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Mortgage Covered Bonds
Investor Report - 28th June 2013
Report Reference Date: 2013-06-28
Report Frequency: Quarterly
1. Credit Ratings Long Term Short Term
Euro 10,000,000,000 Mortgage Covered Bond Programme
Banco Esprito Santo, SA
Portugal Ba3/BB/BB+/BBBL (Moody's / S&P / Fitch / DBRS)1
Most recent ratings
2. Covered Bonds Issue Date Coupon Maturity Date Soft Bullet
Date Remaining Term (years) Nominal Amount
Covered Bonds Outstanding 3,72 4.040.000.000,00
Covered Bond 3 (PTBLMVOE0011) 2009-11-17 Fixed 2 01 5- 02 -1 7 2
01 6- 02 -1 7 1,66 1.000.000.000,00
Covered Bond 4 (PTBER9OE0012) 2010-07-07 Floating 2 01 7- 07 -0
9 2 01 8- 07 -0 9 4,08 1.000.000.000,00
NP / B /R-2M (Moody's / S&P / DBRS)
NP/B/B/... (Moody's / S&P / Fitch / DBRS)
n/aBaa3 / AL (Moody's /DBRS)
Ba3/BB-/BBBL(Moody's /S&P/DBRS)
1
l i , . . . ,Covered Bond 5 (PTBLMIOE0018) 2010-07-21 Floating 2
01 7- 07 -2 1 2 01 8- 07 -2 1 4,12 1.000.000.000,00
Covered Bond 6 (PTBENAOE0014) 2010-12-15 Fixed 2 01 7- 01 -2 6 2
01 8- 01 -2 6 3,63 40.000.000,00
Covered Bond 7 (PTBEQAOE0011) 2011-01-25 Floating 2 01 8- 01 -2
5 2 01 9- 01 -2 5 4,64 1.000.000.000,00
3. Asset Cover Test Remaining Term (years) Nominal Amount
Mortgage Credit Pool 25,16 5.562.216.369,94
Other Assets (Deposits and Securities at market value)2 0,00
0,00
Cash and Deposits 0,00 0,00
RMBS 0,00 0,00
Other securitues 0,00 0,00
Total Cover Pool 25,16 5.562.216.369,94
li i l% of ECB eligible assets 0,00%
Overcollateralization with cash collateral (OC) 38%
Required overcollateralization (Moody's) - Minimum OC level to
keep the current Mortgage Covered Bond Programme rating 22%
Required overcollateralization (DBRS) - Minimum OC level to keep
the current Mortgage Covered Bond Programme rating 32%
Legal minimum overcollateralization 5,26%2Includes Liquidity
Cushion (see section 5 below)
4. Mortgage Credit PoolPortofolio Main Characteristics
Number of Loans 107.140
Aggregate Original Principal Balance (EUR) 7.288.949.291,39
Aggregate Current Principal Balance (EUR) 5.562.216.369,94
Average Original Principal Balance per loan (EUR) 68.032,01i i l
i i l l l
Average Current Principal Balance per loan (EUR) 51.915,40
Weight of subsidized loans (number of loans) % 20,20%
Weight of subsidized loans (current principal balance) %
15,44%
Weight of residential mortgages (number of loans) % 100,00%
Weight of residential mortgages (current principal balance) %
100,00%
Weight of commercial mortgages (number of loans) % 0,00%
Weight of commercial mortgages (current principal balance) %
0,00%
Weight of insured property (number of loans) % 100,00%
Weight of insured property (current principal balance) %
100,00%
Weight of interest-only loans (number of loans) % 100,00%
Weight of interest-only loans (current principal balance) %
100,00%
i i l l lurren principal alance o e larges orrowers . . ,
Weight of the 5 largest borrowers (current principal balance) %
0,17%Current principal balance of the 10 largest borrowers
18.280.956,09
Weigth of the 10 largest borrowers (current principal balance) %
0,33%
Weighted Average Seasoning (months) 80,43
Weighted Average Remaining Terms (months) 301,91
Weighted Average Current Unindexed LTV (%) 57,44%
Weighted Average Current Indexed LTV (%) 61,57%
Weighted Average Interest Rate (%) 1,49%
Weighted Average Spread (%) 1,12%
Max Maturity Date (yyyy-mm-dd) 02-07-2063
Portfolio Interest Rate Type Number of Loans Total Loan
Amount
iFixed 2,54% 2,04%
Floating 97,46% 97,96%
Portfolio Seasoning Number of Loans Total Loan Amount
Up to 1 year 2,42% 2,60%
1 to 2 years 3,51% 4,08%
2 to 3 years 5,72% 7,48%
3 to 4 years 10,36% 14,71%
4 to 5 years 6,73% 8,34%
5 to 6 years 13,65% 15,53%
6 to 7 years 9,53% 10,94%
7 to 8 years 6,07% 6,83%
8 to 9 ears 4 37% 4 43%, ,
9 to 10 years 4,06% 3,51%
10 to 11 years 4,49% 3,68%
11 to 12 years 5,95% 4,75%
More than 12 Years 23,15% 13,11%
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4. Mortgage Credit Pool (continued)
Portfolio Remaining Term Number of Loans Total Loan Amount
Up to 5 years 4,28% 1,01%
5 to 8 years 4,92% 2,29%
8 to 10 years 4,97% 2,70%
10 to 12 years 4,79% 3,11%
12 to 14 years 4,92% 3,75%
14 to 16 years 11,09% 7,70%
16 to 18 years 9,53% 8,54%
o years , ,20 to 22 years 4,86% 5,64%
22 to 24 years 4,80% 6,02%
24 to 26 years 4,91% 6,00%
26 to 28 years 4,34% 5,74%
28 to 30 years 3,37% 4,29%
30 to 40 years 17,37% 25,00%
More than 40 years 5,58% 8,80%
Portfolio Current Unindexed LTV Number of Loans Total Loan
Amount
Up to 40% 25,48% 16,02%
