THROUGH OBG OBBLIGAZIONI BANCARIE GARANTITE Investor presentation - - PowerPoint PPT Presentation
UNICREDIT CONDITIONAL PASS- THROUGH OBG OBBLIGAZIONI BANCARIE GARANTITE Investor presentation September 2018 Agenda Executive Summary 1 OBG Program 2 Residential and Commercial Mortgage Market 3 Appendix 4
September 2018
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A programme that ticks all the boxes
Executive Summary
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Solid capital and liquidity position
Global SIFI Champion Issuer
Italian Legislative Programme
Aa2/stable rated by Moody's
Solid Programme Structure
De-linkage from the rating of the Issuer
No hedging envisaged
UCITS compliant
CRR compliant
Preferable Regulatory Treatment
Solvency II compliant
LCR Level 1 compliant
ECB CBPP3 eligible
Exempt from Bail - in
Prime seasoned granular portfolio
ECBC Label
The rational behind
*As of 30th June 2018. Please refer to annex Current Cover Pool for details. An additional Eur 2,7 bn Residential Mortgage loans portfolio was assigned in july 2018.
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Executive Summary
Conditional pass-through Mixed Portfolio
average life of the portfolio (7.8 years)
contractually capped to 30% of the total portfolio
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OBG Programme
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MAIN FEATURES
Issuer UniCredit S.p.A. ("UCI" or "UniCredit") Seller UniCredit Programme Size Euro 25 billions OBG Guarantor UniCredit OBG S.r.l. Cover pool* Euro 18,7 bn residential mortgages (including 1,0 bn of mortgages granted to UniCredit's employees currently equal to 5% capped at 15% of total portfolio) and Euro 1.3 bn secured loans to small-and-medium enterprises ("SMEs"), currently equal to 6,5% (capped at 30% of total portfolio). Current WAL of the cover pool: about 8 years Maturity Bullet, switching to conditional pass-though with 38-year extension period (in case
Listing Luxembourg Rating Aa2/stable by Moody's Payment Date Quarterly (or monthly in case an Issuer Event of Default has occurred) Overcollateralisation* Quarterly test. Minimum contractual overcollateralisation of 7.5% against an available overcollateralisation of 15% Hedging No hedging envisaged Paying Agent BNP Paribas, Milan branch Account Bank UniCredit S.p.A. Asset Monitor BDO Governing law Italian Risk-weighting 10% (in accordance with CRR Article 129) Liquidity coverage ratio eligibility Level I ECB eligibility Yes Compliant to UCITS, CRR, Solvency II and ECBC label
KEY BENEFITS
Double recourse
Protection
Regulatory treatment
Eligible to
Stable rating
methodology, the OBG's rating can remain rated Aa2 as long as the rating of the Issuer's IDR remains Baa3 or higher) Strong structure
months plus a buffer for senior expenses
in case an event of default of the Issuer has been occurred
*As of 30th June 2018 Source UniCredit
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OBG Programme
2 1 3 4 CONDITIONAL PASS-THROUGH MECHANISM: MAIN FEATURES
RATIONALE Conditional pass-through structure addresses refinancing risk (maturity of the covered bonds versus amortising assets) WHEN IS IT TRIGGERED? The pass-through repayment of an OBG Series is conditioned to the occurrence of all the following conditions :
HOW DOES IT WORK ?
