Securitization Market Watch - UniCredit

23 June 2014 Credit Research

Securitization Market Watch

UniCredit Research page 1 See last pages for disclaimer.

■ Special focus, European high quality securitization: The ECB and the BoE recently published a discussion paper that summarized the features of a high quality securitization (HQS) market. Quality standards, by means of the Prime Collateralised Securities Initiative (PCS), were also examined in an empirical analysis recently. Not surprisingly, the empirical study showed that HQS is exposed to lower market/credit risk factors and is characterized by higher liquidity. Below, we summarize the HQS features mentioned by the ECB/BoE and highlight the findings of the PCS study.

■ Market Comment:

– Continuous risk appetite for Italian paper

– The environment remains constructive and has mostly been driven by central banks recently (the Fed last week)

■ Primary market and pipeline

One Italian RMBS and one Italian consumer ABS were placed publically; one transaction was retained by the originator. Two CMBS, another Italian consumer deal and one Eastern European auto transaction are currently in the pipeline.

■ Rating Actions: Granite, Whinstone, BBVA 3, E-Mac DE and Titan Europe 2006-3 were amid last week’s rating actions.

■ Deal specific information: Deco 7 PE 2 (revaluation); Hercules Eclipse (revaluation), Juno (Eclipse 2007-2; further standstill)

■ Brief Comments:

– UK mortgage lending stats for May

– Moody’s comments on strong auto ABS performance globally

– NVB comments on Dutch mortgage market

– Potential delay of LCR rules and ECB stimuli

MONTHLY ISSUANCE VOLUMES

4

8

6

911

14 14

5

9

12

21

98

1012

9

15

10

0

5

10

15

20

25

0

5

10

15

20

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec2013 total EUR bn 2014 2013 Number of Deals (RS) 2014

Source: Bloomberg, Concept ABS, UniCredit Research

Contents Traders Comment ____________________________ 2 Market Comment ___________________________ 33 Brief Comments _____________________________ 5 Deal-Specific Information ______________________ 6 Primary Market ______________________________ 7 Pipeline ____________________________________ 9 Last week's rating changes ____________________ 11 Rating Drift ________________________________ 16 Primary Market Comparison ___________________ 17 Market Statistics ____________________________ 18 Delinquency Data ___________________________ 22

Authors Markus Ernst (UniCredit Bank) Structured Credit Analyst [email protected] +49 89 378-14213 Manuel Trojovsky (UniCredit Bank) Structured Credit Analyst [email protected] +49 89 378-14145 ABS Trading Thomas Bremer (UniCredit Bank) [email protected] +49 89 378-12729 Thomas März (UniCredit Bank) [email protected] +49 89 378-13784

Bloomberg UCGR, ABSX

Internet www.research.unicreditgroup.eu




Traders Comment Continuous risk appetite for Italian paper Secondary market trading activity remains subdued, although sentiment is still very positive in the European securitization universe and risk appetite continues, particularly in the peripheral space. Italian paper is definitely in the focus in this respect, with further spread-tightening in outstanding RMBS, Consumer and SME transactions and continuing activity on the primary market.

Last week was again marked by a quiet trading session on the ABS market, with limited activity overall. The main focus of investors was on peripheral paper, but the lack of offers capped trading volumes, as seen in the past few weeks. Most activity still has to do with BWICs, with overall very strong execution levels able to be seen. Nevertheless, as risk appetite remains high, the spread compression trend and technical bid remain intact, and we saw significant spread-tightening across all sectors last week, Italian paper is especially in the focus of investors, and quotes were tighter last week for high-quality paper. In the UK, GRANM AAAs continue to trade at +48bp, and BBBs at +128bp.Still, Italian RMBS remains one of our top picks in the periphery, if paper is available for sale. We favor the rare post-2007 generation. These have relatively high CE levels (albeit sourcing is difficult). We also see relative value down the capital structure against different expected loss estimates (>2% in Iberian RMBS vs. Italy’s <2%) in peripheral RMBS where there is still value in Italian transactions down the capital structure. From a credit perspective, Italian mezzanine paper still looks relatively

attractive in terms of tightening potential, even though we have already seen impressive tightening momentum in recent months. The chart below shows indicative spread levels across the credit curve related to different instruments in this respect.

CROSS ASSET CREDIT CURVES (BP VS RATING)

0

100

200

300

400

500

600

AAA AA A BBB BB B

Spr

ead

(bp)

iBoxx EUR CorporatesiBoxx EUR CoveredBanks SeniorEuropean CLOItalian RMBSSpanish RMBSUK Prime RMBSDutch Prime RMBS

Source: Markit, UniCredit Research

On the primary market, Italian paper has also been dominating new issuance activity in the wake of the Barcelona conference. After A-Best 9 tightened aggressively (from 75bp for the seniors to 60/55bp at present), we have seen high demand for new Italian paper, which is slowly but steadily coming onto the market. Today, Berica 3 seniors priced at the tight end of guidance set at 3mE+105-110bp with the bonds coming at 3mE+105bp. Another Italian consumer ABS (Monviso) remains in the pipeline as well (see pipeline section for details), while Sunrise 2014 just priced last week with an impressive

coverage of 2.1 times. 36 investors took paper, with book stats showing a lot of interest from German investors (41%), predominantly from investment funds (80%).

Broader credit market sentiment remained mostly influenced by central banks recently. Last week’s statements by the Fed on rates, the economy, QE and the pace of asset purchases were in the spotlight, while (as expected) interest rates were left unchanged. The Fed announced that it would moderate the pace of its monthly asset purchases by another USD 10bn to USD 35bn. As in the previous months, the purchase reduction was split equally between Treasuries (to USD 20bn from USD 25bn) and mortgage-backed securities (to USD 15bn from USD 20bn). The FOMC members' median interest rate forecast for year-end 2016 rose to 2.50%, while the median projection for the long-run rate declined to 3.75%. Our US economist, Harm Bandholz, expects the asset purchase program to be completed by the end of the third quarter (which implies there will be a larger final tapering step in September), while there is a growing risk that the purchase program will go on until October given the still-cautious approach of many Fed officials. The first rate hike in the US is projected for mid-2015. From overseas, there is little risk, at present, that the US’s monetary policy stance will bring volatility to credits in the short-to-medium term. Also last week, the BoE released the minutes of its 4-5 June meeting. They were relatively balanced and offered little in the way of fresh insight into future interest-rate policy after BoE Governor Mike Carney turned significantly more hawkish beforehand (see last week’s comment. This week, we expect to see a relatively flat credit market environment with an increasing focus on European economic fundamental figures (Ifo, INSEE, Istat, consumer confidence, PMI data releases).

http://www.bankofengland.co.uk/publications/minutes/Pages/mpc/pdf/2014/mpc1406.aspx




Market Comment

Characterizing European High Quality Securitization The ECB and the BoE recently published a discussion paper that summarized the features of a high quality securitization (HQS) market. Quality standards, by means of the Prime Collateralised Securities Initiative (PCS), were also examined in an empirical analysis recently. Not surprisingly, the empirical study shows that HQS is exposed to lower market/credit risk factors and are characterized by higher liquidity. Below, we summarize HQS features mentioned by the ECB/BoE and highlight the findings of the PCS study.

Theoretically, setting a European HQS segment could help revitalize the securitization market, push liquidity and increase demand. The sector itself would consist of soundly performing assets, which, in the end, would also qualify for fair and constructive regulatory treatment, which is what central bankers and quality labels, such as the PCS are actively pushing for. What exactly distinguishes an HQS sector? As HQS characteristics are under discussion, the ECB/BoE paper published at end of May outlines the following high-level HQS principles for asset classes such as RMBS, selected CMBS, SME CLOs, Auto ABS, consumer ABS, credit-card deals and leasing ABS:

■ According to the BoE/ECB paper, underlying assets must be credit claims/receivables defined to rental payments or credits subject to principal and interest payments, with terms being common and excluding exotic derivatives or complex formulae.

■ For all receivables, a verifiable loan-loss performance history should be available over at least one life cycle of the receivables, covering at least one period of severe market stress.

■ Recourse to the obligors of the underlying receivables must be granted (no re-securitization, no derivatives).

■ Underlying assets must be homogenous, consistently originated in the originator’s business activities, subject to consistent underwriting criteria and must meet expectations of payment.

■ Underlying assets that generate cash flow should be current (no future flows, not reliant on asset sales, no delinquencies).

■ Secured assets should be ranked first, or all other titles should be transferred to the securitization if not ranked first.

■ The securitization itself should be of a true sale nature, with sound legal opinion and enforceable rights beyond reach of the seller/other creditors or liquidators, e.g. excluding claw-back risks.

■ Data on scheduled principal, interest, prepayments and past and due fees/charges must be available.

■ Regarding delinquencies or defaults, definitions, remedies and actions must be stated consistently and clearly.

