UBI Banca:UBI Banca: Obbligazioni Bancarie Garantite ... · Investor Presentation September 2009...

UBI Banca:UBI Banca:Obbligazioni Bancarie Garantite - Programme and Inaugural Issueand Inaugural Issue

Investor Presentation

September 2009

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Disclaimer

y p p p y y yamended, superseded or replaced by subsequent summaries. The final terms and conditions of the securities/transaction will be set out in full in the applicable offering document(s) or bindingtransaction document(s). These materials and all information herein are highly confidential and may not be distributed, published, reproduced or disclosed (in whole or in part) without the priorwritten consent of UBI. No representation or warranty, express or implied, can be given with respect to the accuracy, completeness, sufficiency or usefulness of the information, or that any futureoffer of securities or instruments will conform to the terms hereof. Any such offer would be made pursuant to a definitive prospectus prepared by UBI (the “Prospectus") which would containmaterial information not contained herein and to which you are referred. 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INVESTORS SHOULD ONLY SUBSCRIBE FOR ANY TRANSFERABLE SECURITIES DESCRIBEDHEREIN ON THE BASIS OF INFORMATION IN THE RELEVANT PROSPECTUS (WHICH HAS BEEN OR WILL BE PUBLISHED AND MAY BE OBTAINED FROM BARCLAYS), AND NOT ONTHE BASIS OF ANY INFORMATION PROVIDED HEREIN.Barclays Capital, the investment banking division of Barclays Bank PLC, in its role as Arranger, and the Dealers have not separately verified the information contained in this presentation. None ofthe Dealers (Deutsche Bank, Natixis and Société Générale) or the Arranger makes any representation, express or implied, or accepts any responsibility, with respect to the accuracy orcompleteness of any of the information in this presentation.UBI and its respective agents or representatives makes no representation, express or implied, as to the accuracy, completeness, sufficiency or usefulness of the information or regarding theaccuracy of the assumptions or the appropriateness of the parameters used in the calculation of any projections or estimates set out herein or completeness of that information or for informationwhich is contained in this document and which is stated to have been obtained from or is based upon trade and statistical services or other third party sources. Any data on past performance,modelling, back-testing, contained herein or projections or other estimates (which are forward-looking statements) are based upon certain assumptions and are preliminary in nature and are noindication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling, back-testing,projections or estimates. All opinions and estimates are given as of the date hereof and are inherently subject to change without notice and may be, or may with the passage of time becomeoutdated. UBI does not undertake to update or to notify you of any changes to the information herein. actual events may differ from those assumed and changes to any assumptions may have amaterial impact on any projections or other estimates. Other events not taken into account may occur and may significantly affect the analysis. There can be no assurance that estimatedprojections can be realised or that actual results will not be materially lower than those estimated herein. Such estimated results and projections should be viewed as hypothetical. You shouldconduct your own analysis, using such assumptions as you deem appropriate, and should fully consider other available information. The value of any investment may fluctuate as a result of market

2

changes. The information in this document is not intended to predict actual results and no assurances, representations or warranties are given with respect thereto.


Table of Contents

1. Executive Summary

2. Introduction to UBI Banca

3. Italian Mortgage Market Overview

4. UBI Banca’s Mortgage Business

5. UBI Banca’s OBG Programme

6. Cover Pool Description

Appendix:

1. Priority of Payments and Statutory Tests2. Italian OBG Law vs. the European Covered Bond Framework3. Overview of Banco di Brescia and Banca Regionale Europeag p4. Default and Prepayment Data

3


1 Executive Summary1. Executive Summary

4


Executive Summary

Sound capital ratios. Low leverage of balance sheet and sound liquidity position. First Italian Cooperative bank by capitalisation. Strong market position in Lombardy (Italy's richest region) with a 13,2% market share in

UBI Banca

g p y ( y g ) , %terms of branches.

Good credit quality, despite the unfavourable economic environment, compared to theItalian banking system.

Excellent / long standing mortgage origination and servicing history. No direct exposure to subprime market and monolines No direct exposure to subprime market and monolines.

Low level of indebtedness by households. High home possession rate of Italian households.Italian Mortgage

Market Increase in property values lower than in other countries.

Italian legislative covered bond: Obbligazioni Bancarie Garantite (“OBG”). Dual recourse to UBI Banca and a pool of Italian prime residential mortgagesOBG P

Market

Dual recourse to UBI Banca and a pool of Italian prime residential mortgages. AAA expected rating by Moody’s and Fitch.

100% Italian prime residential mortgages fully originated by UBI Banca.C ll t l

OBG Programme

Eligible mortgage loans, as per Italian mortgage OBG Law. 99.69% loans are performing. Weighted average original LTV of 59.2%. High concentration in the north of Italy. Well seasoned portfolio (56 24 months weighted average seasoning)

Collateral Characteristics

5

Well seasoned portfolio (56.24 months weighted average seasoning).


2 Introduction to UBI Banca2. Introduction to UBI Banca

6


UBI Banca and its PeersCustomer Loans as at 30Customer Loans as at 30thth June 2009 (June 2009 (€€ bn) bn) Total Assets as at 30Total Assets as at 30thth June 2009 (June 2009 (€€ bn)bn)

585

386

983

638

8343

32

14597

4th

12158 44

212122

4th

Source: 1H09 Reports

58 44

Source: 1H09 Reports

6.175

4.777

No. Domestic Branches as at 30No. Domestic Branches as at 30thth June 2009 June 2009 Market Capitalization as at 8Market Capitalization as at 8thth September 2009 (September 2009 (€€ bn)bn)43,3

37

1.9391.292

792

3.108

2.253

5th

2,64,1

7,8 6,54th

792

S 1H09 R t

2,62,2

7

Source: 1H09 Reports Source: Italian Stock Exchange


History of UBI Banca

Unione di Banche Italiane Scpa (“UBI Banca”) was formed following the merger of the skills and experience of theBPU Banca and Banca Lombarda e Piemontese Groups (April 2007).

The history of UBI Banca is marked by a succession of mergers which have led banks with strong roots in localcommunities to the significant reality of todaycommunities to the significant reality of today.

Birth of the B M t

Acquisition of Acquisition of Centrobanca

Acquisition of Banca

Birth of BPU Banca Group

from the integration of BPB CV dBanca Mutua

Popolare della Città e Provincia

di Bergamo (BPB)1869

Birth of the Società per la Stagionatura e

l’Assaggio delle Sete ed

Merger of BPB and Credito

Varesino (BPB-CV)

Banca Popolare di Ancona (BPA)

by BPB-CV. Birth of BPB-CV

Group1996

Centrobanca, Birth of Banca

24-72000

Carime by BPCI2001

BPB-CV and BPCI2003

1st April 2007Birth of UBI

Banca following the

merger of BPU Banca

2000Acquisition of Banca Regionale Europea*

delle Sete ed Affini (BPCI)

1888

19921996 BPU Banca

Group and Banca

Lombarda e Piemontese

Group

1963BSPB i

1992Acquisition of Banco di San

1998Merger of CAB and

BSPB with the creation of Banca

Lombarda as parent

Regionale Europea by Banca Lombarda. The Group takes the

name of Banca Lombarda e

Piemontese Group

1888Birth of the

Banca San Paolo di Brescia (BSPB)

1883Birth of the

Credito Agrario Bresciano

(CAB)

BSPB acquires Banca di Valle

Camonica (BVC)

Giorgio (BSG) by CAB

pcompany and contribution of

branch network of CAB and BSPB to Banco di Brescia

8

*Banca Regionale Europea was created in 1994 following the merger between Cassa di Risparmio di Cuneo and Banca del Monte di Lombardia (Source: UBI Banca Investor Relations).


