Securitization Market Watch

7 September 2016 Credit Research

Securitization Market Watch

UniCredit Research page 1 See last pages for disclaimer.

■ Market Comment: The fall season has kicked off, and all eyes are on the securitization pipeline, which has already seen decent additions after a few calm weeks. This is not to say that August was entirely uneventful in terms of new issuance. Despite sluggish ABS trading, secondary spreads saw broad-based spread compression throughout August, with UK RMBS outperforming. While the ECB has been fairly inactive in terms of ABSPP purchases, market participants will closely watch Thursday’s press conference for hints regarding an potential extension of QE beyond March 2017. Meanwhile, as Euribor rates continue to drift deeper into negative territory, thus eating further into coupon spreads, the pie of tranches with zero cash coupons is growing.

■ Primary Market & Pipeline: Four deals are currently in the pipeline. In RMBS, a benchmark Dutch Prime RMBS is expected to price later this week, and a UK NC deal was also announced. A new Auto ABS is also on its way, while a French consumer ABS is being reoffered. A UK Credit Card ABS was privately placed last week.

■ Brief Comments: – Pre-referendum UK Prime RMBS pool performance was

stable

– Post-referendum UK house prices are on the rise, but new mortgage approvals have declined

– Delinquency rates have improved in EMEA ABS SME

– Dutch Prime RMBS performance remains strong

– Portuguese RMBS delinquencies edge lower

– Consumer Loan ABS have slightly changed for the worse

– Spanish mortgage origination maintains momentum

– Ongoing low default rates bode well for European leveraged loan CLOs.

■ Deal-Specific Information: Fornax (Eclipse 2006-2) (note event of default), Deco 14 PE 5 (property sales), Deco 7 PE2 (sales proceeds), Hercules (Eclipse 2006-4) (noteholder meeting), Indus (Eclipse 2007-1) (waiver).

■ Rating Actions: Spirit Issuer (upgrades), REITALY Finance (upgrade), Fornax (Eclipse 2006-2) (downgrade).

MONTHLY ISSUANCE VOLUMES

Source: Bloomberg, Concept ABS, UniCredit Research

Contents Market Comment ____________________________ 2 Brief Comments _____________________________ 3 Deal-Specific Information ______________________ 7 Primary Market ______________________________ 8 Pipeline ___________________________________ 10 Last Week's Rating Changes __________________ 12 Rating Drift ________________________________ 18 Primary Market Comparison ___________________ 19 Market Statistics ____________________________ 20 Delinquency Data ___________________________ 24 Market Spreads ____________________________ 25

Authors Holger Kapitza (UniCredit Bank) Structured Credit Analyst [email protected] +49 89 378-28745 Manuel Trojovsky (UniCredit Bank) Structured Credit Analyst [email protected] +49 89 378-14145 Bloomberg UCGR, ABSX

Internet www.research.unicredit.eu

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Market Comment More of less: eroding ABS coupons The fall season has kicked off and all eyes are on the pipeline, which has seen decent additions already after a few calm weeks. This is not to say that August was entirely uneventful in terms of new issuance. Despite sluggish ABS trading, secondary spreads have seen broad-based spread compression throughout August, with UK RMBS outperforming. While the ECB has been fairly inactive in terms of ABSPP purchases, market participants will closely watch Thursday’s press conference for hints regarding a potential QE extension beyond March 2017. Meanwhile, as Euribor rates continue to drift deeper into negative territory, thus eating further into coupon spreads, the pie of tranches with zero cash coupons is growing.

Secondary ABS trading activity has not regained its momentum and volumes have not picked up materially amid missing offers and the strong demand from real money accounts. Although ABS trading activity slowed markedly during August, highlighted by low volumes, thin flows, fewer BWICs and little ECB ABSPP purchase impetus, the tightening trend remains intact. Our traders report that prices are firm while ECB-eligible paper continues to be marked tighter amid ongoing buying interest from investors, albeit frequently in the absence of trading proof. Spreads in Auto ABS, Dutch RMBS and short-WAL peripheral issues have all narrowed further, hitting multi-month spread lows recently.

Likewise, UK spreads have reversed part of their post-referendum widening as demand has come back to RMBS, with both senior prime and NC notes compressing by 20-30bp since the Brexit vote. Aside from the ongoing squeeze in spreads, the negative interest rate environment is increasingly taking its toll on cash coupons (i.e. current Euribor plus the margin), with more than 29% of EUR-denominated senior notes that are eligible as part of the ECP repo window no longer offering a coupon payment as their low coupon spreads are offset by negative reference rates. Rather than settling for less, investors have to put up with floored zero cash coupons. Another 33% of the ECB’s eligible universe provides investors with only minimal carry of less than 0.25%. At the opposite end, only about 9.3% offer current cash coupons of 1% or higher.

CASH COUPONS IN ECB-ELIGIBLE ABS EUR TRANCHES*

Current cash coupons in ECB-repo eligible ABS tranches*

* based on 660 EUR-denominated notes; excludes the remaining 154

foreign-currency/fixed-rate tranches also eligible under the Eurosystem

operations

Source: ECB, Markit, UniCredit Research

Elsewhere, ECB ABSPP purchases were muted last week, causing the ABSPP holdings to decline for the fifth consecutive week, to EUR 20.1bn – or EUR 74mn lower than in the previous week. More importantly, investors will closely watch Thursday’s ECB press conference for hints regarding a potential QE extension beyond the envisaged expiration date in March 2017.

The pipeline has gained traction on the back of various additions across sectors, which, in turn, points to a good start to the fall season. Obvion’s new Dutch RMBS, STORM 2016-II B.V., was the first post-summer deal to enter the pipeline. The benchmark deal has at least two novel features. First, the deal features a 5Y revolving structure, which allows for the addition of new loans while the originator can also grant further advances to loans already in the pool, albeit subject to strict replenishment criteria. Second, the only offered tranche, the slow-pay 4.9Y WAL class A, will come with a 3mE+60bp coupon. Hence, the senior class will price substantially above par (IPTs 101.2-101.5, equaling a DM in the low-mid 30bp range). However, given current secondary spreads around +25bp for the comparable STORM 2016-1 A2, launched in January, the deal would price at a 5-10bp pickup to its predecessor. In Auto ABS, FCE Bank’s Globaldrive Auto Receivables 2016-B B.V. also joined the pipeline. Class A (EUR 498mn, 2.1Y WAL) and the mezzanine class B (EUR 16.2mn, 3.75Y WAL), both in floating-rate format, will be offered. Also in ABS, Crédit Agricole will reoffer the senior tranches of its previously retained French consumer deal GNKGO 2016-PL1. The deal is roadshowing this week. In March, this originator also remarketed the senior class (2.6Y WAL) in GNKGO 2015-SF, which priced at +40bp DM.

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Given the recent spread compression in UK RMBS, the announcement of a new UK NC deal does not come as a surprise. Dukinfield II, a GBP 321mn transaction backed by legacy loans from multiple UK lenders has also been announced, offering the entire structure with the exception of the junior class. The pool is dominated by Paratus AMC (formerly GMAC-AMC) mortgages. The only deal launched after the summer break so far has been Newday’s privately placed EUR 247.8mn UK credit card ABS.

Looking back at primary-market activity, August has seen lower, albeit solid new issuance amid the summer lull, with about EUR 7.2bn in new volumes from seven deals that were at least partly placed with investors. Transactions that cater to a smaller investor base were in the spotlight, including leveraged loan CLOs and non-performing loan (NPL) transactions. Notably, Banca Popolare di Bari privately placed the first post-crisis Italian NPL transaction, which benefits from a state guarantee (referred to as the “GACS” mechanism) for its senior tranche. Perhaps equally important, Kensington Mortgages/GE Money issued the first post-Brexit UK non-conforming RMBS, thus underlining the ongoing risk appetite on the part of ABS investors. At the end of August, total public issuance was roughly EUR 57.1bn in 2016, moderately lagging the EUR 59.6bn during the same period last year. Elsewhere, a decent number of in-house deals across sectors were also launched in August, which are typically structured for ECB-repo purposes, thus bypassing investors.

Brief Comments ■ Pre-referendum UK Prime RMBS pool performance

was stable. In May, the performance of UK prime RMBS collateral registered further improvement yoy and remained broadly stable since February 2016, according to Moody's. Arrears remained moderate, with 90-plus day delinquencies edging 43bp lower yoy to 0.72% (-15bp yoy when excluding the Granite portfolio), while they were unchanged since February 2016 at 0.72%. The legacy Arran pool, which has experienced substantial delevering, was the only program to register a material reduction in late-stage arrears since February 2016 (-25bp at 0.38%). Early arrears (i.e. 60-90 days) improved by another 23bp yoy to 0.32% in the run-up to the Brexit referendum while experiencing no material change since February 2016 (see chart below), indicating that fewer mortgage loans have become newly delinquent. Outstanding repossessions remained virtually flat yoy at 0.02%, with minimal increases in vintage deals such as Arran and Gracechurch. Cumulative losses were also unchanged at 0.07% in May 2016 when excluding the Granite portfolio. Periodic loss severities, which measure principal losses in a given reporting quarter in proportion to the total principal balance of a sold property, continued to tick up, averaging 25.5% in March 2016, although programs have been subject to considerable variation. At the lower end, Silverstone (8.7%) and Arran (10.9%) exhibited only moderate loss severities whereas Fosse (30.9%) and Gracechurch (44%) were at the higher end. While prepayments increased by about 140bp yoy to 13.4%, they experienced a significant drop since February 2016, when they stood at 18.5%.

A look at the individual programs, however, reveals that the sharp fall was driven by a one-off effect in the legacy Gracechurch portfolio and, to a lesser extent, by a moderate decline in the Arkle, Fosse and Holmes pools. Going forward, we expect CPR levels to edge higher again driven by the availability of refinancing in the wake of the BoE’s upcoming Term Funding Scheme (TFS) and ongoing scheduled or unscheduled repayments in legacy pools. In 2H16, current low levels of arrears are likely to persist given the high pool quality and low unemployment. As shown by the 17 August UK unemployment reading, the labor market has yet to show signs of weakness. While our economists caution that it’s too early to see the impact of the Brexit referendum on the labor market since hiring and firing tend to lag economic activity, we expect 2H16 RMBS collateral performance to be stable. Still, we will closely watch UK labor market data in the coming months given the link between unemployment and delinquencies as the main risk to performance, as insufficient financial flexibility would impair mortgage payment affordability. In contrast, UK mortgage performance is less sensitive to a moderate housing downturn.




UK PRIME COLLATERAL PERFORMANCE INDICATORS

12-year low in early arrears highlights sound collateral backdrop

Source: Moody's, UniCredit Research

■ Post-referendum UK house prices are on the rise, but new mortgage approvals have declined. The ongoing momentum in the UK housing market appears to be at odds with other property market indicators that have suggested a slowdown in house prices. According to Nationwide, UK house prices advanced at the fastest pace in five months, rising 5.6% yoy in August to a new high. The index has thus gained nearly 40% since its trough in February 2009 (see chart). In regional terms, however, house price appreciation still varies considerably, with London and the South East among the more overheated markets. Only recently, Nationwide’s London house price index rose to a new high in 2Q16, essentially doubling since its trough in 1Q09. London and the South East of England typically account for one quarter to one third of UK Prime RMBS collateral.