■ Payment priorities need to be clearly defined at the time of issuance, and any rights on enforcement/voting must be clearly distributed according to seniority.

■ Transparency must be warranted with respect to credit/cash-flow data (initially and ongoing). Information available should conform with the prospectus directive, and information on the level of servicing and counterparties needs to be specified in the documentation.

■ External legal and credit assessments (2 ECAIs) and respective reviews need to be in place.

These principles are appropriate characteristics for high quality transaction features, in our view. Nevertheless, in practice, it could prove challenging to define asset pools compliant to numerous requirements, particularly in the SME space, across different jurisdictions and with different loan standards involved. Quality initiatives, such as the one by the PCS in Europe, could provide additional guidance for a high quality securitization segment. Earlier this month, the PCS initiative followed up on its HQS features in a specific empirical study. Published on the label’s webpage, the study contained a summary of PCS high quality criteria and an evaluation of transactions with respect to market risk and liquidity.

As a measure of liquidity, the PCS study looked at the average bid-ask spread over a sample period. As a measure of risk, the PCS study employed the average of the volatilities or standard deviations of changes in the log prices of individual securitisation tranches over longer holding periods of ten days.

http://pcsmarket.org/pcs-commissioned-empirical-study-hqs-performance-provides-strong-support-regulatory-efforts/




According to the study, on a country basis, the average volatility of securitization transactions in the HQS segment turned out to be significantly lower than the non-HQS average volatility, e.g. in non-periphery countries. In the case of periphery countries (Spain, Portugal, Italy and Ireland), the gap between measured volatility in the HQS segment vs. non-HQS was less striking, but HQS-related volatilities were lower than risk measures for non-HQS securitization.

AVERAGE PRICE VOLATILITY ACROSS ASSET CLASSES

0123456789

10 HQS non-HQS

Source: UniCredit Research

Interestingly, many Spanish RMBS with HQS standards were issued by Spanish savings banks, and, as such, were exposed to the systemic risk factors related to the Spanish banking crisis. Hence, for Spain, the HQS segment was also exposed to high levels of volatility, which sometimes exceeded levels of transactions that were not compliant with HQS standards. For auto-loan ABS in general,

volatility was much lower than for RMBS and other asset classes, while auto transactions identified by PCS as conforming with HQS standards were also less volatile than non HQS transactions.

MEAN BID-ASK SPREAD COMPARISON (LIQUIDITY)

00.20.40.60.8

11.21.41.61.8

2 HQS non-HQS

Source: PCS

With respect to liquidity, data from the PCS study show that there was little difference in bid-ask spreads in early phases of the financial crisis (2007ff structured finance meltdown), when there was a complete seller overhang and virtually no buyers of securitized bonds. Since 2010, transactions that conform with HQS feature more narrow bid-ask spread gaps than non-HQS. The results were more significant than they are in the case of non-periphery securitization transactions, for which differences are, nevertheless, still apparent. In numbers, bid-ask spreads by HQS-compliant securitizations outside the periphery were 30-40 basis points lower than those of non-HQS-

compliant securitization bonds for significant parts of the sample period considered in the PCS study. In the auto ABS universe, results on bid-ask spreads suggest that liquidity of HQS-compliant transactions is systematically lower, including for eurozone periphery countries and for the UK. The bid-ask spread during much of the sample period is just 20 basis points (after 2010, this is even true for periphery countries).

Furthermore, the PCS study includes comparisons of bid-ask spreads, of senior bonds of HQS-compliant transactions and covered bonds. It is less surprising that, during the structured finance turmoil, bid-ask spreads for HQS securitisation tranches were consistently higher than those for covered bonds. In 2011, liquidity measures for the two instruments became more comparable, with covered-bond-inherent bid-ask spreads higher in non-periphery countries and the UK. In the latest period, the bid-ask spreads for securitisation in non-periphery countries rose again for HQS tranches, although they remained low and comparable to covered bond spreads in the UK. Comparable liquidity measures between covered bonds and securitization are another indication that securitization transactions under LCR are treated in an overly conservative manner compared to the surprisingly favorable rules applied to covered bonds.

The empirical study on risk factors and liquidity by PCS underlines our long-held view that illiquidity at present is rather a function of low supply than of missing bids, which is also expressed by continuing spread compression. Thus, limited offers are not characteristic of illiquid assets, even though trading volumes are low. Furthermore, from a mere bid-ask perspective, high quality paper can be considered




liquid as long as there are no systemic threats to securitization and credit markets overall. In a systemic banking and liquidity crisis, risk factors surrounding illiquidity that is subject to securitization is high and was particularly elevated in the first leg of the financial crisis, when structured finance was at center stage. We certainly agree that a well-defined, HQS segment combined with harmonized and constructively revised regulations could further contribute to the overall effectiveness of securitization as a broader funding tool and contribute to funding needs within the real economy in the sense conveyed by the ECB and the BoE overall.

Brief Comments ■ Potential delay of LCR rules and ECB stimuli: The

European Commission has reportedly postponed a decision on implementation details for the Liquidity Coverage Ratio (LCR) rule, pushing the deadline back 3 months to September, several different osurces reported last week. Nevertheless, we have not seen an official statement by the EC while the EC has reportedly suggested that some ABS, including SME and auto ABS, should count for up to 15% of banks' liquidity buffers under the LCR rule. Only the most senior part of transactions with notional of at least EUR 100mn and maturing within 5 years would qualify. There were also reports that the ECB may delay any new stimulus package—including potential ABS purchases—for a few months, as it conducts the European bank balance sheet review.

■ UK mortgage lending stats for May: Last week, the UK council of mortgage lenders (CML) published mortgage lending statistics for May. According to the CML, gross mortgage lending held steady in May and was an estimated GBP 16.5bn, which is identical to April’s gross lending total and 12% higher on a yearly basis. The CML said that market indicators have been pointing to a slowdown in activity levels – in part associated with new mortgage rules – but it is unclear how lasting this effect will be. Further details are available on the CML webpage.

UK CML GROSS MORTGAGE LENDING, GBP MN

13,000

13,500

14,000

14,500

15,000

15,500

16,000

16,500

17,000

17,500

18,000


■ Moody’s comments on strong auto ABS performance globally: Last week, Moody’s published a report in which it explained positive rating migrations and rating stability in the auto ABS sector, with strong asset performance and respective solid structures.

According to the agency, steady historical performance and strong structural protection in auto-loan ABS globally have contributed to the good credit quality of the transactions and the resulting ratings upgrades of securities in the sector. Moody’s has assigned investment-grade ratings – or ratings at the maximum achievable rating in the country – to most auto-loan ABS in North America, Europe, Asia Pacific and South America. The full report is available on the agency’s webpage.

■ NVB comments on Dutch mortgage market: Last week, the Dutch banking association NVB published a report in which it outlined that the risks associated with the Dutch mortgage market are not as precarious as anticipated. The Wall Street Journal reported that the offensive is aimed at the ECB, which is expected to scrutinize the banks' home loans as part of a Europe-wide bank review and stress test, which will be concluded in October. The NVB aims to mitigate concerns raised earlier this year by the Dutch central bank, reinforcing that mortgages held up relatively well during the economic crisis and that operating income on home loans was sufficient to deal with the losses. "Foreclosures and losses remain, despite a significant increase, at a relatively low level compared with other countries," the NVB said.

http://www.cml.org.uk/cml/media/press/3944

https://www.moodys.com/research/Global-Auto-ABS-Positive-Rating-Migrations-Reflect-Strong-Asset-Performance--PBS_SF371095

http://www.nvb.nl/media/document/001406_the-dutch-mortgage-market.pdf




Deal-Specific Information Date Deal Name Event Description Source: Concept ABS; ifr, Bloomberg

June 2014 Deco 7 PE 2 revaluation A reval has been published for the remaining 3 properties backing the Procom loan (EUR 35.74mn, 14.8% of pool, German retail) after 5 smaller properties were sold in January 2014 raising gross proceeds of EUR 16.3mn. The EUR 33.79mn figure generates an updated LTV of 105.8% and an appraisal reduction of EUR 5.33mn has been calculated. The loan defaulted at maturity in October 2012.

June 2014 Hercules Eclipse revaluation Having already been restructured once in March 2010, when the major tenant of the underlying City of London office property vacated, the GBP 155.1mn (GBP 182.4mn whole loan) Cannonbridge loan is the subject of more amendments. With new lease agreements in relation to 32.6% of the Cannon Bridge Property (by area) with three existing tenants resulting in an increase in the weighted average unexpired term to >7 years, any breach by the borrower in relation to the ICR and LTV covenants in January 2014 have been waived. However, in return, the Cannon Bridge Borrower is required to ensure that as at 17. July 2014, the principal balance of the Cannonbridge Loan (less amounts on deposit in the Borrower's collateral account) is no more than 95% of the property value – a December-2012 revaluation generated a 102% figure. The Intercreditor agreement has also been amended, the Junior Lender agreeing to defer its right to receive payment of any interest or principal until discharge of the Cannon Bridge Loan in full. If the Junior Cannon Bridge Loan is not repaid on the 17. January 2015 maturity, the Junior Cannon Bridge Accrued Interest will be capitalized and interest will accrue on the Junior Cannon Bridge Loan at a rate of 9%; the Borrower Junior Servicing Fee ranks junior to interest on the Cannon Bridge Loan prior to a material default but senior to interest and principal on the Cannon Bridge Loan following a material default. The third largest loan in this UK CMBS from Nov-2006, Cannonbridge accounts for 20% of the remaining pool.

