703,328 CHARGED ON TRANSACTION G 1 For servicing 2,919,508 2,597,515 G 2 For other services 21,639 105,813 H. OTHER CHARGES 141,714,422 144,243,770 H 1 Expense reimbursement to corporate 36,242 31,342 H 2 Base interest on subordinated loan 53,819,003 44,649,063 H 3 Interest expense on loans purchase price - - H 4 Additional interest on subordinated loan 61,717,627 80,607,097 H 5 Cover Pool Swap fees 15,486,275 18,914,222 H 6 Fees on impairment losses of receivables 10,127,042 - H 7 Other expenses 528,233 42,046 I. INTEREST GENERATED BY 109,560,946 115,061,962 SECURITISATIONS L. OTHER INCOME 35,094,623 31,885,136 L 1 Interest income on current accounts - - L 2 Reversals of impairment on loan valuation - - L 3 Net proceeds on Covered Bond Swap 33,710,946 30,609,285 L 4 Other proceeds from securitisations 1,383,677 1,275,851

Structure, Format and Valuation Criteria used to prepare the Summary of securitised assets and bonds issued

The structure and format of the Summary comply with Bank of Italy’s guidance set forth in its Ruling dated 15 December 2015 and subsequently replaced by the new provisions of 9 December 2016. Specifically, the valuation criteria used for the most significant items are set out below. It should be noted that, pending official judgement on the merits, the valuation criteria are not affected by the amendments introduced by Italian Legislative Decree no. 139/15, but are consistent with the valuation criteria used in the previous years. The criteria, are indeed more suitable to be reflective of both the financial nature of the Company and to allow a link between its present Financial statements and the remaining mandatory financial information of the Company. All the items are consistent with the figures contained in the accounting records and in the Servicers’ information systems of the Banca Carige Group.

1 Securitised assets – Loans and receivables The securitised loans and receivables are recognised in item A1 at their gross carrying amount as they represent the guarantee for the holders of the covered bonds issued by Banca Carige S.p.A. They have been evaluated applying the same methods used by Banca Carige to measure its loans and receivables. The allowance for impairment is shown in the liabilities section under the item “other liabilities”.

2 Lending - Loans to banks They are shown at their nominal value, which corresponds to their realisable value.

3 Interest, fees and commissions, income and expenses Income and expenses relating to the securitised assets and bonds issued, interest, fees and commissions, other expenses and revenue are recognised on an accruals basis.

4 Additional remuneration from the subordinated loan Subordinated loans granted by the banks of Gruppo Carige S.p.A. accrue Base Interest calculated at 1% interest rate on the actual amount of each subordinated loan. Besides this interest, additional remuneration equal to the difference between the vehicle’s revenues and expenses is paid. This additional interest is settled according to the order of priority of the payments and depending on the available funds, as established in the Subordinated loan agreement.

QUALITATIVE INFORMATION

F.2) Description and performance of the transaction

Carige Covered Bond S.r.l. is the vehicle used to segregate the loans as a guarantee to the bondholders of the covered bonds issued by Banca Carige S.p.A. under a medium/long-term funding programme launched on 5 December 2008. This programme was renewed by a resolution of the Board of Directors on 16 September 2013.

During the financial year 2016, 3 new purchases of receivables were carried out by each bank of Gruppo Banca Carige S.p.A. participating in the programme.

The purchase of a portfolio of mortgages originated by each of the banks of the Banca Carige Group during 2016 is scheduled to take place in February, as resolved upon by the Board of Directors’ meeting on 25 January 2017. A pool of assets included in the OBG1 equity is scheduled to be sold to the transferring banks in March with subsequent repurchase of the same pool to be segregated in the OBG3 equity; the transaction was resolved upon by the Board of Directors’ meeting of 13 October 2016.

Loans transferred

The general principle applied in identifying portfolios to be transferred to the vehicle was the same regardless of the transferring bank.

Specifically, the pool of transferred loans consists of performing residential and commercial mortgage loans for which, at the transfer date, the amount of outstanding loans combined with the outstanding principal of any previous loans with higher-lien mortgages on the same property, is not higher than fixed percentages of the value of the mortgaged property (i.e. 80% for residential mortgage loans and 60% for commercial mortgage loans).

The transferred loans must be top-quality in order to deliver greater assurance to the bondholders. Should the loans no longer meet the above requirements, the loan portfolio will need to be integrated with the purchase of other loans or the replacement of those that are no longer compliant, to ensure that the portfolio always meets the requirements defined in the legislation applicable to covered bonds.

Other purchases of loans and bond issuances by Banca Carige S.p.A. will take place under the programme.

Transfer price

The table below shows the details, as at 31 December 2016, of the individual transfers occurred since the beginning of the securitisation, specifically the transfer price, the transferring bank and the payment method. In 2015 Cassa di Risparmio di Savona and Cassa di Risparmio di Carrara were merged by absorption into the Parent Company Banca Carige S.p.A.; in the fourth quarter of 2016 Banca Carige Italia S.p.A. was also merged by absorption into the Parent Company.