Introduction to the UBI Banca Group*: Predominant Retail Business andStrong Northern Italian Franchise (1/3)

1st Italian cooperative banking Group by market capitalization (EUR 6,5 bn**).

4th largest Italian bank by total assets (EUR 121,8 bn).

EUR 96,8 bn customer lending, of which 82,7% in Northern Italy, 9,9% in Central Italy and

Strong competitive positioning

7,4% in Southern Italy.

EUR 96,2 bn direct funding, of which 71,9% coming from Northern Italy, 13,8% from CentralItaly and 14,3% from Southern Italy.

Good asset quality compared to the Italian banking system (Net NPLs/Total Loans 1 14%; Good asset quality compared to the Italian banking system (Net NPLs/Total Loans 1,14%;Italian Banking system 1,53%).

Cost of credit to 82bps confirming advantage compared to average of 6 Italian major banks(116bps).

Sound capital ratios (Core Tier 1: 7,24%, Tier 1: 7,76%, Total capital ratio: 11,63%).

Low risk profile:

- Funding mainly from own customer base (85,8%) and limited recourse to internationalfinancial markets (14 2%)financial markets (14,2%).

- Defensive business mix: focus on commercial customer business, with a nonaggressive commercial policy.

- No exposure to subprime mortgages and related instruments.

9

* Figures as at 30 June ‘09 unless otherwise stated**Source: Il Sole 24 Ore, 9th September 2009, data as at 8th September 2009



Extensive regional coverage and strong customer baseLombardy (894)

Trentino Alto Adige (2)

Valle d’Aosta (1)

Friuli Venezia Giulia (12)

Approx. 4 million clients, mainly retail.

1,939 branches in Italy and 10 abroad.

National market share of 5,7% in terms ofbranches

(1)

Veneto (43)

Emilia Romagna (54)

Marche (111)( )

Piedmont (222)

branches.

894 branches in Lombardy with a market share interms of branches of 13,2%, and 222 branches inPiedmont with a market share in terms ofbranches of 8 2%

( )

Umbria (22)Abruzzo (18)

Molise (6)

Campania (97)

Latium (121)

Tuscany (8)Liguria (59)

Apulia (117)branches of 8,2%.

Market share greater than 10% in 18 Italianprovinces.

High concentration of branches in key provinces

Basilicata (36)

Campania (97)

Sardinia (1)

Calabria (115)like Milan (approx. 10% of market share) andRome (approx. 4% of market share).

Mkt Share >= 15%5% <= Mkt Share < 15%2% <= Mkt Share < 5%

Market share < 2%Calabria (115)

1.939 branches in Italy + 10 branches abroadNumber of branches as at 30th June 2009

10

* Figures as at 30 June ‘09 unless otherwise stated



Listed co-operative Bank – Dual governance system.

Registered offices in Bergamo - Headquarters located in Bergamo and Brescia.

Multi functional federal integrated banking group:UBI Banca

Multi-functional, federal, integrated banking group:

Nine network banks and several highly specialized product companies, offering a wide range offinancial services and products (asset management, leasing, factoring, consumer finance,corporate and investment banking, on line trading, etc…).

- UBI Banca provides management, co-ordination, control and supply of support services.

- Leveraging on brand identities and strong local relationships.

- Optimizing the distribution power of the network banks.

C ti l f d t f t i

639,145,902 shares of a nominal value of EUR 2.50 each.

- Creating value from product factories.

Approx. 152,000 shareholders, of which 85,651 voting shareholders.

Over 30% of the capital held by institutional investors, mainly in the USA, UK, Italy and rest ofEurope.

Capital and Shareholders

Stock currently covered by 26 brokers (14 international brokers and 8 Italian brokers).

Strong orientation to the market.

11

* Figures as at 30 June ‘09 unless otherwise stated


Solid Ratings

STANDARD & POOR’S

Long-term debt and deposit A1rating

MOODY’S

Short-term issuer default rating F1

Long-term issuer default rating A+

FITCH RATINGS

Short-term counterparty A-1credit rating

Short-term debt and deposit Prime-1rating

Bank financial strenght rating C

Outlook (deposit rating) Stable

g g

Bank individual rating B/C

Support rating 2

Support rating floor BBB

Long-term counterparty Acredit rating

Outlook Stable

Outlook (deposit rating) Stable

Outlook (bank financial Negativetrenght rating)

Support rating floor BBB

Outlook for long-term issuer Stabledefault rating

Ratings on issues Ratings on issues

Senior unsecured debt A+

Upper/lower Tier II subordinated A

Ratings on issues

Senior unsecured debt A

Subordinated debt A-

Senior unsecured LT A1

Senior unsecured ST P-1 Upper/lower Tier II subordinated A

Preference shares (ex BPCI) A

Tier III subordinated A-

Subordinated debt A-

Preference shares BBB

Tier III subordinated debt BBB+

Senior unsecured ST P-1

Upper/Lower Tier II subordinated A2

Tier III subordinated A2

Euro comm. paper programme F1French Certificats de Dépot A-1programme

Preference shares A3

Euro comm. paper programme Prime-1

French Certificats de Dépot Prime-1programme

12

programme


The Group Structure

UBI Banca provides management, co-ordination, control and supply of centralized services to the network banks

9 NETWORK BANKS MAIN PRODUCT COMPANIES

370 branches100.00%

ASSET MANAGEMENT UBI Pramerica(partnership with Prudential US)

CONSUMER CREDIT B@nca 24-7

358 branches

292 branches

100.00%

59.95%(1)

CORPORATE BANKING Centrobanca

FACTORING UBI Factor

LEASING UBI Leasing

212 branches

254 branches

83.36% (2)

99.31%(3)

LEASING UBI Leasing

NON-LIFE BANCASSURANCE UBI Assicurazioni

LIFE BANCASSURANCE Aviva Vita (Partnership with Aviva)Lombarda Vita (Partnership with C tt li )

293 branches

59 branches

85.83%(4)

82.96%(5)

Cattolica)

ON LINE TRADING IW Bank (listed company)53 branches

36 branches904 financial

advisors

100.00%

93.12%(6)

N b f b h d t d t 30th J 2009

13

advisors Number of branches updated as at 30th June 2009

(1) and 19.98% by Fondazione Cassa di Risparmio di Cuneo and 19.98% by Fondazione Banca del Monte di Lombardia and the rest by minority shareholders; (2) and 16.64% by Aviva SpA; (3) and the rest by minority shareholders; (4) and 14.15% by Aviva SpA and the remaining by minority shareholders; (5) and (6): the remaining part held by minority shareholders. Data as at 30 June ‘09.


Recent Financial Results as at 30 June 2009EUR mn 30.06.2009 30.06.2008 Changes A/B 31.12.2008 31.12.2007 Changes C/DEUR mn A B Changes A/B C D Changes C/D

Direct funding from customers 96,135 93,601 2.7% 97,591 90,346 8.0%Loans to customers 96,830 96,506 0.3% 96,368 92,973 3.7%Indirect funding 75,478 83,265 -9.4% 74,064 90,857 -18.5% - AUM (Incl. insurance products) 40,241 45,783 -12.1% 39,207 51,386 -23.7%

AUC 35 238 37 483 6 0% 34 857 39 471 11 7% - AUC 35,238 37,483 -6.0% 34,857 39,471 -11.7%Core Tier 1 Ratio 7.24% 7.02% 7.09% 6.86%Tier 1 Ratio 7.76% 7.59% 7.73% 7.44%Total Capital Ratio 11.63% 10.33% 11.08% 10.22%

Potential additional capital buffers:

EUR mn 30.06.2009A

30.06.2008B Changes A/B 31.12.2008

C31.12.2007

D Changes C/D

% %

EUR 640 mn - Convertible bond maturing 2013. Approx. EUR 400 mn – Warrants convertible in 2011. Adoption of Basel II Advanced methodology* vs Basel II Standardised currently in use.

