investor report - intesa sanpaolo group group spv...euro 2.085.600.000 class a asset backed floating...

Securitisation of residential mortgage Receivables originated by the UBI Group

Euro 2.085.600.000 Class A Asset Backed Floating Rate Notes due October 2070

Euro 113.800.000 Class B1 Asset Backed Additional Return Notes due October 2070







CONTACTS UBI Securitisation Administrative Department: [email protected]

UBI Funding Department: [email protected]

DATES Collection Period 13/06/2016 - 31/08/2016

Interest Period 11/08/2016 - 07/10/2016

Payment Date 07/10/2016

This Investors Report is prepared by Calculation Agent in accordance with the criteria described in the Transaction Documents.

Certain information included in this report is provided by the Parties.

INVESTOR REPORT

mailto:[email protected]



UBI Group SPV RMBS - Investors Report_31082016_discl - 1. Transaction overview

Principal Parties Issuer UBI SPV GROUP 2016 Srl

Originators Unione di Banche Italiane

Banca Carime

Banca Popolare Commercio e Industria

Banca Popolare di Ancona

Banca Popolare di Bergamo

Banco di Brescia

Banca Regionale Europea

Master Servicer Unione di Banche Italiane

Arranger Société Générale

Representative of the Noteholders Zenith Service SpA

Calculation Agent Unione di Banche Italiane

Cash Manager Unione di Banche Italiane

Corporate Services Provider TMF Management Italy Srl

Account Bank Unione di Banche Italiane

Paying Agent The Bank of New York Mellon

(Luxembourg) SA, Italian Branch

Listing Agent The Bank of New York Mellon SA/NV,

Dublin Branch

Back-Up Servicer Facilitator Zenith Service SpA

RETENTION ECONOMIC INTEREST

Each Originator confirms, as at the date of this report, it continues to maintain a material net economic interest of at least 5% in the Transaction in accordance with option (1) article 405 of the

CRR, the Bank of Italy Instructions, article 51 of the AIFMR and article 254 of the Solvency II Regulation, and that such interest comprises, in accordance with option (1) (d) of Article 405,

option (1) (d) of Article 51 and option 2(d) of Article 254, an interest in the Junior Notes which is not less than 5 per cent. of the nominal value of the securitised exposures for which it is the

relevant Originator.

TRANSACTION OVERVIEW

Pag.2

UBI Group SPV RMBS - Investors Report_31082016_discl - 1. Transaction overview

MAIN DEFINITIONS

Payment Date

Interest Period

Business Day

Cumulative Default Ratio

Defaulted Receivables

Delinquent Receivables

Cash Trapping condition

means the Receivables in relation to which certain amounts are due but not paid by the relevant Borrower (importi scaduti e/o sconfinanti) for at least 90

(ninety) days after the relevant due date but which have not been classified as Defaulted Receivables.

means, with reference to any Calculation Date, the event which occurs when the Cumulative Default Ratio exceeds 9%.

means the 7th day of January, April, July and October, in each year (or, if such day is not a Business Day, the immediately succeeding Business Day). The

First Payment Date will be 7 October 2016

The Notes will bear interest from (and including) a Payment Date to (but excluding) the next following Payment Date (each an “Interest Period”) provided

that the first Interest Period (the “Initial Interest Period”) shall begin on (and include) the Issue Date and end on (but exclude) the First Payment Date.

means any day (other than a Saturday or Sunday) on which banks are generally open for business in Milan, London and Dublin and on which the Trans-

European Automated Real Time Gross Transfer System (TARGET2) (or any successor thereto) is open.

means, with reference to any Calculation Date the ratio between:

(i) the aggregate of the Outstanding Principal of the Receivables of the Aggregate Portfolio or the Portfolio assigned by each Originator, as the case may be,

classified as Defaulted Receivables during all the Collections Periods preceding such Calculation Date, calculated as at the Collection Date immediately

following the date on which such Receivables have been classified as Defaulted Receivables; and

(ii) the aggregate of (a) the Purchase Price of the Initial Portfolios or, as the case maybe, each Initial Portfolio and (b) the sum of all the Purchase Price of any

Subsequent Portfolio transferred to the Issuer by the Originators, or, as the case maybe, each Originator before 3 months preceding such Calculation Date,

provided that the Receivables repurchased by the Originator pursuant to Clause 14 (Opzione di Riacquisto Parziale) of the Master Transfer Agreements (but

only to the extent not yet classified as Defaulted Receivables) will be excluded from the computation of such ratio.

means the Receivables which have been classified as “sofferenze” (“bad loans”) or “inadempienze probabili (“unlikely to pay”) pursuant to the Bank of Italy

Circular no. 272 of 30 July 2008 on the “Matrice dei Conti”, as subsequently amended and supplemented and the Collection Policy.

