FE Mortgages Srl

Transcript

FE Mortgages Srl

Cover - Page 1
INVESTORS REPORT - Payment Date: 15-Dec-2015
F-E Mortgages S.r.l.
Euro 682,000,000 Class A1 Residential Mortgage Backed Notes due December 2043
Euro 48,000,000 Class B Residential Mortgage Backed Notes due December 2043
Euro 11,000,000 Class C Residential Mortgage Backed Notes due December 2043
Euro 7,630,000 Class D Residential Mortgage Backed Notes due December 2043
Table of Contents
Notes Report
Issuer Available Funds
Use of Interest
Use of Principal
Portfolio Performance
Portfolio Description
Originator
2
3
4
5
6
7-8
Unicredit S.p.A. (formerly known as UniCredit Family Financing Bank S.p.A.;
UniCredit Consumer Financig Bank S.p.A.; UniCredit Banca per la Casa S.p.A.;
Banca per la Casa S.p.A.)
F-E Mortgages S.r.l.
28 November 2003
MCC S.p.A. and ABN AMRO Bank N.V.
MCC S.p.A.
Issuer
Issue Date
Joint Lead Managers
Arranger and Global Coordinator
The Notes
Classes
Original Balance
Currency
Legal maturity
Original Exp. WAL (years)
ISIN code
Coupon
Rating at Issue Date
Fitch
Moodys
Standard & Poor's
Payment Dates (for all the Classes)
Page
Page
Page
Page
Page
Page
Class A1
682,000,000
Euro
December 2043
8
IT0003575039
3mE +33bp
AAA
Aaa
AAA
Class B
48,000,000
Euro
December 2043
12.8
IT0003575070
3mE +100bp
Class C
11,000,000
Euro
December 2043
12.8
IT0003575088
3mE +150bp
A
A1
AA15th of March, June, September and December
Beginning of the Amortisation Period
June 2005
Rapresentative of Notesholders
Calculation Agent
Collection Period
Last Payment Date
Payment Date
Interest Determination Date
Interest Period
The Bank of New York Mellon Global Corporate Trust
UniCredit Bank AG, London Branch
From 01/08/2015 to 31/10/2015
15/09/2015
15/12/2015
11/09/2015
From 15/09/2015 to 15/12/2015
BBB
Baa2
BBB+
Class D
7,630,000
Euro
December 2043
NA
IT0003575096
3mE +100bp
NR
NR
NR
DISCLAIMER
This Investor Report (the “Report”) has been prepared by UniCredit Bank AG, London Branch (“UCB”), a member
of the UniCredit Group, in its role as Calculation/Computation Agent and is based, inter alia, on the Servicer Reports
prepared by the Servicer as well as data provided to UCB by other third parties. Although such information has been
obtained from sources believed to be reliable, neither UCB, nor its subsidiaries or affiliates, or any of their respective
directors, managers, officers or employees makes any representation as to their fairness, accuracy, completeness or
reliability or shall have any responsibility or liability for any loss or damage howsoever arising from or otherwise in
connection with the use of this Report.
This Report is not for retail customers (as defined by the European Markets in Financial Instruments Directive) and
persons into whose possession or attention this document comes must inform themselves about, and strictly observe,
any such restrictions. This Report is provided for information purposes only and does not constitute or form part of,
nor may 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. By accepting this Report, you
agree to be bound by the foregoing restrictions. The information provided in the Report can not substitute the
obtaining of independent financial advice.
UniCredit Bank AG London Branch, Moor House, 120 London Wall, London, EC2Y 5ET, is regulated by
Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) and subject to limited regulation by the Financial Conduct
Authority and Prudential Regulation Authority. Further details regarding our regulatory status are available on
request.
If this Report 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 none of UCB, its
subsidiaries or affiliates or any of the directors, officers or employees thereof, accepts any liability or responsibility
whatsoever in respect of any difference between the documents distributed to you in electronic format and the hard
copy version available to you on request from UCB.