Net interest income 1,348 1,463 -7.9% 2,982 2,686 11.0%Net commissions 507 627 -19.1% 1,188 1,358 -12.5%Dividends and similar income 4 69 -94.9% 71 84 -14.8%Result from finance 67 11 ns -242 102 nsOperating income 2,002 2,247 -10.9% 4,090 4,439 -7.9%O ti t 1 244 1 316 5 5% 2 611 2 550 2 4%Operating costs -1,244 -1,316 -5.5% -2,611 -2,550 2.4%Of which: Staff costs -745 -811 -8.1% -1,584 -1,540 2.9% Other administrative expenses -384 -372 3.1% -749 -765 -2.0% D&A -116 -134 -13.5% -278 -245 13.5%Net operating income 758 930 -18.5% 1,478 1,890 -21.8%p gNet impairment losses on loans -395 -153 158.2% -566 -343 65.1%Net impairment losses on other assets/liabilities -35 3 ns -511 -29 nsProfit on continuing operations before tax 305 834 -63.4% 452 1,503 -69.9%Tax on income for the period -153 -227 -32.6% -222 -597 -62.9%Integration costs net of taxes -11 -29 -61.5% -67 -167 -59.7%

14

Profit for the period attributable to Parent Bank 126 519 -75.7% 69 941 -92.7%

* After approval by Bank of Italy


A Diversified and Secure Loan Portfolio (figures as at 30 June 2009)

Composition by type of lending of the consolidated portfolio

Low concentration of loans (fractioned anddiversified lending policy): Current account

overdraft

% of total loans

• largest 10 customers 4,3%

• largest 20 customers 6,7%

14,6%

8,8%

2,1%

19,1%overdraft

Mortgage loans and other medium-long term financingCredit cards, personal loans and salary backed loansLeasing

• largest 50 customers 10,6% 49,0%6,4% Factoring

Other (Portfolio discount, Repos, foreign, etc.)

Credit QualityGeographical breakdown

1 85%1,63%0,65%0,63% 1,16% Lombardy

PiedmontPerforming Loans

69 05%4,10%

3,02%

2,15%2,09%2,06%1,85% Piedmont

LatiumMarchesLiguriaCampaniaEmilia Romagna

96,73%

0,33%

1,54%

0,26% Non Performing LoansRestructuredLoans

*

69,05%

6,58%

5,03%PugliaCalabriaVenetoUmbriaAbruzzoOthers

1,14%

Impaired Loans

Past Due Loans

15

* Others: with the terms “others” we have summed the market shares of Basilicata, Friuli Venezia Giulisa, Molise, Tuscany and Valle d’Aosta

Others


Funding Mix (figures as at 30 June 2009)

Funding Strategy Total funding amounts to EUR 96,1 bn, 86% collected through

UBI Banca’s domestic retail network, a stable source offunding, and 14% on international markets:

New Funding Channels Implemented in 2008

F h CD- Current accounts, deposits and repos amount to EUR53,6 bn;

- Outstanding securities amount to EUR 42,5 bn, of whichEUR 11,7 bn represented by EMTN issues.

The 2009 Funding Plan includes long-term institutional funding

French CDs ECP ECB eligible ABS Covered Bond programme already established (no issues to

date)for EUR 4 bn.

From January 2009 up to today, UBI issued EUR 2,5 bn oflong-term institutional funding. Total outstanding CP andFrench CD issues amount to EUR 4,6 bn.

EMTN Bonds Maturing by year* Securities in issue as at 30 June 2009

3

3.5 SeniorUpper Tier 2Lower Tier 2 (at the first call date)

1.00

2.41 3.07

1

1.5

2

2.5 EMTN, CDs, ECP and

pref .shares; 32,2%Other issues

placed on ordinary

customer

* Breakdown as at 1st September 2009

0.35 0.29 0.2 ‐ ‐ ‐ ‐

0.351.101.00

1.70

0.10 0.030

0.5

1

20092010

20112012

20132014

20152016

20172018

20192020

customer base; 67,8%

16

Breakdown as at 1st September 2009


3 Italian Mortgage Market Overview3. Italian Mortgage Market Overview

17


Indebtedness of Italian Households

The Italian mortgage market remains amongst the smallest inEurope Area: Ratio residential mortgages to GDP amounting to only

16.8% (EA 12: 48.8%) in 2008.

Residential Mortgages - Stock (EUR bn)(as at 30 Apr 2009)

3.452

The limited size of the Italian mortgage market reflects thegenerally low tendency of households to incur debt: Households’ indebtedness remains much lower than

international standards.

Growth prospects in the mortgage market might well be 955p p g g glimited, as the home possession rate amounts to a relativelyhigh level of circa 75% of all Italian households, therebyputting Italy among the countries with the highest owner-occupier ratio in Europe, according to Bank of Italy and ISTATdata.

267

693 955

649

Italy France Germany Spain EA 12

Stock of Household Residential Mortgages /GDP(as at 31 Dec 2008)

59.6%

Market Share in European Residential Mortgages Stocks(EA12=100%)

42,1

%9,

7%%

35.4%38.5%

48.8%

15,9

%

25,2

%

16,3

%

39

%

25,7

%

16,7

%

36,6

%

0%

26,6

%

17,0

%

33,1

%

5,4%

27,0

%

17,8

%

30,5

%

17,1

%

26,9

%

18,8

%

28,3

%

18,2

%

27,0

%

19,9

%

27,7

%

18,8

%

26,0

%

Dec‐02 Dec‐03Dec‐04 Dec‐05Dec‐06 Dec‐07Dec‐08

16.8%

Italy France Germany Spain EA 12

6,0%

1

10,8

%

6,5%

11,8

%

7,1%

13,0

7,5%

1

7,6% 7,8%

7,6%

Italy France Germany Spain Other

18

Source: ECB


Growth Trends for Residential Mortgages

Change (%) in the Stock of Residential Household Mortgages*

Italian growth in the stock of residential mortgages hasdecelerated since the end of 2005:

While in the past the increase in interest rates isthe main cause of the slowdown in mortgage 33.5%g ggrowth in Italy.

Starting from June 2008, the deceleration was dueto the economic recession and the weakness ofconsumer spending.

O th l t d d th t k f It li id ti l

17.3%19.8%

17.4%

12.5%

8 7%10.7%

12.3%14.5% 15.1%

12.8%

17,4%

20.9% 22.1%

13.5%

12 2%France

Italy

Spain

Over the last decade, the stock of Italian residentialhousehold mortgages has grown without significantvolatility. Germany

8.7%

‐0.4%

7.5%

1.7% 1.3% 1.2% 1.6%‐0.9%

‐0.8%

5.1%7.9%9.8%

12.2%10.0%

7.0%1.5%

Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08

EA 12

Germany

Mortgage Origination (Italy)** Reason for Home Purchase H1 2009***

17 00% First Home6 0%

7.0%

60 0

70.0Residential mortgages disbursement (in €bn – Left)

Mortgages interest rates (new loans – Right)

47.50%8.60%

17.00%ReplacementSecond HomeInvestment

3.0%

4.0%

5.0%

6.0%

30.0

40.0

50.0

60.0

26.90%0.0%

1.0%

2.0%

0.0

10.0

20.0

Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08

19

*Source: ECB**Source: Bank of Italy - Base Informativa Pubblica***Source: Nomisma - “II Rapporto 2009, Osservatorio sul mercato immobiliare”


Evolution in the Italian Property Prices

Housing Price Indexes (% change Q/Q)*

10

12Italy France Ireland NL Portugal Spain UK Since the late 90’s, property prices in the Italian market

have increased constantly but without any significant

2

4

6

8

(%)

have increased constantly but without any significantvolatility.