Pag.3

UBI Group SPV RMBS - Investors Report_31082016_discl - 2. Notes Overview

The Notes

Issue Date 11/08/2016

Classes Class A Class B1 Class B2 Class B3 Class B4 Class B5 Class B6 Class B7

Principal Amount Outstanding on

Issue 2.085.600.000,00 113.800.000,00 62.700.000,00 133.900.000,00 95.400.000,00 244.400.000,00 51.000.000,00 59.100.000,00

Currency EUR EUR EUR EUR EUR EUR EUR EUR

Issue Date 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16 11-Aug-16

Final Maturity Date Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70 Oct-70

ListingIrish Stock

ExchangeNot listed Not listed Not listed Not listed Not listed Not listed Not listed

ISIN code IT0005209967 IT0005209983 IT0005209975 IT0005209991 IT0005210007 IT0005210015 IT0005210130 IT0005210148

Common code 146211470 146324215 146324231 146324614 146324304 146325521 146325955 146326293

Denomination 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00 100.000,00

Type of amortisation Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through

Indexation Euribor 3M NA NA NA NA NA NA NA

Relevant Margin 0,750% NA NA NA NA NA NA NA

Payment frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly

1st

Payment Date 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16 07-Oct-16

Rating Moody's on Issue Date A1(sf) NR NR NR NR NR NR NR

Rating Moody's up to date A1(sf) NR NR NR NR NR NR NR

Rating DBRS on Issue Date A(low)(sf) NR NR NR NR NR NR NR

Rating DBRS up to date A(low)(sf) NR NR NR NR NR NR NR

THE NOTES - OVERVIEW

Pag.4

UBI Group SPV RMBS - Investors Report_31082016_discl - 2.1 Class A Notes

Accrued Interest

Principal Amount

Outstanding Unpaid InterestMargin

Euribor

3mDays Interest Principal Interest

Principal Amount

Outstanding Unpaid Interest

11-Aug-16 7-Oct-16 7-Oct-16 2.085.600.000,00 - 0,750% -0,334% 57 1.373.784,72 - 1.373.784,72 2.085.600.000,00 -

Interest Period Payment Date

Before payments Payments After payments

CLASS A NOTES

Pag.5

UBI Group SPV RMBS - Investors Report_31082016_discl - 2.2 Class B notes

B1 B2 B3 B4 B5 B6 B7

Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding Principal Amount Outstanding

Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments Before payments Payments After payments

11-Aug-16 7-Oct-16 7-Oct-16 113.800.000,00 - 113.800.000,00 62.700.000,00 - 62.700.000,00 133.900.000,00 - 133.900.000,00 95.400.000,00 - 95.400.000,00 244.400.000,00 - 244.400.000,00 51.000.000,00 - 51.000.000,00 59.100.000,00 - 59.100.000,00

Interest Period Payment Date

CLASS B NOTES

Pag.6

UBI Group SPV RMBS - Investors Report_31082016_discl - 3. Collections and Recoveries

Principal Interest Principal Interest

13-Jun-16 31-Aug-16 27.075.439,80 13.008.811,12 22.059.289,73 74.654,25 20.090,69 - 190.642,49 - 62.428.928,08

AdjustmentsCollections and

RecoveriesCollection Period

Scheduled UnscheduledOther

Payments due by

the Originators to

the SPV

Recoveries

COLLECTIONS AND RECOVERIES

Pag.7

UBI Group SPV RMBS - Investors Report_31082016_discl - 4.1 IAF - int

Issuer Interest Available Funds

Payment

Date

Interest

Collections

Amount credited into the

Cash Reserve Account

All amounts of interest

accrued and availableRecoveries

Any other

amount

Residual amount to the

Payment Account

Issuer Interest

Available Funds

ISSUER AVAILABLE

FUNDS

7-Oct-16 13.103.556,06 83.424.000,00 - 190.642,49 - - 96.718.198,55 152.927.437,11 - -