Portion of the Portion of the Portion of the sale price settled Date Transfe r price Transfe ror Bank sale price to be sale price settled through a settled via payment subordinated loan 16/11/2008 1,505,288,305 Banca Carige - 1,505,288,305 - 28/09/2009 1,034,318,857 Banca Carige - 848,318,857 186,000,000 26/07/2010 847,337,674 Banca Carige - 597,337,674 250,000,000 21/02/2011 634,148,588 Banca Carige - 444,148,588 190,000,000 16/05/2011 413,836,378 Banca Carige - 308,836,378 105,000,000 23/05/2011 290,453,245 Cassa di Risparmio di Savona - 290,453,245 - 23/05/2011 166,008,748 Cassa di Risparmio di Carrara - 166,008,748 - 23/05/2011 168,750,756 Banca Monte di Lucca - 168,750,756 - 24/10/2011 414,567,759 Banca Carige - 229,567,759 185,000,000 20/01/2012 385,008,744 Banca Carige - 245,008,744 140,000,000 25/06/2012 622,567,530 Banca Carige - 450,567,530 172,000,000 10/06/2013 175,830,349 Banca Carige - 43,830,349 132,000,000 10/06/2013 192,403,711 Banca Carige Italia - 48,403,711 144,000,000 10/06/2013 50,273,739 Cassa di Risparmio di Carrara - 12,273,739 38,000,000 10/06/2013 69,976,216 Banca Monte di Lucca - 16,976,216 53,000,000 10/06/2013 109,150,050 Cassa di Risparmio di Savona - 26,150,050 83,000,000 28/09/2015 187,328,398 Banca Carige - 187,328,398 - 28/09/2015 230,994,322 Banca Carige Italia - 230,994,322 - 28/09/2015 41,399,200 Cassa di Risparmio di Carrara - 41,399,200 - 28/09/2015 32,283,930 Banca Monte di Lucca - 32,283,930 - 28/09/2015 67,043,195 Cassa di Risparmio di Savona - 67,043,195 - 15/02/2016 205,805,510 Banca Carige - - 205,805,510 15/02/2016 218,528,280 Banca Carige Italia 135,466,603 - 83,061,677 15/02/2016 19,132,813 Banca Monte di Lucca - - 19,132,813 8,082,436,297 135,466,603 5,960,969,694 1,986,000,000

Covered bonds

Issuances are summarised in the table below:

Informations about the issue Amount held by Issue amount Date of Issue Maturity date Group's companies 75,000,000 20.9.2010 20.9.2030 - 20,000,000 4.10.2010 25.10.2022 - 20,000,000 25.10.2010 25.10.2040 - 20,000,000 25.10.2010 25.10.2040 - 18,500,000 15.11.2010 25.11.2030 - 20,000,000 25.11.2010 25.11.2030 - 40,000,000 27.12.2010 27.12.2030 - 30,000,000 23.4.2012 23.4.2032 - 150,000,000 31/10/2012 25.10.2022 - 17,000,000 2/11/2012 2.11.2032 - 50,000,000 5/11/2012 5.11.2032 - 10,000,000 6/11/2012 26.10.2032 - 5,000,000 16/01/2013 25.1.2023 - 5,000,000 25.1.2013 25.1.2028 - 10,000,000 29.8.2013 29.8.2033 - 750,000,000 24.10.2013 24.10.2018 - 10,000,000 5.6.2014 25/05/2029 - 500,000,000 28.10.2015 28.1.2021 - 500,000,000 25.2.2016 25.2.2021 500,000,000.00 830,000,000 28.11.2016 25.1.2022 830,000,000.00 3,080,500,000.00 1,330,000,000.00

The issuances until 31 December 2016 and not yet coming to maturity are listed above and amount to EUR 3.1 bn.

Outstanding securities as at 31 December 2016 were rated as follows:

Moody's Ba1 Fitch BBB+ DBRS BBB

Performance

The transaction, commencing in the last two months of 2008, is performing regularly. In particular, revenue made until 31 December 2016 totalled EUR 4,803.2 mln, in line with the expectations set out when the transaction was structured.

As at 31 December 2016, the loan portfolio includes mortgage loan contracts with an aggregate outstanding principal of EUR 4,222.3 mln.

F.3) Parties involved

Following the involvement of the other banks of the Carige Group in the securitisation, Banca Carige S.p.A. acts as Master Servicer. Under this role, it collects its own loans and receivables transferred to the vehicle and records the proceeds of the entire securitisation. The other banks involved act as Additional Servicers and, as such, cater for the proceeds of the loans and receivables they transferred.

Banca Carige S.p.A. carries out, on a monthly basis, tests aimed at verifying that the transaction is balanced, in particular in terms of the ratio between covered bonds issued and assets transferred, adequacy of the risk hedging instruments and cash-flow matching.

Deutsche Bank AG acts as Cash Manager and Account Bank; therefore all funds collected are centralised to its London branch.

Banca Carige S.p.A. is the issuer of the covered bonds.

UBS Investment Bank, RBS Royal Bank of Scotland and Natixis are the Joint Arrangers and Dealers in the deal structuring.

Clifford Chance acted as Legal Advisor to Banca Carige S.p.A. while Allen & Overy assisted the Joint Advisers.

The independent auditing company BDO Italia S.p.A. is in charge of verifying the regularity of the transaction and the integrity of the guarantee given in favour of the investors (Asset Monitor).

EY S.p.A. audits the vehicle’s financial statements and annually monitors the servicing provided by Banca Carige S.p.A.

Fitch Ratings Limited and Moody’s Investors Service carry out the formalities concerning the rating assigned to the bonds issued.