40 to 50% 13,56% 13,08%
50 to 60% 17,66% 19,17%
60 to 70% 23,12% 25,29%
70 to 80% 20,18% 26,44%
More than 80% 0,00% 0,00%
Portfolio Loan Usage Number of Loans Total Loan Amount
Owner-occupied 84,59% 83,60%
Second Home 7,62% 9,67%
Buy to let 1,08% 1,34%Other 6,71% 5,38%
Portfolio Geographical Distribution Number of Loans Total Loan
Amount
North 27,86% 24,87%
Center 25,12% 22,10%
Lisbon 35,82% 40,55%i , ,
Alentejo 2,82% 2,36%
Algarve 4,95% 6,61%
Madeira 3,40% 3,49%
Azores 0,02% 0,03%
Portfolio Delinquencies Number of Loans Total Loan Amount
> 30 days to 60 days 0,00% 0,00%
> 60 days to 90 days 0,00% 0,00%
5. Liquidity Cushion Nominal Amount
Liquidity Cushion (according to Fitch's definition)3
Liquidity Cushion amount 0,00
i i li i l i i l i i iDeposits with eligible financial
institutions 0,00
Eligible securities 0,00Liquidity Cushion requirement
calculation
Required Liquidity Cushion 0,00
Interest due month 1 0,00
Interest due month 2 0,00
Interest due month 3 0,003At least equal to the interest
payments due on the Covered Bonds Outstanding before swaps for the
next 3 months
6. Derivative Financial Instruments Nominal Amount
Interest Rate Swa s4
Fixed to Floating Swaps 1.040.000.000,00
iInterest Basis Swaps 0,004 External counterparties Yes/No
Yes
7. Other Triggers
Other Assets 100 days = 0 OK
Mortgage Credit + Other Assets WA Remaining Term - Covered Bonds
WA Remaining Term >= 0 OK4
Considering Other Assets at Market Value
8. Contacts
Financial Markets Division - Funding
- Servicin
i
[email protected] [email protected]
Other Reports on BES
websitehttp://www.bes.pt/SiteBES/cms.aspx?plg=EDCC3FE9-6360-42E5-B23F-B85317E79A0E&gobj=451819
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Mortgage Covered Bonds
Investor Report - 28th June 2013
Notes
1. Overcollateralisation
2. Insured mortgages
3. Delinquencies
The overcollateralisation ratios are calculated by dividing (i)
the total outstanding balance of the assets included in the cover
pool by (ii) the total nominal amount of the covered bonds (both
excluding
accrued interest). For clarification purposes, all assets
included in the covered pool are eligible assets.
Required overcollateralization is the minimum
overcollateralization necessary to keep the current Mortgage
Covered Bond Programme rating.
All mortgages must have property damage insurance covering fire
and floods.
l i i li i i i i l i l i l i i i
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4. Soft Bullet Date (Extended Maturity)
5. Other Assets
A loan is considered to be delinquent if any payment is in
arrears by more than 30 days. According to the Portuguese covered
bonds legislation, any loan which is in arrears by more than 90
days must beremoved from the pool and substituted by another loan
which fulfills the eligibility criteria. Therefore, there are no
NPL's included in the cover pool.
If the covered bonds are not redeemed on the relevant maturity
date, the maturity will automatically be extended on a monthly
basis up to one year. In that event, the covered bonds can be
redeemed in
whole or in part on a monthly basis up to and including the
Extended Maturity Date.
In addition to the mortgage assets, other assets (or substitute
assets) may be included in the cover pool up to an amount equal to
20% of the cover pool, subject to the following eligibility
criteria:
- Deposit with the Bank of Portugal in cash or ECB eligible
securities, or
- Deposits held with credit institutions rated at least A-.
6. Loan-to-Value
The Current Unindexed LTV is calculated by dividing the
outstanding balance of the loan by the value of the underlying
property (last physical valuation).
The Current indexed LTV is calculated by dividing the
outstanding balance of the loan by the latest valuation amount of
the underlying property (i.e. indexed value or last physical
valuation).
A full valuation of the underlying properties must have been
performed by an independent appraiser, at origination or after,
prior to the inclusion of the mortgage loan in the cover pool.
Properties (both residential and commercial) should also be
revalued regularly:- For commercial assets, this must be done on an
annual basis;
- Residential properties must be revalued at least every 3 years
if the individual mortgage credit value exceeds 500.000; however,
it can be done on a more frequent basis (revaluations of
residential
properties may be done using a statistical model, approved by
the Bank of Portugal).
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