and to make provisions towards accumulation for the Earliest Maturing OBG, without deteriorating the Amortisation Test for the benefit of the remaining outstanding OBG
the pass-through OBG and makes any interest and principal payments due on the non pass-through OBG at the due date
monthly basis, as in the soft bullet structure TIME SUBORDINATION There are different features envisaged in the Programme to protect the long-dated OBGs bondholders:
which may be sold;
Default;
their maturity date) UniCredit OBG Srl (OBG Guarantor) UniCredit (Issuer, Seller, Servicer, Sub Loan Provider) Asset Monitor OBGs Asset evaluation monitoring First Demand Guarantee Cover Pool Structure diagramme * By assuming a 2% CPR, 0% default rate, no asset disposal, the OC would build up to reach approximately 50% after 4 years, given the benefit of the cash flow trapping 0% 10% 20% 30% 40% 50% 60% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Overcollateralisation Quarters Expected Increase OC in Pass-Through Scenario 2y 1y 3y 4y
*
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OBG Programme
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** Please refer to the prospectus for more information about the eligibility criteria Residential portfolio specific criteria LTV <=80% 1st economic lien Secured Commercial portfolio specific criteria LTV <=60% 1st economic lien
Cover Pool Overview
Main general eligibility criteria **
Common criteria Debtor: Italian Residency Property located in Italy Mortgage governed by Italian Law Euro denominated mortgage No Public sector Debtors At least one instalment paid Common criteria Annuity / Linear amortisation No Subsidised loans No arrears as at the valuation date *As of 30th June 2018 Source UniCredit
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Residential and Commercial Mortgage Market
3 1 2 4 Forthcoming ending ECB easing policy to push yields up Italy: beginning of 2018 on a moderate path Macroeconomic forecasts
In 1H18, annualized EMU GDP growth was an unimpressive 1.5%, mainly due to a loss of momentum in global trade. Unless protectionist and EM pressures intensify, GDP growth will probably reaccelerate to an annualized pace of about 2% in 2H18. ECB's QE will be terminated by the end of 2018 and we forecast that the first hike in the deposit rate will be in September 2019. The latest Italian growth data also showed a moderation in economic activity in 1H18, and manufacturing sector indicators suggest some weakening ahead, also due to domestic policy
pace of about 1.2% in 2H18. Credit conditions in the private sector remain loose and bank lending has picked up moderately
1.00 1.10 1.20 1.30 1.40 1.50 1.60
0.0 1.0 2.0 3.0 4.0 5.0 6.0 Sep-09 Oct-10 Nov-11 Dec-12 Jan-14 Feb-15 Mar-16 May-17 Jun-18 ECB Rate 5-Year Swap 3M Euribor EUR/USD
0.0 1.0 2.0
0.0 0.5 1.0 4Q10 4Q11 4Q12 4Q13 4Q14 4Q15 4Q16 4Q17 4Q18 4Q19 GDP (in %, qoq) GDP (in %, yoy, rs)
Real GDP (% yoy) CPI (% yoy) Refi Rate (EoP) 2017 2018 2019 2017 2018 2019 2017 2018 2019 Eurozone 2.5 2.2 1.9 1.5 1.7 1.5 0.00 0.00 0.00 Germany 2.2* 2.0* 1.9* 1.7 2.1 1.9
2.3 1.8 1.6 1.0 1.9 1.5
1.6 1.3 1.2 1.2 1.2 1.3
3.1 2.7 2.1 2.0 2.1 1.9
3.0 2.8 2.0 2.1 2.2 2.0
1.3 2.1 1.9 1.1 0.9 1.2
2.7 2.1 1.7 1.6 1.4 1.3
and 1.9% (2019)
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Residential and Commercial Mortgage Market
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In 2017 the mortgage and housing markets in EU continue to benefit from a favorable environment with positive growth data and low interest rates In Q1 2018 new lending volumes experienced a contraction given a very high number of new lending granted during the 2017 In this scenario, the Italian picture shows that roughly 65%
House Price Indices Representative Mortgage Rates (%) Mortgage Markets Breakdown by Interest rate Type (%) - New Loans - Italy Gross Residential Mortgage Lending (Million EUR)
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Residential and Commercial Mortgage Market
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Backbone of Italian economy: The overwhelming majority
in Europe after the German and the French ones, are SMEs The SMEs key role: SMEs play a more important role in the non-financial business economy in Italy. The share of SME value added is two thirds and the share of SME employment is 78.6 %. The proportion of SME value added and employment is more than 10 percentage points higher than in the rest of the EU In 2017 Italian SMEs continued to grow and their profitability has bounced back near pre-recession levels thanks also to the ECB's expansionary monetary policy has led to a further reduction in the cost of debt for SMEs
SME investment* trend
Source: 2017 SMEs Cerved Report
SME trends in Italy
Source: EU Commission – Small Business Act (SBA) project for SMEs SME Italy EU SME
SMEs Employment (Index: 2008=100) SMEs Value Added (Index: 2008=100)
Investments in plant, property and equipment, expressed as a percentage of tangible fixed assets the previous year
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OBG Programme
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Soft Bullet CBs (OBG I) CPTCB (OBG II)
Rating
(Moody’s); AA-/Stable (S&P)
Cover Pool Composition
mortgage loans, capped at 30%, loans to employees capped at 15%)
assets
Legal maturity date
date
insufficient funds to repay in full the OBG at the maturity date, the maturity date will automatically be extended by 1 year and any unpaid and due amount shall be payable by such date
to repay in full the OBG at the maturity date, the OBG will switch to pass- through and the maturity date will be extended by 38 years
Refinancing or sale
maturity
extended maturity date asset sale becomes mandatory
sale) in case the available funds are not sufficient to repay in full the OBGs at the end of their extension period
randomly selected part of) the pool every 6 months and sells it only if the proceeds from the sale are sufficient to redeem the relevant pass–through OBG without a loss and to make provisions towards accumulation for the Earliest Maturing OBG, without deteriorating the Amortisation Test
acceleration of the programme
Cover pool sale
a forced sale under a severe stress scenario (in case of an Issuer Event of Default has occurred)
mechanism, refinancing risk in a forced sale scenario is mitigated
Hedging arrangements
and currency risks. UniCredit is the hedging counterparty
analysis and therefore in the required OC
Over Collateralization
*As of 30th June 2018 ** Break even overcollateralization excluding the set off and commingling amount Source UniCredit
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Appendix
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Pass-Through
Issuer event of default
Soft-bullet
Repayment at maturity date
No
Are cash flows sufficient to repay the bonds?