Notes Report - Page 2
Notes Report
Classes
Initial Amount
Class A1 Notes
Class B Notes
Class C Notes
Class D Notes
682,000,000.00
48,000,000.00
11,000,000.00
7,630,000.00
Principal
Previous Amount
Payments
78,661,300.30
48,000,000.00
11,000,000.00
7,630,000.00
4,726,260.00
-
Current Outstanding
73,935,040.30
48,000,000.00
11,000,000.00
7,630,000.00
Interest
Classes
Interest Rate
Class A1 Notes
Class B Notes
Class C Notes
Class D Notes
1
Accrued Interest
0.292%
0.962%
1.462%
0.962%
Interest Payment
58,059.91
116,721.60
40,651.60
18,553.87
58,059.91
116,721.60
40,651.60
18,553.87
Inclusive of interest accrued but unpaid on previous Payment Dates
Collateral Portfolio
Collateral Portfolio at the end
of the Collection Period
Total Performing
Outstanding Principal
(*)
Liquidity Facility (**)
178,997,522.96
156,767,860.35
20,000,000
% of Credit enhancement
Class A1
Class B
Class C
74.74%
40.60%
32.77%
* means the aggregate Outstanding Principal Amount of Mortgage loans net of the aggregate Outstanding Principal Amount
of all Defaulted Mortgage Loans, as of the relevant Collection Date
** Does not constitutes a credit support
Triggers
Trigger
Class A Principal
Subordination Event (***)
Current
Min
Verified
0.0%
1.00%
NO
*** The ratio, expressed as a percentage between the Unpaid Principal Deficiency as of the immediately preceding Calculation Date
and the Initial Outstanding Principal Amount of the Portfolio, is higher than 1%
Pro-Rata Amortisation Ratio
(****)
47.40%
18.00%
YES
**** The aggregate Principal Amount Outstanding of the Class B Notes, the Class C Notes and the Class D Notes of such Series
as a percentage of the aggregate Principal Amount Outstanding of all the Notes of such Series, in each case, on such Payment Date, is
at least twice of such percentage calculated as of the relevant Issue Dates
Furher Conditions
Precedent for Pro-Rata
Amortisation:
Current
Max
Verified
The Aggregate Outstanding Principal Amount
of all Mortgage Loans with more than 3
instalments in arrears does not exceed 4.0% of
the Outstanding Principal Amount of all
Mortgage Loans comprised in the Portfolio as
of the last day of the immediately preceding
Collection Period
3.41%
4.00%
YES
All balances on all ledgers of the Principal
Deficiency Ledger are zero (euro)
0.00
YES
No outstanding Advances (including any
Reserve Advance) under the Liquidity Facility
Agreement (euro).
20,000,000.00
NO
At least five years have elapsed from the
relevant Issue Date of such Series (years)
Current
Min
Verified
12.05
5
YES
Unpaid Interest 1
-
Issuer Available Funds - Page 3
Issuer Available Funds
Total EUR
Issuer Interest Available Funds
(a) Interest Collections on the Portfolio during relevant Collection Period
(b)
All amounts payable by each Swap Counterparty under the terms of the Swap Agreements on
the Swap Payment Date immediately preceding
(c)
Any other amount (other than Principal Instalments) deriving from theMortgage Loans
Agreements received during the Collection Period
926,356.68
233,986.98
4,011.32
(d) Any profit (including capital gain, if any) generated by or accrued on the Eligible Investments
-
(e) All capital gains made from sale of any Receivables during the Collection Period
-
(f)
Interest amounts received by the Issuer from the Originator pursuant to the Purchase
Agreement, the Warranty and Indemnity Agreement or the Servicing Agreement, during the
Collection Period
-
Interest amounts received by the Issuer from any party to the Transaction other than those
(g) referred to above Documents and paid into the Transaction Account during the Collection
Period,
-
Any other amount (other than any amount constituting Issuer Principal Available Funds) not
(h) deriving from the Receivables and which is not included in all the items above, received by the