Deutsche Bank also acts, directly and through its subsidiaries, as the Bondholder Representative, Listing Agent, Principal Paying Agent and Italian Paying Agent.

Zenith Servicer S.p.A. acts as the Bus Facilitator Servicer and Backup Servicer.

F.4) Bond issuances: features

In covered bond transactions, the bonds are not issued by the vehicle but by the Parent Company, Banca Carige S.p.A.

The Company is in fact the vehicle in which assets are segregated as a guarantee for the holders of bonds issued by the Parent Company.

Data and information about the bonds issued have already been provided in Section F.2 of these Explanatory Notes.

F.5) Ancillary financial transactions

In order to guarantee fulfilment of the obligations arising from the bonds issued by Banca Carige S.p.A., the vehicle has set up a Cash Reserve of EUR 11.0 mln as at 31.12.2016, using funds available from interest earned. This Reserve covers the expected liquidity needs to make payments to third parties and is adjusted at each payment date.

To pay the purchase price of loans acquired, the Company enters into a subordinated loan contract with each transferring bank for the amount which is not payable through liquidity available. The amount of debts outstanding as at 31.12.2016 totalled EUR 4.2 bn, in the form of a subordinated loan.

For the purpose of hedging liquidity risks, the vehicle entered into a series of swap agreements with Credit Suisse International.

A Mortgage Pool Swap contract was entered into to convert the interest flows on the loans purchased with different benchmark rates into a flow of interest set at one-month Euribor plus 203.80 bps. As at 31.12.2016, the fair value of the hedging derivative was a negative EUR 56,323,521.

Via several Bond Swaps, the vehicle pays the counterparty a monthly sum equal to the floating Euribor increased by the contractually agreed spread and , at the same maturity date of coupons on the bonds issued by Banca Carige, it receives an annual fixed rate equal to the coupons' rate. As at 31 December 2016, the total fair value of these hedging derivatives was a positive EUR 55,449,034.

F.6) The transferee's operating powers

The transferee’s operating powers are those typically given to securitisation vehicles. On the one hand, its powers and proxies are aimed at and limited to managing the securitised assets, with no possibility to carry out any other activity; on the other hand, all safeguards have been taken to protect the interests of the holders of the bonds placed on the market.

QUANTITATIVE INFORMATION

F.7) Cash flows from loans and receivables

This section provides information about the initial amounts of the securitised assets at the transfer date, as well as the overall increases and decreases occurring during the prior and the current year.

SITUATION AT THE TRANSFER DATE 01.11.08 1,507,307,955.00 LOANS AND RECEIVABLES 1,501,971,347.00 INSTALMENTS FALLEN DUE - INTEREST 982,361.00 INSTALMENTS FALLEN DUE - PRINCIPAL 916,907.00 ACCRUALS ON INTERESTS 3,437,340.00

INCREASES FROM 2008 TO 2014 7,194,435,918.58 INTEREST ACCRUED ON LOANS 869,498,162.59 RESCHEDULING 8,477,751.96 LOAN ACQUISITION FROM TRANSFEROR BANK 6,316,460,004.03

DECREASES FROM 2008 TO 2014 4,203,701,289.83 COLLECTED INSTALMENTS - PRINCIPAL 1,808,270,189.99 COLLECTED INSTALMENTS - INTEREST 878,178,357.96 REDUCTION PAYABLES FOR EARLY REPAYMENT 1,206,122,597.06 LOAN REPURCHASE FROM TRANSFEROR BANK 284,861,294.70 COLLECTED INTEREST ON EARLY REPAYMENT 26,268,850.12

SITUATION AS AT 31.12.2015 4,498,042,583.75 LOANS AND RECEIVABLES 4,463,191,537.73 INSTALMENTS FALLEN DUE - INTEREST 8,260,453.63 INSTALMENTS FALLEN DUE - PRINCIPAL 26,331,181.01 ACCRUALS ON INTERESTS 259,411.38

INCREASES 2016 554,037,591.31 INTEREST ACCRUED ON LOANS 108,626,242.04 RESCHEDULING 499,027.54 LOAN ACQUISITION FROM TRANSFEROR BANK 444,912,321.73

DECREASES 2016 801,038,370.05 COLLECTED INSTALMENTS - PRINCIPAL 347,178,326.44 COLLECTED INSTALMENTS - INTEREST 109,686,600.36 REDUCTION PAYABLES FOR EARLY REPAYMENT 266,496,238.46 LOAN REPURCHASE FROM TRANSFEROR BANK 76,729,322.49 COLLECTED INTEREST ON EARLY REPAYMENT 947,882.30

SITUATION AS AT 31.12.2016 4,251,041,805.01 LOANS AND RECEIVABLES 4,222,336,107.32 INSTALMENTS FALLEN DUE - INTEREST 6,333,498.59 INSTALMENTS FALLEN DUE - PRINCIPAL 22,200,663.31 ACCRUALS ON INTERESTS 171,535.79

F.8) Trend in past due exposures

As at 31.12.2015 34,591,635 of which Instalments fallen due - principal 26,331,181 Instalments fallen due - interest 8,260,454

Decreases in 2016 6,057,473 Instalments fallen due - principal 4,130,518 Instalments fallen due - interest 1,926,955

Increases in 2016 - Instalments fallen due - principal - Instalments fallen due - interest -

As at 31.12.2016 28,534,162 of which Instalments fallen due - principal 22,200,663 Instalments fallen due - interest 6,333,499

The covered bond transaction was structured so as to replace those loans that no longer meet the requirements for being an eligible guarantee for the bondholders. In 2016, no-longer-eligible net loans amounting to EUR 80.6 mln were transferred to the originators.