June 2014 Juno (Eclipse 2007-2) further standstill A further standstill extension has been agreed for the Monheim loan (EUR 14.7mn, 5.1% of pool, German office) while the prospective buyer of the property completes its due diligence. Originally it was hoped that the sale would complete in time to repay the loan by the May 2014 IPD, but this looks to have been delayed until the following quarter. The new standstill runs until 10. September 2014.




Primary Market Deal name: Berica ABS 3 Srl Closing date: Jun 23, 2014 Bloomberg ID: BERAB 3

Originator: Banca Popolare di Vicenza SCRL Lead Managers: Barclays Bank PLC, Deutsche Bank AG, JP Morgan, Santander Swap counterparty: JP Morgan

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italien Prime RMBS – Reserve account: 3.0% – No. of loans: 9,016 – No. of borrowers: 9,016 – Average contract amount: 115,800 – WA seasoning: 2.6Y – Loan type: Residential Mortgage: 100.0% – Owner occupied: 100.0% – Regional concentration: Italy (100.00%), North Italy (69.00%), Central Italy (20.50%), South Italy (10.50%)

A EUR 825 mn 21.0% NR/NR/AA+/AAA 4.8Y Na 3mE+105bp B EUR 104.4 mn 11.0% NR/NR/A-/A 11.5Y Na 3mE+225bp, retained

J EUR 114.91 mn 0.0% NR/NR/NR/NR na na retained

Deal name: FTA RMBS Santander 1 Closing date: Jun 18, 2014 [Moody's]

Originator: Santander Lead Manager: Santander

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Spanish Prime RMBS, retained – Total size of pool: EUR 1,352 mn – No. of borrowers: 9,367 – Average contract amount: EUR 143,800 – WA seasoning: 5.5Y – WART: 2550.0Y – Arrears: 40.37 – Loan type: Residential Mortgage: 100.0% – WA interest rate: 2.0% – Second homes: 5.4% – Owner occupied: 94.6% – WA Original LTV: 79.78% (Fitch) – Regional concentration: Spain (100.00%), Andalucia (21.50%), Madrid (17.50%), Catalonia (17.00%), Valencia (10.00%) – Self-employed borrowers: 13%

A EUR 962 mn 41.0% NR/A2/NR/AA 5.25Y 2057 3mE + 90 bp B EUR 338 mn 15.0% NR/B3/NR/B 16.42Y 2057 3mE + 130 bp

C EUR 195 mn 0.0% NR/Ca/NR/C --- 2057 ---

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF370536




Deal name: Sunrise Srl Series 2014 Closing date: Jun 18, 2014 [Fitch] [DBRS]

Originator: Agos SpA Lead Managers: Royal Bank of Scotland Group Plc, Crédit Agricole CIB Swap counterparties: Crédit Agricole CIB, Natixis

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italien Consumer ABS – Excess spread: 660 bp – Reserve account: 0.5% (non-amortizing reserve fund) – Total size of pool: EUR 1,357 mn – No. of loans: 308,473 – Average contract amount: EUR 4,400 – WA seasoning: 1.0Y – WART: 6.7Y – Loan type: car loans (new): 14.1% – WA interest rate: 8.9% – Regional concentration: Italy (100.00%), North Italy (44.80%), South Italy (32.30%), Central Italy (23.00%)

A EUR 800 mn 41.3% NR/NR/AA+/AAA 1.23Y 2031 3mE + 97 bp B EUR 654.178 mn 19.1% NR/NR/A+/A (high) 3.83Y 2031 3mE + 130 bp

C EUR 302 mn 0.0% NR/NR/NR/NR --- 2031 ---

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749170

http://www.dbrs.com/research/268284/sunrise-s-r-l-series-2014-pre-sale-report.pdf




Pipeline

CMBS Deal name: DECO 2014 Gondola Exp. closing date: Jun 2014

Originator: Deutsche Bank AG Lead Manager: Deutsche Bank AG

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italien CMBS, Multi Usage Collateral – Regional concentration: Italy (100.00%) – Misc. Secured (Properties): 100%

tba - / - / - / -

Deal name: Taurus CMBS UK 2014-1 Ltd Exp. closing date: Jun 2014 [Fitch] [DBRS]

Originator: Bank of America Arranger: Merrill Lynch Lead Manager: Bank of America Merrill Lynch

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – British CMBS Mulit Usage Collateral – Liquidity facility: GBP 2 mn – Total size of pool: GBP 347 mn – No. of borrowers: 1 – Average contract amount: GBP 264,000 – Loan type: industrial/warehouse: 14.0%, leisure: 2.0%, office/retail: 14.0%, retail: 57.5%, storage: 12.0% – WA interest rate: 3.2% – Number of properties: 132 – Number of tenants: 717 – WA DSCR: 1.80x – WA ICR: 2.00x – Vacancy: 16.0% – Regional concentration: United Kingdom (100.00%), South England (26.00%), North West England (23.80%), West England

(17.50%), North East England (13.10%), Scotland (11.90%), Midlands England (7.70%)

A GBP 133.3 mn 37.0% NR/NR/A/A 2.1Y 2017e 150a B GBP 48.8 mn 13.9% NR/NR/BBB-/BBB 2.1Y 2017e 260-275 C GBP 29.4 mn 0.0% NR/NR/BB/BB 2.1Y 2017e 375-400


http://www.dbrs.com/research/268940/taurus-cmbs-uk-2014-1-limited-presale-report.pdf




ABS Deal name: Monviso 2014 (Consel) Srl Exp. closing date: Jun 2014 [Fitch] [DBRS]

Originator: Banca Sella Lead Manager: Banca d'Intermediazione Mobiliare

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italian Consumer ABS – Excess spread: 600 bp – Reserve account: 1.0% (funded from part of the Class J proceeds) – Total size of pool: EUR 370 mn – No. of borrowers: 129,051 – Borrower types: unsecured consumer loans – Average contract amount: EUR 2,900 – WA seasoning: 0.7Y – WART: 3.7Y – Revolving period: 1.0Y – WA interest rate: 8.3% – Regional concentration: Italy (100.00%), North Italy (44.50%), South Italy (28.50%), Central Italy (27.00%) – Miscellaneous: 56.5% – Auto Receivables: 43.5% – balloon payment: 4.5%

A EUR 240 mn 35.8% NR/NR/AA+/AA (high)

1.88Y 2027

J EUR 132.3 mn NR/NR/NR/NR 2027

Deal name: SC Poland Auto 2014-1 Ltd Exp. closing date: Jun 2014 [Moody's] [Fitch]

Originator: Santander Consumer Bank Lead Manager: Santander

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Polish Auto ABS – Excess spread: 400 bp – Total size of pool: PLN 2 mn – No. of loans: 317,879 – No. of borrowers: 307,559 – Borrower types: individuals (96.8%), business entities (3.2%) – Average contract amount: PLN 5 – WA seasoning: 1.5Y – WART: 2.8Y – Loan type: car loans (new): 51.0%, car loans (used): 19.0% – WA interest rate: 8.4% – Regional concentration: Poland (100.00%) – Miscellaneous: 30% – Auto Receivables: 70% – ballon payment: 8%

A PLN 1158 mn 35.1% NR/Aa3/AA/NR 2025 B PLN 209 mn 23.1% NR/Aa3/A/NR 2025 Sub loan PLN 374 mn 0.0% NR/NR/NR/NR 2025


http://www.dbrs.com/research/268933/monviso-2014-s-r-l-pre-sale-report.pdf

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF367891





Last week's rating changes ■ BBVA 3 FTPYME: With a pool factor of just 1.9%, the November 2004 SME CLO’s Class C notes have been upgraded by Fitch to single-A from BBB.

CE for the tranche now stands at 52% with Class B all but fully collateralized by the reserve fund. ■ BBVA Consumo 4: A reserve fund balance of EUR 216.3mn provides support to just EUR 225.3mn of notes of the December 2009 retained consumer

ABS. Performance has been average, >90 days arrears at 509bps and cumulative defaults at 4.68% leaving the reserve at 93.6% of target. DBRS has upgraded Class A to AAA from single-A; B to single-A from BBB (high).