On the upside, while house prices may stagnate over the next year or experience some correction, a more pronounced decline is cushioned by lower borrowing costs in the wake of the BoE’s TFS boost. The robust picture in the housing market is in contrast to recent mortgage application data, a common forward-looking indicator of house price momentum. UK July Bank of England mortgage approvals dropped by 5.1% mom in July, while they plunged by 12.4% yoy to 60,912 – a 19-month low. The decline largely reflects buyer reticence following the Brexit referendum and could stabilize in the coming months, in line with other recent UK consumer data.

UK HOUSE PRICES HIT NEW HIGH IN AUGUST

House prices appreciation accelerates

Source: Bloomberg, UniCredit Research

■ Delinquency rates have improved in European SME loans and leases. The latest ABS index, whose underlying deals are collateralized by SME loans and leases from Europe, remained stable in June. According to Moody’s, 90-to-360-day arrears dropped by 62bp yoy to 1.1%, while 60-to-90-day arrears were down by 36bp yoy to 0.4%. The late-stage index’s movement improved, with deals from Spain (-90bp yoy to 1.5%), Italy (-80bp yoy to 1.9%) and the UK (55bp yoy to 2.0%) outperforming, while those from Belgium remained stable, at around 0.3%. Cumulative defaults continued to rise (to 4.3%) with deals from Belgium (1.5%) and Portugal (1.7%) outperforming. Prepayments increased from 6.9% in June 2015 to 7.6% in June 2016.

PERFORMANCE IN EMEA ABS SME REMAINED STABLE…

…across the most relevant countries

Source: Moody’s, UniCredit Research

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■ Dutch Prime RMBS performance remains strong. Continued better-than-average collateral performance has prompted Moody’s to maintain its stable outlook on Dutch RMBS. As of June, 90-plus-day arrears were at 0.4%, which represents a drop of 24bp yoy, or 6bp mom, while late-stage arrears ranged from 4bp (HERMES series) and 23bp (Best) to 126bp (E-MAC NL). Prepayments decreased by 61bp mom in June, their third consecutive monthly drop, which compares to a peak of 8.05% in March. Cumulative defaults edged higher by 31bp yoy to 1.02%, while cumulative losses remained fairly stable, at 0.18%. Three deals were closed in June, two by ING Bank (Orange Lion) and one by Obvion (STORM). Thus, the downward trend in outstanding pool balance came to a halt in June, as the balance increased by EUR 14.3bn to reach 173.4bn.

DUTCH PRIME RMBS (90-PLUS-DAY DELINQUENCIES)

Lifetime delinquencies by series continue to trend down


■ Portuguese RMBS delinquencies edge lower. The current delinquency trend has remained largely intact. Also in June, 90-plus-day delinquencies slightly dropped by 8bp yoy to 0.78%, according to Moody’s. Late-stage arrears reached their latest peak of 1.4% in October 2012 and have continued to trend down since, while deals from BANIF underperformed for the period between March and June (+25bp to 1.47%). Outstanding defaults, which are defined as loans that are overdue by more than 12 months, increased by 34bp yoy, to 3.5%, with the deals from BANIF (up 26bp yoy to 1.34%) again underperforming. Prepayments continue to trend upwards, with a strong increase in June (by 102bp yoy to 2.83%). The deals ATLAM 1; HIPO 5; LUSI 4, 5 and 6 and PELIC 1 still report non-fully funded reserve funds or outstanding principal deficiency ledgers in the cases of LUSI 5 and 6.

STEADY PERFORMANCE IN PORTUGUESE RMBS

Late-stage arrears remained on a slight downward trend in June


■ Consumer Loan ABS have slightly changed for the worse. On an annual basis, the 90-to-180-day delinquency index by Moody’s remained stable in June, at 1.2%. After it reached its trough of 0.9% in August 2015, however, the late-stage-arrears index continued to trend up. Deals from France, Spain and the Netherlands improved, while Italian Consumer Loan ABS underperformed. 60-90-day delinquencies were better in June, when the index improved by 31bp yoy to 0.5%. Cumulative defaults rose by 54bp yoy to 4.4%, mainly as a result of an increase in Spanish deals (+160bp yoy to 8.25%), while Italian deals scored better (-16bp yoy to 3.06%). Prepayment rates, which have been on slight upward trend since 2012 (although with interruptions), increased by +151bp yoy to 15.23% in June.

EMEA CONSUMER LOAN ABS (90-180-DAY DELINQUENCIES)

… showed a slight deterioration in performance in June


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■ Spanish mortgage origination maintains momentum. Residential loans approved by Spanish lenders also picked up in June, with new mortgages rising by 15.5% yoy in June to 25,274 – the 25th consecutive month showing annual growth, according to data by the INE. While the number fell by 4.9% mom, the long-term uptrend remains intact. In May, new mortgages had hit the highest level since January 2012. The recent pickup has been driven by mortgages on urban properties, which continue to register double-digit annual growth (+12.0% yoy in June). In contrast, another mortgage loan indicator from the Spanish mortgage association paints a different picture, highlighting the ongoing shrinkage of the country’s mortgage market. Total Spanish mortgage loan volumes came in at EUR 680.1bn in June (-3.8% yoy and -0.2% mom), marking yet another long-term low.

SPANISH MORTGAGE APPROVALS

Approvals for residential loans continue their double-digit growth


■ Ongoing low default rates bode well for European leveraged loan CLOs. Recent default statistics continue to highlight the different stages of the credit cycles in the US and Europe. Against the resilient macro backdrop and healthy fundamentals, S&P’s speculative-grade default rate in Europe fell to 1.6% in July, with no new defaults last month. The earlier stage in the credit cyle bodes well for CLOs. At the same time, the performance of European leveraged loans has been stable amid the benign credit environment and ongoing low defaults, although the latter are still higher than pre-financial-crisis levels. S&P’s lagging 12M default rate for its ELLI ticked up just moderately, to 2.8% in August, from 2.3% in the rolling 12M period ending June. Meanwhile, the pace of global corporate defaults remains elevated versus previous years, reaching 117 as of 1 September, according to S&P, driven by US Oil & Gas names.

US AND EUROPEAN DEFAULT RATES: DIVERGING PATHS

Unlike the US, European default rates remain near multi-year lows

Source: S&P LCD, S&P, UniCredit Research

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Deal-Specific Information Date Deal name Event Description

September 2016 Fornax (Eclipse 2006-2) note event of default A note event of default has occurred after there was an interest shortfall on Class D, the most senior tranche outstanding, at the 22 August IPD. The deficit was largely caused by the higher average note coupon payable by the issuer as loans have been repaid.

September 2016 Deco 14 PE 5 property sales Further sales have been reported for the CGG loan (EUR 88.5mn, 28% of pool, mixed German assets) which defaulted at maturity in January 2014. Unna raised gross proceeds of EUR 560K versus the latest revaluation of EUR 380K and the OMV of EUR 1mn; Wolfsburg Hochring and Burgwall sold for EUR 18.7mn, below the revaluation of EUR 22.34mn and the OMV of EUR 20.61mn, apparently due to the need for urgent capex.

September 2016 Deco 7 PE2 sales proceeds Sales proceeds from another Karstadt Kompakt loan property sale have been received. Funds from the sale of the Gladbeck property (which had been notarized in November 2015), were received in August 2016. The gross sales price for the Gladbeck Property was EUR 3.85mn – above the market value of EUR 3.06mn as stated in the latest valuation. The proceeds, received on a counsel client account net of certain sales-related costs (such as priority claims and registered charges) amounted to EUR 3,794,452.50 – from which certain further sales related costs will be deducted. The net disposal proceeds from the sale will be applied on the October 2016 IPD. The Issuer Special Servicer continues to retain funds from disposal proceeds on a counsel client account to cover future costs.

September 2016 Hercules (Eclipse 2006-4) noteholder meeting Operating adviser Cheyne Capital has called an informal noteholder meeting for 20 September 2016. On the agenda are various resolution strategies for the two defaulted loans, Ashbourne and Welbeck. The GBP 72mn Ashbourne loan is 50% of a position shared with Equinox Eclipse and is backed by a care home portfolio. A recent RNS suggests that the sales process has made some advances with a preferred bidder having toured much of the estate and able to show proof of financing. Welbeck, a GBP 27.8mn loan backed by leisure assets including Brighton Pier, defaulted at maturity in July. It has a reported LTV of 52.6%.

August 2016 Indus (Eclipse 2007-1) waiver Ahead of loan maturity in January 2017, the No2 2&3 (GBP54.9mn, last loan, 220 retail units) borrower requested and was granted a waiver to allow the sale of properties at below the release price. Various provisions were agreed: The borrower has paid GBP 600K into an escrow account; a cash sweep is now in place and the net sale prices are required to be at least 105% of the ALAs.




Primary Market Deal name: Newday Funding 2016-1 plc Closing date: Sep 1, 2016 Bloomberg ID: NDFT 2016-1

Originator: NewDay Lead Managers: Bank of America Merrill Lynch, Santander, SG Corporate & Investment Banking, RBC Swap counterparty: None

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – UK credit card ABS by NewDay, pre-placed – No. of borrowers: 715,535 – Average contract amount: 1,300 – WA seasoning: 4.7Y – Regional concentration: South England (28.30%), Scotland (9.00%)

A GBP 129.3 mn 51.2% NR/NR/AAA/AAA 2.75Y 2019e 1mL + 150 bp B GBP 18.81 mn 44.1% NR/NR/AA/AA (high) 2.75Y 2019e 1mL + 280 bp C GBP 27.825 mn 33.6% NR/NR/A/A (high) 2.75Y 2019e 1mL + 380 bp D GBP 37.895 mn 19.3% NR/NR/BBB/BBB

(high) 2.75Y 2019e 1mL + 435 bp

E GBP 20.14 mn 11.7% NR/NR/BB/BB (high) 2.75Y 2019e 1mL + 535 bp F GBP 13.78 mn 6.5% NR/NR/B/B (high) 2.75Y 2019e 1mL + 635 bp

Source: Concept ABS, Bloomberg, UniCredit Research

Deal name: FCT Eurotruck Lease III Closing date: Aug 16, 2016 [S&P]

Originator: Fraikin Assets SAS Lead Managers: Crédit Agricole CIB, Natixis, Lloyds Bank Corporate Markets

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – French/Spanish truck lease receivables ABS incl. RVs – No. of loans: 39,812 – No. of borrowers: 39,812 – Revolving period: 5.0Y – Regional concentration: France (85.10%), Spain (14.90%)

Term loan facility

EUR 400 mn --- BBB/NR/NR/NR --- 2043 190.0% fixed

Term notes

EUR 335 mn --- BBB/NR/NR/NR --- 2043 190.0% fixed


Deal name: Popolare Bari NPLs 2016 Srl Closing date: Aug 12, 2016

Originator: Banca Popolare di Bari Lead Manager: JP Morgan Swap counterparty: JP Morgan

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italian NPL securitization by BPB – Regional concentration: Italy (100.00%) – Property backed: 62.8% – Corporate borrower: 80.7% – Individual borrower: 19.3% – Gross book value (GBV): 471mn

A EUR 126.5 mn --- NR/Baa1/NR/BBB (high)