The repurchases, net of the impairment allowance, are summarised in the following table:

Banks which repurchased their loans Grantback Cassa di Cassa di Transfe r price Banca Carige Banca Monte pe riod Banca Carige Risparmio di Risparmio di Italia di Lucca Savona Carrara marzo 2012 8,538,943 8,146,916 - 170,841 - 221,186 luglio 2012 10,866,391 10,560,365 - 115,497 105,591 84,938 ottobre 2012 12,939,385 12,132,093 - 125,581 322,731 358,980 dicembre 2012 9,502,272 9,221,346 - 36,253 134,013 110,660 aprile 2013 21,998,960 6,039,128 14,867,911 451,434 255,976 384,511 luglio 2013 14,488,341 5,459,578 8,282,795 259,337 27,383 459,248 novembre 2013 32,791,400 9,242,672 22,192,287 446,628 485,101 424,712 febbraio 2014 20,491,380 9,169,578 8,821,060 358,763 191,304 1,950,675 aprile 2014 14,956,490 6,148,391 6,322,975 1,632,991 204,914 647,219 settembre 2014 30,790,218 12,952,590 15,893,525 968,246 600,528 375,329 dicembre 2014 71,915 - - - 71,915 - dicembre 2014 22,538,544 5,880,221 13,601,063 2,111,682 388,444 557,134 febbraio 2015 19,946,077 6,772,908 11,328,168 418,479 304,227 1,122,295 luglio 2015 19,812,376 7,257,108 11,376,491 414,096 278,611 486,070 novembre 2015 18,015,500 5,671,263 9,053,543 681,462 1,579,679 1,029,553 gennaio 2016 10,797,691 4,669,738 5,789,293 - - 338,660 mazo 2016 14,508,792 11,199,984 3,308,808 - - - maggio 2016 15,783,152 8,264,233 6,868,512 - - 650,407 giugno 2016 515,895 224,869 291,026 - - - agosto 2016 161,150 161,150 - - - - settembre 2016 19,628,578 11,269,317 7,643,582 - - 715,679 ottobre 2016 693,043 693,043 - - - - novembre 2016 340,589 340,589 - - - - dicembre 2016 18,115,875 17,559,141 - - - 556,734 Total 338,292,957 169,036,221 145,641,039 8,191,290 4,950,417 10,473,990

F.9) Cash flows

Collections of loans and receivables amounted to EUR 798.2 mln during 2016, including EUR 80.6 mln arising from disposal of gross loans to the originating bank.

Funds from interest earned and other income totalling EUR 107.1 mln were used to pay servicing commissions to the transferring banks, base interest on the subordinated loan granted by the transferring banks, additional interest on the subordinated loan, swap costs, costs for the set-up and adjustment of the Cash Reserve, and other costs.

Amounts collected by way of principal since the transaction was structured, were used to purchase new loans for an amount of EUR 1.986 bn. Cash amounts by way of principal pledged as collateral for the bonds issued, after the payments made in January 2017 in relation to collections referring to December 2016, amount to EUR 125.2 mln.

Given the transaction’s nature which involves inflows and outflows to and from the securitised asset pool, expected collections cannot be quantified in advance.

F.10) Status of guarantees and lines of liquidity

Please see paragraph F.5.

F.11) Breakdown by term to maturity

The securitised assets relate to mortgage loans, which implies that they have pre-established repayment plans. Below is the pool of securitised assets broken down by their term to maturity.

MATURITY RANGE OUTSTANDING % NUMBER OF % DEB T OUTSTANDING CONTRACTS CONTRACTS DEB T Up to 3 months 451,601 0.01 388 0.68 3 months to 1 year 9,520,470 0.22 1,301 2.29 1 to 5 years 289,567,625 6.86 10,097 17.76 Over 5 years 3,922,796,411 92.91 45,079 79.27 TOTAL 4,222,336,107 100.00 56,865 100.00

F.12) Breakdown by geography

All loans and receivables are denominated in Euros and all borrowers are resident in Italy.

F.13) Concentration of risk

As at 31.12.2016, the outstanding loan portfolio consists of 58,664 mortgages. The loan portfolio is broken down into the following ranges:

BRACKET FROM TO NUMBER OF % OUTSTANDING DEBT % OUTSTANDING DEBT CONTRACTS CONTRACTS CAPITAL 1 - 25,000 11,099 19.52 154,444,028 3.66 2 25,001 75,000 24,072 42.33 1,162,276,167 27.52 3 75,001 250,000 20,490 36.03 2,424,346,125 57.42 4 250,000 99,999,999 1,204 2.12 481,269,787 11.40 TOTALE 56,865 100.00 4,222,336,107 100.00

It is noted that, as at 31.12.2016, no individual loan positions exceeded 2% of the total portfolio.