Issuer during the Collection Period
-
(i)
Interest accrued and paid on the Accounts except for the portion (if any) of net bank account
interest accrued on and credited to the Liquidity Reserve Account
(l)
Any revolving advance made by the Liquidity Facility Provider(s) under the Liquidity Facility
Agreement(s)
-
(m) Any amount payable out of the Issuer Principal Available Funds as Interest Shortfall Amount
-
(n) Other amounts
-
TOTAL ISSUER INTEREST AVAILABLE FUNDS
2,750.35
1,167,105.33
Total EUR
Issuer Principal Available Funds
(a) Principal Collections on the Portfolio during relevant Collection Period
All Principal Instalments received by the Issuer from the Originator pursuant to the Purchase
(b) Agreement, the Warranty and Indemnity Agreement or the Servicing Agreement during the
Collection Period
(c) Any amount to be credited to the Principal Deficiency Ledger
(d)
Principal amounts received by the Issuer from any party to the Transaction Documents and
paid into the Transaction Account,other than the Principal Collections
(e) Other amounts
TOTAL ISSUER PRINCIPAL AVAILABLE FUNDS
4,578,840.25
146,527.65
916.37
4,726,284.27
Use of Interest - Page 4
Use of Interest Available Funds
Amount Due
(Total EUR)
Payments:
1
(A) Fees, costs, expenses and taxes of the Issuer (to the extent that the funds standing to
the credit of the Expense Account are insufficient) and (B) to credit to the Expenses
Account an amount to bring the balance of such account up to the Retention Amount.
2
Fees, costs and expenses
3
Principal amounts related to the advance outstanding under the Liquidity Facility
4
5
2,791.69
119,281.10
Interest amounts related to the advances and any other amount payable
under the Liquidity Facility Agreements
Amounts due to the Swap Counterparties under the Swap Agreements (but
excluding amounts payable under item 17)
6
Interest Component of the purchase price and interests on the purchase price (if any)
7
Interest on the Class A1 Notes
8
PDL on the Class A1 Notes
9
Interest on the Class B Notes
172,061.52
58,059.91
116,721.60
10 PDL on the Class B Notes
-
11 Interest on the Class C Notes
40,651.60
12 PDL on the Class C Notes
-
13 Fees, costs expenses not paid under items 2 and 3
-
14 PDL on the Class D Notes
15
146,527.65
Amounts due to the Managers (if any) pursuant the Senior Notes Programme Agreement
and the Senior Notes Subscription Agreements
16 Termination payments (if any) due to any Liquidity Facility Provider
17
Termination payments (if any) due under the Swap Agreements if a Swap
Counterparty is the Defaulting Party
18 Base Interest on the Class D Notes
19 Other Junior Payments to the Originator
TOTAL OUTFLOWS
18,553.87
492,456.39
1,167,105.33
Use of Principal - Page 5
Use of Principal Available Funds
Payments:
Principal Available Funds
Amount Due
(Total EUR)
4,726,284.27
Amount
Allocated
(Total EUR)
4,726,284.27
During Initial Period:
Interest Shortfall Amount
Principal Accumulated
-
-
-
-
During Amortisation Period:
Interest Shortfall Amount
Principal payment under Class A1 Notes
Principal payment under Class B Notes
Principal payment under Class C Notes
Principal payment under Class D Notes
4,726,260.00
-
4,726,260.00
-
TOTAL OUTFLOWS
4,726,260.00
4,726,260.00
Portfolio Description 1 - Page 6
PORTFOLIO DESCRIPTION (1/2)
a.
1
2
3
4
5
6
7
8
Informazioni generali sul portafoglio (a)
a.1
Numero di mutui:
a.2
Debito residuo:
a.3
Debito residuo medio (1):
a.4
Seasoning medio ponderato (2):
a.5
Current LTV medio ponderato (2):
a.6
Scadenza residua media ponderata (2):
a.7
Tasso medio ponderato (tassi fissi/opzionali fissi) (2):
a.8
Spread medio ponderato (tassi variabili/opzionali variabili) (2):
Valore
2,738
156,767,860.35
57,256.34
153.75
44.09%
147.10
4.87%
1.54%
Alla fine del periodo di incasso corrente
Debito Residuo
b.