--- --- 6mE + 50 bp

B EUR 14 mn --- NR/B2/NR/B (high) --- --- 6mE + 600 bp J EUR 10.035 mn --- NR/NR/NR/NR --- --- ---


https://www.globalcreditportal.com/ratingsdirect/showArticlePage.do?rand=S1hzHdFdrL&sid=1607839&sind=A&object_id=9580005&rev_id=1&from=SR




Deal name: Toro European CLO 2 DAC Closing date: Aug 12, 2016 Bloomberg ID: TCLO 2X

Originator: Chenavari IM Lead Manager: Citigroup Swap counterparty: None

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – European leveraged-loan CLO by Chenavari Credit Partners – Revolving period: 4.0Y – Portion ramped-up at closing: 70.00% – Non-call period: 2.0Y

A EUR 212.3 mn --- NR/Aaa/AAA/NR --- 2028 3mE + 126 bp B EUR 39.7 mn --- NR/Aa2/AA/NR --- 2028 3mE + 205 bp C EUR 18.7 mn --- NR/A2/A/NR --- 2028 3mE + 300 bp D EUR 17.5 mn --- NR/Baa2/BBB/NR --- 2028 3mE + 420 bp E EUR 24.5 mn --- NR/Ba2/BB/NR --- 2028 3mE + 675 bp F EUR 10.5 mn --- NR/B2/B-/NR --- 2028 3mE + 800 bp Sub EUR 39.55 mn --- NR/NR/NR/NR --- 2028 ---


Deal name: UBI SPV Group 2016 Srl Closing date: Aug 11, 2016 Bloomberg ID: UBIM 2016-1

Originator: Unione di Banche Italiane Lead Manager: SG Corporate & Investment Banking Swap counterparty: None

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Italian Prime RMBS by Unione di Banche Italiane - retained – Reserve account: 4.0% (Will amortize to 2%) – Total size of pool: mn 2,845 mn – No. of borrowers: 22,140 – Average contract amount: mn 121,600 – WA seasoning: 6.0Y – Revolving period: 3.0Y – Arrears: 0.86% (>1 month) – Regional concentration: Italy (100.00%), North Italy (73.00%), South Italy (14.40%), Central Italy (12.60%) – >90% LTV: 42.9%

A EUR 2085.6 mn 27.5% NR/A1/NR/A (low) 5.77Y 2070 3mE + 75 bp B1 EUR 113.8 mn --- NR/NR/NR/NR --- 2070 --- B2 EUR 62.7 mn --- NR/NR/NR/NR --- 2070 --- B3 EUR 133.9 mn --- NR/NR/NR/NR --- 2070 --- B4 EUR 95.4 mn --- NR/NR/NR/NR --- 2070 --- B5 EUR 244.4 mn --- NR/NR/NR/NR --- 2070 --- B6 EUR 51 mn --- NR/NR/NR/NR --- 2070 --- B7 EUR 59.1 mn --- NR/NR/NR/NR --- 2070 ---





Pipeline

RMBS Deal name: Storm 2016-II B.V. Exp. closing date: Sep 2016 [Moody's]

Originator: Obvion NV Lead Managers: JP Morgan, Rabobank Swap counterparty: Obvion NV

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – Dutch Prime RMBS, Class A comes with a 3mE+60bp coupon, marketing – Excess spread: 50 bp – Average contract amount: EUR 207,000 – WA seasoning: 5.9Y – Interest-only: 52.1% – NHG: 29.9% – Self-employed borrowers: 11.5%

A EUR tba 8.0% NR/Aaa/AAA/ - 4.9Y IPTs low/mid 30bp B EUR tba 5.2% NR/Aa1/AA-/ - 4.9Y C EUR tba 3.1% NR/Aa3/BBB+/ - 4.9Y D EUR tba 1.0% NR/A2/B+/ - 4.9Y E EUR tba 0.0% NR/Ba1/NR/ - 4.9Y


Deal name: Dukinfield II Plc Exp. closing date: Sep 2016 Bloomberg ID: DKFLD 2 [Moody's] [S&P]

Originator: Multiple UK lenders Lead Manager: Royal Bank of Scotland Plc Swap counterparty: None

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – UK NC RMBS, marketing – No. of borrowers: 2,277 – Average contract amount: 169,200 – WA seasoning: 9.0Y – County court judgment: 21.9% – Self-certified: 54.1% – Interest-only: 89.9% – Self-employed borrowers: 41.6%

A GBP 215 mn 34.83% AAA/Aaa/NR/NR 3.86Y 2021e 155a B GBP 28.1 mn 26.08% AA/Aa1/NR/NR 5.04Y 2021e 245a C GBP 17.7 mn 20.58% AA-/A1/NR/NR 5.04Y 2021e 300a D GBP 18.5 mn 14.83% A/Baa3/NR/NR 5.04Y 2021e 415a E GBP 11.2 mn 11.33% BBB/Ba3/NR/NR 5.04Y 2021e 535a F GBP 30.5 mn 0.0% NR/NR/NR/NR


https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1037209


https://www.globalcreditportal.com/ratingsdirect/showArticlePage.do?articleId=1705245




ABS Deal name: FCT Ginkgo Compartment Personal Loans 2016-1 (remarketing) Exp. closing date: Sep 2016 Bloomberg ID: GNKGO 2016-PL1

Originator: Credit Agricole Consumer Finance Lead Manager: Crédit Agricole CIB Swap counterparty: Credit Agricole SA

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – French consumer ABS by Credit Agricole, Classs A and B remarketing – No. of borrowers: 87,506 – Average contract amount: EUR 9,100 – WA seasoning: 1.0Y

A EUR 500 mn 38.5% AAA/NR/AAA/NR 2.2Y B EUR 78.4 mn 28.7% AA/NR/AA/NR 3.5Y


Deal name: Globaldrive Auto Receivables 2016-B B.V. Exp. closing date: Sep 2016 Bloomberg ID: GLDR 2016-B [Moody's] [DBRS]

Originator: FCE Bank PLC Lead Managers: Banca IMI, Bank of America Merrill Lynch, BNP Paribas SA, Crédit Agricole CIB Swap counterparty: Crédit Agricole CIB

Additional description Class Volume CE S&P / M / F / D WAL Lfm Spread – German Auto Loan ABS, marketing – Total size of pool: EUR 542 mn – No. of loans: 32,773 – No. of borrowers: 31,336 – Borrower types: Private (87%), commercial (13%) – WA seasoning: 0.4Y – Arrears: 0 – Loan type: : , car loans (new): 81.2%, car loans (used): 18.8% – WA interest rate: 2.0% – Regional concentration: North Rhine-Westphalia (29.00%), Baden-Württemberg (14.00%), Bavaria (Bayern) (12.00%) – Balloon loans: 81.4%

A EUR 498.3 mn 8.71% NR/Aaa/NR/AAA 2.08Y B EUR 16.2 mn 5.71% NR/Aa2/NR/AA

(high) 3.75Y

C EUR 27.186 mn NR/NR/NR/NR



http://www.dbrs.com/research/299040/globaldrive-auto-receivables-2016-b-b-v-presale-report.pdf




Last Week's Rating Changes ■ Deleveraging Upgrades: GC FTPYME Pastor 4 (S&P) Class C to AA- from B+. Bilkreditt 6 (S&P) Class B to AA- from single-A. Ares Euro CLO I (Moody's) Class D to A2 from A3.

Turbo Finance 4 (Fitch) Class B to AAA from AA-; C to A+ from BBB+; Turbo Finance 5 Class B to AA- from A+; C to single-A from BBB. Motor 2014-1 (S&P) Class B to AAA from single-A. Italfinance 2005-1 (S&P) Class B to single-A from A-; C to BBB+ from BBB; D to BBB from BB. E-MAC DE 2005-I (S&P) Class B to BBB from BB+; C to single-B from B-. FAB CBO 2005-1 (Moody’s) Class A2 to A2 from Baa1; B to B2 from Caa1. Eurohome UK 2007-2 (S&P) Class A to single-A from BBB+; M1 to BBB+ from BBB; M2 to BBB- from BB; B1 to B+ from B. Private Driver 2013-1, 2013-2 (DBRS) Class B to AA (high) from A (high). Prospero CLO II (Moody’s) Class C to Aa3 from A2. Leek Finance Number Eighteen (Moody’s) Class Ca and Cc upped to Aa3 from A2. Slate No.1 Plc (Moody’s) Class C to Aa3 from A2 and Class D to Baa1 from Baa3. VCL 20 (S&P) Class B to AA+ from A+. Panther CDO V (S&P) Class A1 to AA+ from AA; A2 to AA+ from AA-; B to A+ from BBB+; C to BBB+ from BB+; D to B+ from B-; E to B- from CCC-. Abruzzo 2015 RMBS (DBRS) Class A to A(hi) from A. CELF Loan Partners IV (Moody’s) Class B to Aaa from Aa1; C to Aa3 from A1.

■ Spirit Issuer: Improving earnings prompt upgrades at Fitch of Classes A1 to A7 to BB+ from BB. EBITDA for the year ending January 2016 rose by 11.2% to GBP 161.8mn, GBP 4.6mn ahead of the agency’s expectations.

■ REITALY Finance: Italian commercial property market conditions have improved since the securitization of a single loan advanced by Goldman Sachs to an Italian REIT controlled by Apollo Capital was priced a year ago. Yields on properties have dropped from above the long-term average, where they reflected economic risks, to below, as interest rates look set to be at zero or below for the foreseeable future. With an initial NTV of 65.5%, Class E of the deal has been upgraded at Fitch to BB from BB-.

■ Fornax (Eclipse 2006-2): Three loans remain in the Barclays pan-European CMBS, Cassina Plaza (EUR 39.9mn, Milan offices) earmarked for sale in late 2015 via a DPO transaction. The key tenant’s lease is up for renewal in the near future and Fitch anticipates poor recoveries despite the published valuation of EUR 55.6mn. Class E is trimmed to CCC from B-, with a recovery rate of 95% expected. This also results in Class F’s recovery expectation being cut to zero from its former 50%.