Yes
Is the ongoing amortisation test passed (min 75% OCT)?
Yes No t=0 Maturity Date
CB switched to pass-through until the extended maturity date (+38yrs) Are the proceeds from the 6-month periodic loan sale sufficient to repay the
extended maturity date?
Yes Yes
Guarantor event of default
No No
Repayment of all the outstanding PT CBs and accumulation for repayment
maturing CB Acceleration of all the
Repayment of all the outstanding CBs
If possible
Issuer event of default Repayment at maturity date
No
Are cash flows sufficient to repay the bonds?
Yes
Is the ongoing amortisation test passed (no min OCT)?
Yes No
CB maturity date extended (+1yr) Fire sale of the portfolio to repay the earliest maturing CB
Yes Yes
Guarantor event of default
No No
Repayment of the earliest maturing CB Acceleration of all the
Repayment of all the outstanding CBs
If possible
Repayment at immediately following payment date Repayment at immediately following payment date Are cash flows sufficient to repay the bonds?
Yes No
Are cash flows sufficient to repay the bonds?
Yes No t=0 Maturity Date t = every Payment Date until the Extended Maturity Date t = 365 days after the Maturity Date t = every 180 days until the Extended Maturity Date t = 30 days after the Maturity Dae
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Appendix
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The conditional pass-through structure allows the maturity of a series of Covered bond to be extended to the legal final maturity date (i.e 38 years from the initial maturity date) if: an OBG reaches its maturity date; UniCredit defaults or does not manage to make the payment on the series that is maturing The available funds of the Guarantor are not sufficient to redeem in full the series at its maturity date Upon the relevant series being extended, the guarantor will use the available funds pari-passu and pro-rata to make principal and interest payments on the pass-through series of covered bonds and on the non-pass-through covered bonds. If necessary, funds will be accumulated to make payments on the earliest maturing covered bonds. This mechanism, together with the amortisation test, mitigates the risk of time subordination. The switch to conditional pass-through, mitigates refinancing risk since the amortisation of the covered bonds would be in line with the amortisation of the portfolio. Additionally, the administrator will have the possibility, but not the obligation, to sell part of the portfolio every 6 months; the administrator will sell the portfolio only if the sale price would not cause losses on the covered bonds and if the Amortisation test is satisfied. This prevents the need of a fire-sale of the portfolio and thus possible losses to be borne by investors. In soft bullet covered bonds, in order to bridge maturity mismatches, sales of portfolio have to be made within the extension (in Italy up to 15 months). This would result in a fire sale of the portfolio and consequently possible losses for investors.
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Ministry of Economy and Finance
parties Bank of Italy
(15%)
and external control (Including asset monitor auditing and banks monitoring)
Appendix
Assets eligible for the assignment: Residential mortgages with a maximum LTV of 80% Commercial mortgages with a maximum LTV of 60% Loans/securities issued or guaranteed by Public Entities with the following requirements: Located in the EEA or in Switzerland with a maximum risk- weighting of 20% (Revised Standardized Approach - RSA) Located outside the EEA and Switzerland (limit of 10% of the cover pool) with a 0% or 20% risk-weighting (RSA) under the standardized approach ABS with specific requirements At least 95% of the underlying assets represented by eligible receivables; No subordination to any other class of issued notes; 20% risk weighting under the standardized approach, thus minimum AA- rating or equivalent
Banks requirements: Consolidated regulatory capital of at least EUR 250 mln Common Equity Tier 1 ratio of at least 6% Tier 1 ratio of at least 7.5% Limits of assets assignment to protect unsecured creditors from an excessive spoiling of issuing bank net assets: Bank ratio Limits (% of eligible assets) CET I >8% Up to 100% Tier I ratio >9.5% CET I >7% Up to 60% Tier I ratio >8.5% CET I >6% Up to 25% Tier I ratio >7.5% The transfer of assets is based on a primary legislation (Law 130/99 - art. 7 bis) introduced in May 2005. This governs the true sale and segregation of assets. OBG Holders are protected by legally required tests (the “Mandatory Tests”) as well as contractual over collateralization. The tests are reviewed by an independent audit firm acting as Asset Monitor
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* For additional information on how the tests are performed please refer to the Prospectus ** To be performed only post OBG Guarantor Event of Default
Appendix
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The Amortization Test is met if the OBG Guarantor’s assets adjusted on a conservative way to consider the current status of the assets (for example: in arrears receivables or in default receivables) is at least equal to the aggregate amount of the OBG outstanding.
