{"text_format":"5","workbook":"xlsx","n_sheets":4,"sheets":["Report","ISIN list","Definitions","Disclaimer"],"props":{"creator":"Patajalo, Mariuxi","last_modified_by":"Patajalo, Mariuxi","company":"Vereine Creditreform"},"not_rendered":{"charts":4,"images":1,"external_links":1},"read":"whole","date_system":"1900"}

{"sheet":"Report","index":0,"n_rows":108,"n_cols":7,"rows_kept":108,"merged":[[4,0,4,7],[5,0,5,1],[5,3,5,4],[5,5,5,7],[6,0,6,1],[6,3,8,4],[6,5,6,7],[7,0,7,1],[7,5,7,7],[8,0,8,1],[8,5,8,7],[9,0,9,1],[9,3,11,4],[9,5,9,7],[10,0,10,1],[10,5,10,7],[11,0,11,1],[11,5,11,7],[12,0,12,1],[13,0,13,7],[14,0,14,2],[14,3,14,7],[15,0,15,1],[15,3,15,4],[15,5,15,7],[16,0,16,1],[16,3,16,4],[16,5,16,7],[17,0,17,1],[17,3,17,4],[17,5,17,7],[18,0,18,1],[18,3,18,4],[18,5,18,7],[19,0,19,1],[19,3,19,4],[19,5,19,7],[20,0,20,1],[20,3,20,7],[21,0,21,1],[21,3,21,4],[21,5,21,7],[22,0,22,1],[22,3,22,4],[22,5,22,7],[23,0,23,1],[23,3,23,4],[23,5,23,7],[25,0,25,7],[26,0,26,2],[26,3,26,7],[27,0,27,1],[27,3,27,4],[27,5,27,7],[28,0,28,1],[28,3,28,4],[28,5,28,7],[29,0,29,1],[29,3,29,4],[29,5,29,7],[30,0,30,2],[30,3,30,7],[31,0,31,1],[31,3,31,4],[31,5,31,7],[32,0,32,1],[32,3,32,4],[32,5,32,7],[33,0,33,1],[33,3,33,4],[33,5,33,7],[34,0,34,1],[34,3,34,4],[34,5,34,7],[35,0,35,1],[35,3,35,4],[35,5,35,7],[37,0,37,2],[37,3,37,7],[50,0,50,2],[50,3,50,7],[66,0,66,2],[66,3,66,7],[67,4,67,5],[67,6,67,7],[68,4,68,5],[68,6,68,7],[69,4,69,5],[69,6,69,7],[70,4,70,5],[70,6,70,7],[71,4,71,5],[71,6,71,7],[72,4,72,5],[72,6,72,7],[73,4,73,5],[73,6,73,7],[74,4,74,5],[74,6,74,7],[75,4,75,5],[75,6,75,7],[77,0,77,2],[77,3,77,7],[78,4,78,5],[78,6,78,7],[79,4,79,5],[79,6,79,7],[80,4,80,5],[80,6,80,7],[81,4,81,5],[81,6,81,7],[82,4,82,5],[82,6,82,7],[83,4,83,5],[83,6,83,7],[84,4,84,5],[84,6,84,7],[85,4,85,5],[85,6,85,7],[86,4,86,5],[86,6,86,7],[87,4,87,5],[87,6,87,7],[88,4,88,5],[88,6,88,7],[89,4,89,5],[89,6,89,7],[90,4,90,5],[90,6,90,7],[91,4,91,5],[91,6,91,7],[92,4,92,5],[92,6,92,7],[93,4,93,5],[93,6,93,7],[94,4,94,5],[94,6,94,7],[95,4,95,5],[95,6,95,7],[96,4,96,5],[96,6,96,7],[97,4,97,5],[97,6,97,7],[98,4,98,5],[98,6,98,7],[100,0,100,2],[105,0,105,2],[106,0,106,1],[107,0,107,1]],"headers":{"footer":["© Creditreform Rating AG"]}}
["Creditreform Covered Bond Rating"]
["Intesa Sanpaolo S.p.A."]