Since 2004 there have been some signs ofdeceleration in dynamic of prices per square meter.The hypothesis of a fall in prices for residential

-8

-6

-4

-2

097 98 99 00 01 02 03 04 05 06 07 08

property units is improbable according to the majority ofoperators in the sector for the following reasons:

Firstly, although there has been a significantincrease in property values in Italy since 1997,it is among the lowest in the international8

% change in housing prices (1997-2008)**

Ireland 193%

gcontext and this would seem to exclude theexistence of prices artificially inflated byspeculation.

Secondly there is no excess of supply overdemand in Italy partly because of the scarcity ofSpain 184%

France 152%

Great Britain 150%

Sweden 145%

Denmark 119%

demand in Italy partly because of the scarcity ofpublic sector social housing.

In the last few years, as a confirmation of the lowvolatility, growth in housing prices (Q/Q) in Italy hasdecreased less than in other countries, where housing

Denmark 119%

Italy 104%

USA 102%

Holland 90%

prices showed a decline.

20

*Source: Barclays Capital Research

**Source:Nomisma


Forecast – Loans

ITALY – The market of mortgages to families(Y/Y % change)

16,0Totale impieghi alle famiglieTotal lending to families

8,0

12,0Mutui residenziali alle famiglieResidential mortgages to families

0 0

4,0

‐4,0

0,0

2006 2007 2008 2009 2010 2011

In the first few months of 2008 there was a significant slowdown in the trend for the stock of homemortgages, aggravated by liquidity tensions which affected interbank markets following the subprime crisis.Trends for mortgages should return to higher growth levels at the beginning of 2010 and in 2011 as a result of areturn to normal conditions in the funding marketsreturn to normal conditions in the funding markets.

According to the Prometeia forecast, total lending to families for Italian banks should increase in the coming yearsafter a slight decline in 2009.

21

Source: Prometeia


4 UBI Banca’s Mortgage Business4. UBI Banca s Mortgage Business

22


Origination and Underwriting

Sales Force

All mortgages are originated through a number of direct and indirect intermediaries:- Direct: 1939 branches spread across the Italian territory or through the financial promoters of UBI

Banca Private Investment.- Indirect: External networks of primary real estate agents, i.e. Capital Money (in cooperation with

Banca Popolare di Bergamo) and By-You (in cooperation with B@nca 24-7).

100% of mortgages are underwritten at branch level (within delegated lending authorities), or by acentralized underwriting group.

Underwriting The authority to approve a mortgage loan depends on the amounts requested. Approval authorisationpowers are granted to origination units at various levels. These authorisations differ according to thenetwork bank and take into account: counterparty rating, customer limit, banking group limit (maximumlimit on credit that may be granted by the UBI Banking Group).

Use of bespoke internal behavioural rating model used for borrower assessment as part of the

Underwriting

Property

Use of bespoke internal behavioural rating model used for borrower assessment as part of theunderwriting criteria.

100% of mortgaged properties are assessed – no automated property value approval criteria is accepted.

A f ll i l f th t i d t d b lifi d t l i i 4Property Valuation

A full appraisal of the property is conducted by qualified external appraisers – in some cases a 4-eyeapproach is used and properties are re-assessed by the UBI Banca’s internal appraisers.

UBI Banca performs all of its own servicing Each Seller Bank will continue to service its own mortgage UBI Banca performs all of its own servicing. Each Seller Bank will continue to service its own mortgageportfolio.

Collection strategies are in place to achieve the quickest and most effective recovery. The majority of loans pay through direct debit reducing delinquency and allowing for a more proactive

servicing of the loans.

Servicing

23


Key Lending Criteria (1/2)

Loan Purpose: Mortgage loans may be granted to private individuals for the purchase, construction or renovation ofresidential properties, whether they are primary or secondary homes.

Borrower Age: As of January 2009 the maximum borrower’s age at maturity was increased to 80 years. FromS t b 2007 til J 2009 th i f b t t it 75 h th li itSeptember 2007 until January 2009 the maximum age of a borrower at maturity was 75 years, however the age limitcould have been increased to 80 years when certain parameters were met, for example LTV, rating, and presence ofa guarantor or a co-borrower who at maturity of the mortgage loan would be younger than 80 years old.

Loan Term: The maximum term for mortgages is 50 years in the case of variable rate loans and 30 years for fixedrate loans, excluding any pre-amortisation period.

DTI: There are 2 calculations that are performed to determine the affordability of the borrower.

The available income of the borrower/s and guarantor/s minus any financial obligations and dependents costst b l t t th th i t l t tmust be equal to or greater than the instalment amount.

The maximum DTI ratios, as of January 2009, calculated as instalment amount divided by total net income, are:

- 35% for income up to EUR 2.500;40% f i b t EUR 2 501 d EUR 5 000- 40% for income between EUR 2.501 and EUR 5.000;

- 45% for income over EUR 5.001.

Initial and Behavioural Rating: A bespoke internal rating model which uses both socio-economic and financialparameters assigns a rating from 1 to 10 (default) to each borrower before granting the loan and is updated on an on-going basis.

Mortgage Deed Registration: The value of the mortgage deed registered is normally 200% of the amount of theloan.

24


Key Lending Criteria (2/2)

LTV: Determination of the amount of the loan that may be granted in view, amongst other things, of the value of theproperty to be mortgaged; the amount may not, however, exceed 80% of the value of the property mortgaged.

Payment Method: Repayment is normally through a current account held at the branch that grants the mortgage.M t t th d i th h di t d bitMost common repayment method is through direct debit.

Payment Frequency: Repayments are made monthly, quarterly or semi-annually.

Amortisation Type: Repayment schedules are normally at constant rates calculated according to the “Frenchamortisation method”amortisation method .

25


Servicing and Arrears Management Process

Normal Servicing 1 – 180 days in arrears 180 days in arrears 180 days and more

Performed at the branch level and partially at the network

IT procedures automatically create a reminder letter after the

Loan is automatically classified as 180 d.p.d., the non Performing

When loans are classified as “incaglio” or “sofferenza”, they are

bank levels.

Most payments are collected via a direct debit procedure.

1st instalment is unpaid.

Branches contact the client requesting payments to be made.

Loans Units of each network bank are responsible for collecting the unpaid amounts until the loans

managed centrally by the Debt Collection Area of UBI Banca.

UBI Banca’s policy is to p p y

The above procedures are repeated until the instalments are fully paid.

amounts until the loans are classified as “incaglio” or as “sofferenza”.

p ymake every effort to come to an out – of court settlement.

Should this not bepaid. Should this not be achievable foreclosure action is taken.

26


5 UBI Banca’s OBG Programme5. UBI Banca s OBG Programme

27


Bank of Italy Requirements and UBI Banca’s Positioning

Pursuant to Bank of Italy supervisory regulation (15 May 2007), OBG may only be issued by banks with: Minimum consolidated regulatory capital of EUR 500 mn. Minimum Total Capital Ratio of 9%. Minimum Tier 1 Ratio of 6%.

In addition the assignment of assets to the cover pool is subject to certain limits based on the bank’s total capital andTier 1 ratios:

Total Capital Ratio (TCR) ≥ 11%

Tier 1 Ratio (T1R) ≥ 7%No limits

UBI Banca’s Ratios*:Tier 1: 7.76%

Total Capital: 11.63%

10% ≤ TCR < 11%

T1R ≥ 6.5%

9% ≤ TCR < 10%

Up to 60% of the available eligible assets

Up to 25% of the available T1R ≥ 6% eligible assets

28

Data as at 30 June 2009


Summary of the UBI Banca’s OBG Programme

Issuer: Unione di Banche Italiane S.c.p.a.; Rating A1 / A / A+ (Moody’s / S&P / Fitch).