IAF - Interest

Pag.8

UBI Group SPV RMBS - Investors Report_31082016_discl - 4.2 IAF - princ

Issuer Principal Available Funds

Payment

Date Principal Collections

Principal

Allocation

Amount

Principal Deficiency

Amount

Amount credited

into the Cash

Reserve Account

Relevant Collateral

Integration Amount

Principal proceeds arising

from the disposal of the

Receivables

Any amount credited (and not

used) in the Payment Account

and in the Principal Collection

Accounts

Issuer Principal

Available Funds

7-Oct-16 49.134.729,53 - 7.068.815,43 - - - 5.693,60 56.209.238,56

IAF - Principal

Pag.9

UBI Group SPV RMBS - Investors Report_31082016_discl - 5.1 Pre-Enf PoP Int

Interest Priority of Payments

During Amortisation Period

Payment

DateExpenses

Any amount to the

Representative of the

Noteholders

Any amounts due to the

Parties below *

Interest due and payable

on the Senior Notes

Required Cash Reserve

Amount

Principal Deficiency

Amount

Principal Allocation

Amount

Any amounts due and

payable to the

Originators

Pre-Enforcement Junior

Notes Additional Return

Any residual amounts due in

accordance to the Relevant Proportion

7-Oct-16 3.325,55 1.526,67 267.691,19 1.373.784,72 83.424.000,00 7.068.815,43 - - 4.579.054,99 -

* Account Bank, Back-Up Servicer Facilitator, Calculation Agent, Paying Agent, Cash Manager, Corporate Servicer, Listing Agent, Master Servicer, Sub-Servicers

Pre-Enforcement Priority of Payments - Interest

Pag.10

UBI Group SPV RMBS - Investors Report_31082016_discl - 5.2 Pre-Enf PoP Princ

Principal Priority of Payments - Revolving Period

Payment

Date

Any amount payable under items

First to Fourth of the Int PoPPurchase Price for any Subsequent Portfolio

Principal due in respect of the

Senior Notes

Relevant Collateral Integration

Amount

Any price adjustment to the relevant

Purchase Price


Payment Account

7-Oct-16 - - - 56.209.238,56 - -

Principal Priority of Payments - Amortising Period

Payment

Date

Any amount payable under items

First to Fourth of the Int PoPPrincipal due in respect of the Senior Notes

Any price adjustment to the

relevant Purchase Price

Any Purchase Price due but not

already paid

If Senior Notes fully reimbursed, Junior

Notes Principal Amount


Payment Account

Pre-Enforcement Priority of Payments - Principal

Pag.11

UBI Group SPV RMBS - Investors Report_31082016_discl - 6.1 RCR Amount

During Revolving

Period

During Amortising

Period

Required Cash

Reserve Amount of

the relevant PD

Payment

Date

Initial Cash Reserve

Amount

a) Aggregate Portfolio

Breach of Ratio

a) Cash Trapping

condition

b) Cash Reserve Amount lower than

Required Cash Reserve Amount *

Required Cash Reserve

Amount of the previous PDIf a) or b) occurs Else

7-Oct-16 83.424.000,00 - -

* As of the immediately preceding Payment Date

REQUIRED CASH RESERVE AMOUNT

Pag. 12

UBI Group SPV RMBS - Investors Report_31082016_discl - 6.2 Released CR Amount

Payment

Date

a) Cash Reserve

Amount1 b) the aggregate of:

(i) the Required

Cash Reserve

Amount 2

(ii) any amount of the Cash Reserve to be

drawn 3Released Cash Reserve

Amount

- -

1 as at the immediately preceding Payment Date

2 with reference to such Payment Date

3 towards payment of items (First) to (Fourth) of the Pre-Enforcement Interest Priority of Payments during the Amortisation Period