RATING ACTIONS: 9 AUGUST TO 6 SEPTEMBER 2016

Date Deal Name Class ISIN Agency From To 06-Sep-16 C.R. Volterra Finance S.r.l. A IT0004538085 Moody's Aa2 WR 06-Sep-16 FCT Ginkgo Compartment Sales Finance 2013-1 B FR0011630961 Fitch AA AAA 06-Sep-16 FCT Ginkgo Compartment Sales Finance 2013-1 C FR0011630979 Fitch A+ AA+ 06-Sep-16 FCT Ginkgo Compartment Sales Finance 2014-1 B FR0012185932 Fitch AA AA+ 06-Sep-16 SC Germany Auto 2014-2 UG A XS1107063676 DBRS A AH 02-Sep-16 Gracechurch Mortgage Financing plc Series 2012-1 5A XS0793290023 S&P AAA NR 02-Sep-16 Taurus CMBS (Pan-Europe) 2007-1 Ltd. A2 XS0309194248 DBRS BL CCC 01-Sep-16 Eurocredit CDO IV B.V. Q combo XS0204662430 S&P BB+ NR 01-Sep-16 FAB CBO 2005-1 B.V. A2 XS0214987181 Moody's Baa1 A2 01-Sep-16 FAB CBO 2005-1 B.V. B XS0214987264 Moody's Caa1 B2




Date Deal Name Class ISIN Agency From To 31-Aug-16 Driver UK Master S.A., Compartment 2 (2016-1) A XS1434683642 Moody's A1 Aaa 31-Aug-16 E-MAC DE 2005-I B.V. B XS0221901050 S&P BB+ BBB 31-Aug-16 E-MAC DE 2005-I B.V. C XS0221902538 S&P B- B 31-Aug-16 Italfinance Securitization Vehicle (ITA 8) B IT0003963409 S&P A- A 31-Aug-16 Italfinance Securitization Vehicle (ITA 8) C IT0003963433 S&P BBB BBB+ 31-Aug-16 Italfinance Securitization Vehicle (ITA 8) D IT0003963474 S&P BB BBB 31-Aug-16 Motor 2014-1 Plc B XS1057399740 S&P A AAA 30-Aug-16 Ares Euro CLO-1 B.V. D XS0292444055 Moody's A3 A2 30-Aug-16 Reitaly Finance Srl E IT0005119216 Fitch BB- BB 30-Aug-16 Turbo Finance 4 plc B XS0992116870 Fitch AA- AAA 30-Aug-16 Turbo Finance 4 plc C XS0992146430 Fitch BBB+ A+ 30-Aug-16 Turbo Finance 5 UK plc B XS1028946009 Fitch A+ AA- 30-Aug-16 Turbo Finance 5 UK plc C XS1028946850 Fitch BBB A 26-Aug-16 Bilkreditt 6 Ltd B XS1101831516 S&P A AA- 26-Aug-16 Caixa Penedes PYMES 1 FTA B ES0357326018 Fitch BB A+ 26-Aug-16 Caixa Penedes PYMES 1 FTA C ES0357326026 Fitch CCC B- 26-Aug-16 Equity Release Funding No. 4 Plc A2 XS0197423345 Fitch AA/* WD 26-Aug-16 Equity Release Funding No. 4 Plc B XS0197423774 Fitch A/* WD 26-Aug-16 Equity Release Funding No. 4 Plc C XS0197424236 Fitch BBB/* WD 26-Aug-16 Equity Release Funding No. 4 Plc D XS0197424400 Fitch BBB/* WD 26-Aug-16 Fondo de Titulizacion de Activos (Hipocat 7) B ES0345783023 Fitch A A+ 26-Aug-16 Fondo de Titulizacion de Activos (Hipocat 8) A2 ES0345784013 Fitch A/*+ A+ 26-Aug-16 Fondo de Titulizacion de Activos (Hipocat 8) B ES0345784021 Fitch BBB A 26-Aug-16 Fondo de Titulizacion de Activos (Hipocat 9) A2a ES0345721015 Fitch BBB BBB+ 26-Aug-16 Fondo de Titulizacion de Activos (Hipocat 9) A2b ES0345721023 Fitch BBB BBB+ 26-Aug-16 GC FTPYME Pastor 4 C ES0332233040 S&P B+ AA- 26-Aug-16 North Westerly CLO III B XS0260897607 S&P AA+ AAA 26-Aug-16 North Westerly CLO III C XS0260898167 S&P BBB+ A+ 26-Aug-16 North Westerly CLO III E XS0260900674 S&P CCC+ B- 26-Aug-16 Phoenix Funding 5 Ltd A2 XS0783935728 DBRS AA AAA 26-Aug-16 Phoenix Funding 5 Ltd A3 XS0783935991 DBRS AA AAA 26-Aug-16 Windermere X CMBS Ltd. D XS0293898457 Fitch D WD 25-Aug-16 Cairn CLO II B.V. B XS0313389644 S&P AA+ AAA 25-Aug-16 Cairn CLO II B.V. C XS0313390576 S&P A+ AAA




Date Deal Name Class ISIN Agency From To 25-Aug-16 Cairn CLO II B.V. D XS0313391111 S&P BBB- A+ 25-Aug-16 Cairn CLO II B.V. E XS0313391897 S&P B- B+ 25-Aug-16 Cavendish Square Funding A1 N XS0241540763 S&P BBB+ A- 25-Aug-16 DECO 10 (Pan-Europe 4) Plc A2 XS0276271375 Fitch BB+ BB+/*+ 25-Aug-16 DECO 10 (Pan-Europe 4) Plc B XS0276272001 Fitch B+ B+/*+ 25-Aug-16 DECO 10 (Pan-Europe 4) Plc C XS0276273074 Fitch CC CC 25-Aug-16 DECO 10 (Pan-Europe 4) Plc D XS0276273660 Fitch C D 25-Aug-16 EleX Alpha S.A. B XS0279707532 S&P AA+ AAA 25-Aug-16 EleX Alpha S.A. C XS0279707706 S&P AA AAA 25-Aug-16 EleX Alpha S.A. D XS0279707961 S&P BBB- BBB+ 25-Aug-16 Highlander Euro CDO BV C XS0261920564 S&P BB+ A+ 25-Aug-16 Highlander Euro CDO BV D XS0261924715 S&P CCC- B- 25-Aug-16 Jubilee CDO V B XS0220306475 S&P AA+ AAA 25-Aug-16 Pharma Finance 3 A IT0004323702 Fitch CCC WD 25-Aug-16 Pharma Finance 3 B IT0004323728 Fitch CC WD 25-Aug-16 Pharma Finance 3 C IT0004323744 Fitch AAA WD 24-Aug-16 Ares Euro CLO II A XS0325301090 S&P AA+ AAA 24-Aug-16 Ares Euro CLO II B XS0325301330 S&P A+ AA+ 24-Aug-16 Ares Euro CLO II C XS0325304946 S&P BBB+ AA- 24-Aug-16 Ares Euro CLO II D XS0325305323 S&P BBB+ AA- 24-Aug-16 Avoca CLO IV C1 US053813AC51 S&P BBB+ A+ 24-Aug-16 Avoca CLO IV C2 US053813AH49 S&P BBB+ A+ 24-Aug-16 Avoca CLO IV N US053813AK77 S&P CCC- B- 24-Aug-16 TdA 19 Mixto, FTA C ES0377964020 Fitch AA AA+ 23-Aug-16 Arianna SPV S.r.l. A IT0004984149 DBRS A A/*- 23-Aug-16 Arianna SPV S.r.l. B IT0004984743 DBRS BBB BBB/*- 23-Aug-16 Golden Bar (Securitisation) Srl Series 2016-1 A IT0005210031 DBRS A A/*- 23-Aug-16 Golden Bar (Securitisation) Srl Series 2016-1 D IT0005210106 DBRS B B/*- 23-Aug-16 IBL CQS 2013 S.r.l. A IT0004984164 DBRS A A/*- 23-Aug-16 IBL CQS 2013 S.r.l. B IT0004984446 DBRS BBBH BBBH/*- 23-Aug-16 IBL CQS S.r.l. Series 2012-2 A IT0004839145 DBRS A A/*- 23-Aug-16 IBL CQS S.r.l. Series 2012-2 B IT0004838899 DBRS BBBH BBBH/*- 23-Aug-16 IBL Finance Srl (IBL CQS 2015) A IT0005108698 DBRS AL AL/*- 23-Aug-16 Madeleine SPV S.r.l. A IT0004928658 DBRS A A/*-




Date Deal Name Class ISIN Agency From To 23-Aug-16 Madeleine SPV S.r.l. B IT0005054439 DBRS BBB BBB/*- 23-Aug-16 Quarzo CQS S.r.l. A IT0005092470 DBRS A A/*- 23-Aug-16 Towers CQ Srl A (marketed) IT0005199309 DBRS A A/*- 23-Aug-16 Towers CQ Srl A (retained) IT0005199309 DBRS A A/*- 23-Aug-16 Towers CQ Srl B (marketed) IT0005199317 DBRS BBB BBB/*- 23-Aug-16 Towers CQ Srl B (retained) IT0005199317 DBRS BBB BBB/*- 23-Aug-16 VCL Multi-Compartment SA Comp VCL 19 A XS1022746959 DBRS AAA NR 23-Aug-16 VCL Multi-Compartment SA Comp VCL 19 B XS1022763533 DBRS AA NR 22-Aug-16 Holland Homes Oranje MBS B.V. A XS0238851827 Fitch AA A+ 22-Aug-16 Laurelin II B.V. A-1E XS0305009382 S&P AA+ AAA 22-Aug-16 Laurelin II B.V. A-1S XS0305009465 S&P AA+ AAA 22-Aug-16 Laurelin II B.V. A-2 XS0305009978 S&P AA AAA 22-Aug-16 Laurelin II B.V. B1 XS0305010398 S&P A+ AAA 22-Aug-16 Laurelin II B.V. B2 XS0305095365 S&P A+ AAA 22-Aug-16 Laurelin II B.V. C XS0305010471 S&P A- AA+ 22-Aug-16 Laurelin II B.V. D1 XS0305010711 S&P BBB- A+ 22-Aug-16 Laurelin II B.V. D2 XS0305195157 S&P BBB- A+ 22-Aug-16 Laurelin II B.V. E XS0305011016 S&P BB BB+ 22-Aug-16 Panther CDO V A1 XS0308593671 Fitch A+ AA 22-Aug-16 Panther CDO V A2 XS0308594059 Fitch BBB AA 22-Aug-16 Panther CDO V B XS0308594489 Fitch BB A 22-Aug-16 Panther CDO V C XS0308594729 Fitch B BB 22-Aug-16 VCL Multi-Compartment SA Comp VCL 19 A XS1022746959 Fitch AAA PIF 22-Aug-16 VCL Multi-Compartment SA Comp VCL 19 B XS1022763533 Fitch AA+ PIF 19-Aug-16 FCT Marsollier Mortgages B FR0010744649 DBRS AA AAA 19-Aug-16 FCT Marsollier Mortgages C FR0010744656 DBRS A AA 19-Aug-16 FCT Marsollier Mortgages D FR0010744664 DBRS BBB A 19-Aug-16 FCT Marsollier Mortgages E FR0010744672 DBRS BB BBBL 19-Aug-16 FTPYME Bancaja 3 C ES0304501044 S&P BB BBB+ 19-Aug-16 SVG Diamond II CFO M1 XS0242729589 Fitch B A 19-Aug-16 SVG Diamond II CFO M2 USG8600WAD14 Fitch B A 18-Aug-16 Ares Euro CLO-1 B.V. A-2 XS0292443321 S&P AA+ AAA 18-Aug-16 Ares Euro CLO-1 B.V. A-3 XS0292443677 S&P AA+ AAA 18-Aug-16 Ares Euro CLO-1 B.V. B-1 XS0292443750 S&P AA AAA