1
2
3
4
5
6
7
8
9
10
b.1
b.2
b.3
b.4
b.5
b.6
b.7
b.8
b.9
b.10
da 0 (incluso) a 10.000 (escluso) Euro
da 10.000 (incluso) a 25.000 (escluso) Euro
oltre 300.000 (incluso) Euro
Totale
All'inizio dell'operazione
Numero di mutui
% sul totale mutui
Valore debito residuo
% sul debito residuo
Numero di mutui
% sul totale mutui
125
324
738
850
486
183
22
10
0
2,738
4.57%
11.83%
26.95%
31.04%
17.75%
6.68%
0.80%
0.37%
0.00%
100.00%
900,652.12
5,309,897.96
28,550,748.43
53,068,557.40
41,981,328.52
21,023,491.39
3,650,674.36
2,282,510.17
156,767,860.35
0.57%
3.39%
18.21%
33.85%
26.78%
13.41%
2.33%
1.46%
0.00%
100.00%
0
41
523
1314
1850
2717
600
188
45
7,278
0.00%
0.56%
7.19%
18.05%
25.42%
37.33%
8.24%
2.58%
0.62%
100.00%
926,626.35
21,137,865.83
83,587,989.48
161,256,616.22
327,458,040.99
101,114,031.85
43,172,462.66
16,243,468.30
754,897,101.68
0.00%
0.12%
2.80%
11.07%
21.36%
43.38%
13.39%
5.72%
2.15%
100.00%
Numero di mutui
% sul totale mutui
Numero di mutui
% sul totale mutui
0
0
0
0
0
0
0
0
0
750
1988
0
2,738
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
27.39%
72.61%
0.00%
100.00%
46,290,927.76
110,476,932.59
156,767,860.35
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
29.53%
70.47%
0.00%
100.00%
3,629
2,759
546
329
15
0
0
0
0
0
0
0
7,278
49.86%
37.91%
7.50%
4.52%
0.21%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
382,564,464.78
277,511,424.94
58,401,818.41
34,684,075.08
1,735,318.47
754,897,101.68
50.68%
36.76%
7.74%
4.59%
0.23%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
Numero di mutui
% sul totale mutui
Numero di mutui
% sul totale mutui
214
308
262
498
729
702
25
0
2,738
7.82%
11.25%
9.57%
18.19%
26.63%
25.64%
0.90%
0.00%
100.00%
2,817,994.90
7,804,745.17
12,077,809.38
26,097,745.04
49,650,670.11
56,148,996.71
2,169,899.04
156,767,860.35
1.80%
4.98%
7.70%
16.65%
31.67%
35.82%
1.38%
0.00%
100.00%
6
68
190
338
460
571
907
4,677
7,217
0.08%
0.94%
2.63%
4.68%
6.37%
7.91%
12.57%
64.81%
100.00%
249,226.96
3,120,630.36
12,212,728.63
25,573,505.99
41,534,357.60
54,699,476.72
93,030,307.58
516,188,408.31
746,608,642.15
0.03%
0.42%
1.64%
3.43%
5.56%
7.33%
12.46%
69.14%
100.00%
Numero di mutui
% sul totale mutui
Numero di mutui
% sul totale mutui
9
107
245
18
677
18
1,157
23
484
2,738
0.33%
3.91%
8.95%
0.66%
24.73%
0.66%
42.26%
0.84%
17.66%
100.00%
44,121.82
1,279,184.19
3,792,410.51
587,981.39
29,204,183.25
1,000,775.77
79,394,377.98
1,730,378.21
39,734,447.23
156,767,860.35
0.03%
0.82%
2.42%
0.38%
18.63%
0.64%
50.64%
1.10%
25.34%
100.00%
0
0
3
12
7
262
37
687
6,270
7,278
0.00%
0.00%
0.04%
0.16%
0.10%
3.60%
0.51%
9.44%
86.15%
100.00%
112,904.83
403,601.79
277,531.47
14,349,620.44
2,600,663.27
51,647,699.15
685,505,080.73
754,897,101.68
0.00%
0.00%
0.01%
0.05%
0.04%
1.90%
0.34%
6.84%
90.81%
100.00%
c.