["Mortgage Covered Bond Program"]
[]
["Rating Object"]
["Country Issuer",null,"Italy","Repayment method",null,"Soft Bullet"]
["Cover pool asset class",null,"Mortgage","Overcollateralization ",null,{"v":0,"d":" Min (0.00%)"}]
["Legal framework",null,"Italian Framework for OBG",null,null,{"v":0.21003560091570894,"d":"Current (21.00%)"}]
["Nominal value   ",null,{"v":36781,"d":"EUR 36,781.00 m."},null,null,{"v":0.0582,"d":"Committed (5.82% )"}]
["Cover pool value",null,{"v":44506.31943728069,"d":"EUR 44,506.32 m."},"Covered bonds coupon type",null,{"v":0,"d":"Fix (0.00%)"}]
["WAL maturity covered bonds",null,{"v":7.757980538641714,"d":"7.76 (Years)"},null,null,{"v":1,"d":"Floating (100.00%)"}]
["WAL maturity cover pool",null,{"v":6.1097262152356056,"d":"6.11 (Years)"},null,null,{"v":0,"d":"Other (0.00%)"}]
["Cut-off date Covered Pool Information:",null,"31.12.2019"]
["Rating Overview"]
["Rating Summary",null,null,"Credit Risk Metrics"]
["Issuer",null,"Intesa Sanpaolo S.p.A.","Metrics date",null,"2020-02-05"]
["LT Issuer Rating",null,"BBB","Rating Case Default Rate",null,{"v":0.1501,"d":"15.01%"}]
["ST Issuer Rating",null,"L3","Rating Case Recovery Rate",null,{"v":0.7006,"d":"70.06%"}]
["+Legal and regulatory framework analysis",null,{"v":4,"d":"+4 Notches"},"Expected Loss",null,{"v":0.045,"d":"4.50%"}]
["+Liquidity and refinancing risk",null,{"v":1,"d":"+1 Notch"},"Rating Case Breakeven OC",null,{"v":0.0719,"d":"7.19%"}]
["= Rating after 1st uplift",null,"AA-","Program Key Counterparties"]
["Cover Pool & cash flow analysis",null,"B+","Servicer",null,"Intesa Sanpaolo S.p.A."]
["+ 2nd rating uplift ",null,"+/-0","Account Bank",null,"Intesa Sanpaolo S.p.A."]
["Rating covered bond program / Outlook",null,"AA- / Stable","Sponsor",null,"NA"]
[]
["Cover Assets Composition"]
["General Information",null,null,"Property Type"]
["Cover Pool Balance",null,{"v":44506.31943728069,"d":"EUR 44,506.32 m."},"Residential",null,{"v":35820.36383514068,"d":"EUR 35,820.36 m."}]
[" Average Seasoning",null,{"v":71.13454597581169,"d":"71.13 Months"},"Commercial",null,{"v":3367.4262698200146,"d":"EUR 3,367.43 m."}]
["Total number of exposures",null,{"v":485722,"d":"485,722"},"Other",null,{"v":0,"d":"EUR 0.00 m."}]
["Distribution by type of asset",null,null,"Distribution by Loan size"]
["Mortgages",null,{"v":39187.79010496069,"d":"EUR 39,187.79 m."},"Number of Commercial Loans",null,{"v":29154,"d":"29,154"}]
["Public Sector ",null,{"v":0,"d":"EUR 0.00 m."},"Number of Residential Loans",null,{"v":456568,"d":"456,568"}]
["Shipping",null,{"v":0,"d":"EUR 0.00 m."},"Average Size Commercial Loans (000s)",null,{"v":115.50477703985727,"d":"116"}]
["Substitute Assets",null,{"v":5318.529332320002,"d":"EUR 5,318.53 m."},"Average Size Residential Loans (000s)",null,{"v":78.45570393707025,"d":"78"}]
["Other",null,{"v":0,"d":"EUR 0.00 m."}]
[]
["Asset-liability Profile",null,null,"Interest Rate "]
{"$rows_empty":12}
["Arrears Distribution",null,null,"Seasoning Distribution"]
{"$rows_empty":11}
["Creditreform Covered Bond Rating"]
["Intesa Sanpaolo S.p.A."]