Sellers:

Banca Regionale Europea S.p.A.; Banco di Brescia S.p.A.; Banca Popolare di Bergamo S.p.A.; BancaPopolare Commercio e Industria S.p.A.; Banca Carime S.p.A.; Banca di Valle Camonica S.p.A.; Bancadi San Giorgio S.p.A.; Banca 24@7 S.p.A.; Banca Popolare di Ancona S.p.A.; UBI Banca PrivateInvestment S.p.A.

Programme Size: EUR 10 billion.

Guarantor: UBI Finance S.r.l. a bankruptcy remote, special purpose entity which benefits of segregations principalswell established under law 130/1999.

Cover Pool: Italian prime, first economic lien residential mortgages originated by the sellers.

Maximum LTV: 80% by Law (residential mortgage loans).

Segregation of Collateral: Collateral sold to the guarantor is segregated for the benefit of OBG holders and other secured partiesin the context of the programme.p g

Listing: London, UK.

Over-Collateralisation: The statutory tests are run monthly to ensure sufficient programme support.

Calculation Agent: UBI Banca.

Arranger: Barclays Capital.

Dealers: Barclays Capital, Calyon, Deutsche Bank, Dresdner, DZ Bank, ING, LBW, Natixis, Nomura, SociétéGénérale Corporate & investment Banking, UBS.

Asset Monitor: Mazars. Independent accounting firm to confirm compliance with the statutory test on a quarterly basisAsset Monitor: and to report to Bank of Italy on an annual basis.

Governing Law: Italian.

Representative of CB Holders: Bank of New York Mellon.

29


UBI OBG Programme Structure

Euribor + Margin

Cover PoolRevenues

Bank of Italy The sellers transfer their respective portfolios ofmortgage loans to a Law 130/99 guarantor,whose sole corporate purpose is to purchasethese assets and to grant a guarantee for OBGissued by UBI Banca

Asset Swap Providers

Supervision

UBI Finance SRLGuarantor

Transfers of Assets

Purchase price

issued by UBI Banca. The guarantor funds each asset portfolio

purchase of the assets by means of asubordinated loan granted to it by each seller.

UBI Banca issues OBG which are supported byfi t d d diti l d i bl

Sellers

Repayment of Subordinated loan

Subordinated loan

Covered Bond Swap Provider

Sellers

Liability Swap

pa first demand, unconditional and irrevocableguarantee issued by the guarantor for theexclusive benefit of the holders of the OBG andthe secured counterparties involved. The guarantee is collateralised by the

ti l h ld b th t

Repayment of Intercompanyloan

Intercompany loan

Gua

rant

ee

entire cover pool held by the guarantor. There will be two balance guaranteed swaps

(Asset Swaps) between each seller and theGuarantor will pay the interest earned on theportfolio and each seller will pay Euribor +70b

Proceeds OBG

G

Asset Monitor

bps. The covered bond swap (Liability Swap)

between an eligible institution and the guarantorwill swap the floating rate into the fixed couponrate due to the CB holders.

Issuer

Proceeds OBG

Investors

The master servicer will be UBI Banca whileeach Seller will act as sub-servicer.

30


Summary of the Inaugural Issue

Instrument: d Obbligazioni Bancarie Garantite.

Issuer: Unione di Banche Italiane S.c.p.a.

Sellers: Banco di Brescia S.p.A. and Banca Regionale Europea S.p.A.

Guarantor: UBI Finance S.r.l. a bankruptcy remote, special purpose entity which benefits of segregations principals well established under law 130/1999.

Expected Ratings: Aaa /AAA (Moody’s / Fitch).

Status/Ranking of the Notes: Direct unconditional unsecured and unsubordinatedStatus/Ranking of the Notes: Direct, unconditional, unsecured and unsubordinated.

Cover Pool: EUR 1.7bn circa.

Initial Issue size: Jumbo benchmark size.

Currency: EURCurrency: EUR.

Maturity: Tbd.

Maturity Type: Soft bullet with one year extension period.

Coupon: Fixed, yearly.p , y y

Documentation: As per UBI Banca’s OBG Programme.

Listing: London Stock Exchange.

Denominations: Minimum EUR 50,000.

Arranger: Barclays Capital.

Joint Lead Managers: Barclays Capital, Deutsche Bank AG, Natixis, Société Générale.

Marketing: European roadshow.

31


6 Cover Pool Description6. Cover Pool Description

32


Pool Summary

On June 2008, a portfolio of residential mortgages with outstanding balance of EUR 1,989,562,315.3 was transferred to UBI Finance Srl.

The slides that follow provide a portfolio update of the cover pool as of 31 August 2009.

Pool Summary EUR Aggregate current Principal Outstanding Balance 1,693,710,365.18Aggregate original Principal Outstanding Balance 2,255,459,867.75Average current Principal Outstanding Balance 75,760.89Average original Principal Outstanding Balance 100 888 35Average original Principal Outstanding Balance 100,888.35Maximum current Principal Outstanding Balance 1,524,835.23 Maximum original Principal Outstanding Balance 2,500,000.00Total number of Loans 22,356Weighted average seasoning (months) 56.24 Weighted average remaining maturity (months) 207 22Weighted average remaining maturity (months) 207.22 Weighted average original term (months) 263.45 Weighted average Current LTV (%) 57.7%Weighted average Original LTV (%) 59.2%Weighted average interest rate (%) 2.6%Current Principal of Perform Loans - Bucket 0 (%) 88 6%Current Principal of Perform. Loans - Bucket 0 (%) 88.6%Current Principal of Perform. Loans - Bucket 1 (%) 9.6%Current Principal of Perform. Loans - Bucket 2-6 (%) 1.4%% of Floating Rate Assets 95.2%% of Fixed Rate Assets 4.8%Collateral Currency EURCollateral Currency EUR

33

Sources: UBI Banca, data as at 31 August ‘09


Cover Pool Analysis (1/3)

Breakdown by Current Outstanding Amount Breakdown by Loan Seasoning

4.9%

1.3%

250.001,001 - 500.001,000

500.001,001 - 1525,000

7 000

8,000

35%

40%% Current BalanceNumber of Loans

19.4%

28.0%

11.7%

4.3%

%

75.001,001 - 100.001,000

100.001,001 - 150.001,000

150.001,001 - 200.001,000

200.001,001 - 250.001,000

, ,

Cur

rent

Bal

ance

(€)

2,0003,000

4,000 5,000

6,000 7,000

Num

ber o

f Loa

ns

10%15%

20%25%

30%35%

% C

urre

nt B

alan

ce

7.9%

22.6%

0% 5% 10% 15% 20% 25% 30%

0 - 37,500

37,501 - 75.001,000

C

- 1,000

2,000

12 - 24 24 - 48 48 - 72 72 - 96 96 - 177

Months

N

0%5%

10% %

Breakdown by Remaining Term to Maturity Loan Purpose Breakdown by Current Balance

% Current BalanceNumber of Loans

Construct ion11.31%

Other0.07%

3,000

4,000

5,000

6,000

ber o

f Loa

ns

10%

15%

20%

25%

rent

Bal

ance

Number of LoansRestructuring

0.08%

3 % 0.07%

-

1,000

2,000

0 - 5 5 - 10 10 - 15 15 - 20 20 - 25 25 - 30 30 - 35 35 - 50

Year

Num

b

0%

5%

10%

% C

urr

Purchase88.54%

34


* Construction Loans are completed and fully disbursed loans.