■ Granite, Whinstone: Fitch has reported upgrading notes from the capitalist and socialist Granite trusts which are deleveraging in the post asset trigger environment. Class B of the socialist trusts move up to AA+ from AA, Class M rises to AA from single-A whilst Class C improves a notch to BBB+ from BBB. The earlier capitalist trusts see Class B upped to AAA, M to AA+ and C to single-A. Whinstone-1’s Class B moves to BBB- from BB+.

■ Titan Europe 2006-3: With the three largest remaining loans in the pool expected to incur substantial losses, Moody’s downgrades the top of the capital structure of this pan-European CMBS from June 2006. Sized at EUR 232.1mn and accounting for 48% of the pool balance, the Target loan is currently bogged down in the French suavegarde legal process with LFM fast approaching in July 2016. No interest has been paid since the borrower entered sauvegarde a year ago. The loan is secured on French office and light industrial properties. Predominantly let to Thales, the properties labor under the significant risk that the main tenant might vacate all or some of the premises with lease breaks due on December 2014. The agency thus estimates LTV to be around 179% and consequently reports an expected loss of at least 50%. Accounting for 19% of the current pool balance, the EUR 92.9mn Quelle Nurnberg loan has long been a thorn in the side of the transaction, transferred to special servicing shortly after the single tenant (Karstadt) of the underlying property filed for insolvency. With LTV currently reported at a massive 745%, Moody’s anticipates a near total loss on the position when a proposed (but frustratingly delayed) sale of the asset goes through some time this year. The EUR 67.3mn Monnet position missed its maturity in April 2012. It is currently being accelerated – though the process is also being bogged down in the law courts. The borrowing is secured on eight office properties, LTV estimated to be in the 300s %. Once again Moody’s expects an almost total wipe out. From a structural stand point, a high amount of unpaid interest accruing on the Class X Notes (which in turn is racking up significant default interest) will further reduce recoveries for the Class A Notes according to Moody’s. With liquidity facility drawings so far amounting to EUR 25.96mn, the Class A and X notes have seen their interest payments diverted. Class A is downgraded to Caa2 from B1.

■ IBL CQS 2012-1: The Istituto Bancario del Lavoro CQS deal was issued in June 2012 as a part-paid transaction with a view to ramping up in its first year to a possible maximum size of EUR 400mn, though it actually peaked at EUR 226mn in January 2013. Since the issue date anniversary, the pool has been paying down and currently stands at EUR 179.2mn, the EUR 122.65mn of Class A notes supported by EUR 68.6mn (33.5%) of subordination, up from 25% at closing. DBRS has upgraded Class A to AA from A (high).




RATING actions: 17 june 2014 to 20 June 2014

Date Deal Name Class ISIN Agency From To 20-Jun-14 Capital Mortgages 2007-1 S.r.l. A1 IT0004222532 Fitch A BBB- 20-Jun-14 Capital Mortgages 2007-1 S.r.l. A2 IT0004222540 Fitch A BBB- 20-Jun-14 Capital Mortgages 2007-1 S.r.l. B IT0004222557 Fitch B CCC 20-Jun-14 Capital Mortgages 2007-1 S.r.l. C IT0004222565 Fitch CCC CC 20-Jun-14 E-MAC DE 2006-1 C XS0257591338 S&P CCC+ CCC 20-Jun-14 E-MAC DE 2006-1 D XS0257592062 S&P CCC CCC- 20-Jun-14 E-MAC DE 2007-1 BV C XS0322557017 S&P CCC+ CCC 20-Jun-14 E-MAC DE 2007-1 BV D XS0322557520 S&P CCC CCC- 20-Jun-14 E-MAC DE 2007-1 BV E XS0322557876 S&P CCC- D 20-Jun-14 Granite Master Issuer 2005-1 C2 XS0210929914 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-1 C3 XS0210926571 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-1 M2 XS0210929757 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-1 M3 XS0210926225 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-2 C2 XS0220173651 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-2 M2 XS0220172927 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-2 M3 XS0220174972 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-4 C2 US38741YAW93 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-4 C3 XS0229615439 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-4 C4 XS0229615603 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2005-4 M2 US38741YAU38 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-4 M3 XS0229614978 Fitch A AA 20-Jun-14 Granite Master Issuer 2005-4 M4 XS0229615272 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-1 C2 USG41441BM06 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-1 C3 XS0240608371 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-1 C4 XS0240608702 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-1 M2 USG41441BL23 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-1 M3 XS0240607480 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-1 M4 XS0240607720 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-2 Plc C1 US38741YBW84 Fitch BBB BBB+




Date Deal Name Class ISIN Agency From To 20-Jun-14 Granite Master Issuer 2006-2 Plc C2 XS0252430136 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-2 Plc C3 XS0252423941 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-2 Plc M2 US38741YBV02 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-2 Plc M3 XS0252429047 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-2 Plc M4 XS0252423198 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-3 Plc C2 US38741YCP25 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-3 Plc C3 XS0268039699 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-3 Plc M2 US38741YCK38 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-3 Plc M3 XS0268038451 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-3 Plc M4 XS0268038964 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-4 Plc C1 US38741YCZ07 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-4 Plc C2 US38741YDA47 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-4 Plc C3 XS0275947512 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2006-4 Plc M1 US38741YCX58 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-4 Plc M2 US38741YCY32 Fitch A AA 20-Jun-14 Granite Master Issuer 2006-4 Plc M3 XS0275946621 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-1 Plc 1C1 US38741YDN67 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-1 Plc 1M1 US38741YDL02 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-1 Plc 2C1 US38741YDP16 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-1 Plc 2C2 XS0284071221 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-1 Plc 2M1 US38741YDM84 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-1 Plc 3C1 XS0284081618 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-1 Plc 3C2 XS0284075560 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-1 Plc 3M1 XS0284073607 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-1 Plc 3M2 XS0284074167 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-2 Plc 1M1 US38741YDX40 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-2 Plc 2C1 US38741YEA38 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-2 Plc 2C2 XS0298977512 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-2 Plc 2M1 US38741YDY23 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-2 Plc 3C2 XS0298978320 Fitch BBB BBB+




Date Deal Name Class ISIN Agency From To 20-Jun-14 Granite Master Issuer 2007-2 Plc 3C3 XS0298984641 Fitch BBB BBB+ 20-Jun-14 Granite Master Issuer 2007-2 Plc 3M2 XS0298976621 Fitch A AA 20-Jun-14 Granite Master Issuer 2007-2 Plc 3M3 XS0298981621 Fitch A AA 20-Jun-14 Granite Mortgages 2003-2 plc 1-C US38741QAE61 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-2 plc 2-C1 XS0168666104 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-2 plc 2-C2 XS0168666443 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-2 plc 3-C XS0168666872 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-3 PLC 1C US38741UAF49 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-3 PLC 2C XS0176410420 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2003-3 PLC 3C XS0176411071 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2004-1 PLC Series 2

C XS0184563897 Fitch BBB+ A

20-Jun-14 Granite Mortgages 2004-1 PLC Series 3 C

XS0184567534 Fitch BBB+ A

20-Jun-14 Granite Mortgages 2004-2 Plc Ser 2 C XS0193217030 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2004-2 Plc Ser 3 C XS0193220927 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2004-3 PLC S2/C XS0201485355 Fitch BBB+ A 20-Jun-14 Granite Mortgages 2004-3 PLC S3/C XS0201487567 Fitch BBB+ A 20-Jun-14 House of Europe Funding IV Plc A1 XS0228470588 Moody's Ba2/*+ Ba1 20-Jun-14 Promise I Mobility 2006-1 GmbH A DE000A0LDYJ0 Fitch BB BBB 20-Jun-14 Promise I Mobility 2006-1 GmbH A+ DE000A0LDYH4 Fitch BBB AA 20-Jun-14 Promise I Mobility 2006-1 GmbH B DE000A0LDYK8 Fitch B BB 20-Jun-14 Promise I Mobility 2006-1 GmbH C DE000A0LDYL6 Fitch CCC B+ 20-Jun-14 Promise I Mobility 2006-1 GmbH D DE000A0LDYM4 Fitch CCC B- 20-Jun-14 Whinstone Capital Management Ltd. B1 XS0234448289 Fitch BB+ BBB- 20-Jun-14 Whinstone Capital Management Ltd. B2 XS0234448529 Fitch BB+ BBB- 20-Jun-14 Whinstone Capital Management Ltd. B3 XS0234449501 Fitch BB+ BBB- 19-Jun-14 Sandown Gold 2011-1 plc B XS0608383138 Moody's Aa2 Aa2/*+ 19-Jun-14 Sandown Gold 2011-1 plc C XS0608383302 Moody's Baa2 Baa2/*+ 18-Jun-14 Apulia Finance No.4 Srl Series 2008-1 A IT0004395833 S&P A+ A+/*- 18-Jun-14 Apulia Finance No.4 Srl Series 2008-2 A IT0004428311 S&P A+ A+/*-