Seasoning del portafoglio (3)
1
2
3
4
5
6
7
8
9
10
11
12
13
c.1
c.2
c.3
c.4
c.5
c.6
c.7
c.8
c.9
c.10
c.11
c.12
c.13
da 1 (incluso) a 6 (escluso) mesi
oltre 180 (incluso) mesi
Totale
d.
Current LTV Ratio (4)
1
2
3
4
5
6
7
8
9
d.1
d.2
d.3
d.4
d.5
d.6
d.7
d.8
d.9
da 0% (incluso) a 10% (escluso)
Totale
e.
1
2
3
4
5
6
7
8
9
10
Scadenza residua (5)
e.1
e.2
e.3
e.4
e.5
e.6
e.7
e.8
e.9
e.10
da 0 (incluso) a 12 mesi (escluso)
oltre 200 (incluso) mesi
Totale
(a) Si tratta del Portafoglio, non classificato a Default, alla data di fine periodo di incasso, dopo il pagamento delle rate incassate così come alimentanti il foglio "Incassi"
(1) Per media si intende la media semplice
(2) Come peso per la ponderazione si intende il debito residuo
(3) Calcolato come differenza tra la data di reporting e la data di sitpulazione
(4) Calcolato come rapporto tra il debito residuo ed il valore derivante dalla stima/perizia più recente
(5) Calcolata come differenza tra la data di scadenza e la data di rerpoting
Portfolio Description 2 - Page 6
PORTFOLIO DESCRIPTION (2/2)
f.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
g.
Distribuzione Geografica (b)
f.1
Abruzzo
f.2
Basilicata
f.3
Calabria
f.4
Campania
f.5
Emilia - Romagna
f.6
Friuli-Venezia Giulia
f.7
Lazio
f.8
Liguria
f.9
Lombardia
f.10 Marche
f.11 Molise
f.12 Piemonte
f.13 Puglia
f.14 Sardegna
f.15 Sicilia
f.16 Toscana
f.17 Trentino - Alto Adige
f.18 Umbria
f.19 Valle d'Aosta
f.20 Veneto
f.21 Totale
% sul totale mutui
2.63%
3,420,200.01
0.00%
0.04%
21,751.54
15.81%
19,422,543.70
7.20%
12,643,744.31
2.70%
3,850,387.76
10.15%
14,722,982.25
7.52%
11,616,722.89
18.92%
32,247,171.73
1.28%
2,229,791.48
0.26%
216,372.90
14.72%
22,660,658.17
1.46%
1,496,697.69
0.00%
0.00%
1.86%
2,316,979.69
0.07%
163,902.97
1.17%
1,498,797.04
0.00%
14.21%
28,239,156.22
100.00%
156,767,860.35
2.18%
0.00%
0.01%
12.39%
8.07%
2.46%
9.39%
7.41%
20.57%
1.42%
0.14%
14.45%
0.95%
0.00%
0.00%
1.48%
0.10%
0.96%
0.00%
18.02%
100.00%
Numero di mutui
72
0
1
433
197
74
278
206
518
35
7
403
40
0
0
51
2
32
0
389
2,738
150
0
1
929
519
172
815
599
1,377
109
12
1,103
127
2
0
155
11
63
1
1,133
7,278
% sul totale mutui
2.06%
13,227,460.74
0.00%
0.01%
50,852.80
12.76%
86,065,114.66
7.13%
57,332,824.19
2.36%
15,522,263.56
11.20%
82,283,139.21
8.23%
62,987,428.74
18.92%
150,968,634.04
1.50%
12,499,834.03
0.16%
818,842.63
15.16%
109,495,494.92
1.74%
8,895,456.24
0.03%
266,744.03
0.00%
2.13%
15,470,839.00
0.15%
1,389,716.47
0.87%
5,564,515.51
0.01%
82,728.37
15.57%
131,975,212.54
100.00%
754,897,101.68
1.75%
0.00%
0.01%
11.40%
7.59%
2.06%
10.90%
8.34%
20.00%
1.66%
0.11%
14.50%
1.18%
0.04%
0.00%
2.05%
0.18%
0.74%
0.01%
17.48%
100.00%
Numero di mutui
2,738
0
2,738
% sul totale mutui
100.00%
156,767,860.35
0.00%
100.00%
156,767,860.35
100.00%
0.00%
100.00%
Numero di mutui
7,278
0
7,278
% sul totale mutui
100.00%
754,897,101.68
0.00%
100.00%
754,897,101.68
100.00%
0.00%
100.00%
% sul totale mutui
0.00%
100.00%
754,897,101.68
0.00%
0.00%
100.00%
754,897,101.68
0.00%
100.00%
0.00%
0.00%
100.00%
Numero di mutui
Distribuzione per frequenza di pagamento
1 g.1
Mensile
2 g.2
Trimestrale
3 g.3
Totale
Distribuzione per modalita' di pagamento
h.1
Addebito diretto in conto corrente
h.2
R.I.D.