Amortization Test **
For so long as the OBG remain outstanding, the Seller and the Issuer shall procure on a continuing basis that the OBG Guarantor assets adjusted on a conservative way to consider Rating Agencies stresses is at least equal to aggregate amount of the OBG outstanding.
Over – Collateralization Test
The net present value of the assets being part of the cover pool net of all transaction costs of the assignee company, including the expected expenses and the costs of any hedging agreements to cover financial risks, is at least equal to the net present value of the OBG outstanding.
Net Present Value Test
The nominal value of the assets constituting the cover pool is at least equal to aggregate amount
Nominal Value Test
Interest and other proceeds deriving from the assets being part of the cover pool net of all the costs of the assignee company, are enough to cover the interests and costs due by the issuing bank on the OBG outstanding, taking into account any hedging agreements to cover financial risks entered into in connection with the transaction.
Interest Coverage Test
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Overcollateralization Test and Amortization Test
covered bonds
Overcollateralisation Test
Amortization Test
(A+B+C+D+E) – Z ≥ W A: means the sum of the principal amount of the mortgage receivables adjusted for the loan status (arrears and defaulted), OLTV limit and the Asset Percentage (1/OC-1). B: means the balance of the Accounts opened with the Account Bank C: means the balance of the Eligible Investments D: means the aggregate Outstanding Principal Balance of all ABS Securities comprised in the Eligible Portfolio, adjusted, among other, for the Asset Percentage E: means the aggregate Outstanding Principal Balance of the Public Securities, adjusted, among other, by the Asset Percentage Z: means the negative Carry Factor W: means the sum of all covered bonds outstanding
Set-off risk and commingling risk are factored into the Asset Percentage calculation
0.5%)
to the level of AP used in the Over-Collateralisation
maturity date; plus
WA life of the Portfolio and the WA life of the OBG;
the previous calendar month
Maturity Date: minus
Event of Default.
Guarantor Event of Default and all the covered bonds would become immediately due
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Appendix
When it is calculated Rationale Calculation Specific Calculations Breach of Tests
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form.
evidence (register information, evidence of income, etc.).
involved in the process and validation of the information.
delivery to UniCredit Spa .
the information provided is in line with the credit policies/requirements*.
the data input in its IT system (EMP).
credit scoring process.
preliminary assessment on the mortgage
mortgage and the appraisal along with the Property Valuation and the Preliminary Certified Report (Relazione Notarile Preliminare – “RNP”).
Data Entry Controls Evaluation of Borrower’s Creditworthiness Technical/ Legal Preliminary Analysis
* In the Banking Business the control of the documents is after evaluation of borrower’s creditworthiness.
the former retail division of the UniCredit Group.
bureaux.
those included in the Portfolio, follows a 7-step process:
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Appendix
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Electronic Procedure Front End Client Application
Preliminary information about the borrower/ guarantor uploaded into the IT system
Accepted Client (Cliente Desiderato) Rejected Client (Cliente Non Desiderato) Credit Bureaux WHITE RATING (Rating Bianco) BLACK RATING (Rating Nero) Score <= Cut Off Score > Cut Off No Policy Rules Policy Rules Credit Rejected Positive Outcome (Esito Proponibile) Negative Outcome (Esito Nero) Higher Decision Making Bodies Power Outcome (Esito Facoltá Strutture Crediti.) Higher Decision Making Bodies Policy Rules Credit Approval (By the relevant deliberating entity) Commercial Network
composed of the two following elements:
statistic evaluation (mainly behavioural and social/ demographic variables) which assigns to each potential borrower a credit score. The score can be above a predetermined level (above cut-off: positive output), or below it (below cut-off: negative output).
Delegated Decision Making Bodies within The Network*(Facoltà strutture Network) Within the limits of their decision-making power.
Residential Mortgage Loans
4 1 2 3
Appendix
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mortgage.
UBIS / UniCredit Spa for further activities.
documentation received.
census inside its IT systems.
documentation for the signing and sends it to the Notary Public.
executed copies of the loan agreement.
information required by the system.
Direct Debit in the interbank system.
Approval Completion of the Contract Signing and Disbursement
specialized in all the administrative and back-office activities, supporting UniCredit Spa with the completion of the process with respect to all the necessary formality.
scanned/digitalized and saved into UniCredit Spa’s drives.
quality of the process and the quality of the information/data input within the system.