Date Deal Name Class ISIN Agency From To 18-Jun-14 Blue Danube Loan Funding GmbH A XS0140097873 S&P AA+ AA+/*- 18-Jun-14 Garda CLO B XS0278854467 S&P A A+ 18-Jun-14 Garda CLO C XS0278855191 S&P BBB- BBB+ 18-Jun-14 Garda CLO D XS0278855431 S&P BB BB- 18-Jun-14 Marche Mutui Societe Per la Cartolarizzazione S.r.l. A2 IT0003444608 S&P A+ A+/*- 18-Jun-14 Marche Mutui Societe Per la Cartolarizzazione S.r.l. B IT0003444616 S&P A+ A+/*- 18-Jun-14 Marche Mutui Societe Per la Cartolarizzazione S.r.l. C IT0003444624 S&P A+ A+/*- 18-Jun-14 Vela Home S.r.l. (Series 4) C IT0004102023 S&P A+ A+/*- 17-Jun-14 Curzon Funding Ltd. (Horizon CDO 3) A XS0210228531 Moody's Ca C 17-Jun-14 Curzon Funding Ltd. (Horizon CDO 3) B XS0210227566 Moody's Ca C 17-Jun-14 Dorset Street Finance A2 XS0255319815 Moody's Ca C 17-Jun-14 F.A.B. CDO 2002-1 BV A1 XS0145221668 S&P A- A+ 17-Jun-14 F.A.B. CDO 2002-1 BV A2 XS0145222120 S&P CCC+ B 17-Jun-14 Hanover Street Finance B US411194AC76 Moody's Ca C 17-Jun-14 Leopard CLO V B.V. A1 XS0294785034 S&P AA- AA+ 17-Jun-14 Leopard CLO V B.V. B XS0294786198 S&P A+ AA- 17-Jun-14 Leopard CLO V B.V. C1 XS0294786941 S&P BBB- A- 17-Jun-14 Leopard CLO V B.V. C2 XS0294788053 S&P BBB- A- 17-Jun-14 Oxford Street Finance B XS0232968296 Moody's Ca C 17-Jun-14 Sydney Street Finance Ltd A2 XS0217588416 Moody's Ca C





Rating Drift

RATING DRIFT: 90-DAY MOVING AVERAGE

-5

-3

-1

1

3

5

7

Jun-

03D

ec-0

3Ju

n-04

Dec

-04

Jun-

05D

ec-0

5Ju

n-06

Dec

-06

Jun-

07D

ec-0

7Ju

n-08

Dec

-08

Jun-

09D

ec-0

9Ju

n-10

Dec

-10

Jun-

11D

ec-1

1Ju

n-12

Dec

-12

Jun-

13D

ec-1

3Ju

n-14

Rating Drift (# of notches upgraded - # notches downgraded)Standardized Drift (# upgrades - # downgrades)/total # of rating changes

The rating drift reflects the rating trend in the ABS universe across the ABS, CDO, CLO, CMBS and RMBS sectors. Both drift measures, the rating drift and the standardized drift, are calculated on a 90-day and a 1Y rolling basis. The standardized drift uses the difference of upgrades minus downgrades relative to the total number of rating actions. The resulting range is therefore bounded by 1 (in which all rating actions would be upgrades) and -1 (all rating actions would be downgrades). The second curve called Rating Drift also takes into account the number of notches in each rating action.

Rating DRIFT: 1Y Moving average

-5

-4

-3

-2

-1

0

1

2

Jun-

03D

ec-0

3Ju

n-04

Dec

-04

Jun-

05D

ec-0

5Ju

n-06

Dec

-06

Jun-

07D

ec-0

7Ju

n-08

Dec

-08

Jun-

09D

ec-0

9Ju

n-10

Dec

-10

Jun-

11D

ec-1

1Ju

n-12

Dec

-12

Jun-

13D

ec-1

3Ju

n-14

Rating Drift (# of notches upgraded - # notches downgraded)Standardized Drift (# upgrades - # downgrades)/total # of rating changes

RATING ACTIONS PER SECTOR: LAST 90-DAYS

28 27 62 6687

71 36

346

18

229

ABS CDO CLO CMBS RMBS

Num

ber o

f rat

ing

actio

ns

Upgrades Downgrade

Source: Rating Agencies, Bloomberg, UniCredit Research




Primary Market Comparison

AUTO ABS, NEW ISSUANCE COMPARISON

ECARA 2 A

ECARA 2 B

TURBF 4 A

TURBF 4 B

ECARA 3 A

ECARA 3 B

MOTOR 2014-1X A2BILK 4 ADRIFR 1 A

DRIFR 1 B

VCL 18 A

VCL 18 B

RNBAG 2 A

SILVA 4 A

BILK 5 AGLDR 2013-A A

GLDR 2013-A B

CAR 2013-G1V A

FCT Ginkgo 2013-1

ECAR 2014-1 A

ECAR 2014-1 B

VCL 19 A

VCL 19 B

VCLM 2014-1RV A

DRVON 12 A

DRVON 12B

GLDR 2014 A A

ABEST 9 A

0

20

40

60

80

100

120

140

Aug-13 Oct-13 Nov-13 Jan-14 Mar-14 Apr-14 Jun-14 Jul-14

Issu

ance

spr

ead

(bp)

Auto 1mL Issues Auto 1mE Issues

EUROPEAN RMBS, NEW ISSUANCE COMPARISON

SAEC 14 A1

SAEC 14 A2LAN 2014-1X 1A

CATSN 1 A

CATSN 1 B

CATSN 1 C

CLARF 2014-1 A1

CFHL 2014-1 A1

CFHL 2014-1 A2A

STORM 2014-2 A1STORM 2014-2 A2

MARSS 2014-1 A1

BERAB 3A

LAN 2014-1X 2A

OKK 1 A

DRWBY 3 A

CHESTNUT

FRIAR 2014-1 A

10

60

110

160

210

260

Mar 14 Mar 14 Apr 14 May 14 May 14 Jun 14 Jun 14

Issu

ance

spr

ead

(bp)

3mE Issues 3mL Issues

AUTO ABS (AAA, 1ME)

avg Spread avg WAL Finland 100 1.10 France 71 2.11

Germany 46 1.71 Netherlands 110 1.92 Norway 47 1.56 United Kingdom 120 1.98

Other 200 3.10 All 60 1.82

AUTO ABS (AAA, 1ML)

avg Spread avg WAL United Kingdom 72 1.99

EUROPEAN RMBS (AAA, 3ME)

avg Spread avg WAL Netherlands 88 3.49 United Kingdom 115 3.68 All 89 3.54

EUROPEAN RMBS (AAA, 3ML)

avg Spread avg WAL United Kingdom 113 3.53





Market Statistics

CUMULATIVE ISSUANCE

23.2

44.1 55

.8 69.3 83

.6

116.

2 136.

5 152.

6 175.

2

187.

5 206.

7

220.

3

6.3 17

.0 30.4 39

.5

64.3 79

.9 97.5 102.

6

114.

3

126.

4 152.

3

164.

9

4.0 9.

0 19.1

42.6

0

50

100

150

200

250

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

EUR

bn

equi

vale

nt

2012 2013 2014

TOTAL ABS OUTSTANDING BY SECTOR

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Apr

-04

Apr

-05

Apr

-06

Apr

-07

Apr

-08

Apr

-09

Apr

-10

Apr

-11

Apr

-12

Apr

-13

Apr

-14

Volu

me

(EU

R b

n)

RMBS ABS CMBS CLO CDO

ISSUANCE BY ASSET CLASS

0

100

200

300

400

500

600

700

800

900

2007 2008 2009 2010 2011 2012 2013 2014YTD

EUR

bn

equi

vale

nt

ABS RMBS CDO CLO CMBS Retained

TOTAL ABS OUTSTANDING ABS BY COUNTRY

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Apr

-04

Apr

-05

Apr

-06

Apr

-07

Apr

-08

Apr

-09

Apr

-10

Apr

-11

Apr

-12

Apr

-13

Apr

-14

Volu

me

(EU

R b

n eq

uiva

lent

)

UK Netherlands Spain Italy Germany France Portugal Other

ISSUANCE BY COUNTRY

0

100

200

300

400

500

600

700

800

900

2007 2008 2009 2010 2011 2012 2013 2014YTD

EUR

bn

equi

vale

nt

United Kingdom Netherlands Italy SpainGermany Multi Other Retained

TOTAL ABS OUTSTANDING BY RATING

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Apr

-04

Apr

-05

Apr

-06

Apr

-07

Apr

-08

Apr

-09

Apr

-10

Apr

-11

Apr

-12

Apr

-13

Apr

-14

Volu

me

(EU

R b

n)

AAA AA A BBB BB B CCC CC

Source: UniCredit Research, Bloomberg, ConceptABS




PUBLIC ISSUANCE (EXCL. RETAINED DEALS)