Geographical Distribution Geographical Distribution

Number of Loans %

Current BalanceEUR %

0.02%0.01%0.01%0.00%

UmbriaPuglia

CalabriaMolise

Distribution Loans % EUR % Lombardia 14,949 66.9% 1,161,817,676 68.596%Piemonte 3,978 17.8% 260,129,276 15.359%Lazio 1,289 5.8% 98,339,048 5.806%Veneto 989 4.4% 81,140,970 4.791%Friuli Venezia

0.06%0.06%

0.03%0.02%

0.03%

SardegnaValle D'Aosta

SiciliaCampania

Abruzzo Giulia 548 2.5% 43,189,233 2.550%Emilia Romagna 321 1.4% 25,176,473 1.486%Liguria 179 0.8% 17,060,667 1.007%Toscana 23 0.1% 1,618,372 0.096%

T ti Alt Adi 0 069%0.07%0.10%1.01%1.49%2.55%Friuli Venezia Giulia

Emilia RomagnaLiguria

ToscanaTrentino Alto Adige

gTrentino Alto Adige 22 0.1% 1,175,758 0.069%Sardegna 9 0.0% 1,008,832 0.060%Valle D'Aosta 15 0.1% 939,257 0.055%Sicilia 7 0.0% 556,372 0.033%Campania 6 0.0% 543,413 0.032%Abruzzo 5 0 0% 357 487 0 021%

15.36%

4.79%2.55%

5.81%

68.60%LombardiaPiemonte

LazioVeneto

Friuli Venezia Giulia Abruzzo 5 0.0% 357,487 0.021%Umbria 8 0.0% 336,378 0.020%Puglia 4 0.0% 167,691 0.010%Calabria 3 0.0% 139,769 0.008%Molise 1 0.0% 13,694 0.001%

22 356 100 0% 1 693 710 365 100 00%0% 10% 20% 30% 40% 50% 60% 70% 80% 22,356 100.0% 1,693,710,365 100.00%

35




Original LTV Distribution

13.6%

15.9%

38.9%

50% - 60%

60% - 70%

70% - 80%

alan

ce (€

)

3.5%

4.9%

8.7%

14.5%

0% - 20%

20% - 30%

30% - 40%

40% - 50%

Cur

rent

B

0% 10% 20% 30% 40% 50%

Original Loan Amount / Number of % C P l B l %gOriginal market value Loans % Cover Pool Balance %

0% - 20% 1,652 7.39% 59,294,823.91 3.50%20% - 30% 1,908 8.53% 82,195,314.49 4.85%30% - 40% 2,666 11.93% 147,206,906.72 8.69%40% - 50% 3,600 16.10% 245,125,328.16 14.47%50% 60% 2 931 13 11% 230 832 780 85 13 63%50% - 60% 2,931 13.11% 230,832,780.85 13.63%60% - 70% 3,072 13.74% 269,858,018.04 15.93%70% - 80% 6,527 29.20% 659,197,193.01 38.92%

Total 22,356 100.00% 1,693,710,365.18 100.00%

36

Sources: UBI Banca, data as of 31 August ‘09


Appendix 1.

Priority of Payments and Statutory Tests

37


Priority of Payments: Pre-Issuer Event of Default

Prior to service of an issuer default notice on the guarantor or service of a guarantor default notice on the issuer andthe guarantor, interest available funds and principal available funds will be applied by or on behalf of the guarantor oneach guarantor payment date in making the following payments:

I t t P i it f P t P i i l P i it f P tInterest Priority of PaymentsPayment, pro rata and pari passu of any expenses documented of the guarantor.

Pay any amount due and payable to the representative of the covered bondholders

Principal Priority of Payments

Pay any swap principal due to the Swap Provider.

Transfer any amounts to the reserve fund account necessary in order to make up any shortfall in the reserve fund amountcovered bondholders.

Pay, pro rata and pari passu, any amount due and payable to the master servicer, the service providers, the Italian account bank, the calculation agent, the guarantor corporate servicer, the asset monitor, the Luxembourg account bank and the principal paying agent

order to make up any shortfall in the reserve fund amount.

To repay the term loans advanced by the subordinated lenders under the relevant subordinated loan agreements provided the tests are complied with.

agent.

Pay any amounts due to the asset swap provider (including any termination payments due and payable by the guarantor except where the asset swap provider is the defaulting party or the sole affected party or where the asset swap provider is substituted because of a downgrading)

Deposit any surplus of principal on the principal collection account.

because of a downgrading).

Transfer to the reserve fund account the relevant reserve fund amount.

Pay the base Interest due to the subordinated lenders under the relevant term loans.

Pay any termination payments due and payable by the guarantor to the asset swap provider not paid under item above.

Pay any premium due to the subordinated lenders under the relevant term loans.

38

Sources: UBI Banca Covered Bond Transaction Documents


Issuer Event of Default

Issuer Event of Default

Non payment: Following a written demand for payment issued by the representative of the coveredbondholders, the issuer fails to pay any amount of interest and/or principal due and payable on theOBG.

Breach of obligations: A breach of any obligation under the transaction documents by the issuer occurswhich is not remedied within 30 days of the representative of the covered bondholders giving writtennotice.

Insolvency or article 74 resolution: An insolvency event occurs with respect to the issuer or a resolutionpursuant to article 74 of the Consolidated Banking Act is issued in respect of the Issuer.

Breach of Tests: The breach of the statutory tests on the consecutive calculation date and the breach is Breach of Tests: The breach of the statutory tests on the consecutive calculation date and the breach isnot remedied within the applicable grace period.

Cessation of Business: The Issuer ceases to carry on its primary business.

The representative of the covered bondholders will enforce the covered bond guarantee, following an

Enforcement of the CB Guarantee

The representative of the covered bondholders will enforce the covered bond guarantee, following anissuer event of default and subject to any applicable grace periods, by serving an issuer default noticeon the issuer and the guarantor.

Following the service of an issuer default notice by the representative of the covered bondholders thepayment of the guaranteed amounts shall occur on the dates scheduled and for the amountsdetermined in accordance with the final terms and the guarantee priority of payments applicable in

P t

determined in accordance with the final terms and the guarantee priority of payments applicable inrelation to each series of OBG (i.e. no acceleration of the OBG).

OBG remain due and payable as scheduled: Investors receive payments of interest and principal under the covered bond guarantee as andPayments

Under the CB Guarantee

es o s ece e pay e s o e es a d p c pa u de e co e ed bo d gua a ee as a dwhen they would otherwise have been paid had no issuer event of default occurred.

To the extent the covered bond Guarantor has insufficient funds to repay in full the OBG on the finalmaturity date, the unpaid amount will automatically be deferred and shall be due and payable one yearlater.

39



Post-Issuer Event of Default Priority of Payments (Pre-Guarantor Default)

On each guarantor payment date after the service of an issuer default notice on the guarantor but prior to theoccurrence of a guarantor event of default, available funds shall be applied in the following order of priority:

Guarantee Priority of Payments (After an Issuer Event of Default but Before a Guarantor Event of Default)Guarantee Priority of Payments (After an Issuer Event of Default but Before a Guarantor Event of Default)

Pay, pari passu and pro rata, according to the respective amounts thereof, any expenses of the guarantor owed to third parties.

Pay any amount due and payable to the representative of the covered bondholders.

Pay, pro rata and pari passu, any amount due and payable to the master servicer, the service providers, the Italian account bank, the calculation agent the guarantor corporate servicer the asset monitor the Luxembourg account bank and the principal paying agentagent, the guarantor corporate servicer, the asset monitor, the Luxembourg account bank and the principal paying agent.

Pay ,pari passu and pro rata, any amounts other than principal due i) to the swap provider (including any termination payments due and payable by the guarantor except where the swap provider is the defaulting party or the sole affected party) and ii) on the OBG.

Pay ,pari passu and pro rata, any amounts in respect of principal due i) to the swap provider (including any termination payments due and y ,p p p , y p p p ) p p ( g y p ypayable by the guarantor except where the swap provider is the defaulting party or the sole affected party) and ii) on the OBG.