Date Deal Name Class ISIN Agency From To 18-Aug-16 Ares Euro CLO-1 B.V. B-2 XS0292653481 S&P AA AAA 18-Aug-16 Ares Euro CLO-1 B.V. C XS0292443917 S&P A+ AA+ 18-Aug-16 Ares Euro CLO-1 B.V. D XS0292444055 S&P BB+ BBB+ 18-Aug-16 Ares Euro CLO-1 B.V. E XS0292444139 S&P CCC+ B+ 18-Aug-16 Ares Euro CLO-1 B.V. F XS0292444303 S&P CCC CCC+ 18-Aug-16 Bavarian Sky S.A., Compartment German Auto Loans 2 B XS1083303419 DBRS AA AAA 18-Aug-16 E-CARAT 2 plc B XS0963248710 Fitch AA+ AAA 18-Aug-16 RevoCar 2014 UG A XS1073062934 S&P AA- AAA 17-Aug-16 ACA Euro CLO 2007-1 Plc C XS0304808560 S&P AA+ AAA 17-Aug-16 ACA Euro CLO 2007-1 Plc D XS0304810897 S&P BB+ BBB+ 17-Aug-16 Atlantes Finance No 6 (Gamma STC) A PTGAM3OM0008 DBRS A/*+ AA 17-Aug-16 E-MAC NL 2004-I BV A XS0188806870 Fitch AAA AAA/*- 17-Aug-16 E-MAC NL 2004-I BV B XS0188807506 Fitch AA+ AA+/*- 17-Aug-16 E-MAC NL 2004-II BV A XS0207208165 Fitch AAA AAA/*- 17-Aug-16 E-MAC NL 2004-II BV B XS0207209569 Fitch AA AA/*- 17-Aug-16 E-MAC NL 2005-I BV A XS0216513118 Fitch AAA AAA/*- 17-Aug-16 E-MAC NL 2005-I BV B XS0216513548 Fitch AA AA/*- 17-Aug-16 E-MAC NL 2005-III BV A XS0236785431 Fitch AAA AAA/*- 17-Aug-16 E-MAC NL 2005-III BV B XS0236785860 Fitch AA- AA-/*- 17-Aug-16 E-MAC NL 2006-II BV A XS0255992413 Fitch AAA AAA/*- 17-Aug-16 E-MAC NL 2006-II BV B XS0255993577 Fitch AA- AA-/*- 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-I A2 XS0292255758 Fitch AAA AAA/*- 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-I B XS0292256301 Fitch A BBB+ 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-I D XS0292260162 Fitch B CCC 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-III A2 XS0307677640 Fitch AAA AAA/*- 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-III B XS0307682210 Fitch A A- 17-Aug-16 E-MAC Program B.V. / Compartment NL 2007-III D XS0307683291 Fitch B CCC 17-Aug-16 E-MAC Program B.V. Compartment NL 2006-III A2 XS0274609923 Fitch AAA AAA/*- 17-Aug-16 E-MAC Program B.V. Compartment NL 2006-III B XS0274610855 Fitch A BBB+ 17-Aug-16 E-MAC Program B.V. Compartment NL 2006-III D XS0274611747 Fitch B CCC 17-Aug-16 E-MAC Program II B.V. / Compartment NL 2007-IV A XS0325178548 Fitch AAA AAA/*- 17-Aug-16 E-MAC Program II B.V. / Compartment NL 2007-IV B XS0325183464 Fitch A A- 17-Aug-16 E-MAC Program II B.V. / Compartment NL 2007-IV D XS0325184355 Fitch B CCC 17-Aug-16 E-MAC Program II B.V. Compartment NL 2008-IV A XS0355816264 Fitch AAA AAA/*-




Date Deal Name Class ISIN Agency From To 17-Aug-16 E-MAC Program II B.V. Compartment NL 2008-IV B XS0355816421 Fitch AA AA/*- 17-Aug-16 E-MAC Program II B.V. Compartment NL 2008-IV D XS0355816934 Fitch BB B 17-Aug-16 E-MAC Program III B.V. / Compartment NL 2008-I A2 XS0344800957 Fitch AAA AAA/*- 17-Aug-16 E-MAC Program III B.V. / Compartment NL 2008-I B XS0344801765 Fitch AA AA- 17-Aug-16 E-MAC Program III B.V. / Compartment NL 2008-I C XS0344801922 Fitch A BBB+ 17-Aug-16 E-MAC Program III B.V. / Compartment NL 2008-I D XS0344802060 Fitch BB B 15-Aug-16 The Higher Education Securitised Investments A3 XS0085726403 Moody's B3 Caa1 15-Aug-16 The Higher Education Securitised Investments A4 XS0085726585 Moody's B3 Caa1 15-Aug-16 The Higher Education Securitised Investments (Thesis 1) A3 XS0094829461 Moody's B3 Caa1 15-Aug-16 The Higher Education Securitised Investments Series No. 1 PLC (THESIS) A3 XS0085726403 Moody's B3 Caa1 15-Aug-16 The Higher Education Securitised Investments Series No. 1 PLC (THESIS) A4 XS0085726585 Moody's B3 Caa1 12-Aug-16 Berica ABS 3 S.r.l. B IT0005027948 DBRS A AH 12-Aug-16 Casaforte S.r.l. A IT0004644636 Fitch B- B-/* 12-Aug-16 Casaforte S.r.l. B IT0004644644 Fitch B- B-/* 12-Aug-16 CELF Loan Partner IV B XS0294240717 Moody's Aa1 Aaa 12-Aug-16 CELF Loan Partner IV C XS0294241103 Moody's A1 Aa3 12-Aug-16 Celtic Residential Irish Mortgage Securitisation No .12 Ltd. A3 XS0305171059 Moody's Baa1/*+ A3 12-Aug-16 Celtic Residential Irish Mortgage Securitisation No .12 Ltd. B XS0305171562 Moody's Ba3/*+ Ba2 12-Aug-16 Celtic Residential Irish Mortgage Securitisation No .12 Ltd. C XS0305172610 Moody's Caa3/*+ Caa3 12-Aug-16 FORNAX (ECLIPSE 2006-2) B.V. E XS0267555570 Fitch B- CCC 11-Aug-16 Nostrum Mortgages No.2 (Tagus STC) A PTTGUIOM0007 S&P BBB+ A- 11-Aug-16 Panther CDO V A1 XS0308593671 S&P AA AA+ 11-Aug-16 Panther CDO V A2 XS0308594059 S&P AA- AA+ 11-Aug-16 Panther CDO V B XS0308594489 S&P BBB+ A+ 11-Aug-16 Panther CDO V C XS0308594729 S&P BB+ BBB+ 11-Aug-16 Panther CDO V D XS0308595296 S&P B- B+ 11-Aug-16 Panther CDO V E XS0308595536 S&P CCC- B- 10-Aug-16 VCL Multi-Compartment SA Comp VCL 20 B XS1106980979 S&P A+/*+ AA+ 09-Aug-16 CR Volterra 2 SPV Srl (second issuance) M IT0005210890 DBRS BBB 09-Aug-16 Sinepia DAC A1 XS1460667394 Fitch B-e B- 09-Aug-16 Sinepia DAC A3 XS1460667808 Fitch B-e B- 09-Aug-16 Sinepia DAC A4 XS1460668012 Fitch B-e B-

Source: Rating Agencies, Bloomberg, Concept ABS, UniCredit Research




Rating Drift RATING DRIFT: 90-DAY MOVING AVERAGE

Source: Rating Agencies, Bloomberg, UniCredit Research

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 between upgrades and 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


RATING ACTIONS PER SECTOR: LAST 90-DAYS


-5

-4

-3

-2

-1

0

1

2

3

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

Mar

-14

Sep

-14

Mar

-15

Sep

-15

Mar

-16

Sep

-16

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

-4

-3

-2

-1

0

1

2

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

Mar

-14

Sep

-14

Mar

-15

Sep

-15

Mar

-16

Sep

-16

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

45 42

156

16

223

151 5

52 52

ABS CDO CLO CMBS RMBS

Num

ber o

f rat

ing

actio

ns

Upgrades Downgrades




Primary Market Comparison AUTO ABS, NEW ISSUANCE COMPARISON

Source: UniCredit Research

EUROPEAN RMBS, NEW ISSUANCE COMPARISON


DRVUK 3 A

DRVUK 3 B

DRUKM 2015-1 ATURBF 6 A

ECARA 6 AORBTA 2016-1 A

DRUKM 2016-1C2 A

SILVA 6 A

DRVES 2 A

KIMI 4 A

VCL 22 ATTSOC 2015-1 A

BILK 7 A

VCLM 2015-1R2A A

BSKY 4 A GLDR 2016-A A

DRVES 3 A

VCL 23 A

BUMP 7 A

BUMP 7 B

BSKY GER4 A

CAR 2016-G1V A

CAR 2016-G1V B

SCGA 2016-1 A

VCLMN 2016-1A A

SILVA 7 A

0

20

40

60

80

100

120

Sep-15 Dec-15 Mar-16 May-16 Aug-16

Issu

ance

spr

ead

(bp)

Auto 1mL Issues Auto 1mE Issues

STORM 2015-2 A

HYPEN 4 A1

HYPEN 4 A2 PERMM 2015-1X A3

PENAT 5 A1

PENAT 5 A2DFUND 2015-1 A2A GFUND 2016-1X A2A

STORM 2016-1 A1

STORM 2016-1 A2SMI 2016-1X 2A1

PRADO 2 A

GFUND 2016-2X A1ADFUND 2016-1X A1A

ARENA 2016-1NHG A1

ARENA 2016-1NHG A2STORM 2016-GRN A

ALBIN 3 A

PERMM 2015-1X A2DFUND 2015-1 A1

TRINI 2015-1X ATRINI 2015-1X M

GFUND 2016-1X A1B

FRIAR 3 ADRWBY 4 A

SMI 2016-1X 1A2

TPMF 2016-GR1A A

GFUND 2016-2X A1BDFUND 2016-1X A1BHMI 2016-1X A2

LAN 2016-1 1A

10

30

50

70

90

110

130

Sep 15 Dec 15 Mar 16 May 16 Aug 16

Issu

ance

spr

ead

(bp)

3mE Issues 3mL Issues




Market Statistics CUMULATIVE ISSUANCE

Source: UniCredit Research, Bloomberg, ConceptABS

TOTAL ABS OUTSTANDING BY SECTOR


ISSUANCE BY ASSET CLASS


TOTAL ABS OUTSTANDING ABS BY COUNTRY


ISSUANCE BY COUNTRY


TOTAL ABS OUTSTANDING BY RATING


4.0 8.6 19

.5

43.6

97.9 11

3.5 127.

2

130.

8 151.

4 170.

6

202.

6

212.

3

3.2 12

.0

38.0 47

.9

70.2 82

.9

126.

9

136.

0

143.

6 166.

7 190.

5

220.