OBG3 PROGRAMME

F1 - Summary of securitised assets and bonds issued

SITUATION AS AT 31 DECEMBER 2016 A. SECURITISED ASSETS 130,694,011 A1 Loans and receivables: 130,694,011 A1 1 Loans – residual debt 129,949,743 A1 2 Loans – outstanding instalments 577,166 A1 3 Loans – overdue interest instalments 155,698 A1 4 Accrued interest on loan 11,403 A2 Securities - A3 Other - B. INVESTMENT OF CASH GENERATED 3,858,962 THROUGH CREDIT MANAGEMENT

B1 Debt Securities - B2 Equity instruments - B3 Other: 3,858,962 B3 1 Cash and cash equivalents 2,590,519 B3 2 Other loans 1,268,443 TOTAL ASSETS 134,552,973 C. SECURITIES ISSUED - D. FUNDING RECEIVED 133,373,764 D 1 Subordinated loans granted by originator Banks 133,373,764 E. OTHER LIABILITIES 1,179,209 E 1 Payables to Carige for interest on initial price - E 2 Payables to transferor - transfer price interests - E 3 Trade payables 1,417 E 4 Advances from future instalments 9,465 E 5 Payables to corporate governance 6,100 E 6 Accrued expenses on base interest on subordinated loan 92,621 E 7 Payables - additional interest on subordinated loan 537,232 E 8 Payables to bank for servicing commissions 15,901 E 9 Loan loss reserve 173,961 E 10 Other payables 342,511 TOTAL LIABILITIES 134,552,973

F. INTEREST EXPENSE ON SECURITIES ISSUED -

G. FEES AND COMMISSIONS CHARGED ON 17,318 TRANSACTION G 1 For servicing 15,901 G 2 For other services 1,417 H. OTHER CHARGES 635,953 H 1 Base interest on subordinated loan 92,621 H 2 Additional interest on subordinated loan 537,232 H 3 Interest expense on loans purchase price - H 4 Expense reimbursement to corporate governance 6,100 H 5 Fees on impairment losses of receivables - H 6 Other expenses - I. INTEREST GENERATED BY 343,772 SECURITISATIONS L. OTHER INCOME 309,498 L 1 Interest income on current accounts - L 2 Reversals of impairment on loan valuation 301,376 L 3 Net proceeds on Covered Bond Swap 8,122 L 4 Other proceeds from securitisations -

Structure, Format and Valuation Criteria used to prepare the Summary of securitised assets and bonds issued

The structure and format of the Summary comply with Bank of Italy’s guidance set forth in its Ruling dated 15 December 2015 and subsequently replaced by the new provisions of 9 December 2016. Specifically, the valuation criteria used for the most significant items are set out below. It should be noted that, pending official judgement on the merits, the valuation criteria are not affected by the amendments introduced by Italian Legislative Decree no. 139/15, but are consistent with the valuation criteria used in the previous years. The criteria, are indeed more suitable to be reflective of both the financial nature of the Company and to allow a link between its present Financial statements and the remaining mandatory financial information of the Company. All the items linked to securitised assets correspond to the figures contained in the accounting records and in the Servicers’ information systems of Gruppo Banca Carige S.p.A.

1 Securitised assets – Loans The securitised loans and receivables are recognised in item A1 at their gross carrying amount as they represent the guarantee for the holders of the covered bonds issued by Banca Carige S.p.A. They were evaluated by applying the same methods used by Banca Carige to measure its loans and receivables. The allowance for impairment is shown in the liabilities section under “other liabilities”.

2 Lending - Loans to banks They are shown at their nominal value, which corresponds to their realisable value.

4 Additional remuneration from the subordinated loan Subordinated loans granted by the banks of the Carige Group accrue Base Interest calculated at 1% interest rate on the actual amount of each subordinated loan. Besides this interest, additional remuneration equal to the difference between the vehicle’s revenues and expenses is paid. This additional interest is settled according to the order of priority of the payments and depending on the available funds, as established in the Subordinated loan agreement.

QUALITATIVE INFORMATION

F.2) Description and performance of the transaction

The company is a vehicle set up to carry out a medium/long-term funding programme for Banca Carige S.p.A. via the issuance of covered bonds. As described in the Introduction, the programme was launched on 6 December 2016.

Carige Covered Bond S.r.l. is the vehicle used to segregate the loans pledged as a guarantee for the bondholders.

During the financial year 2016, 3 purchases of receivables were carried out by each bank of the Gruppo Banca Carige S.p.A. participating in the programme.

A pool of assets is planned to be segregated in the OBG3 equity in March 2017; the transaction was resolved upon by the Board of Directors’ meeting of 13 October 2016.

Loans transferred

The general principle applied in identifying portfolios to be transferred to the vehicle was the same regardless of the transferring bank.

Other purchases of loans and bond issuances by Banca Carige S.p.A. will take place under the programme.

Transfer price

The table below shows the details, as at 31 December 2016, of the individual transfers occurring since the securitisation was initiated, specifically transfer price, transferring bank and payment method. In December 2016, after the purchase of loans and receivables, Banca Carige Italia S.p.A. was merged by absorption into the Parent Company Banca Carige S.p.A.

Portion of the Portion of the Portion of the sale price settled Date Transfe r price Transfe ror Bank sale price to be sale price settled through a settled via payment subordinated loan 06/12/2016 65,868,049 Banca Carige - 65,868,049 - 06/12/2016 60,691,223 Banca Carige Italia - 60,691,223 - 06/12/2016 6,814,492 Banca Monte Lucca - 6,814,492 -

133,373,764 - 133,373,764 -

Covered bonds

Issuances are summarised in the table below:

Informations about the issue Maturity Amount held by Group's Issue amount Date of Issue date companies 95,000,000 29.12.2016 25.5.2022 95,000,000.00

95,000,000.00 95,000,000.00

The issuances until 31 December 2016 and not yet coming to maturity are listed above and amount to EUR 95 mln.