Deposit in the reserve fund account any cash balances until the OBG have repaid in full or sufficient amounts have been accumulated to pay outstanding OBG.

Pay any termination payments due and payable by the guarantor to the swap providers not paid under items above.

Pay to the sellers any amount due and payable under the transaction documents, to the extent not already paid or payable under other items above.

Pay any base interest due to the subordinated lenders under the term loans.

Pay any principal due and payable to the subordinated lenders under the term loans.

Pay any premium due to the subordinated lenders under the term loans.

40



Guarantor Event of Default

Guarantor Event of Default

Non payment: Following a written demand for payment issued by the representative of thecovered bondholders, the guarantor fails to pay any interest and/or principal due and payable onthe covered bond guarantee.

Insolvency: An insolvency event occurs with respect to the guarantor. Breach of obligations: A breach of any obligation under the transaction documents by the

guarantor occurs which is not remedied within 30 days after the representative of the coveredbondholders has given written notice thereof to the guarantor.

Breach of Ammortisation Test: The amortisation test is breached and not remedied within theapplicable grace period.

Invalidity of the Guarantee: The covered bond guarantee is not in full force and effect or it isclaimed by the guarantor not to be in full force and effect.

The representative of the covered bondholders serves guarantor default notice on the guarantor: All amounts due under all series of OBG shall become immediately due and payable at theirAcceleratio

n of OBG

All amounts due under all series of OBG shall become immediately due and payable at theirearly termination amount together, if appropriate, with any accrued interest.

The Representative of the covered bondholders shall have a claim against the guarantor foran amount equal to the early redemption amount, together with accrued interest and anyother amount due under the OBG in accordance with the priority of payments.

Disposal of the OBG will take place as quickly as possible. The Representative of the covered bondholders may take the necessary steps or proceeds

to enforce payment.

Proceeds from the liquidation of the guarantor’s assets are disbursed to investors on a pro-rata

Payments to Investors

Proceeds from the liquidation of the guarantor s assets are disbursed to investors on a pro ratapari passu basis with all outstanding OBG.

Investors maintain an unsecured claim against the Issuer for any unpaid amounts under the OBG.

41



Post-Issuer Event of Default Priority of Payments (After Guarantor Default)

Following the occurrence of a guarantor event of default and service of a guarantor default notice on the guarantor,the guarantor available funds will be applied in the following order of priority (in each case only if and to the extentthat payments or provisions of a higher priority have been made in full):

Post-Enforcement Priority of Payments (After a Guarantor Event of Default)Pay, pari passu and pro rata, according to the respective amounts thereof, any expenses of the guarantor owed to third parties.

Pay any amount due and payable to the representative of the covered bondholders and the remuneration due to any receiverPay any amount due and payable to the representative of the covered bondholders and the remuneration due to any receiver.

Pay, pari passu and pro rata, any amount due and payable to the master servicer, the service providers, the Italian account bank, the calculation agent, the guarantor corporate servicer, the asset monitor, the Luxembourg account bank and the principal paying agent.

Pay, pari passu and pro rata, i) any amounts due and payable to the swap provider (including any termination payments due and payable by the guarantor except where the swap provider is the defaulting party or the sole affected party) and ii) any any interest and any principal amount g p p p g p y p y) ) y y y p poutstanding due under all outstanding series of OBG.

Pay any termination payments due and payable by the guarantor to the swap providers not paid under items above.

Pay to the sellers any amount due and payable under the transaction documents, to the extent not already paid or payable under other items above.

Pay any base Interest due to the subordinated lenders under the term loans.

Pay any principal due and payable to the subordinated lenders under the term loans.

Pay any premium due to the subordinated lenders under the term loans.

42


Statutory Tests

NominalValueTest

The Nominal Value Test (NVT) is run monthly to ensure that sufficient over collateralisation isavailable for the outstanding OBG.

UBI will be required to post additional collateral to meet any shortfalls. Failure of the NVT that is not remedied within a stipulated period will constitute an issuer event of Failure of the NVT that is not remedied within a stipulated period will constitute an issuer event of

default and result in the service of an issuer acceleration notice on the Issuer and a notice to payon the guarantor.

The calculation for the nominal value test is described in the slides below.

NetPresent Value

The Net Present Value Test (NPVT) ensures that on each calculation date the net present value ofliabilities under the issued OBG is less than or equal to the net present value of the cover pool netof all costs and expenses of the guarantor (including those deriving from the Swap Agreements).Value

Interest

The Interest Coverage Test (ICT) ensures that as at each calculation date the amount of interestand other revenues generated by the assets included in the cover pool, net of the costs borne byth t (i l di th t f t t d t b b d ith t tInterest

CoverageTest

the guarantor (including the payments of any nature expected to be borne or due with respect toany swap agreement), will be higher than the amount of interest due on all outstanding OBG,taking into account the swaps entered into.

The interest coverage test will be considered met if, on the relevant calculation date, the expectedrevenue income from the cover assets is greater than or equal to the expected revenue liabilityrevenue income from the cover assets is greater than or equal to the expected revenue liabilitydue on the OBG.

43



Nominal Value Test (NVT)

The calculation agent shall verify that on each calculation date, the sum of the principal amount of all series ofcovered bonds is not greater than the nominal value of the cover pool.

The "Nominal Value" of the cover pool is an amount equal to:

“A” stands for the "Adjusted Outstanding Principal Balance" of each loan in the cover pool as at the relevant

A*P + B + C - Z

A stands for the Adjusted Outstanding Principal Balance of each loan in the cover pool as at the relevantcalculation date, defined as the lower of: The actual outstanding principal balance of the relevant loan as calculated on the relevant calculation

date. The latest valuation relating to that loan multiplied by M.The latest valuation relating to that loan multiplied by M.

Where for all loans that are not defaulted loans, M = 0.80 or for all loans that are defaulted loans M = 0. In each case minus:

the aggregate sum of the following deemed reductions to the aggregate adjusted outstanding principalbalance of the loans in the cover pool if any of the following occurred during the previous calculationp y g g pperiod.

“P” stands for the Asset Percentage. “B” stands for the aggregate amount standing to the credit of the Luxembourg principal collection accounts and

the principal amount of any Top-Up assets. "C" stands for the aggregate outstanding principal balance of any eligible assets other than loans. “Z” is the weighted average remaining maturity of all OBG (expressed in years) multiplied by the aggregated

principal amount outstanding of OBG multiplied by the negative carry factor.

44



Amortisation Test (AT)

The AT is calculated only after an issuer event of default (but prior to service on the guarantor of a guarantor defaultNotice): Ensures that the collateral is sufficient to cover the guarantor’s obligations due under the outstanding OBG

guarantee. The AT is failed if the aggregate loan amount is less than the amount of outstanding OBG:

Failure of the AT results in the OBG being accelerated. The aggregate loan amount is calculated as follows:

"A" stands for the aggregate "Amortisation Test Outstanding Principal Balance" of each loan which shall

A + B + C - Z

A stands for the aggregate Amortisation Test Outstanding Principal Balance of each loan, which shallbe the lower of:The outstanding principal balance of the relevant loan as calculated on the relevant calculation date; and100 per cent. of the indexed valuation multiplied by M.Where for all residential mortgage loans that are not defaulted Loans M = 0 80 or for all residentialWhere for all residential mortgage loans that are not defaulted Loans M 0.80 or for all residentialmortgage loans that are defaulted loans M = 0.

"B" stands for the sum of the amount of any cash standing to the credit of the Luxembourg principal collectionaccounts and the principal amount of any Top-Up assets.

"C" stands for the aggregate outstanding principal balance of any eligible assets other than loans.gg g g y g "Z" stands for the weighted average remaining maturity of all OBG (expressed in years) then outstanding

multiplied by the aggregate principal amount of the OBG multiplied by the negative carry factor.