0

9.7

36.7

56.3

76.8

0

50

100

150

200

250

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

EUR

bn

equi

vale

nt

2014 2015 2016

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Jul-0

5

Jul-0

6

Jul-0

7

Jul-0

8

Jul-0

9

Jul-1

0

Jul-1

1

Jul-1

2

Jul-1

3

Jul-1

4

Jul-1

5

Jul-1

6

Volu

me

(EU

R b

n)

RMBS ABS CMBS CLO CDO

816.2

415.7368.5 346.1

224.8164.7

212.3 220.0160.5

0

100

200

300

400

500

600

700

800

900

2008 2009 2010 2011 2012 2013 2014 2015 2016YTD

EU

R b

n eq

uiva

lent

ABS RMBS CDO CLO CMBS Retained

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Jul-0

5

Jul-0

6

Jul-0

7

Jul-0

8

Jul-0

9

Jul-1

0

Jul-1

1

Jul-1

2

Jul-1

3

Jul-1

4

Jul-1

5

Jul-1

6

Volu

me

(EU

R b

n eq

uiva

lent

)

UK Netherlands Spain Italy Germany France Portugal Other

0

100

200

300

400

500

600

700

800

900

2008 2009 2010 2011 2012 2013 2014 2015 2016YTD

EU

R b

n eq

uiva

lent

United Kingdom Netherlands Italy SpainGermany Multi Other Retained

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Jul-0

7

Jul-0

8

Jul-0

9

Jul-1

0

Jul-1

1

Jul-1

2

Jul-1

3

Jul-1

4

Jul-1

5

Jul-1

6

Volu

me

(EU

R b

n)

AAA AA A BBB BB B CCC CC




PUBLIC ISSUANCE (EXCL. RETAINED DEALS)

PERCENTAGE BY DEAL TYPE IN 2016


ISSUANCE IN EUR BN

Asset class 2014 YTD

2014 total

2015 YTD

2015 total

2016 YTD

ABS 21.4 33.9 24.1 35.7 17.2 CDO 0.0 0.0 0.0 1.1 0.0 CLO 9.2 16.4 11.7 15.7 10.5 CMBS 2.1 5.2 5.1 5.3 1.2 RMBS, thereof 16.9 27.5 19.8 35.0 28.5 Netherlands 5.9 9.7 5.4 5.9 4.3 United Kingdom 7.4 13.1 11.4 25.2 20.1 Spain 0.1 0.1 0.3 0.3 0.4 Italy 2.7 3.7 0.2 0.2 2.8 Germany 0.0 0.0 0.2 0.2 0.0 Other 0.9 0.9 2.5 3.3 0.8 Total 49.7 83.0 60.8 92.8 57.3


PERCENTAGE BY DOMICILE OF ASSETS IN 2016


ISSUANCE IN EUR BN

Domicile of Assets

2014 YTD

2014 total

2015 YTD

2015 total

2016 YTD

Netherlands 6.4 11.0 4.6 6.4 4.8 United Kingdom 14.1 27.7 20.5 38.1 25.5 Spain 0.4 0.4 2.8 3.5 1.3 Italy 5.7 10.5 4.4 4.9 5.4 Germany 5.4 9.4 10.5 16.0 6.2 Multi 8.0 14.5 10.6 14.7 10.9 Ireland 0.0 0.0 0.4 0.4 0.0 Other 3.3 9.5 5.7 8.9 3.2 Total 43.3 83.0 59.6 92.8 57.3


PERCENTAGE BY CURRENCY IN 2016


ISSUANCE IN EUR BN

Currency 2014 YTD

2014 total

2015 YTD

2015 total

2016 YTD

EUR 31.5 53.1 41.1 55.9 32.4 GBP 14.8 25.1 16.1 32.3 22.4 USD 3.0 4.3 2.8 3.2 1.3 Other 0.5 0.5 0.8 1.4 1.2 Total 49.7 83.0 60.8 92.8 57.3


ABS30.0%

CDO0.0%

CLO18.3%CMBS

2.0%

RMBS49.7%

2016 YTD

Netherlands8.4%

United Kingdom44.5%

Spain2.2%

Italy9.4%

Germany10.9%

Multi19.0%

Other5.6%

2016 YTD

EUR57%

GBP39%

USD2%

Other2%

2016 YTD




RETAINED DEALS

PERCENTAGE BY DEAL TYPE IN 2016


ISSUANCE IN EUR BN

Asset class 2015 total 2016YTD ABS 30.0 35.1 CDO 0.0 0.0 CLO 25.0 6.3 CMBS 0.3 0.0 RMBS, thereof 72.0 61.8 Netherlands 13.5 23.5 United Kingdom 12.7 10.2 Spain 9.9 17.6 Italy 3.7 1.7 Germany 20.3 0.0 Other 11.8 8.9 Total 127.3 103.2


PERCENTAGE BY DOMICILE OF ASSETS IN 2016


ISSUANCE IN EUR BN

Domicile of Assets

2015 total 2016YTD

Netherlands 14.7 23.6 United Kingdom 19.0 12.3 Spain 25.9 23.2 Italy 20.0 23.4 Germany 29.1 2.5 Multi 0.0 0.0 Ireland 0.3 2.0 Other 18.3 16.1 Total 127.3 103.2


PERCENTAGE BY CURRENCY IN 2016


ISSUANCE IN EUR BN

Currency 2015 total 2016 YTD EUR 108.4 90.6 GBP 18.6 12.3 USD 0.0 0.0 Other 0.3 0.3 Total 127.3 103.2


ABS34.0%

CLO6.1%

CMBS0.0%

RMBS59.9%

2016 YTD

Netherlands23%

United Kingdom12%

Spain22%

Italy23%

Germany2%

Multi0%

Other16%

2016 YTD

EUR87.8%

GBP11.9%

USD0.0%

2016 YTD




RATING DISTR.OF FUNDED TRANCHES IN EUR BN


ISSUANCE IN EUR BN

2014 YTD

2014 total

2015 YTD

2015 total

2016 YTD

AAA 84.1 115.4 49.2 81.4 52.0 AA 6.0 22.0 33.0 41.9 15.7 A 17.7 30.9 15.2 24.3 16.3 BBB 4.0 6.6 3.6 4.7 1.3 sub BBB 2.8 6.8 3.7 5.7 2.4 NR 15.1 23.2 11.7 17.7 13.9 Total 129.6 204.9 116.5 175.7 101.6


QUARTERLY ISSUANCE BY COUPON TYPE


ISSUANCE IN EUR BN

2013 YTD

2013 total

2014 YTD

2014 total

2015 YTD

Fixed 21.7 32.2 53.8 65.9 32.1 Floating 81.6 132.5 82.3 146.4 187.9 Total 103.3 164.7 136.1 212.3 220.0


0

20

40

60

80

100

120

140

AAA AA A BBB sub BBB NR

in b

n E

UR

2014 total 2015 total 2016 YTD

24.5 38

.4

28.8 40

.7

15.3

44.9

33.9 52

.4

31.1

38.851.4

66.6

53.3

4.9

11.7

5.0

10.5

4.3

49.1

4.0

8.6

6.9

6.1

9.3

9.8

3.0

0102030405060708090

100

2013

Q1

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

2015

Q4

2016

Q1

in b

n E

UR

Floating Fixed




Delinquency Data AUTO ABS 60-90 DAY DELINQUENCIES


DUTCH RMBS 60+ DAY DELINQUENCIES


UK PRIME RMBS 90+DAY DELINQUENCIES


UK NON-CONFORMING 90+ DAY DELINQUENCIES


ITALIAN RMBS 90+ DAY DELINQUENCIES


SPANISH RMBS 90+ DAY DELINQUENCIES


0.0

0.5

1.0

1.5

2.0

2.5

3.0

May

-06

Nov

-06

May

-07

Nov

-07

May

-08

Nov

-08

May

-09

Nov

-09

May

-10

Nov

-10

May

-11

Nov

-11

May

-12

Nov

-12

May

-13

Nov

-13

May

-14

Nov

-14

May

-15

Nov

-15

May

-16

(%)

France Germany Portugal Spain Italy UK Index (EMEA)

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

Jun-

04D

ec-0

4Ju

n-05

Dec

-05

Jun-

06D

ec-0

6Ju

n-07

Dec

-07

Jun-

08D

ec-0

8Ju

n-09

Dec

-09

Jun-

10D

ec-1

0Ju

n-11

Dec

-11

Jun-

12D

ec-1

2Ju

n-13

Dec

-13

Jun-

14D

ec-1

4Ju

n-15

Dec

-15

Jun-

16

(%)

2007 20082009 20102011 20122013 Index (Prime)2014/2015 Index (NHG)

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

May

-05

Nov

-05

May

-06

Nov

-06

May

-07

Nov

-07

May

-08

Nov

-08

May

-09

Nov

-09

May

-10

Nov

-10

May

-11

Nov

-11

May

-12

Nov

-12

May

-13

Nov

-13

May

-14

Nov

-14

May

-15

Nov

-15

May

-16

(%)

Arkle Arran Fosse GracechurchGranite Greenock Holmes LanarkLangton Others Permanent SilverstoneIndex

0

5

10

15

20

25

30

May

-05

Nov

-05

May

-06

Nov

-06

May

-07

Nov

-07

May

-08

Nov

-08

May

-09

Nov

-09

May

-10

Nov

-10

May

-11

Nov

-11

May

-12

Nov

-12

May

-13

Nov

-13

May

-14

Nov

-14

May

-15

Nov

-15

May

-16

(%)

2001-2004 2005 2006 2007 2008 Index

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

May

-06

Nov

-06

May

-07

Nov

-07

May

-08

Nov

-08

May

-09

Nov

-09

May

-10

Nov

-10

May

-11

Nov

-11

May

-12

Nov

-12

May

-13

Nov

-13

May

-14

Nov

-14

May

-15

Nov

-15

May

-16

(%)

2000-2004 2005 2006 20072008 2009 2010 20112012/2013 2014/2015 Index

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Apr

-07

Oct

-07

Apr

-08

Oct

-08

Apr

-09

Oct

-09

Apr

-10

Oct

-10

Apr

-11

Oct

-11

Apr

-12

Oct

-12

Apr

-13

Oct

-13

Apr

-14

Oct

-14

Apr

-15

Oct

-15

Apr

-16

(%)

1997-2005 2006 20072008 2009 20102011 2012-2014 Index




Market Spreads EUROPEAN PRIME RMBS (SENIOR TRANCHES)


EUROPEAN PRIME RMBS (BBB, WAL>2Y)


UK NON-CONFORMING (WAL>2Y)


EUROPEAN CMBS (AA, WAL>2Y)


EUROPEAN ABS (SENIOR TRANCHES, WAL >0.2Y)


OTHER EUROPEAN ABS


0

20

40

60

80

100

120

140

160

180

200

Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16

Spre

ad (b

p)

UK Prime RMBS (AAA) 0.5-2Y WAL UK Prime RMBS (AAA) 2-5Y WALDutch Prime RMBS (AAA) 0.5-2Y WAL Dutch Prime RMBS (AAA) 2-5Y WALItalian Prime RMBS (AA) 2-5Y WAL Spain Prime RMBS (A) 2-5Y WAL

0

50

100

150

200

250

300

350

400

450

500


Spre

ad (b

p)

Portugal Prime RMBS (BBB) 2-10Y WALSpain Prime RMBS (BBB) 5-10Y WALItalian Prime RMBS (BBB) 5-10Y WALPortugal Prime RMBS (A) 2-10Y WAL

50

100

150

200

250

300

350

Sep-14 Mar-15 Sep-15 Mar-16 Sep-16

Spre

ad (b

p)

UK Non-Conforming RMBS (AA) 2-5Y WALUK Non-Conforming RMBS (AA) 5-10Y WALUK Non-Conforming (A) 5-10Y WAL

0

50

100

150

200

Sep-14 Mar-15 Sep-15 Mar-16 Sep-16

Spre

ad (b

p)

German CMBS (AA) WAL>1YGerman CMBS (AA) WAL>1Y

0

10

20

30

40

50

60

70


Spre

ad (b

p)

Germany ABS Auto Leases AAA Germany ABS Auto Loans AAA

France Auto Loan ABS AAA European Auto ABS AAA (ex Germany)

0

50

100

150

200

250

300

Aug-14 Feb-15 Aug-15 Feb-16 Aug-16

Spre

ad (b

p)

Italian Lease (A) WAL>0.24Y



UniCredit Research page 26

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. This report may contain links to websites of third parties, the content of which is not controlled by UniCredit Bank. No liability is assumed for the content of these third-party websites. 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: UniCredit Group and its subsidiaries are subject to regulation by the European Central Bank 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. c) UniCredit Bank AG Hong Kong Branch (UniCredit Bank Hong Kong), 25/F Man Yee Building, 68 Des Voeux Road Central, Hong Kong. Regulatory authority: Hong Kong Monetary Authority, 55th Floor, Two International Financial Centre, 8 Finance Street, Central, Hong Kong d) UniCredit Bank AG Singapore Branch (UniCredit Bank Singapore), Prudential Tower, 30 Cecil Street, #25-01, Singapore 049712 Regulatory authority: Monetary Authority of Singapore, 10 Shenton Way MAS Building, Singapore 079117 e) UniCredit Bank AG Tokyo Branch (UniCredit Tokyo), Otemachi 1st Square East Tower 18/F, 1-5-1 Otemachi, Chiyoda-ku, 100-0004 Tokyo, Japan Regulatory authority: Financial Services Agency, The Japanese Government, 3-2-1 Kasumigaseki Chiyoda-ku Tokyo, 100-8967 Japan, The Central Common Government Offices No. 7.