Residential Mortgage Loans
4 1 2 3
Appendix
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system, identifies delinquent customer.
instalment in arrears, contacting him regularly by phone (and tracking this activity).
delay and ascertains the intentions
Collection Unit.
approach ADV Collection contacts the customers in order to identify a recovery solution
external agencies with two Door to Door collection trial (The second trial is available only on “negatives”
Door to Door Collection mandates usually last 45 days (extendible to 60).
collect the amounts due.
Classification Unit evaluates and classifies as “doubtful” the customer.
file is transferred to DOBANK automatically (UniCredit IT System interfaces with EPC, UCMB’s IT system).
UniCredit.
without legal recourse.
propose to UniCredit to classify the position as defaulted (“sofferenza”).
complete/partial recovery of the overdue amount.
5 – 105 Days 106 – 270 Days (Extensible to 300d) From the 10th Instalment Overdue
From the Instalment Due Date (Approx) Involved Entities Main Activities
Cu.Re - Soft Collection (1) Cu.Re - Advanced & Door to Door Collection (1) DOBANK
(1) Cu.Re. (Customer Recovery): UniCredit department in charge of the centralised management of arrears, divided into Soft collection Unit and Adv & DtD Collection Unit.
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Appendix
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Information gathering Credit worthiness assessment
Collection of all necessary
information to assess the risk associated to the proposed transaction
Analysis of ability to repay in
credit risk and rating assignment (transaction and collateral analysis)
Rating override can be
requested, according to a predefined process
Decision on proposed
exposure by competent body
Execution of formal acts
related to the collateral acquisition and loan disbursement
Client repayment of the
loan via RID or MAV payment methods
Description Key Roles
Relationship Manager Depending on authority levels
and complexity of the transaction more than one actors can be involved:
Credit Analyst, Regional Credit Center
Depending on authority levels:
Commercial Network
Disbursement and Loans repayment Decision
Secured Commercial Mortgage Loans
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Appendix
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Integrated Rating Exceptions Total Exposure Total exposure calculation Policy rules validation Behavioural evaluation Application evaluation Credit Approval Authority is based upon total exposure weighted by clients risk.
The Creditworthiness assessment determines main indicators to support the credit decision based on the application information:
INFORMATION OUTPUT FOR CREDIT AUTHORITY APPROVAL
Application information
Secured Commercial Mortgage Loans
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Appendix
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Application evaluation Behavioural evaluation Creditworthiness Assessment: First assessment of the client’s repayment ability and suitability of the credit purpose Qualitative Information: Client’s additional subjective information based on the Relationship Manager’s experience and knowledge of the client / Trend of industrial sector The client's debt repayment ability is checked with external credit bureau, by checking both public sources (e.g. Bank of Italy "Centrale Rischi") and private ones (e.g. Experian, CRIF) at the time of the application and thereafter with a monthly frequency Loan's purpose has to be suitable with debtor's economic activity in a long term perspective
Information Description
Policy Rules validation The application information are processed in accordance with the policy rules to check the presence of exceptions regarding: General granting rules: to be applied when, independently from the requested product, specific conditions related to applicant / related entities / guarantors characteristics, collateral characteristics, Total exposure amount exist Product granting rules: to be applied when, in relation to a specific product on request, specific conditions exist related to product characteristics (e.g. number of instalments/tenor, amount on request, own contribution, loan purpose), collateral characteristics (e.g. product specific collateral coverage ratio), exposure amount, grantable amount When “Exceptions” are identified automatically by the system, a warning signal informs on the nature of the exception and the application is forwarded automatically to Head Quarter Level: if the exception relates to specific and very high risk credit rules (e.g. Delinquency Status) the request should be declined 3 Total exposure Total exposure is the maximum risk associated to the applicant or its economic group, if any. Together with the exposure by product, it must be taken into account in the definition of the authority level for the final decision.
Secured Commercial Mortgage Loans
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Appendix
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DECISIONAL PROCESS Potentially risky clients
are identified, using automated statistical model and/ or by the Relationship Manager’s initiative
Proposal of new risk
classification is sent to or initiated by Relationship Manager
Behavioural Models &
Triggers* are registered and used for proposal classification and the information on them is sent to Relationship Manager
Relationship
Manager proposes appropriate set of actions, depending
and outcome of analysis
Monitoring Manager
confirms the set of actions
Relationship
Manager also negotiates and agrees on actions with client
Final decision on
appropriate set of actions is taken by authorized level in either Business or Monitoring, including exit strategies for clients with whom the relationship has to be terminated
Relationship Manager
monitors thoroughly customer compliance with actions, while Monitoring Manager supports and monitors Relationship Managers actions
If the client does not comply
with the measures, actions (such as transfer to Workout) are promptly undertaken
Relationship
Manager analyzes clients identified as potentially risky
Relationship
Manager proposes risk classifications and actions
Decision on final
classification is made by Monitoring Manager
Risky Customer Identification Risk Classification Proposal Actions Proposal Action Definition Monitoring
Relationship
Manager
Relationship
Manager
Monitoring
Manager
Relationship
Manager
Monitoring
Manager
Relationship
Manager
Monitoring Manager
(according with approval authority)
Description Key Roles
Relationship Manager Monitoring Manager
* Behavioral Models & Triggers include negative credit checks, bankruptcy agreements, reposessions, composition with creditors, etc.