h.3
Per cassa
h.4
Altro
h.5
Totale
Numero di mutui
639
1,911
188
0
2,738
% sul totale mutui
23.34%
37,693,574.43
69.80%
106,073,204.84
6.86%
13,001,081.08
0.00%
100.00%
156,767,860.35
24.04%
67.66%
8.30%
0.00%
100.00%
Numero di mutui
1
2
3
4
5
Tipologia di tasso di interesse
i.1
Fisso
i.2
Variabile
i.3
Opzionale Fisso
i.4
Opzionale Variabile
i.5
Totale
Numero di mutui
276
2,342
105
15
2,738
% sul totale mutui
10.08%
16,030,202.42
85.54%
134,666,846.51
3.83%
5,240,142.23
0.55%
830,669.19
100.00%
156,767,860.35
10.23%
85.90%
3.34%
0.53%
100.00%
Numero di mutui
1
2
3
4
5
23
2,390
2,215
2,650
7,278
% sul totale mutui
0.32%
1,220,996.93
32.84%
284,747,619.80
30.43%
206,818,136.87
36.41%
262,110,348.08
100.00%
754,897,101.68
0.16%
37.72%
27.40%
34.72%
100.00%
1
2
3
4
5
6
Tasso di interesse (mutui a tasso fisso)
l.1
0% (incluso) - 3% (escluso)
l.2
l.3
l.4
l.5
>=6%
l.6
Totale
95
6
17
222
41
381
% sul totale mutui
3.47%
4,447,467.25
0.22%
384,034.34
0.62%
1,190,578.14
8.11%
13,014,246.75
1.50%
2,234,018.17
13.92%
21,270,344.65
2.84%
0.24%
0.76%
8.30%
1.43%
13.57%
Numero di mutui
293
402
529
864
150
2,238
% sul totale mutui
4.03%
28,748,176.70
5.52%
41,566,588.85
7.27%
51,513,258.19
11.87%
74,483,720.49
2.06%
11,727,389.57
30.75%
208,039,133.80
3.81%
5.51%
6.82%
9.87%
1.55%
27.56%
Spread sul tasso di rif. (mutui a tasso variabile)
m.1 0% (incluso) - 1% (escluso)
m.2 1% (incluso) - 1.25% (escluso)
m.3 1.25% (incluso) - 1.5% (escluso)
m.4 1.5% (incluso) - 1.75% (escluso)
m.5 1.75% (incluso) - 2% (escluso)
m.6 >=2%
m.6 Totale
Numero di mutui
243
146
291
423
1,110
144
2,357
% sul totale mutui
8.88%
17,119,375.82
5.33%
9,476,647.78
10.63%
15,925,759.32
15.45%
21,878,040.67
40.54%
64,039,683.19
5.25%
7,058,008.92
86.08%
135,497,515.70
10.92%
6.05%
10.16%
13.96%
40.85%
4.49%
86.43%
Numero di mutui
1
2
3
4
5
6
6
% sul totale mutui
0.73%
6,585,604.41
0.67%
6,418,658.68
6.75%
57,000,337.19
12.64%
99,305,023.53
44.24%
346,059,006.89
4.22%
31,489,337.18
69.25%
546,857,967.88
0.87%
0.85%
7.55%
13.15%
45.84%
4.17%
72.44%
h.
i.
l.
m.