["Mortgage Covered Bond Program"]
[]
["Unindexed LTV Distribution Commercial Loans",null,null,"Unindexed LTV Distribution Residential Loans"]
["LTV","Nominal","% Loans","LTV","Nominal",null,"% Loans"]
[">0 - <=40 %",{"v":1195.4509000300047,"d":"1,195.45"},{"v":0.3550043280068327,"d":"35.50%"},">0 - <=40 %",{"v":4674.901706440114,"d":"4,674.90"},null,{"v":0.1305096097838621,"d":"13.05%"}]
[">40 - <=50 %",{"v":531.6793470099989,"d":"531.68"},{"v":0.15788893487441336,"d":"15.79%"},">40 - <=50 %",{"v":4795.0276572301245,"d":"4,795.03"},null,{"v":0.1338631756868462,"d":"13.39%"}]
[">50 - <=60 %",{"v":555.8725955499997,"d":"555.87"},{"v":0.16507342730319458,"d":"16.51%"},">50 - <=60 %",{"v":4044.185342490006,"d":"4,044.19"},null,{"v":0.11290184993940826,"d":"11.29%"}]
[">60 - <=70 %",{"v":372.8795117899986,"d":"372.88"},{"v":0.11073130691289941,"d":"11.07%"},">60 - <=70 %",{"v":6372.757509560021,"d":"6,372.76"},null,{"v":0.1779087878305767,"d":"17.79%"}]
[">70 - <=80 %",{"v":574.6798005899991,"d":"574.68"},{"v":0.17065846570731819,"d":"17.07%"},">70 - <=80 %",{"v":14987.036931489945,"d":"14,987.04"},null,{"v":0.41839432453747116,"d":"41.84%"}]
[">80 - <=90 %",{"v":43.478567470000016,"d":"43.48"},{"v":0.012911512824993216,"d":"1.29%"},">80 - <=90 %",{"v":427.92263174999914,"d":"427.92"},null,{"v":0.011946350788603715,"d":"1.19%"}]
[">90 - <=100 %",{"v":48.72130515999999,"d":"48.72"},{"v":0.014468410369265276,"d":"1.45%"},">90 - <=100 %",{"v":347.3840566799996,"d":"347.38"},null,{"v":0.009697948861681068,"d":"0.97%"}]
[">100%",{"v":44.66424221999993,"d":"44.66"},{"v":0.013263614001083194,"d":"1.33%"},">100%",{"v":171.14799949999994,"d":"171.15"},null,{"v":0.004777952571550982,"d":"0.48%"}]
[]
["Currency Distribution ",null,null,"Loan Distribution by Regions (as % of total Mortgages)"]
["Currency","Covered Bonds","Cover Assets","Region","% Residential Loans",null,"% Commercial Loans"]
["EUR",{"v":36781,"d":"36,781.00 m."},{"v":39187.79010496069,"d":"39,187.79 m."},"LOMBARDIA",{"v":0.19670036868156823,"d":"19.67%"},null,{"v":0.16224051072369972,"d":"16.22%"}]
["AUD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"PIEMONTE",{"v":0.06315326471867846,"d":"6.32%"},null,{"v":0.07295523723319174,"d":"7.30%"}]
["BRL",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"VENETO",{"v":0.13613203084655434,"d":"13.61%"},null,{"v":0.19839487264429698,"d":"19.84%"}]
["CAD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"LIGURIA",{"v":0.029903142813395945,"d":"2.99%"},null,{"v":0.02146576893392941,"d":"2.15%"}]
["CHF",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"EMILIA ROMAGNA",{"v":0.045403919849203424,"d":"4.54%"},null,{"v":0.06342881042542235,"d":"6.34%"}]
["CZK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"FRIULI VENEZIA GIULIA",{"v":0.011914573448897242,"d":"1.19%"},null,{"v":0.0316808477162895,"d":"3.17%"}]
["DKK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"TRENTINO ALTO ADIGE",{"v":0.004326898812734916,"d":"0.43%"},null,{"v":0.007115772857375977,"d":"0.71%"}]
["GBP",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"VALLE D'AOSTA",{"v":0.002298482732306343,"d":"0.23%"},null,{"v":5.473695001193081E-3,"d":"0.55%"}]
["HKD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"LAZIO",{"v":0.09350991347815617,"d":"9.35%"},null,{"v":0.06431049478674288,"d":"6.43%"}]
["JPY",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"TOSCANA",{"v":0.08617202288023379,"d":"8.62%"},null,{"v":0.09237171235426257,"d":"9.24%"}]
["KRW",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"UMBRIA",{"v":0.015523879651509503,"d":"1.55%"},null,{"v":0.022976668511924356,"d":"2.30%"}]
["NOK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"ABRUZZO",{"v":0.018749868451953793,"d":"1.87%"},null,{"v":0.020954583152245795,"d":"2.10%"}]
["PLN",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"MARCHE",{"v":0.023554465737790457,"d":"2.36%"},null,{"v":0.025570686352281345,"d":"2.56%"}]
["SEK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"PUGLIA",{"v":0.10476894974552024,"d":"10.48%"},null,{"v":0.07756718441350259,"d":"7.76%"}]
["SGD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"SARDEGNA",{"v":0.015228251159327348,"d":"1.52%"},null,{"v":0.024787622356602233,"d":"2.48%"}]
["USD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"SICILIA",{"v":0.030319985760573466,"d":"3.03%"},null,{"v":0.0268598290482644,"d":"2.69%"}]
["Other",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"CALABRIA",{"v":0.016385650533906858,"d":"1.64%"},null,{"v":0.01288163083740471,"d":"1.29%"}]
[{"$nulls":3},"CAMPANIA",{"v":0.09698898646701604,"d":"9.70%"},null,{"v":0.056153155769051756,"d":"5.62%"}]
[{"$nulls":3},"BASILICATA",{"v":0.005642357874984154,"d":"0.56%"},null,{"v":0.009815802842141175,"d":"0.98%"}]
[{"$nulls":3},"MOLISE",{"v":3.3229863556893877E-3,"d":"0.33%"},null,{"v":2.9951140401773737E-3,"d":"0.30%"}]
[]
["Swap Counterparties"]
["Name","Type of arrangement","LEI"]
["Intesa Sanpaolo S.p.A","Interest Rate Swap","2W8N8UU78PMDQKZENC08"]
[]
[]
["Swap Agreements"]
["Interest Rate Swap ",null,"Intra-group"]
["Currency Swap ",null,"NA"]

{"sheet":"ISIN list","index":1,"n_rows":29,"n_cols":6,"rows_kept":29,"headers":{"footer":["© Creditreform Rating AG"]}}
["Creditreform Covered Bond Rating"]
["Intesa Sanpaolo S.p.A."]