Secured Commercial Mortgage Loans
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Appendix
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Appendix: Current Cover Pool 31
Residential Mortgage Loans
4 1 2 3
0% 10% 20% 30% 40%
0 - 50000 50000 - 100000 100000 - 150000 150000 - 200000 200000 - 300000 300000 -
0% 10% 20% 30% 40%
0 - 50000 50000 - 100000 100000 - 150000 150000 - 200000 200000 - 300000 300000 -
0% 10% 20% 30% 40% 50% 60% 70%
0 - 12 12 - 24 24 - 36 36 - 60
Breakdown by remaining months to maturity as % of outstanding amount
0% 10% 20% 30% 40%
0 - 120 120 - 160 160 - 240 240 - 280 280 - 320 320 - 360 360 - over
Breakdown by current loan to value (indexed)
33,41% 15,86% 14,44% 16,63% 15,10% 4,57% 0% 20% 40%
0 - 40% 40% - 50% 50% - 60% 60% - 70% 70% - 80% > 80% 32
Showing upper limit per bucket (not included), performing PTF only
(*) the amount exceeding the 80% of LTVs is not taken into account while calculating the Tests
*
Residential Mortgage Loans
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Appendix: Current Cover Pool
Lower limit included
Breakdown by loan status (arrears by n. days)
98,04% 0,60% 0,33% 0,27% 0,20% 0,14% 0,13% 0,10% 0,06% 0,05% 0,07% 0% 20% 40% 60% 80% 100%
Refinincing 17,6% Purchase 82,4%
Breakdown by loan purpose Breakdown by interest rate type
Floating 71,1% Fixed 19,3% Optional 3,1% Modular 6,4%
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Residential Mortgage Loans
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Appendix: Current Cover Pool
Breakdown by UniCredit Employment
Other 95% UniCredit 5%
Breakdown by Employment Status
no Self Employed 89,5% Self Employed 10,5%
Breakdown by Property Geographical location
Centre 22,73% North 52,72% South 24,55%
Breakdown by remaining maturity (years)
0% 10% 20% 30% 40% 50% 60% 70%
0-3 3-6 6-10 10-15 15-20 >20
0% 20% 40%
0-3 3-6 6-10 10-15 15-20 >20 34
WA Average: 10,59 Max: 25,48 Min: 3,55 WA Average: 7,04 Max: 29.17 Min: 0.00
(*) including loans with current balance < Eur 200 (**) including loans with remaining maturity < 0.1 years (**) Lower limit included Lower limit included Lower limit included Lower limit included
Commercial Mortgage Loans
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Appendix: Current Cover Pool
Breakdown by current Principal Balance (k Euro)
0% 10% 20% 30% 40% 50%
Breakdown by original Principal Balance (K Euro)
0% 10% 20% 30% 40%
Average: 184,551.91 Max: 24,205,291 Min: 5,8 (*)
Lower limit included
Average: 470,945 Max: 35,274,006 Min: 2,803
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Breakdown by real estate type
Lower limit included
(*) the amount exceeding the 60% of LTVs is not taken into account while calculating the Tests
* * *
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Appendix: Current Cover Pool
Breakdown by interest rate type
Floating 89,18% Fixed 8,71% Optional 2,05% Modular 0,05%
Breakdown by Real Estate type
Commercial 61,3% Residential 38,7%
Breakdown by current loan to value (indexed)
71,35% 16,90% 7,92% 3,83% 0% 20% 40% 60% 80%
0 - 40% 40% - 50% 50% - 60% > 60%
*
Lower limit included
Breakdown by loan status (arrears by n. days)
98,81% 0,43% 0,35% 0,18% 0,05% 0,09% 0,04% 0,03% 0,01% 0,01% 0,00% 0% 20% 40% 60% 80% 100%
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Commercial Mortgage Loans
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Appendix: Current Cover Pool
Breakdown by Borrower concentration
1,83% 3,64% 4,58% 5,52% 6,29% 6,93% 7,57% 8,18% 8,78% 9,35% 0% 2% 4% 6% 8% 10%
Breakdown by Property Geographical location
Centre 22,95% North 52,39% South 24,65%
Breakdown by Borrower industry sector
0,90% 1,48% 2,32% 2,35% 2,50% 2,78% 2,80% 3,10% 3,24% 3,33% 3,34% 3,61% 13,38% 49,99%
0% 10% 20% 30% 40% 50%
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CFO Department Alessandro Brusadelli Head of Group Finance Area
Alessandro.Brusadelli@unicredit.eu Group Secured Funding Head of Secured Funding Luciano Chiarelli
luciano.chiarelli@unicredit.eu Giorgio Frazzitta
giorgio.frazzitta@unicredit.eu
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UniCredit SpA
Investor Relations Mara Milani
mara.milani@unicredit.eu Cristiana Cannizzaro
Cristiana.Cannizzaro@unicredit.eu Alberto Isenburg
UniCredit Bank AG CIB
Structuring & Solutions Group Securitised Products – Global Head Paolo Montresor
paolo.montresor@unicredit.eu Andrea Modolo
Andrea.Modolo@unicredit.eu Davide Fiore
Davide.Fiore2@unicredit.eu Debt Capital Markets Global Co-Head of DCM Marco Bales
marco.bales@unicredit.de Global Co-Head of DCM Global Head of Syndication Christian Reusch
christian.reusch@unicredit.de Head of High Grade Syndicate Rüdiger Jungkunz
ruediger.jungkunz@unicredit.de Head of DCM Italy Luca Falco
luca.falco@unicredit.de
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The information in this publication is based on carefully selected sources believed to be reliable. However we do not make any representation as to its accuracy or completeness. The information set out herein may be subject to updating, revision and amendment and such information may change materially. Any opinions herein reflect our judgement at the date hereof and are subject to change without notice. Any investments presented in this report may be unsuitable for the investor depending on his or her specific investment