RELEASED CASH RESERVE AMOUNT

Pag.13

UBI Group SPV RMBS - Investors Report_31082016_discl - 7. PTE

PURCHASE TERMINATION EVENT OCCURRED N

1. Breach of ratios ACTUAL LIMIT TRIGGERED

Cumulative Default Ratio 0,10% 2% N

Deliquency Ratio 0,60% 6% N

Uncured Principal Deficiency Amount ACTUAL TRIGGERED

Last payment date - N

Current payment date -

Outstanding Principal 2.695.834.468,21 2%

2. Cash Reserve ACTUAL TARGET TRIGGERED

83.424.000,00 83.424.000,00 N

3. Occurrence of an Insolvency Event upon one or more Seller FINE TRIGGERED

X N

4. Breach of Representations and Warranties given by UBI FINE TRIGGERED

(not remedied within 10 BD) X N

5. Revocation of the appointment of the Servicer FINE TRIGGERED

X N

6. Minimum rating for UBI of B2 by Moody's or B by DBRS FINE TRIGGERED

X N

PURCHASE TERMINATION NOTICE DELIVERED N

ENFORCEMENT NOTICE DELIVERED N

Payment Date (included) falling 36 months after the Issue Date ELASPED N

REVOLVING PERIOD TERMINATION DATE OCCURED N

PURCHASE TERMINATION EVENTS

Pag.14

UBI Group SPV RMBS - Investors Report_31082016_discl - 8. Portf Performance

Defaults

Collection Period New Defaults Cumulative Defaulted Amount Ratio

From To # Outstanding Principal # Outstanding Principal CGD%

13-Jun-16 31-Aug-16 21 2.713.058,84 21 2.713.058,84 0,10%

- - - - -

Recoveries

Collection Period Ratio

From To

CND%

13-Jun-16 31-Aug-16 180.889,00 180.889,00 2.532.169,84 0,09%

- - - -

Other Triggers

Cash Trapping Condition N Y/N

Cumulative Default Ratio 0,10%

exceeds 9,00%

BUS Rating Event N Y/N

Recoveries of the Period Cumulative RecoveriesCumulative Net Defaulted

Amount

PORTFOLIO PERFORMANCE & TRIGGERS

Pag. 15

UBI Group SPV RMBS - Investors Report_31082016_discl - 9. Portfolio Description

Overview

Aggregate current Principal Outstanding Balance 2.698.547.527,05

Number of Debtors 21.930,00

Total number of Loans 22.414,00

WA seasoning (in years) 6,20

WA time to maturity (in years) 21,34

WA interest rate (%) 2,05

Maximum spread on the Loans 6,00

Minimum spread on the Loans (1,00)