PERCENTAGE BY DEAL TYPE IN 2014

ABS40.6%

CDO0.0%

CLO20.9%

CMBS1.5%

RMBS36.9%

2014YTD

ISSUANCE IN BN EUR

Asset class 2012 YTD

2012 total

2013 YTD

2013 total

2014YTD

ABS 11.1 23.2 10.1 29.3 13.1 CDO 0.0 0.0 0.0 0.0 0.0 CLO 1.4 1.6 2.5 10.7 6.7 CMBS 2.6 4.3 6.5 9.0 0.5

RMBS, thereof 21.8 37.0 12.6 21.0 11.9 Netherlands 3.7 12.0 10.1 15.1 5.1 United Kingdom 17.9 24.7 2.6 5.2 5.0 Spain 0.0 0.0 0.0 0.0 0.0

Italy 0.2 0.2 0.0 0.0 0.8 Germany 0.0 0.0 0.0 0.0 0.0 Other 0.0 0.0 0.0 0.7 0.9 Total 36.9 66.0 31.8 70.0 32.3

PERCENTAGE BY DOMICILE OF ASSETS IN 2014

Netherlands17.6%

United Kingdom36.6%

Spain1.0%

Italy11.2%

Germany12.0%

Multi17.3%

Other4.2%

2014 YTD

ISSUANCE IN BN EUR

Domicile of Assets

2012 YTD

2012 total

2013 YTD

2013 total

2014YTD

Netherlands 4.8 13.1 9.3 15.1 5.7 United Kingdom 24.3 35.6 4.7 18.7 11.8 Spain 0.0 0.0 0.2 0.8 0.3 Italy 0.0 0.7 0.4 3.3 3.6

Germany 1.7 6.5 5.9 16.1 3.9 Multi 0.9 0.9 1.6 7.6 5.6 Ireland 0.0 0.4 0.0 0.5 0.0 Other 1.4 8.8 2.9 7.9 1.4

Total 33.0 66.0 25.0 70.0 32.3

PERCENTAGE BY CURRENCY IN 2014

EUR66%

GBP30%

USD4% Other

0%

2014 YTD

ISSUANCE IN BN EUR

Currency 2012 YTD

2012 total

2013 YTD

2013 total

2014 YTD

EUR 14.0 33.5 23.3 49.3 21.3 GBP 10.8 18.4 6.0 17.3 9.7 USD 10.5 11.9 1.1 2.1 1.2 Other 1.5 2.1 1.3 1.3 0.0

Total 36.9 66.0 31.8 70.0 32.3

Source: Bloomberg, Reuters, UniCredit Research




RETAINED DEALS

PERCENTAGE BY DEAL TYPE IN 2014

ABS, 846.49%CDO, 0.00%

CLO, 1219.5%

CMBS, 6.08%RMBS,

5419.25%

2014YTD

ISSUANCE IN BN EUR

Asset class 2013 total 2014YTD

ABS 34.4 8.5 CDO 0.0 0.0 CLO 17.1 12.2 CMBS 0.1 0.1

RMBS, thereof 43.2 54.2 Netherlands 24.2 2.4 United Kingdom 3.0 4.2 Spain 7.3 1.5

Italy 4.6 2.1 Germany 0.0 0.0 Other 4.0 44.1 Total 94.9 74.9

PERCENTAGE BY DOMICILE OF ASSETS IN 2014

Netherlands16%

United Kingdom6%

Spain5%

Italy7%

Germany6%

Multi0%

Other60%

2014 YTD

ISSUANCE IN BN EUR

Domicile of Assets

2013 total 2014YTD

Netherlands 24.2 11.8 United Kingdom 11.2 4.6 Spain 19.1 3.5 Italy 21.2 5.1

Germany 5.9 4.9 Multi 0.0 0.1 Ireland 0.5 0.0 Other 12.7 44.9

Total 94.9 74.9

PERCENTAGE BY CURRENCY IN 2014

EUR94%

GBP6%

USD0%

2014 YTD

ISSUANCE IN BN EUR

Currency 2013 total 2014 YTD

EUR 83.4 70.3 GBP 11.2 4.6 USD 0.0 0.0 Other 0.3 0.0

Total 94.9 74.9





RATING DISTR.OF FUNDED TRANCHES IN BN EUR

0

20

40

60

80

100

120

140

AAA AA A BBB sub BBB NR

in b

n E

UR

2012 total 2013 total 2014 YTD

ISSUANCE IN BN EUR

2012 YTD

2012 total

2013 YTD

2013 total

2014 YTD

AAA 54.6 116.9 39.2 81.4 73.3 AA 5.9 10.5 3.4 7.5 3.9

A 5.2 23.3 18.2 32.5 6.7 BBB 1.2 3.2 2.8 5.5 2.6 sub BBB 1.0 2.5 2.0 3.3 1.5 NR 11.8 28.8 8.2 14.6 12.6 Total 79.7 185.2 73.7 144.8 100.7

QUARTERLY ISSUANCE BY COUPON TYPE

48.9

51.8

51.7

38.8

24.7 37

.9

29.8 40

.5

15.6

6.9 8.57.3

6.2

5.7

11.6

4.6

10.0

3.5

0

10

20

30

40

50

60

70

2012

Q1

2012

Q2

2012

Q3

2012

Q4

2013

Q1

2013

Q2

2013

Q3

2013

Q4

2014

Q1

in b

n E

UR

Floating Fixed

ISSUANCE IN BN EUR

2012 YTD

2012 total

2013 YTD

2013 total

2014 YTD

Fixed 15.4 29.0 17.3 32.0 51.4 Floating 93.0 191.3 61.2 132.9 55.8

Total 108.4 220.3 78.5 164.9 107.2





Delinquency Data

AUTO ABS 60+ DAY DELINQUENCIES

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8

Jan-

09

Jul-0

9

Jan-

10

Jul-1

0

Jan-

11

Jul-1

1

Jan-

12

Jul-1

2

Jan-

13

Jul-1

3

Jan-

14

(%)

France Germany Portugal Spain Italy UK Index (EMEA)

DUTCH RMBS 60+ DAY DELINQUENCIES

0.00.20.40.60.81.01.21.41.61.82.02.2

Dec

-04

Jun-

05

Dec

-05

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08

Dec

-08

Jun-

09

Dec

-09

Jun-

10

Dec

-10

Jun-

11

Dec

-11

Jun-

12

Dec

-12

Jun-

13

Dec

-13

(%)

1997-2004 20052006 20072008 20092010 20112012 Index (Prime)

UK PRIME RMBS 90+DAY DELINQUENCIES

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Aug

-04

Feb-

05

Aug

-05

Feb-

06

Aug

-06

Feb-

07

Aug

-07

Feb-

08

Aug

-08

Feb-

09

Aug

-09

Feb-

10

Aug

-10

Feb-

11

Aug

-11

Feb-

12

Aug

-12

Feb-

13

Aug

-13

(%)

Arkle Arran Fosse GracechurchGranite Greenock Holmes LanarkLangton Others Permanent SilverstoneIndex

UK NON-CONFORMING 90+ DAY DELINQUENCIES

0

5

10

15

20

25

30

Aug

-05

Feb-

06

Aug

-06

Feb-

07

Aug

-07

Feb-

08

Aug

-08

Feb-

09

Aug

-09

Feb-

10

Aug

-10

Feb-

11

Aug

-11

Feb-

12

Aug

-12

Feb-

13

Aug

-13

(%)

2001-2004 2005 2006 2007 2008 Index

ITALIAN RMBS 90+ DAY DELINQUENCIES

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Sep

-04

Mar

-05

Sep

-05

Mar

-06

Sep

-06

Mar

-07

Sep

-07

Mar

-08

Sep

-08

Mar

-09

Sep

-09

Mar

-10

Sep

-10

Mar

-11

Sep

-11

Mar

-12

Sep

-12

Mar

-13

Sep

-13

(%)

2000-2004 2005 2006 2007 2008

2009 2010 2011 2012/2013 Index

SPANISH RMBS 90+ DAY DELINQUENCIES

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Oct-04 Oct-05 Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13

(%)

1997-2005 2006 20072008 2009 20102011 2012 Index

Source: Moody's, UniCredit Research




Market Spreads

EUROPEAN PRIME RMBS (SENIOR TRANCHES, WAL>2Y)

0

100

200

300

400

500

600

700

May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14

Spre

ad (b

p)

Italian RMBS (AA) Spanish RMBS (A)UK Prime RMBS (standalone, AAA) UK RMBS (Master Trust, AAA)Dutch RMBS (AAA)

EUROPEAN PRIME RMBS (BBB, WAL>2Y)

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

Apr-12 Sep-12 Feb-13 Jul-13 Dec-13 May-14

Spre

ad (b

p)

Italian RMBS (BBB) Spanish RMBS (BBB)

UK RMBS (A, Master Trust) Dutch RMBS (BBB)

UK NON-CONFORMING (WAL>2Y)

0

200

400

600

800

1,000

1,200

Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14Sp

read

(bp)

UK Non-Conforming (AA) UK Non-Conforming (BBB)