POTENTIAL CONFLICTS OF INTERESTS A2A 3; Aareal Bank 3; ABN Amro Bank 3; Accor 3; Acea 3; adidas 8a; Air Liquide 8a; Airbus Group 3, 8a; Akzo Nobel 3; Allied Irish Banks 3; Amgen 3; Amplifon 8a; ArcelorMittal 2, 3; ASML 8a; Assicurazioni Generali 3, 8a; Astaldi 3; AT&T 3; Atlantia 3; Autostrada B. V. V. P. 3; AXA 3, 8a; Banca Carige 3; Banca P. Emilia Romagna 3; Banca Pop. di Vicenza 3; Banca Popolare di Milano 3, 8a; Banco de Sabadell 3; Banco Popolare Scarl 3; Banco Popular Espanol 3; Banco Santander 8a; Bank für Tirol und Vorarlberg 1a, 6a; Bank of America 3; Bank of Montreal 3; Bankinter 3; Barclays 3; BASF 8a; Bayer 3; BBVA 3, 8a; BCP 3; BKS Bank 1a, 6a; BMW 3, 8a; BNP Paribas 8a; Bouygues 3; Buzzi Unicem 3; Campari 3; Cap Gemini 3; Carrefour 8a; Cassa Depositi e Prestiti 3; Citigroup 3; Commerzbank 8a; Continental 3; Covestro 2; Credit Suisse 2; Daimler 3, 8a; Danone 8a; Danske Bank 3; Deutsche Bank 3, 8a; Deutsche Post DHL 8a; Deutsche Postbank 3; DNB 3; DZ Bank 3; E.ON 3, 8a; EDF 3; Edison 3; EDP 3; Eika BoligKreditt 3; Enel 3, 8a; Engie 3, 8a; ENI 3, 8a; Essilor 8a; European Investment Bank 3; European Union 3; EVN 3; EWE 3; Exor 3; FCA 3; FCA Bank 3; FCE Bank 3; FMS-WM 3; Fonciere des Regions 8a; Freistaat Bayern 3; Fresenius 8a; Gazprom 3; General Electric 3; Goldman Sachs 3; Hapag-Lloyd 2; HeidelbergCement 3; Heidelberger Druck 8a; Hera 3; HSBC 3; HypoVereinsbank 3; Iberdrola 3, 8a; IGD 3; IGT 3; IKB 3; ING 8a; Intesa Sanpaolo 3, 8a; IPIC 1b; Iren 3; K+S 8a; Kering 3; KPN 3; Kreditanstalt für Wiederaufbau 3; Land Baden-Württemberg 3; Land Berlin 3; Land Hessen 3; Land Nordrhein-Westfalen 3; Landesbank Berlin 3; Landwirtschaftliche Rentenbank 3; Leonardo-Finmeccanica 3; Lloyds Banking Group 3; Luxottica 3; LVMH 3; Mediobanca 1a, 3, 6a; MOL 1a, 8a; Morgan Stanley 3; Münchener Hypothekenbank 3; Nokia 3, 8a; Nord/LB 3; Nordea 3; Norilsk Nickel 3; Novartis 3; Oberbank 1a, 6a; OMV 3; Orange 3, 8a; Peugeot 3; Pfizer 3; PGNiG 3; Piaggio 3; PKN Orlen 3; PKO Bank 3; Poste Vita 3; Procter & Gamble 3; Prysmian 3; PZU 3; Raiffeisen Bank Int. 3; Renault 3; Repsol 3; Royal Bank of Canada 3; Saarland 3; Saint-Gobain 3, 8a; Salini Impregilo 3; Sanofi-Aventis 3, 8a; SAP 3, 8a; Schneider Electric 8a; SEB 3; Severstal 3, 8a; Siemens 3; Sixt 3; Snam 3; Société Générale 3, 8a; Suez Alliance 3, 8a; Svenska Handelsbanken 3; Swedbank 3; Telecom Italia 3, 8a; Telefonica 8a; Telekom Austria 3; Terna 3; ThyssenKrupp 3; Time Warner 3; Total 8a; UBI Banca 3; UBS 3; Unibail-Rodamco 8a; UniCredit 2, 3; UniCredit Bank Austria 3; UniCredit Bank Czech Republic 3; Unilever 3, 8a; Unipol 3; Veneto Banca 3; Verbund 3; Vestas 3; Vinci 8a; Vivendi 3, 8a; Volkswagen 3; Wells Fargo & Co 3; Wienerberger 3; Wind 3; Zobele 3 Key 1a: UniCredit Bank AG and/or any related legal person owns at least 2% of the capital stock of the analyzed company. Key 1b: The analyzed company owns at least 2% of the capital stock of UniCredit Bank AG and/or any related legal person. Key 2: UniCredit Bank AG and/or any related legal person has been lead manager or co-lead manager over the previous 12 months of any publicly disclosed offer of financial instruments of the analyzed company, or in any related derivatives. Key 3: UniCredit Bank AG and/or any related legal person 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 5: The analyzed company and UniCredit Bank AG and/or any related legal person have concluded an agreement on the preparation of analyses.




Key 6a: Employees or members of the Board of Directors of UniCredit Bank AG and/or any other employee that works for UniCredit Research (i.e. the joint research department of the UniCredit Group) and/or members of the Group Board (pursuant to relevant domestic law) are members of the Board of Directors of the analyzed company. Members of the Board of Directors of the analyzed company hold office in the Board of Directors of UniCredit Bank AG (pursuant to relevant domestic law). The application of this Key 6a is limited to persons who, although not involved in the preparation of the analysis, had or could reasonably be expected to have access to the analysis prior to its dissemination to customers or the public. Key 6b: The analyst is on the Supervisory Board/Board of Directors of the company they cover. Key 8a: UniCredit Bank AG and/or any related legal person hold a net long position exceeding 0.5% of the total issued share capital of the issuer. Key 8b: UniCredit Bank AG and/or any related legal person hold a net short position exceeding 0.5% of the total issued share capital of the issuer.

RECOMMENDATIONS, RATINGS AND EVALUATION METHODOLOGY Company Date Rec. Company Date Rec. Company Date Rec. Company Date Rec. AAFFP 01/12/2015 Hold DAA 10/11/2015 Coverage in

transition IFXGR 03/08/2016 Marketweight RCIBK 31/05/2016 Restricted

AALLN 16/02/2016 Hold DAIGR 31/05/2016 Marketweight IKB 14/06/2016 Marketweight RCIBK 04/03/2016 Marketweight ABESM 28/06/2016 Marketweight DAIGR 03/05/2016 Restricted IKB 10/11/2015 Coverage in

transition RCIBK 15/01/2016 Overweight

ABESM 10/05/2016 Restricted DAIGR 04/02/2016 Marketweight INEGRP 20/04/2016 Hold RDSALN 29/07/2016 Underweight ABIBB 18/04/2016 Marketweight DAIGR 29/10/2015 Restricted IREIM 16/03/2016 Marketweight REESM 29/10/2015 Overweight ABIBB 17/03/2016 Restricted DANBNK 02/05/2016 Marketweight IREIM 04/03/2016 No recommendation RENAUL 13/05/2016 Marketweight ABIBB 29/01/2016 Marketweight DANBNK 10/11/2015 Coverage in

transition IREIM 28/01/2016 Overweight RENAUL 04/03/2016 Overweight

ACAFP 12/05/2016 Marketweight DEKA 26/08/2016 Marketweight ISCTR 30/05/2016 Coverage in transition

RENAUL 15/01/2016 Marketweight

ACAFP 07/04/2016 Restricted DEKA 10/11/2015 Coverage in transition

ISCTR 08/02/2016 Hold REPSM 29/07/2016 Overweight

ACEIM 13/11/2015 Overweight DGELN 13/10/2015 Marketweight ISCTR 18/12/2015 Buy REPSM 05/04/2016 Marketweight ADENVX 10/08/2016 Underweight DLPH 04/08/2016 Overweight ISCTR 10/11/2015 Coverage in

transition RHMGR 20/06/2016 No recommendation

ADRBID 30/08/2016 Hold DLPH 05/02/2016 Marketweight JAGLN 15/02/2016 No recommendation ROSNRM 30/05/2016 Coverage in transition

ADRBID 18/07/2016 Restricted DLPH 30/10/2015 Underweight JAGLN 30/09/2015 Hold ROSW 12/05/2016 Marketweight ADSGR 06/11/2015 Buy DONGAS 04/08/2016 Overweight KERFP 21/06/2016 Overweight ROSW 18/02/2016 Restricted AEGON 12/05/2016 Underweight DPB 10/11/2015 Coverage in

transition KERFP 28/04/2016 Restricted RSHB 30/05/2016 Coverage in

transition AIG 03/08/2016 Marketweight DPWGR 03/08/2016 Underweight KNFP 11/05/2016 Marketweight RTEFRA 17/06/2016 Marketweight AIG 02/06/2016 Restricted DT 21/07/2016 Underweight KNFP 10/11/2015 Coverage in

transition RTEFRA 07/10/2015 Restricted

AIRFP 10/06/2016 Marketweight DT 04/05/2016 Marketweight KPN 30/08/2016 Restricted RURAIL 30/05/2016 Coverage in transition

AIRFP 09/05/2016 Restricted DT 14/03/2016 Restricted KPN 21/07/2016 Marketweight RZB 10/11/2015 Coverage in transition

AKBNK 30/05/2016 Coverage in transition

DWNIGY 10/11/2015 Marketweight KPN 29/01/2016 Overweight SAARLB 10/11/2015 Coverage in transition

AKBNK 18/12/2015 Buy DZBK 01/08/2016 Marketweight LBBER 10/11/2015 Coverage in transition