Geographical Distribution Borrower Number of loans % Outstanding Principal %

Abruzzo 220 0,98% 22.532.302,03 0,83%

Basilicata 156 0,70% 10.417.983,78 0,39%

Calabria 732 3,27% 64.421.264,73 2,39%

Campania 810 3,61% 102.402.466,24 3,79%

Emilia Romagna 895 3,99% 114.090.145,37 4,23%

Friuli Venezia Giulia 129 0,58% 13.770.850,41 0,51%

Lazio 1.455 6,49% 214.593.364,57 7,95%

Liguria 611 2,73% 82.843.650,68 3,07%

Lombardia 12.501 55,77% 1.491.907.062,98 55,29%

Marche 730 3,26% 92.089.004,66 3,41%

Molise 61 0,27% 5.040.562,15 0,19%

Piemonte 1.672 7,46% 193.556.753,88 7,17%

Puglia 920 4,10% 95.683.329,06 3,55%

Sardegna 355 1,58% 45.115.554,49 1,67%

Sicilia 248 1,11% 30.791.769,63 1,14%

Toscana 143 0,64% 22.032.926,63 0,82%

Trentino Alto Adige 12 0,05% 1.815.601,41 0,07%

Umbria 201 0,90% 23.072.026,92 0,85%

Val d'Aosta 13 0,06% 4.098.939,52 0,15%

Veneto 550 2,45% 68.271.967,91 2,53%

Total 22.414 100,00% 2.698.547.527,05 100,00%

PORTFOLIO DESCRIPTION

Pag.16



Current LTV (CLTV) buckets Number of loans % Current balance %

0%-60% 4.366 19,48% 379.401.549 14,06%

60%-80% 4.232 18,88% 505.837.717 18,74%

80%-100% 9.519 42,47% 1.234.492.229 45,75%

100%-110% 1.633 7,29% 218.797.924 8,11%

110%-120% 1.042 4,65% 137.910.651 5,11%

>120% 1.622 7,24% 222.107.458 8,23%

Total 22.414 100,00% 2.698.547.527,05 100,00%

Arrears Number of loans % Current balance %

Current 21.067 93,99% 2.526.732.354 93,63%

Current+ <= 1m 1.019 4,55% 126.480.907 4,69%

1<=2m 113 0,50% 15.153.002 0,56%

2<=3m 71 0,32% 11.962.019 0,44%

3<=6m 98 0,44% 12.255.089 0,45%

6<=9m 40 0,18% 5.104.434 0,19%

>=9m 6 0,03% 859.722 0,03%

Total 22.414 100,00% 2.698.547.527,05 100,00%

Seasoning (in years) Number of loans % Current balance %

0 - 1 1.412 6,30% 165.781.400 6,14%

1 - 2 2.241 10,00% 286.372.062 10,61%

2 - 3 1.426 6,36% 182.479.529 6,76%

3 - 4 1.145 5,11% 146.961.694 5,45%

4 - 5 1.066 4,76% 141.834.013 5,26%

5 - 6 1.468 6,55% 202.799.743 7,52%

6 - 7 1.927 8,60% 265.118.850 9,82%

7 - 8 2.747 12,26% 342.837.873 12,70%

8 - 9 3.728 16,63% 458.662.654 17,00%

9 - 10 2.085 9,30% 241.085.773 8,93%

10 - 11 1.451 6,47% 151.293.917 5,61%

> 11 1.718 7,66% 113.320.019 4,20%

Total 22.414 100,00% 2.698.547.527 100,00%

Pag.17



ORIGINATORS Number of loans % Current balance %

UBI BANCA SPA 3.001 13,39% 405.384.038 15,02%

BANCA CARIME 1.877 8,37% 180.606.230 6,69%

BANCO DI BRESCIA 2.951 13,17% 339.394.987 12,58%

BANCA POPOLARE COMMERCIO E INDUSTRIA 3.692 16,47% 474.147.271 17,57%

BANCA POPOLARE DI ANCONA 1.822 8,13% 221.669.210 8,21%

BANCA REGIONALE EUROPEA 1.767 7,88% 209.729.511 7,77%

BANCA POPOLARE DI BERGAMO 7.304 32,59% 867.616.281 32,15%

Total 22.414 100,00% 2.698.547.527,05 100,00%

Current interest rate type Number of loans % Outstanding Principal %

Fixed 4.342 19,37% 470.104.736,39 17,42%

Floating 18.072 80,63% 2.228.442.790,66 82,58%

Total 22.414 100,00% 2.698.547.527,05 100,00%

Pag.18

UBI Group SPV RMBS - Investors Report_31082016_discl - Disclaimer

With reference to the transaction specified above , this report is prepared by Unione di Banche Italiane S.p.A. acting as calculation agent (the “Calculation Agent” or “UBI”) in accordance with the criteria described in the relevant transaction documents (the “Transaction Documents”). Terms and expressions used in this report have the respective meanings given to them in the Transaction Documents. Certain information included in this report may be provided by other agents appointed under the Transaction Documents. The Calculation Agent shall be entitled to, and may, rely upon the information and reports received by such agents and will not be required to verify the accuracy or completeness of such notice, reports or information received by them. Calculations contained in this report are made in accordance with the criteria described in the Transaction Documents. This document is provided for information purposes only and does not constitute or form part of, nor may it be construed so as to constitute or form part of, an offer, or the solicitation of any offer, to buy, sell or subscribe for any securities mentioned herein, nor is it intended to provide an evaluation of the risk related to an investment in such securities or for use by any person in making investment decisions. The information provided in the report cannot substitute the obtaining of independent financial advice. If this document has been sent to you in electronic form, you are reminded that documents transmitted via this medium may be altered or changed during the process of electronic transmission and consequently neither UBI nor its subsidiaries or affiliates, or any of their respective directors, managers, officers or employees, accepts any liability or responsibility whatsoever in respect of any difference between the documents distributed to you in electronic format and the copy made available on UBI’s website. Neither UBI nor its subsidiaries or affiliates, or any of their respective directors, managers, officers or employees shall have any responsibility or liability as to their fairness, accuracy, completeness or reliability or for any loss or damage howsoever arising from or otherwise in connection with the use of this document.

Pag. 19