investments concerned prior to making them. Past performance should not be taken as an indication or guarantee of further performance, and no representation or warranty, express or implied, is made regarding future performance. Nothing in this publication is intended to create contractual obligations on any of UniCredit S.p.A. or UniCredit Corporate & Investment Banking (UniCredit Corporate & Investment Banking consists of UniCredit Bank AG, Munich, UniCredit Bank Austria AG, Vienna, UniCredit CAIB Securities UK Ltd. London and other members of the UniCredit Group). The information in this presentation is made available solely for information purposes only. This document may not be reproduced, redistributed or passed on to any other person(s), in whole or in part. This presentation does not constitute or form part of, and should not be construed as, any offer for sale or subscription of, or solicitation of any offer to buy or subscribe for, any securities (including securities issued by UniCredit S.p.A or UniCredit Corporate & Investment Banking). This presentation does not constitute a recommendation regarding any securities (including securities issued by UniCredit S.p.A or UniCredit Corporate & Investment Banking). The information contained herein may include forward-looking statements. Any such forward-looking statements involve known and unknown risks and uncertainties. Factors that could cause a company's actual results, performance and financial condition to differ from its expectations include, without limitation, political uncertainty, changes in economic conditions that adversely affect the level of demand for the company’s products or services, changes in foreign exchange markets, changes in international and domestic financial markets, competitive environments and other factors relating to the foregoing. All forward-looking statements contained in this presentation are qualified in their entirety by this cautionary statement and neither UniCredit S.p.A. nor UniCredit Corporate & Investment Banking assumes any obligation, either directly or indirectly, explicitly or implicitly, to update or provide any additional information relating to such forward-looking statements. If this publication relates to securities subject to the Prospectus Directive it is sent to you on the basis that you are a “Qualified Investor” for the purposes of the directive or any relevant implementing legislation of a European Economic Area ("EEA") Member State which has implemented the Prospectus Directive and it must not be given to any person(s) who is not a Qualified Investor. By being in receipt of this publication you undertake that you will only offer or sell the securities described in this publication in circumstances which do not require the production of a prospectus under Article 3 of the Prospectus Directive or any relevant implementing legislation of an EEA Member State which has implemented the Prospectus Directive. UniCredit S.p.A. is regulated by both the Banca d'Italia and the Commissione Nazionale per le Società e la Borsa (CONSOB); UniCredit Bank AG is regulated by the German Financial Supervisory Authority (BaFin); UniCredit Bank Austria AG is regulated by the Austrian Financial Market Authority (FMA); UniCredit CAIB Securtities UK Ltd. is regulated by the Financial Services Authority (FSA); and UniCredit Bank AG Milan Branch is regulated by the Banca d'Italia and the Commissione Nazionale per le Società e la Borsa (CONSOB) and BaFin. Note to UK Residents: In the United Kingdom, this publication is being communicated on a confidential basis only to clients of UniCredit Corporate & Investment Banking Division (acting through UniCredit Bank AG, London Branch ("HVB London") and/or UniCredit CAIB Securities UK Ltd. who (i) have professional experience in matters relating to investments being investment professionals as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 ("FPO"); and/or (ii) are falling within Article 49(2) (a) – (d) ("high net worth companies, unincorporated associations etc.") of the FPO (or, to the extent that this publication relates to an unregulated collective scheme, to professional investors as defined in Article 14(5) of the Financial Services and Markets Act 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001; and/or (iii) to whom it may be lawful to communicate it, other than private investors (all such persons being referred to as "Relevant Persons"). This publication is only directed at Relevant Persons and any investment or investment activity to which this publication relates is only available to Relevant Persons or will be engaged in only with Relevant Persons. Solicitations resulting from this publication will only be responded to if the person concerned is a Relevant Person. Other persons should not rely or act upon this publication or any of its contents. The information provided