Numero di mutui
(6)
(7)
(b) Si tratta della Regione della Filiale Originaria che ha concesso il finanziamento
(6) Per mutui a tasso fisso od opzionali fissi
(7) Per mutui a tasso variabile od opzionali variabili
0
7,278
0
0
7,278
53
49
491
920
3,220
307
5,040
Portfolio Performance - Page 6
Delinquencies
Mar-04
Jun-04
Sep-04
Dec-04
Mar-05
Jun-05
Sep-05
Dec-05
Mar-06
Jun-06
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
Dec-13
Mar -14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
4,431,436.44
9,127,584.28
12,418,503.59
15,028,588.25
14,869,969.33
16,931,075.03
19,203,894.80
19,267,727.42
18,518,826.68
19,048,387.17
17,878,164.58
18,247,330.59
23,833,547.21
22,655,105.20
24,409,892.26
25,787,254.82
22,536,210.09
22,412,662.81
40,096,451.37
25,158,585.36
26,143,346.00
17,140,030.76
13,347,332.63
10,229,450.03
10,791,430.85
9,132,193.96
8,519,715.25
9,796,432.55
10,308,515.96
9,799,947.43
8,422,320.04
9,276,355.76
7,894,653.14
8,574,681.29
8,745,531.91
10,283,592.30
10,784,730.05
10,337,670.45
11,568,909.38
10,456,779.67
11,687,329.23
11,839,961.06
11,701,193.81
10,583,958.46
11,915,285.81
9,886,813.85
10,006,185.95
9,083,525.34
Delinquency ratio
0.59%
1.24%
1.70%
2.09%
2.09%
2.26%
2.83%
2.89%
2.83%
2.98%
2.87%
3.02%
4.78%
4.54%
4.89%
5.17%
4.78%
5.30%
9.24%
6.14%
6.73%
4.71%
3.97%
3.22%
3.55%
3.13%
3.03%
3.60%
3.92%
3.87%
3.45%
3.91%
3.42%
3.82%
4.00%
4.81%
5.15%
5.04%
5.77%
5.34%
6.11%
6.33%
6.41%
5.94%
6.86%
5.85%
6.10%
5.71%
Defaults
153,196.27
592,469.88
1,569,408.89
1,743,489.21
2,786,435.16
3,274,701.07
4,338,857.50
4,568,980.25
5,245,021.51
6,084,190.96
6,491,017.91
7,192,285.56
8,530,482.47
9,370,911.34
10,678,224.42
11,543,822.32
13,532,923.97
14,990,689.40
18,113,627.18
21,208,860.01
23,736,967.70
25,848,884.86
26,954,720.95
27,956,308.83
28,724,550.53
29,026,758.56
27,513,386.08
28,611,471.22
29,875,170.43
30,455,520.12
31,016,349.65
31,439,447.17
31,600,462.05
32,097,912.93
32,437,983.68
32,849,163.83
33,182,579.17
34,119,005.73
34,618,962.97
34,916,804.24
35,263,873.17
35,563,339.76
36,070,088.62
36,424,062.44
36,848,613.37
36,995,141.02
Default ratio
0.00%
0.00%
0.02%
0.08%
0.22%
0.25%
0.40%
0.48%
0.65%
0.70%
0.82%
0.98%
1.07%
1.24%
1.53%
1.78%
2.14%
2.45%
3.03%
3.45%
4.42%
5.39%
6.50%
7.53%
8.16%
8.78%
9.32%
9.76%
9.52%
10.23%
11.06%
11.58%
12.07%
12.57%
12.96%
13.47%
13.86%
14.31%
14.72%
15.47%
15.98%
16.48%
16.98%
17.52%
18.14%
18.76%
19.46%
20.15%
Default Level
0.00%
0.00%
0.02%
0.08%
0.21%
0.23%
0.37%
0.44%
0.58%
0.61%
0.70%
0.81%
0.87%
0.96%
1.14%
1.25%
1.43%
1.54%
1.81%
2.00%
2.42%
2.83%
3.17%
3.45%
3.60%
3.73%
3.84%
3.88%
3.68%
3.82%
3.99%
4.07%
4.14%
4.20%
4.22%
4.29%
4.33%
4.39%
4.43%
4.56%
4.62%
4.66%
4.71%
4.75%
4.82%
4.87%
4.92%
4.94%
Prepayments
6,935,978.66
2,899,203.02
3,595,015.37
4,010,274.50
6,087,322.97
5,613,497.72
5,582,846.51
6,450,210.00
6,571,263.41
10,059,673.36
11,234,537.97
12,624,272.40
17,876,058.53
19,799,979.84
24,770,539.60
23,440,130.69
22,029,439.43
20,779,249.36
9,257,969.64
19,192,460.33
12,464,809.24
24,040,533.66
17,815,788.16
9,036,845.91
8,398,075.29
6,035,278.02
6,798,090.38
4,627,402.43
5,479,096.97
6,022,278.38