Outstanding securities as at 31/12/2016 were rated A3 by Moody’s.

Transaction overall performance

The transaction, structured in the last two months of 2016, is performing regularly. In particular, overall collections for the period totalled EUR 3.7 mln.

As at 31 December 2016, the loan portfolio includes mortgage loan contracts with an aggregate outstanding principal of EUR 129.9 mln.

F.3) Parties involved

Banca Carige S.p.A. is the issuer of the covered bonds.

Acting as the Master Servicer, it collects its own loans and receivables transferred to the vehicle and records the proceeds of the entire securitisation. Banca del Monte di Lucca, another

51 transferring bank, acts as an Additional Servicer and, in this capacity, collects the proceeds of its own transferred loans and receivables.

In addition, Banca Carige S.p.A. acts as Calculation Agent, Account Bank, Investment Manager and Corporate Servicer.

In the structuring of the transaction, UBS Limited, The Royal Bank Of Scotland Plc and Credit Suisse Securities (Europe) Limited acted as Dealers.

The Milan-based branch of BNP Paribas Securities Services, where all funds are centralised, acts as Cash Manager, Transaction Bank and Principal Paying Agent.

BDO Italia S.p.A. is in charge of verifying the regularity of the transaction and the integrity of the guarantee given in favour of the investors (Asset Monitor).

EY S.p.A. audits the vehicle’s financial statements and annually monitors the servicing provided by Banca Carige S.p.A.

Fitch Ratings Limited and Moody’s Investors Service Limited carry out the formalities concerning the rating assigned to the bonds issued.

Deutsche Trustee Company Limited acts as Bondholder Representative.

Zenith Service S.p.A. acts as Backup Servicer and Guarantor Calculation Agent.

F.4) Bond issuances: features

In covered bond transactions, the bonds are not issued by the vehicle but by the Parent Company, Banca Carige S.p.A.

The Company is in fact the vehicle in which assets are segregated as a guarantee for the holders of bonds issued by the Parent Company.

Data and information about the bonds issued have already been provided in Section F.2 of these Explanatory Notes.

F.5) Ancillary financial transactions

In order to guarantee fulfilment of the obligations arising from the bonds issued by Banca Carige S.p.A., the vehicle has set up, with payments made in January 2017, a line of liquidity, known as the Cash Reserve, for an amount of EUR 0.7 mln; this Reserve covers the expected liquidity needs to make payments to third parties and is adjusted at each payment date.

To pay the purchase price of loans acquired, the Company has entered into a subordinated loan contract with each transferring bank. Subordinated loans outstanding as at 31.12.2016 amount to EUR 133.4 mln.

F.6) The transferee’s operating powers

QUANTITATIVE INFORMATION

F.7) Cash flows from loans and receivables

SITUATION AT THE TRANSFER DATE 06.12.2016 - LOANS AND RECEIVABLES - INSTALMENTS FALLEN DUE - INTEREST - INSTALMENTS FALLEN DUE - PRINCIPAL - ACCRUALS ON INTERESTS -

INCREASES 2016 134,342,047.96 INTEREST ACCRUED ON LOANS 343,630.63 RESCHEDULING - LOAN ACQUISITION FROM TRANSFEROR BANK 133,998,417.33

DECREASES 2016 3,648,037.29 COLLECTED INSTALMENTS - PRINCIPAL 1,604,794.97 COLLECTED INSTALMENTS - INTEREST 540,282.18 REDUCTION PAYABLES FOR EARLY REPAYMENT 1,431,267.28 LOAN REPURCHASE FROM TRANSFEROR BANK 64,393.99 COLLECTED INTEREST ON EARLY REPAYMENT 7,298.87

SITUATION AS AT 31.12.2016 130,694,010.67 LOANS AND RECEIVABLES 129,949,743.48 INSTALMENTS FALLEN DUE - INTEREST 577,166.00 INSTALMENTS FALLEN DUE - PRINCIPAL 155,697.76 ACCRUALS ON INTERESTS 11,403.43

F.8) Trend in past due exposures

As at 31.12.2015 - of which Instalments fallen due - principal - Instalments fallen due - interest -

Decreases in 2016 - Instalments fallen due - principal - Instalments fallen due - interest -

Increases in 2016 732,864 Instalments fallen due - principal 577,166 Instalments fallen due - interest 155,698

As at 31.12.2016 732,864 of which Instalments fallen due - principal 577,166 Instalments fallen due - interest 155,698

The covered bond transaction was structured so as to replace those loans that no longer meet the requirements for being an eligible guarantee to the bondholders. In 2016, no-longer-eligible net loans amounting to EUR 6 thousand were transferred to the originators.

The repurchases, net of the impairment allowance, are summarised in the following table:

Banks which repurchased their Grantback loans Transfe r price pe riod Banca Monte di Banca Carige Lucca 20/12/2016 65,080 65,080 - Total 65,080 65,080 -

F.9) Cash flows

Collections of loans and receivables amounted to EUR 3.7 mln in 2016.