herein (including any report set out herein) does not constitute a solicitation to buy or an offer to sell any securities. The information in this publication is based on carefully selected sources believed to be reliable but we do not make any representation as to its accuracy or completeness. Any opinions herein reflect our judgement at the date hereof and are subject to change without notice. We and/or any other entity of UniCredit Corporate & Investment Banking may from time to time with respect to securities mentioned in this publication (i) take a long or short position and buy or sell such securities; (ii) act as investment bankers and/or commercial bankers for issuers of such securities; (iii) be represented on the board of any issuers of such securities; (iv) engage in "market making" of such securities; (v) have a consulting relationship with any issuer. Any investments discussed or recommended in any report provided herein may be unsuitable for investors depending on their specific investment objectives and financial position. Any information provided herein is provided for general information purposes only and cannot substitute the obtaining of independent financial advice. HVB London is regulated by the Financial Services Authority for the conduct of business in the UK as well as by BaFIN, Germany. UniCredit CAIB Securities UK Ltd., London, a subsidiary of UniCredit Bank Austria AG, is authorised and regulated by the Financial Services Authority. Note to US Residents: The information provided herein or contained in any report provided herein is intended solely for institutional clients of UniCredit Corporate & Investment Banking acting through UniCredit Bank AG, New York Branch and UniCredit Capital Markets, Inc. (together "HVB") in the United States, and may not be used or relied upon by any other person for any purpose. It does not constitute a solicitation to buy or an offer to sell any securities under the Securities Act of 1933, as amended, or under any other US federal or state securities laws, rules or regulations. Investments in securities discussed herein may be unsuitable for investors, depending on their specific investment objectives, risk tolerance and financial position. In jurisdictions where HVB is not registered or licensed to trade in securities, commodities or other financial products, any transaction may be effected only in accordance with applicable laws and legislation, which may vary from jurisdiction to jurisdiction and may require that a transaction be made in accordance with applicable exemptions from registration or licensing requirements. All information contained herein is based on carefully selected sources believed to be reliable, but HVB makes no representations as to its accuracy or completeness. Any opinions contained herein reflect HVB's judgement as of the original date of publication, without regard to the date on which you may receive such information, and are subject to change without notice. HVB may have issued other reports that are inconsistent with, and reach different conclusions from, the information presented in any report provided herein. Those reports reflect the different assumptions, views and analytical methods of the analysts who prepared
HVB and/or any other entity of UniCredit Corporate & Investment Banking may from time to time, with respect to any securities discussed herein: (i) take a long or short position and buy or sell such securities; (ii) act as investment and/or commercial bankers for issuers of such securities; (iii) be represented on the board of such issuers; (iv) engage in "market-making" of such securities; and (v) act as a paid consultant or adviser to any issuer. The information contained in any report provided herein may include forward-looking statements within the meaning of US federal securities laws that are subject to risks and uncertainties. Factors that could cause a company's actual results and financial condition to differ from its expectations include, without limitation: Political uncertainty, changes in economic conditions that adversely affect the level of demand for the company‘s products or services, changes in foreign exchange markets, changes in international and domestic financial markets, competitive environments and other factors relating to the foregoing. All forward-looking statements contained in this report are qualified in their entirety by this cautionary statement. Note to Italian Residents This document and the information provided herein or contained in any report provided herein are for distribution in Italy only to "qualified investors" (investitori qualificati), as this term is defined pursuant to Article 100, paragraph 1(a), of Legislative Decree no. 58 of 24 February 1998, as amended and restated from time to time (the Financial Services Act), and Article 34-ter, paragraph 1(b) of CONSOB Regulation no. 11971 of 14 May 1999, as amended and restated from time to time (the CONSOB Regulation), or in any other circumstance provided for by Article 100 of the Financial Services Act and Article 34-ter, CONSOB Regulation.