45



Appendix 2.

Italian OBG Law vs. the European Covered Bond Framework

46


Italian Covered Bond Legal Framework (1/2)

Name of the instrument (s): Obbligazioni Bancarie Garantite.

Legislation:Law 80 of 14 may 2005, amending Article 7-bis & 7-ter of law 130/1999, Ministry of Economy &Finance regulation 310 dated 14 December 2006 and Bank of Italy instructions issued on 17 may2006.

Special banking principle: No. Any Italian bank fulfilling specific issuance criteria.

Restriction on business activity: N/A.

Asset Allocation: Cover assets are segregated through the transfer to a separate entity.

Inclusion of hedge positions: Hedge position are part of the structural enhancements intended to protect bondholders.

Substitute collateral: Up to 15%.

Restrictions incl. Commercial mortgages: No.mortgages:

Geographical scope for public assets:

EEA states and Switzerland, subject to a maximum risk weighting of 20% and up to 10% of the coverpoolNon-EEA states or local authorities subject to a maximum risk weighting of 20%.

Geographical scope for mortgageGeographical scope for mortgage assets: EEA and Switzerland.

LTV barrier residential: 80%.

LTV barrier commercial: 60%.

Basis for valuation: Market value. The approach needs approval from Bank of Italy and is verified by an independentauditor.

Valuation Check: Semi annual review and annual reporting to Bank of Italy.

Special Supervision: Bank of Italy.

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p p y

Source: Barclays Capital Research


Italian Covered Bond Legal Framework (2/2)

Protection against mismatching:

The nominal value of the cover pool assets must at all times be at least equal to the nominal value ofthe OBG outstanding. The net present value (NPV) of the covered pool must be at least equal to thenet present value of the OBG issued. Furthermore, the cover pool assets need to accrue sufficientinterest to cover interest payment on the OBG outstanding.

Protection against credit risk: Sponsor banks may replace non-performing loans.

Protection against operative risk: Stipulated through contractual rules.

Mandatory over- collateralisation: Expected to be subject to an asset coverage test.

Voluntary over-collateralisation is protected: Yes.

Bankruptcy remoteness of the issuer: No, but all assets are ring-fenced within a specially separated entity.

Outstanding OBG to regulatory capital:

Depending on Tier 1 and total capital ratios. There is no limit as long as the respective bank maintainsa total capital ratio above 11% and a tier 1 ratio above 7%.

1st claim in the event of insolvency:All payments are received from the special entity's assets. These payments are expected to becollected in a separate account. Investors continue to receive scheduled payments, as if the issuer hadnot defaulted.

External support mechanisms:In the event of insufficient pool assets proceeds to cover their claim, investors rank pari passu withsenior debt holders. There is a simultaneous unsecured dual claim against the issuer and securedagainst the portfolio held by the specially separated entity.

Compliant with UCITS Art. 22 par. 4: Yes.

Compliance with CRD: Yes.

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European Overview on Covered Bond Framework

Name of debt Instrument

Special Banking Principle

Supervision Substitute Collateral

Protection Against Mismatching

Mandatory over-

collateralisation

Voluntary over-collateralisation is protected

Fulfills UCITS 22(4)

Italy Obbligazioni bancarie garantite (OBG) No Bank of Italy Up to 15% Net-present value cover

required No Yes Yes

Hypothekenpfand-briefe, Bundesanstalt für

Finanz- Net present value coverGermany Öffentliche Pfandbriefe, Schiffspfandbriefe

No dienstleistungsaufsicht and independent

trustee

Up to 10% Net-present value cover required 102% Yes Yes

Spain

Cédulas Hipotecarias (CH)

No Banco de Espana Not applicable Coverage by nominal value

125% (CH)Yes Yes

Cédulas Territoriales (CT) 143% (CT)Cédulas Territoriales (CT) 143% (CT)

France

Obligations Foncières (OF) Yes Commission Bancaire

and special supervisor Up to 15%Not compulsory; but all OFs

benefit from additional contractual features

No Yes Yes

French Structured N Commission Bancaire U t 15%

Contractual obligation to neutralise interest and currency risk. Also, downgrade triggers Subject to asset Y T b dCovered Bond No and special supervisor Up to 15% , g ggfor swap counterparties and

different tests to ensure adequate cash flows

jcoverage test Yes T.b.d.

Netherlands Dutch Covered Bonds NoDe Nederlandsche Bank and independent auditor

Up to 10%

Exposure to interest rate and currency risk is neutralised. In

addition, downgrade triggers for swap counterparties, and

Subject to asset coverage test Yes

From 1 July 2008 onwardsauditor p p

various tests ensure cash-flow adequacy

g onwards

Portugal Obrigações Hipotecárias , Obrigações sector público Optional Banco de Portugal Up to 20%

Net-present value cover required; in addition, limitation

of liquidity risk105% Yes Yes

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Appendix 3.

Overview of Banco di Brescia and Banca Regionale Europea

50


Banco di Brescia (“BS”) Overview*

359 branches in Italy of which 248 in Lombardyd 54 i L i * d 560 000 t

Branch NetworkStrong Competitive Positioning

2and 54 in Lazio* and approx. 560,000 customers,mainly retail.

Market share in terms of branches: 3,7% inLombardy.

12

12

2481

2

38

Total assets of EUR 21,9 bn, with Loans tocustomers accounting for EUR 14,1 bn.

Direct funding of EUR 18,3 bn.

Indirect funding to EUR 13 5 bn of which EUR 7 2

1

54 Indirect funding to EUR 13,5 bn, of which EUR 7,2bn AUM+Bancassurance and EUR 6,3 bn AUC.

Net profit as at 30 June 2009: EUR 71 mn.

Capital ratios: Tier 1 9,91%, TCR 10,98%.

Good asset quality despite the economiccontext (NPLs/net loans 0,82%, cost of credit 46bps).

2.642 employees.y

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* All data are as at 30th June 2009


Banca Regionale Europea (“BRE”) Overview*

Branch NetworkStrong Competitive Positioning

292 branches in Italy of which 175 in Piedmont

1

11

105175

and 105 in Lombardy.

Market share in terms of branches 6,4% inPiedmont.

Total assets of EUR 10 bn, with Loans to,customers accounting for EUR 7,3 bn.

Direct funding of EUR 8,2 bn.

Indirect funding to EUR 9,1 bn, of which EUR 5,5bn AUM & Bancassurance and EUR 3 6 bn AUCbn AUM & Bancassurance and EUR 3,6 bn AUC.

Net profit as at 30 June 2009: EUR 43 mn.

Capital ratios: Tier 1 11,35%, TCR 13,37%.

Despite international crisis good asset qualityDespite international crisis good asset quality(NPLs/net loans 1,38%, cost of credit 42 bps).

2.081 employees.

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* All data are as at 30th June 2009


Appendix 4.

Default and Prepayment Data

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BRE Cumulative Default Rates – Prime Residential Mortgage LoansBS Cumulative Default Rates - Prime Residential Mortgage Loans

Defaults and Prepayments Static Analysis

Year of originationYear of origination

BS Cumulative Prepayment Rates – Prime Residential Mortgages Loans BRE Cumulative Prepayment Rates Prime Residential Mortgage LoansBS Cumulative Prepayment Rates – Prime Residential Mortgages Loans BRE Cumulative Prepayment Rates – Prime Residential Mortgage Loans

Year of origination Year of origination

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*The default definition applied is: past-due 180 days (from mid 2005 onwards), incaglio, sofferenze, following Bank of Italy’s regulatory definition.

Source: UBI Banca

UBI Banca:UBI Banca: Obbligazioni Bancarie Garantite ... · Investor Presentation September 2009...

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