3,620,979.77
2,685,161.17
3,081,301.40
2,282,520.92
2,177,327.73
1,054,610.78
1,181,187.48
875,383.10
1,372,908.78
642,489.93
1,412,722.11
757,078.55
1,355,711.71
1,036,492.86
1,256,852.73
1,395,094.94
2,124,704.90
1,310,115.27
Annual CPR
3.65%
1.54%
1.91%
2.13%
3.21%
2.96%
2.94%
3.75%
3.88%
6.00%
6.84%
7.86%
11.31%
12.93%
16.64%
16.65%
15.87%
15.84%
8.09%
16.27%
11.60%
21.80%
18.09%
10.40%
10.14%
7.72%
8.94%
6.43%
7.78%
8.80%
5.63%
4.35%
5.10%
3.92%
3.84%
1.93%
2.20%
1.67%
2.66%
1.29%
2.86%
1.59%
2.88%
2.27%
2.81%
3.19%
4.94%
3.19%
Definitions
Delinquency ratio
means the aggregate Outstanding Principal Amount of all the
Delinquent Mortgage Loans (in arrears for at least 30 days) on the
Portfolio as at the relevant Collection Period
Default ratio
means the aggregate Outstanding Principal Amount of all the
Defaulted Mortgage Loans (in arrears for more than 8 months) on the
aggregate Outstanding Principal Amount of the Portfolio as at the
relevant Collection Date
Default Level
means, on any Payment Date, the ratio between: (a) the Cumulative
Outstanding Principal Amount of the Defaulted Mortgage Loans
comprised in the Portfolio; and (b) the Initial Outstanding Principal
Amount of all the Mortgage Loans in the Portfolio.
Remark
Explanation note
Please note that the figures related to "Defaults" has been amended since September 2009 according to
what communicated by the Servicer to the Transaction.
In the Servicing Report distributed by UniCredit S.p.A. (the "Servicer") for the Collection Period 1 November 2010 -31 January 2011
the gross cumulative default figures decreased by an amount equal to Euro 2, 210, 891.00 (the "Default Difference Amount"). In
respect to the last Collection Period, the Servicer has verified that a limited number of positions had been erroneosuly classified as
Defaulted Mortgage Loans in the preceding Collection Periods.
Please note that the Default Difference Amount has not materially affected any transaction mechanics or triggers (such as, inter alia,
the pro rata conditions) given that the balance of the Unpaid Principal Deficiency, net of the Default Difference Amount, at the time all
the other pro-rata amortization conditions were met, would still have been positive.
The amount now showed in column Defaults is the gross cumulated amount of defaulted claims.
The Servicer has also assured that all amounts trapped by PDL are correct and they sum up the amount
currently shown in this column.
There is no influence on the actual flows and payments due under the transaction.
Portfolio Performance - Page 6
Delinquency ratio
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar -14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Default
22.0%
21.0%
20.0%
19.0%
18.0%
17.0%
16.0%
15.0%
14.0%
13.0%
12.0%
11.0%
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar -14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Default Level
Default ratio
Annual CPR
24.0%
22.0%
20.0%
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar -14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04

FE Mortgages Srl

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