["Mortgage Covered Bond Program"]
[]
["ISIN Lists"]
["Issuer","ISIN","Coupon Type","Coupon Rate (%)","Issue date","Maturity date"]
["Intesa Sanpaolo S.p.A.","IT0005345167","Floating","EIEUR3M + 0.67","2018-09-21","2030-05-20"]
["Intesa Sanpaolo S.p.A.","IT0005377012","Floating","EIEUR3M + 0.46","2019-06-24","2027-02-22"]
["Intesa Sanpaolo S.p.A.","IT0005200438","Floating","EIEUR3M + 0.2","2016-06-17","2023-08-21"]
["Intesa Sanpaolo S.p.A.","IT0005214777","Floating","EIEUR3M + 0.26","2016-09-16","2024-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005243065","Floating","EIEUR3M + 0.55","2017-02-17","2027-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005326050","Floating","EIEUR3M + 0.12","2018-03-09","2025-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005022725","Floating","EIEUR3M + 0.75","2014-05-20","2021-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005143067","Floating","EIEUR3M + 0.4","2015-11-13","2023-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005362998","Floating","EIEUR3M + 0.69","2019-02-20","2024-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005022659","Floating","EIEUR3M + 0.75","2014-05-20","2020-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005345175","Floating","EIEUR3M + 0.65","2018-09-21","2029-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005352080","Floating","EIEUR3M + 0.9","2018-11-22","2031-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005377020","Floating","EIEUR3M + 0.59","2019-06-24","2029-02-20"]
["Intesa Sanpaolo S.p.A.","IT0005214785","Floating","EIEUR3M + 0.26","2016-09-16","2025-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005243073","Floating","EIEUR3M + 0.5","2017-02-17","2026-02-20"]
["Intesa Sanpaolo S.p.A.","IT0004935877","Floating","EIEUR3M + 0.75","2013-06-17","2020-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005326068","Floating","EIEUR3M + 0.26","2018-03-09","2028-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005022758","Floating","EIEUR3M + 0.75","2014-05-20","2020-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005355679","Floating","EIEUR3M + 1.03","2018-12-18","2031-08-20"]
["Intesa Sanpaolo S.p.A.","IT0005363004","Floating","EIEUR3M + 1.3","2019-02-20","2032-05-20"]
["Intesa Sanpaolo S.p.A.","IT0005377004","Floating","EIEUR3M + 0.86","2019-06-24","2033-02-21"]
["Intesa Sanpaolo S.p.A.","IT0005022683","Floating","EIEUR3M + 0.75","2014-05-20","2021-02-22"]
["Intesa Sanpaolo S.p.A.","IT0005352098","Floating","EIEUR3M + 0.85","2018-11-22","2026-08-20"]

{"sheet":"Definitions","index":2,"n_rows":41,"n_cols":3,"rows_kept":41,"merged":[[5,0,5,2]],"headers":{"footer":["© Creditreform Rating AG"]}}
["Creditreform Covered Bond Rating"]
["Intesa Sanpaolo S.p.A."]