EUROPEAN CMBS (AA, WAL>2Y)

0

100

200

300

400

500

600

700

800

Apr-12 Sep-12 Feb-13 Jul-13 Dec-13

Spre

ad (b

p)

UK CMBS (AA) German CMBS (AA)

EUROPEAN ABS (SENIOR TRANCHES, WAL >0.2)

0

20

40

60

80

100

120

May-12 Nov-12 May-13 Nov-13 May-14

Spre

ad (b

p)

German Auto Leases (AAA)

German Auto Loans (AAA)

UK Credit Card (AAA)

European Auto Leases (AAA, incl. RV)

French Auto ABS (AAA)

OTHER EUROPEAN ABS

0

100

200

300

400

500

600

700

800

900

1,000

Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14

Spre

ad (b

p)

Italian Lease (A) UK Credit Card (A)




UniCredit Research page 24

Disclaimer Our recommendations are based on information obtained from, or are based upon public information sources that we consider to be reliable but for the completeness and accuracy of which we assume no liability. All estimates and opinions included in the report represent the independent judgment of the analysts as of the date of the issue. We reserve the right to modify the views expressed herein at any time without notice. Moreover, we reserve the right not to update this information or to discontinue it altogether without notice. This analysis is for information purposes only and (i) does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any financial, money market or investment instrument or any security, (ii) is neither intended as such an offer for sale or subscription of or solicitation of an offer to buy or subscribe for any financial, money market or investment instrument or any security nor (iii) as an advertisement thereof. The investment possibilities discussed in this report may not be suitable for certain investors depending on their specific investment objectives and time horizon or in the context of their overall financial situation. The investments discussed may fluctuate in price or value. Investors may get back less than they invested. Changes in rates of exchange may have an adverse effect on the value of investments. Furthermore, past performance is not necessarily indicative of future results. In particular, the risks associated with an investment in the financial, money market or investment instrument or security under discussion are not explained in their entirety. This information is given without any warranty on an "as is" basis and should not be regarded as a substitute for obtaining individual advice. Investors must make their own determination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal, fiscal and financial position. As this document does not qualify as an investment recommendation or as a direct investment recommendation, neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. Investors are urged to contact their bank's investment advisor for individual explanations and advice. Neither UniCredit Bank nor any of their respective directors, officers or employees nor any other person accepts any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith. This analysis is being distributed by electronic and ordinary mail to professional investors, who are expected to make their own investment decisions without undue reliance on this publication, and may not be redistributed, reproduced or published in whole or in part for any purpose. Responsibility for the content of this publication lies with: a) UniCredit Bank AG (UniCredit Bank), Am Tucherpark 16, 80538 Munich, Germany, (also responsible for the distribution pursuant to §34b WpHG). The company belongs to UniCredit Group. Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany. b) UniCredit Bank AG London Branch (UniCredit Bank London), Moor House, 120 London Wall, London EC2Y 5ET, United Kingdom. Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany and subject to limited regulation by the Financial Conduct Authority, 25 The North Colonnade, Canary Wharf, London E14 5HS, United Kingdom and Prudential Regulation Authority 20 Moorgate, London, EC2R 6DA, United Kingdom. Further details regarding our regulatory status are available on request.

POTENTIAL CONFLICTS OF INTERESTS Company Key n.a. n.a.

Key 1a: UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law) owns at least 2% of the capital stock of the company. Key 1b: The analyzed company owns at least 2% of the capital stock of UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law). Key 2: UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law) belonged to a syndicate that has acquired securities or any related derivatives of the analyzed company within the twelve months preceding publication, in connection with any publicly disclosed offer of securities of the analyzed company, or in any related derivatives. Key 3: UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) administers the securities issued by the analyzed company on the stock exchange or on the market by quoting bid and ask prices (i.e. acts as a market maker or liquidity provider in the securities of the analyzed company or in any related derivatives). Key 4: The analyzed company and UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) concluded an agreement on services in connection with investment banking transactions in the last 12 months, in return for which the Bank received a consideration or promise of consideration. Key 5: The analyzed company and UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) have concluded an agreement on the preparation of analyses. Key 6a: Employees of UniCredit Bank AG Milan Branch and/or members of the Board of Directors of UniCredit (pursuant to relevant domestic law) are members of the Board of Directors of the Issuer. Members of the Board of Directors of the Issuer hold office in the Board of Directors of UniCredit (pursuant to relevant domestic law). Key 6b: The analyst is on the supervisory/management board of the company they cover. Key 7: UniCredit Bank AG Milan Branch and/or other Italian banks belonging to the UniCredit Group (pursuant to relevant domestic law) extended significant amounts of credit facilities to the Issuer. RECOMMENDATIONS, RATINGS AND EVALUATION METHODOLOGY Company Date Rating Currency Target price n.a. n.a. n.a. n.a. n.a.

Overview of our ratings You will find the history of rating regarding recommendation changes as well as an overview of the breakdown in absolute and relative terms of our investment ratings on our website http://www.disclaimer.unicreditmib.eu/credit-research-rd/Recommendations_CR_e.pdf.

Note on the evaluation basis for interest-bearing securities: Recommendations relative to an index: For high grade names the recommendations are relative to the "iBoxx EUR Benchmark" index family, for sub investment grade names the recommendations are relative to the "iBoxx EUR High Yield" index family.

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Marketweight: We recommend having the same portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is equal to the total return of the index. Overweight: We recommend having a higher portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is greater than the total return of the index. Underweight: We recommend having a lower portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is less than the total return of the index. Outright recommendations: Hold: We recommend holding the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is equal to the yield. Buy: We recommend buying the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is greater than the yield. Sell: We recommend selling the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is less than the yield. We employ three further categorizations for interest-bearing securities in our coverage: Restricted: A recommendation and/or financial forecast is not disclosed owing to compliance or other regulatory considerations such as a blackout period or a conflict of interest. Coverage in transition: Due to changes in the research team, the disclosure of a recommendation and/or financial information are temporarily suspended. The interest-bearing security remains in the research universe and disclosures of relevant information will be resumed in due course. Not rated: Suspension of coverage. Trading recommendations for fixed-interest securities mostly focus on the credit spread (yield difference between the fixed-interest security and the relevant government bond or swap rate) and on the rating views and methodologies of recognized agencies (S&P, Moody’s, Fitch). Depending on the type of investor, investment ratings may refer to a short period or to a 6 to 9-month horizon. Please note that the provision of securities services may be subject to restrictions in certain jurisdictions. You are required to acquaint yourself with local laws and restrictions on the usage and the availability of any services described herein. The information is not intended for distribution to or use by any person or entity in any jurisdiction where such distribution would be contrary to the applicable law or provisions. Coverage Policy A list of the companies covered by UniCredit Bank is available upon request. Frequency of reports and updates It is intended that each of these companies be covered at least once a year, in the event of key operations and/or changes in the recommendation. SIGNIFICANT FINANCIAL INTEREST: UniCredit Bank and/or a company affiliated (pursuant to relevant national law) with them regularly trade shares of the analyzed company. UniCredit Bank and/or a company affiliated may hold significant open derivative positions on the stocks of the company which are not delta-neutral. Analyses may refer to one or several companies and to the securities issued by them. In some cases, the analyzed issuers have actively supplied information for this analysis. ANALYST DECLARATION The author’s remuneration has not been, and will not be, geared to the recommendations or views expressed in this study, neither directly nor indirectly. ORGANIZATIONAL AND ADMINISTRATIVE ARRANGEMENTS TO AVOID AND PREVENT CONFLICTS OF INTEREST To prevent or remedy conflicts of interest, UniCredit Bank has established the organizational arrangements required from a legal and supervisory aspect, adherence to which is monitored by its compliance department. Conflicts of interest arising are managed by legal and physical and non-physical barriers (collectively referred to as “Chinese Walls”) designed to restrict the flow of information between one area/department of UniCredit Bank and another. In particular, Investment Banking units, including corporate finance, capital market activities, financial advisory and other capital raising activities, are segregated by physical and non-physical boundaries from Markets Units, as well as the research department. Disclosure of publicly available conflicts of interest and other material interests is made in the research. Analysts are supervised and managed on a day-to-day basis by line managers who do not have responsibility for Investment Banking activities, including corporate finance activities, or other activities other than the sale of securities to clients. ADDITIONAL REQUIRED DISCLOSURES UNDER THE LAWS AND REGULATIONS OF JURISDICTIONS INDICATED Notice to Australian investors This publication is intended for wholesale clients in Australia subject to the following: UniCredit Bank AG and its branches do not hold an Australian Financial Services licence but are exempt from the requirement to hold a licence under the Act in respect of the financial services to wholesale clients. UniCredit Bank AG and its branches are regulated by BaFin under German laws, which differ from Australian laws. This document is only for distribution to wholesale clients as defined in Section 761G of the Corporations Act. UniCredit Bank AG and its branches are not Authorised Deposit Taking Institutions under the Banking Act 1959 and are not authorised to conduct a banking business in Australia. Notice to Austrian investors This document does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any securities and neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. This document is confidential and is being supplied to you solely for your information and may not be reproduced, redistributed or passed on to any other person or published, in whole or part, for any purpose. Notice to Czech investors This report is intended for clients of UniCredit in the Czech Republic and may not be used or relied upon by any other person for any purpose. Notice to Italian investors This document is not for distribution to retail clients as defined in article 26, paragraph 1(e) of Regulation n. 16190 approved by CONSOB on 29 October 2007. In the case of a short note, we invite the investors to read the related company report that can be found on UniCredit Research website www.research.unicreditgroup.eu. Notice to Japanese investors This document does not constitute or form part of any offer for sale or subscription for or solicitation of any offer to buy or subscribe for any securities and neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever.

