February 2011 - Gruppo Banca Carige

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Italian Covered Bond Legal Framework (2/2)Protection against mismatchingProtection against credit riskProtection against operative riskThe nominal value of the cover pool assets must at all times be at least equal to the nominalvalue of the OBG outstanding. The net present value (NPV) of the covered pool must be atleast equal to the net present value of the OBG issued. Furthermore, the cover pool assetsneed to accrue sufficient interest to cover interest payment on the OBG outstandingSponsor banks may replace non-performing loans or affected loansStipulated through contractual rulesMandatory over- collateralisationVoluntary over-collateralisationis protectedBankruptcy remoteness of theissuerOutstanding OBG to regulatorycapital1st claim in the event ofinsolvencyExternal support mechanismsCompliant with UCITS Art. 22par. 4Compliance with CRDExpected to be subject to an asset coverage testYesNo, but all assets are ring-fenced within a specially separated entityDepending on Tier 1 and total capital ratios. There is no limit as long as the respective bankmaintains a total capital ratio above 11% and a tier 1 ratio above 7%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 theissuer had not defaultedIn the event of insufficient pool assets proceeds to cover their claim, investors rank pari passuwith senior debt holders. There is a simultaneous unsecured dual claim against the issuer andsecured against the portfolio held by the specially separated entityYesYesGRUPPO CARIGE 46
European Overview on Covered Bond FrameworkName of debt InstrumentSpecialBankingPrincipleSupervisionSubstituteCollateralProtection AgainstMismatchingMandatoryovercollateralisationVoluntaryovercollateralisation isprotectedFulfilsUCITS22(4)ItalyObbligazioni bancariegarantite (OBG)NoBank of ItalyUp to15%Net-present valuecover requiredNo Yes YesGermanyHypothekenpfand-briefe,Öffentliche Pfandbriefe,SchiffspfandbriefeNoBundesanstaltfür Finanzdienstleistungsaufsicht andindependenttrusteeUp to10%Net-present value coverrequired102% Yes YesSpainCédulas Hipotecarias (CH)Cédulas Territoriales (CT)NoBanco deEspanaUp to 5%Coverage by nominalvalue125% (CH)143% (CT)YesYesObligations Foncières (OF)YesCommission<strong>Banca</strong>ire andspecialsupervisorUp to15%Not compulsory; but allOFs benefit fromadditional contractualfeaturesNo Yes YesFranceFrench Structured CoveredBondNoCommission<strong>Banca</strong>ire andspecialsupervisorUp to15%Contractual obligation toneutralise interest andcurrency risk. Also,downgrade triggers forswap counterparties anddifferent tests to ensureadequate cash flowsSubject toassetcoverage testYesT.b.d.NetherlandsDutch Covered BondsNoDeNederlandscheBank andindependentauditorUp to10%Exposure to interestrate and currency risk isneutralised. In addition,downgrade triggers forswap counterparties,and various tests ensurecash-flow adequacySubject toassetcoverage testYesFrom 1July 2008onwardsPortugalObrigações Hipotecárias ,Obrigações sector públicoOptionalBanco dePortugalUp to20%Net-present value coverrequired; in addition,limitation of liquidityrisk105% Yes YesGRUPPO CARIGE 47
Page 1 and 2: GRUPPO CARIGEProgramme andCovered B
Page 3 and 4: Table of ContentsIssuer description
Page 5 and 6: Among the top Italian banking Group
Page 7 and 8: €mCustomer based funding and no p
Page 9 and 10: with sound credit qualityBreakdown
Page 11 and 12: Stable net profitNet profit (€m)R
Page 13 and 14: 3Q10 - Economic resultsNET PROFIT (
Page 15 and 16: The mortgage market in ItalyIn rece
Page 17 and 18: ForecastItaly’s macroeconomic ove
Page 19 and 20: Mortgage and RMBS SnapshotEuropean
Page 21 and 22: €mOrigination StatisticsResidenti
Page 23 and 24: The underwriting processDATA COLLEC
Page 25 and 26: Overview of the Scoring System• C
Page 29 and 30: Summary of the programmeIssuerSelle
Page 31 and 32: Asset MonitorStructural overviewIta
Page 33 and 34: Mandatory testsNominalValue Test‣
Page 37 and 38: Total Porftfolio BreakdownCommercia
Page 39 and 40: Residential Portion Breakdown/2Curr
Page 41 and 42: Commercial Portion Breakdown/2Curre
Page 43 and 44: The last segregation (21 February 2
Page 45: Italian Covered Bond Legal Framewor
Page 49: ContactsDaria BagnascoDeputy Genera

February 2011 - Gruppo Banca Carige

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