Amounts collected by way of interest and other income since the transaction was initiated, totalling EUR 0.3 mln, were used in January 2017 to pay servicing commissions to the transferring banks and to set up the expenses account. As the amount was not sufficient to set up the Cash Reserve, EUR 0.4 mln worth of collections by way of principal were used to that end. Cash amounts by way of principal pledged as collateral for the bonds issued, after the payments made in January 2017 in relation to collections referring to December 2016, amount to EUR 2.9

55 mln, net of the EUR 0.4 mln amount used to set up the Cash Reserve. That amount will be reintegrated by collections by way of interest for collection periods after 31.12.2016.

Given the transaction’s nature which involves inflows and outflows to and from the securitised asset pool, expected collections cannot be quantified in advance.

F.10) Status of guarantees and lines of liquidity

Please see paragraph F.5.

F.11) Breakdown by term to maturity

The securitised assets relate to mortgages, which implies that they have pre-established repayment plans. Below is the pool of securitised outstanding assets broken down by their term to maturity and transferring bank:

MATURITY RANGE OUTSTANDING % NUMBER OF % DEB T OUTSTANDING CONTRACTS CONTRACTS Up to 3 months 12,506 0.01 9 0.56 3 months to 1 year 198,586 0.15 34 2.12 1 to 5 years 3,740,020 2.88 145 9.05 Over 5 years 125,998,631 96.96 1,414 88.27 TOTAL 129,949,743 100.00 1,602 100.00

F.12) Breakdown by geography

All loans and receivables are denominated in Euros and all borrowers are resident in Italy.

F.13) Concentration of risk

As at 31.12.2016, the outstanding loan portfolio consists of 1,602 mortgages, broken down into the following ranges:

BRACKET FROM TO NUMBER OF % OUTSTANDING DEBT % OUTSTANDING DEBT CONTRACTS CONTRACTS CAPITAL 1 - 25,000 264 16.48 3,166,236 2.44 2 25,001 75,000 628 39.20 31,465,763 24.21 3 75,001 250,000 680 42.45 81,882,824 63.01 4 250,000 99,999,999 30 1.87 13,434,921 10.34 TOTALE 1,602 100.00 129,949,743 100.00

It is noted that, as at 31.12.2016, no individual loan positions exceeded 2% of the total portfolio.

Section 3 - Risks and hedging policies

As already pointed out in the foreword section, the Company is the vehicle set up to carry out two medium-long term funding programmes, to be implemented over a five-year period via the issuance of covered bonds for a maximum amount of EUR 5 bn for the first programme and EUR 3 bn for the second programme.

The securitised loans are assets managed separately from those of the Company and, given the principle of substance over form, all the accounting information on the securitisation transaction is disclosed separately in Section D - Other information - of the Explanatory Notes.

The risks associated with the securitisation are not borne by the Company but by the bondholders and by the guarantors for the bonds issued, in particular the banks belonging to Gruppo Banca Carige S.p.A, which provided the vehicle with the subordinated loans necessary to purchase the loans transferred. Given the nature of the covered bond transaction, the amount of loans pledged as collateral with respect to the bonds issued and the loan-backing mortgages available, the risks for bondholders are very limited.

Section 4 – Information on equity

4.1 Equity

4.1.1 Qualitative information The Company’s equity is the minimum amount required to set up limited liability companies, as it was set up as the vehicle to carry out a securitisation pursuant to article 3 of Law no. 130 of 30 April 1999.

4.1.2 Quantitative information The Company is 60% owned by Banca Carige S.p.A. and 40% by Stichting Otello.

4.1.2.1 Equity: breakdown

Total Total Item/Amount 31/12/2016 31/12/2015 1. Quota capital 10,000 10,000 2. Share premiums - - 3. Reserves - - - from profits - - a) legal b) statutory c) treasury shares d) other - - - other - - 4. (Treasury shares) - - 5. Valuation reserves - - - Financial assets available for sale - Property and equipment - Intangible assets - Foreign investment hedge - Cash flow hedge - Foreign exchange rate differences - Non-current assets and discontinued groups of assets held for sale - Special revaluation laws - Actuarial gains (losses) on defined benefit plans - Share of valuation reserves related to equity investment valued at equity 6. Equity instruments - - 7. Net income (loss) for the period - -

Totale 10,000 10,000

Section 5 – Statement of comprehensive income

The Company has no income or expense recognised directly in equity. Therefore, as all items have a nil balance, this statement is not provided.

Section 6 – Transactions with related parties

6.1 Information on compensation paid to directors, statutory auditors and executives Directors and statutory auditors respectively received EUR 3,500.00 and EUR 6,850.00 for their services in 2016. Such figures are net of tax and social security contributions.

6.2 Loans and guarantees in favour of directors The vehicle has not granted any guarantees in favour of its directors.

6.3 Disclosure of related-party transactions Transactions carried out between the Company and the banks of Carige S.p.A take place at market conditions, based on the contracts described in the Report on operations.

Receivables, payables, revenue and expense with the Parent Company Banca Carige S.p.A. are disclosed in a specific section of the Report on Operations.

Section 7 – Other information

Pursuant to art. 2497 bis of the Italian Civil Code, reported below are the latest financial statements approved by the Parent Company, Banca Carige S.p.A.