["Mortgage Covered Bond Program"]
[]
["Data Definitions"]
[]
["Field Name","Source","Definition"]
["Cover pool asset class","Issuer","The asset type in the cover pool (public sector assets or mortgage assets)"]
["Legal framework","CRA","The set of legislative and regulatory rules of the respective jurisdiction that regulates the covered bonds (CB) program"]
["Nominal value   ","Issuer","The total amount of outstanding covered bonds as of cut-off date expressed in millions"]
["Cover pool value","Issuer","Aggregate value of all assets in the cover pool as of cut-off date expressed in millions  "]
["WAL maturity covered bonds","Issuer","The weighted average remaining maturity of all outstading covered bonds in years"]
["WAL maturity cover pool","Issuer","The weighted average remaining maturity of all outstading covered assets in years"]
["Repayment method","Issuer","Hard Bullet: Covered bonds are repaid on the maturiry date which cannot be extended\nSoft Bullet: The maturity date of the covered bonds can be extended by a fixed period\nConditional pass-through (CPT): Covered bonds with a scheduled maturity date, and an extension mechanism defined by certain conditions"]
["Overcollateralization ","Issuer","Current OC: The proportion of covel assets that exceeds the proportion of currrently outstanding covered bonds, calculated as ([Cover pool value]/[outstanding covered bonds]-1)*100 \nMin OC: The OC level that the issuer must maintain according to the respective CB legislation\nCommitted OC: The minimum OC level that the issuer has committed to maintain  "]
["Covered bonds coupon type","Issuer","Type of interest rate paid on covered bonds, expressed as a percentage of bond's face value"]
["LT Issuer Rating","CRA","Long-term ratings assess the default risks for each category of a bank’s financial instruments \nwith a residual term-to-maturity of more than one year"]
["ST Issuer Rating","CRA","Short-term ratings assess the default risks for each category of a bank’s financial instruments \nwith a residual term-to-maturity of less than one year"]
["Legal and regulatory framework analysis","CRA","A qualitative assessement of legislative and regulatory rules of the covered bonds program"]
["Liquidity and refinancing risk","CRA","A qualitative assessement of regulatory requirements for liquidity and refinancing risk of the covered bonds program"]
["First rating uplift","CRA","The rating after adding up the notches from Legal and regulatory framework analysis and  Liquidity and refinancing risk with LT Issuer rating"]
["Cover pool and cash flow analysis","CRA","The quantitative assessment of the cover assets and covered bonds at different rating-level stressed scenarios"]
["Second rating upflift","CRA","The rating after adding up the notches from cash-flow analysis with 1st rating uplift (only effective if the rating from cash-flow analysis is higher than the 1st rating uplift)"]
["Metrics date","CRA","The date on which CRA assigned the initial / follow-up rating of the covered bond program "]
["Rating Case Default Rate (RDR)","CRA","Stressed default rate of the cover assets represented by the base case stressed scenario"]
["Rating Case Recovery Rate (RRR)","CRA","Stressed recovery rate of the defaulted assets represented by the base case stressed scenario"]
["Expected Loss","CRA","Stressed loss rate of the cover assets represented by the base case stressed scenario. The expected loss rate has been calculated as [RDR*(1-RRR)] [%]"]
["Rating Case Breakeven OC","CRA","The required stressed OC level compatible with the base case rating"]
["Average Seasoning","Issuer","Average length of the loans from the origination date to the cut-off date in months"]
["Loan Size","Issuer","Average size of the loans (i.e. Total value of cover assets / Number of loans)"]
["LTV","Issuer","The loan-to-value (LTV) is the ratio of a loan to the value of the property securing the loan"]
["LEI","CRA","Legal Entity Identifier (LEI) enables unique identification of legal entities in financial transactions"]
["Arrears Distribution","Issuer","The distrbution of arrears of the cover assets with respect to each asset class"]
["Seasoning Distribution","Issuer","The distrbution of seasoning of the cover assets with respect to each asset class"]
["Asset liability Profile","CRA","The maturity structure of the cover assets and liabilities "]
["% Residential Loans","Issuer","Outstanding value of loans that are secured by the residential property expressed as % of total outstadning loans in the cover pool"]
["% Commercial Loans","Issuer","Outstanding value of loans that are secured by the commercial property expressed as % of total outstadning loans in the cover pool"]
["Fixed Coupon","Issuer","All assets and liabilities in the covered bond program that yield a fixed interest rate"]
["Floating Coupon","Issuer","All assets and liabilities in the covered bond program that have variable interest rates"]
["EIEURxM","Reuters","Euro x Month EURIBOR"]
["EURSWExY","Reuters","Euro x Year Interest Rate Swap Fixing"]

{"sheet":"Disclaimer","index":3,"n_rows":5,"n_cols":1,"rows_kept":5,"merged":[[5,0,5,2]],"headers":{"footer":["© Creditreform Rating AG"]}}
["Creditreform Covered Bond Rating"]
["Intesa Sanpaolo S.p.A."]
["Mortgage Covered Bond Program"]
[]
["Disclaimer"]