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Notice to Polish investors This document is intended solely for professional clients as defined in Art. 3 39b of the Trading in Financial Instruments Act of 29 July 2005. The publisher and distributor of the recommendation certifies that it has acted with due care and diligence in preparing the recommendation, however, assumes no liability for its completeness and accuracy. Notice to Russian investors As far as we are aware, not all of the financial instruments referred to in this analysis have been registered under the federal law of the Russian Federation "On the Securities Market" dated 22 April 1996, as amended (the "Law"), and are not being offered, sold, delivered or advertised in the Russian Federation. This analysis is intended for qualified investors, as defined by the Law, and shall not be distributed or disseminated to a general public and to any person, who is not a qualified investor. Notice to Turkish investors Investment information, comments and recommendations stated herein are not within the scope of investment advisory activities. Investment advisory services are provided in accordance with a contract of engagement on investment advisory services concluded with brokerage houses, portfolio management companies, non-deposit banks and the clients. Comments and recommendations stated herein rely on the individual opinions of the ones providing these comments and recommendations. These opinions may not suit your financial status, risk and return preferences. For this reason, to make an investment decision by relying solely on the information stated here may not result in consequences that meet your expectations. Notice to UK investors This communication is directed only at clients of UniCredit Bank who (i) have professional experience in matters relating to investments or (ii) are persons falling within Article 49(2)(a) to (d) (“high net worth companies, unincorporated associations, etc.”) of the United Kingdom Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 or (iii) to whom it may otherwise lawfully be communicated (all such persons together being referred to as “relevant persons”). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with relevant persons. Notice to U.S. investors This report is being furnished to U.S. recipients in reliance on Rule 15a-6 ("Rule 15a-6") under the U.S. Securities Exchange Act of 1934, as amended. Each U.S. recipient of this report represents and agrees, by virtue of its acceptance thereof, that it is such a "major U.S. institutional investor" (as such term is defined in Rule 15a-6) and that it understands the risks involved in executing transactions in such securities. Any U.S. recipient of this report that wishes to discuss or receive additional information regarding any security or issuer mentioned herein, or engage in any transaction to purchase or sell or solicit or offer the purchase or sale of such securities, should contact a registered representative of UniCredit Capital Markets, LLC. Any transaction by U.S. persons (other than a registered U.S. broker-dealer or bank acting in a broker-dealer capacity) must be effected with or through UniCredit Capital Markets. The securities referred to in this report may not be registered under the U.S. Securities Act of 1933, as amended, and the issuer of such securities may not be subject to U.S. reporting and/or other requirements. Available information regarding the issuers of such securities may be limited, and such issuers may not be subject to the same auditing and reporting standards as U.S. issuers. The information contained in this report is intended solely for certain "major U.S. institutional investors" and may not be used or relied upon by any other person for any purpose. Such information is provided for informational purposes only and does not constitute a solicitation to buy or an offer to sell any securities under the Securities Act of 1933, as amended, or under any other U.S. federal or state securities laws, rules or regulations. The investment opportunities discussed in this report may be unsuitable for certain investors depending on their specific investment objectives, risk tolerance and financial position. In jurisdictions where UniCredit Capital Markets is not registered or licensed to trade in securities, commodities or other financial products, transactions may be executed only in accordance with applicable law and legislation, which may vary from jurisdiction to jurisdiction and which may require that a transaction be made in accordance with applicable exemptions from registration or licensing requirements. The information in this publication is based on carefully selected sources believed to be reliable, but UniCredit Capital Markets does not make any representation with respect to its completeness or accuracy. All opinions expressed herein reflect the author’s judgment at the original time of publication, without regard to the date on which you may receive such information, and are subject to change without notice. UniCredit Capital Markets may have issued other reports that are inconsistent with, and reach different conclusions from, the information presented in this report. These publications reflect the different assumptions, views and analytical methods of the analysts who prepared them. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is provided in relation to future performance. UniCredit Capital Markets and any company affiliated with it may, with respect to any securities discussed herein: (a) take a long or short position and buy or sell such securities; (b) act as investment and/or commercial bankers for issuers of such securities; (c) act as market makers for such securities; (d) serve on the board of any issuer of such securities; and (e) act as paid consultant or advisor to any issuer. The information contained herein may include forward-looking statements within the meaning of U.S. federal securities laws that are subject to risks and uncertainties. Factors that could cause a company’s actual results and financial condition to differ from expectations include, without limitation: political uncertainty, changes in general economic conditions that adversely affect the level of demand for the company’s products or services, changes in foreign exchange markets, changes in international and domestic financial markets and in the competitive environment, and other factors relating to the foregoing. All forward-looking statements contained in this report are qualified in their entirety by this cautionary statement

This document may not be distributed in Canada. CR e 2




UniCredit Research* Michael Baptista Global Head of CIB Research +44 207 826-1328 [email protected]

Dr. Ingo Heimig Head of Research Operations +49 89 378-13952 [email protected]

Credit Research

Luis Maglanoc, CFA, Head +49 89 378-12708 [email protected]

Credit Strategy & Structured Credit Research Dr. Philip Gisdakis, Head Credit Strategy +49 89 378-13228 [email protected]

Dr. Christian Weber, CFA, Deputy Head Credit Strategy +49 89 378-12250 [email protected]

Dr. Tim Brunne Quantitative Credit Strategy +49 89 378-13521 [email protected]

Markus Ernst Credit Strategy & Structured Credit +49 89 378-14213 [email protected]

Dr. Stefan Kolek EEMEA Corporate Credits & Strategy +49 89 378-12495 [email protected]

Manuel Trojovsky Credit Strategy & Structured Credit +49 89 378-14145 [email protected]

Financials Credit Research Franz Rudolf, CEFA, Head Covered Bonds +49 89 378-12449 [email protected]

Valentina Stadler, Deputy Head Sub-Sovereigns & Agencies +49 89 378-16296 [email protected]

Florian Hillenbrand, CFA Covered Bonds +49 89 378-12961 [email protected]

Dr. Tilo Höpker Banks +49 89 378-12960 [email protected]

Luis Maglanoc, CFA Regulatory & Accounting Service +49 89 378-12708 [email protected]

Natalie Tehrani Monfared Regulatory & Accounting Service +49 89 378-12242 [email protected]

Emanuel Teuber Banks, Financial Services, Insurance +49 89 378-14245 [email protected]

Robert Vielhaber Sub-Sovereigns & Agencies +49 89 378-12004 [email protected]

Dr. Claudia Vortmüller Banks +49 89 378-12429 [email protected]

Corporate Credit Research Stephan Haber, CFA, Co-Head Telecoms, Technology +49 89 378-15192 [email protected]

Dr. Sven Kreitmair, CFA, Co-Head Automotive & Mobility +49 89 378-13246 [email protected]

Jana Arndt, CFA Basic Resources, Industrial G&S, Construction & Materials +49 89 378-13211 [email protected]

Christian Aust, CFA Industrial Transportation, Media, Pulp & Paper +49 89 378-12806 [email protected]

Olga Fedotova Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-1376 [email protected]

Dr. Manuel Herold Consumers, Oil & Gas +49 89 378-12650 [email protected]

Susanne Reichhuber Utilities +49 89 378-13247 [email protected]

Alexander Rozhetskin Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-7953 [email protected]

Dr. Silke Stegemann, CEFA Health Care & Pharma, Food & Beverage, Tobacco +49 89 378-18202 [email protected]

Publication Address

UniCredit Research Corporate & Investment Banking UniCredit Bank AG Arabellastrasse 12, D-81925 Munich [email protected]

Bloomberg UCCR Internet www.research.unicreditgroup.eu

*UniCredit Research is the joint research department of UniCredit Bank AG (UniCredit Bank), UniCredit Bank AG London Branch (UniCredit Bank London), UniCredit Bank AG Milan Branch (UniCredit Bank Milan), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech Republic (UniCredit Bank Czechia), Bank Pekao, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Bank Slovakia a.s. (UniCredit Slovakia), UniCredit Tiriac Bank (UniCredit Tiriac).

CR 4

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