SECTION 7 - Parent Company

7.1.1 Full name

Banca Carige S.p.A. - Cassa di Risparmio di Genova e Imperia

7.1.2 Registered Office

Via Cassa di Risparmio, 15 Genoa The Parent Company is registered: in the Business Register of Genoa, with registration no. 03285880104; in the Chamber of Commerce of Genoa - Administrative Economic Repertoire (A.E.R.) no. 331717; in the Banking Group Register under no. 6175/4; as Parent Company of the Banca Carige Group in the Banking Group Register under no. 6175/4; The Parent Company has joined: the Interbank Deposit Protection Fund; the "Patti Chiari" Consortium

7.1.3 Key figures of the most recently approved financial statements of the Parent Company (figures in thousands of Euro) Financial year 2015 (*)

BALANCE SHEET ASSETS Financial assets held for trading 44,388 Financial assets available for sale 3,755,768 Loans to banks 3,551,795 Loans to customers 13,667,582 Hedging derivatives 54,730 Equity investments 958,876 Property and equipment and intangible assets 600,736 Other assets 1,759,786 Total assets 24,393,661 LIABILITIES Due to banks 3,766,459 Due to customers 9,147,472 Securities issued 7,269,562 Financial liabilities held for trading 35,330 Financial liabilities designated at fair value 557,447 Hedging derivatives 190,148 Other liabilities 1,072,851 Equity 2,354,392 Total liabilities 24,393,661

(figures in thousands of Euro) Financial year 2015 (*) INCOME STATEMENT Net Interest Income 102,177 Net fee and commission income 141,676 Net interest and other banking income 348,013 Net income from banking activities 165,872 Operating costs (359,135) Income (loss) before tax from continuing operations (272,586) Taxes 81,792 Net income (loss) for the year (190,794)

(*) With respect to published accounts, the balances of 2015 are reflective of changes from the application of provisions of IAS 8 "Accounting policies, changes in accounting estimates and errors" as set forth in the Press Release of the Parent Company published on 10/2/2017. The Press Release and the 2015 financial statements are available on the corporate website "http://www.gruppocarige.it" under section Investor Relations.

Genoa, 27 February 2017

The Board of Directors The Chairman (Mr. Alessandro Picollo) [signed on the original]

Carige Covered Bond S.r.l. Financial statements as at December 31, 2016

Independent auditor’s report in accordance with article 14 of Legislative Decree n. 39, dated 27 January 2010 and article 165 of Legislative Decree n. 58, dated 24 February 1998 (Translation from the original Italian text) EY S.p.A. Tel: +39 010 5308111 Via XX Settembre, 42 Fax: +39 010 588636 16121 Genova ey.com

INDEPENDENT AUDITOR’S REPORT IN ACCORDANCE WITH ARTICLE 14 OF LEGISLATIVE DECREE N. 39, DATED 27 JANUARY 2010 AND ARTICLE 165 OF LEGISLATIVE DECREE N. 58, DATED 24 FEBRUARY 1998 (Translation from the original Italian text)

To the Quotaholders of Carige Covered Bond S.r.l.

Report on the financial statements We have audited the accompanying financial statements of Carige Covered Bond S.r.l., which comprise the balance sheet as at December 31, 2016, the income statement, the statement of comprehensive income, the statement of changes in quotaholders’ equity, the statement of cash flows for the year then ended and the explanatory notes to the financial statements.

Directors’ responsibility for the financial statements The Directors of Carige Covered Bond S.r.l. are responsible for the preparation of these financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union.

Auditor's responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing (ISA Italia) implemented in accordance with article 11 of Legislative Decree n. 39, dated 27 January 2010. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's professional judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation of the financial statements that give a true and fair view in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by Directors, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

EY S.p.A. Sede Legale: Via Po, 32 - 00198 Roma Capitale Sociale € 2.950.000,00 i.v. Iscritta alla S.O. del Registro delle Imprese presso la C.C.I.A.A. di Roma Codice fiscale e numero di iscrizione 00434000584 - numero R.E.A. 250904 P.IVA 00891231003 Iscritta al Registro Revisori Legali al n. 70945 Pubblicato sulla G.U. Suppl. 13 - IV Serie Speciale del 17/2/1998 Iscritta all’Albo Speciale delle società di revisione Consob al progressivo n. 2 delibera n.10831 del 16/7/1997

A member firm of Ernst & Young Global Limited Opinion In our opinion, the financial statements give a true and fair view of the financial position of Carige Covered Bond S.r.l. as at December 31, 2016, of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union.

Emphasis of matter Without qualify our opinion, we draw attention to the explanatory notes to the financial statements where it is stated that the Company has the sole purpose of acquiring loans through funding pursuant to Law n. 130/1999, in connection with covered bonds transactions. As described by the Directors, the Company has recorded the acquired receivables and the other transactions connected with the covered bonds in the explanatory notes to the financial statements consistent with the provisions of Law n. 130/1999 according to which the receivables involved in each securitisation are in all respect separated from the assets of the Company and from those related to other securitisations.

Report on other legal and regulatory requirements Opinion on the consistency of the Report on Operations with the financial statements We have performed the procedures required under audit standard SA Italia n. 720B in order to express an opinion, as required by law, on the consistency of the Report on Operations, which is the responsibility of the Directors of Carige Covered Bond S.r.l., with the financial statements of Carige Covered Bond S.r.l. as at December 31, 2016. In our opinion the Report on Operations is consistent with the financial statements of Carige Covered Bond S.r.l. as at December 31, 2016.

Genova, March 6, 2017

EY S.p.A. Signed by: Stefania Doretti, Partner

This report has been translated into the English language solely for the convenience of international readers.