SABLN 15/10/2015 Marketweight

AKBNK 10/11/2015 Coverage in transition

DZBK 10/11/2015 Coverage in transition

LDOIM 06/05/2016 Hold SANFP 30/10/2015 Marketweight

ALBALN 01/03/2016 Hold EDCLLI 30/05/2016 Coverage in transition

LDOIM 30/09/2015 Restricted SANFP 14/09/2015 Restricted

ALBALN 08/09/2015 Buy EDF 19/01/2016 Underweight LECTA 29/08/2016 Hold SAPGR 20/07/2016 Underweight ALFARU 30/05/2016 Coverage in

transition EDF 05/11/2015 Marketweight LECTA 18/07/2016 Restricted SAPSJ 20/04/2016 Buy

ALOFP 04/03/2016 Marketweight EDF 07/10/2015 Restricted LHAGR 29/10/2015 Hold SAPSJ 14/03/2016 Restricted ALOFP 09/02/2016 Restricted ENEASA 01/10/2015 Marketweight LHNVX 12/11/2015 Marketweight SBERRU 30/05/2016 Coverage in

transition ALRSRU 30/05/2016 Coverage in ENELIM 23/06/2016 Marketweight LHNVX 18/09/2015 Restricted SCABSS 29/08/2016 Marketweight




Company Date Rec. Company Date Rec. Company Date Rec. Company Date Rec. transition

ALUFP 29/01/2016 No recommendation ENELIM 18/05/2016 Restricted LINGR 28/07/2016 Marketweight SCMNVX 06/11/2015 Marketweight AMSSM 29/02/2016 Overweight ENELIM 10/02/2016 Marketweight LKQ 29/07/2016 Buy SCMNVX 09/09/2015 Restricted AMSSM 05/10/2015 Restricted ENGSM 17/02/2016 Marketweight LKQ 21/06/2016 Hold SDFGR 09/08/2016 Underweight AMXLMM 21/07/2016 Overweight ENIIM 02/08/2016 Marketweight LUKOIL 30/05/2016 Coverage in

transition SESGFP 29/04/2016 Marketweight

ANNGR 02/08/2016 Overweight ENIIM 10/05/2016 Restricted LUXIM 22/03/2016 Marketweight SEVFP 28/07/2016 Underweight ANNGR 06/06/2016 Restricted ENIIM 07/03/2016 Marketweight LUXIM 01/02/2016 Overweight SEVFP 12/05/2016 Restricted ANNGR 12/05/2016 Overweight ENIIM 28/10/2015 Restricted LUXIM 02/12/2015 Buy SGOFP 11/08/2016 Marketweight ANNGR 03/03/2016 Marketweight ENIIM 06/10/2015 Marketweight LXSGR 05/11/2015 Marketweight SHAEFF 31/03/2016 Buy ANNGR 10/02/2016 No recommendation EOFP 22/04/2016 Buy MANTEN 21/07/2016 Buy SHAEFF 18/12/2015 Hold ANNGR 09/12/2015 Restricted EOFP 18/12/2015 Hold MANTEN 17/11/2015 Hold SHAEFF 21/09/2015 Buy ANNGR 03/11/2015 Marketweight EPERGY 29/08/2016 Marketweight MATTER 12/04/2016 Buy SHAEFF 14/09/2015 Hold ANZ 09/05/2016 Marketweight EPERGY 17/06/2016 Overweight MCD 21/03/2016 No recommendation SIBNEF 30/05/2016 Coverage in

transition ANZ 10/11/2015 Coverage in

transition EPERGY 31/05/2016 Hold MDLZ 31/08/2016 Overweight SIBUR 30/05/2016 Coverage in

transition ANZNZ 09/05/2016 No recommendation EPERGY 12/04/2016 Restricted METINR 30/05/2016 Coverage in

transition SIEGR 06/09/2016 Restricted

ANZNZ 10/11/2015 Coverage in transition

EPERGY 04/02/2016 Hold MLFP 04/08/2016 Sell SKYLN 21/04/2016 Underweight

AREVAF 02/11/2015 Hold ESTONE 11/08/2016 Marketweight MNDILN 12/05/2016 Marketweight SKYLN 29/01/2016 Marketweight ARGID 20/04/2016 Hold ESTONE 18/04/2016 Underweight MNDILN 23/03/2016 Restricted SKYLN 09/11/2015 Restricted ARRFP 25/01/2016 Marketweight ETLFP 29/07/2016 Underweight MOBTEL 30/05/2016 Coverage in

transition SKYLN 30/09/2015 Overweight

ARRFP 10/11/2015 Restricted EUCHEM 30/05/2016 Coverage in transition

MOBYIT 14/06/2016 Buy SLB 19/10/2015 Underweight

ASBBNK 09/05/2016 No recommendation EVEVRV 10/06/2016 No recommendation MOLHB 29/06/2016 Buy SNAIM 16/12/2015 Hold ASBBNK 10/11/2015 Coverage in

transition EVKGR 30/08/2016 Restricted MOLHB 14/04/2016 Restricted SNAIM 18/09/2015 Sell

ASFFP 11/08/2016 Marketweight EVRAZ 30/05/2016 Coverage in transition

MOLHB 21/01/2016 Buy SNSBNK 19/08/2016 No recommendation

ASFFP 04/05/2016 Restricted EVRAZ 15/02/2016 Hold MONTE 06/05/2016 Underweight SNSBNK 10/11/2015 Coverage in transition

ASSGEN 12/05/2016 Restricted EVRAZ 25/01/2016 Sell MSSIN 20/07/2016 Hold SOCGEN 16/08/2016 Restricted ATLIM 12/11/2015 Marketweight EVRAZ 04/12/2015 Restricted MSSIN 24/03/2016 Buy SPPEUS 29/06/2016 Marketweight ATLIM 29/10/2015 Restricted EXCRTU 30/05/2016 Coverage in

transition MSSIN 18/02/2016 Hold SRGIM 07/12/2015 Marketweight

AXASA 04/05/2016 Marketweight EXCRTU 18/12/2015 Hold MTNA 15/04/2016 Hold SRGIM 03/11/2015 Restricted AXASA 23/03/2016 Restricted EXOIM 12/02/2016 Marketweight MTNA 24/03/2016 Restricted STANLN 27/04/2016 Marketweight BANCAR 12/05/2016 Underweight EXOIM 20/11/2015 Restricted MTNA 19/10/2015 Hold STANLN 10/11/2015 Coverage in

transition BASGR 27/05/2016 Marketweight EXOIM 12/11/2015 Marketweight NAB 09/05/2016 Marketweight STATK 05/02/2016 Underweight BASGR 27/04/2016 Underweight F 04/03/2016 Marketweight NAB 10/11/2015 Coverage in

transition STATK 29/10/2015 Marketweight

BASGR 29/03/2016 Restricted F 04/02/2016 Restricted NDB 27/11/2015 Marketweight STATK 14/09/2015 Restricted BASGR 27/10/2015 Underweight FCACAP 11/08/2016 Overweight NDB 15/09/2015 Restricted STERV 20/04/2016 Sell BCPPL 03/05/2016 Marketweight FCACAP 06/07/2016 Restricted NLMKRU 30/05/2016 Coverage in

transition STERV 12/10/2015 Hold

BCPPL 10/11/2015 Coverage in transition

FCACAP 13/04/2016 Overweight NOVO 20/01/2016 Restricted STLNO 04/02/2016 Marketweight

BERTEL 29/01/2016 Underweight FCACAP 15/03/2016 Restricted NOVO 18/01/2016 Hold SUFP 21/01/2016 Underweight BFCM 10/11/2015 Coverage in

transition FCAIM 11/04/2016 Hold NOVO 05/10/2015 Buy SWEDA 02/02/2016 Marketweight




Company Date Rec. Company Date Rec. Company Date Rec. Company Date Rec. BMY 21/01/2016 No recommendation FCAIM 23/03/2016 Restricted NVTKRM 30/05/2016 Coverage in

transition SWEDA 10/11/2015 Coverage in

transition BNP 30/10/2015 Marketweight FIREIT 12/02/2016 Underweight NYKRE 13/05/2016 Marketweight SWFP 21/03/2016 No recommendation BNRGR 16/03/2016 Marketweight FRFP 27/04/2016 Underweight NYKRE 10/11/2015 Coverage in

transition SYNNVX 20/04/2016 Marketweight

BNRGR 04/03/2016 Overweight FRFP 12/11/2015 Marketweight OCBCSP 26/02/2016 Marketweight SYNNVX 03/02/2016 Underweight BNRGR 25/11/2015 Restricted FTEAU 19/08/2016 No recommendation OCBCSP 10/11/2015 Coverage in

transition SYNNVX 13/11/2015 Marketweight

BPCEGP 11/05/2016 Marketweight FUMVFH 29/04/2016 Underweight ODGR 05/11/2015 Marketweight SZUGR 20/11/2015 Hold BPCEGP 10/11/2015 Coverage in

transition FUMVFH 08/01/2016 Restricted OMVAV 21/01/2016 Marketweight T 29/01/2016 Underweight

BPEIM 05/08/2016 No recommendation FUMVFH 22/10/2015 Underweight OMVAV 15/09/2015 Restricted TCGLN 27/07/2016 Buy BPEIM 13/05/2016 Marketweight GALPPL 14/10/2015 Buy ONTEX 05/11/2015 Hold TCGLN 18/09/2015 Hold BPIPL 29/04/2016 Marketweight GAMENT 15/07/2016 Restricted ORAFP 21/07/2016 Underweight TDCDC 21/07/2016 Underweight BPIPL 10/11/2015 Coverage in

transition GAMENT 18/03/2016 Hold ORAFP 29/01/2016 Overweight TDCDC 28/01/2016 Marketweight

BPLN 21/01/2016 Overweight GAMENT 16/12/2015 Buy PBBGR 03/03/2016 Marketweight TELEFO 28/10/2015 Marketweight BREMLB 10/11/2015 Coverage in

transition GARAN 30/05/2016 Coverage in

transition PBBGR 19/01/2016 Restricted TELIAS 29/01/2016 Overweight

BZLNZ 09/05/2016 No recommendation GARAN 18/12/2015 Hold PELHOL 29/03/2016 Hold TELIAS 19/10/2015 Marketweight BZLNZ 10/11/2015 Coverage in

transition GAZPRU 30/05/2016 Coverage in

transition PELHOL 02/03/2016 Buy TELNO 21/07/2016 Overweight

CABBCO 27/11/2015 Hold GAZPRU 25/01/2016 Overweight PELHOL 26/11/2015 Hold TELNO 19/07/2016 Marketweight CAIXAB 07/10/2015 No recommendation GAZPRU 29/09/2015 Restricted PEUGOT 27/04/2016 Sell TITIM 16/02/2016 Hold CBAAU 09/05/2016 Marketweight GCLIM 20/04/2016 Buy PEUGOT 25/04/2016 Hold TITIM 13/01/2016 Restricted CBAAU 10/11/2015 Coverage in

transition GFSLN 10/03/2016 Underweight PEUGOT 08/04/2016 Restricted TKAAV 21/07/2016 Underweight

CBLCSY 18/04/2016 Hold GLENLN 06/09/2016 Restricted PFE 07/04/2016 Marketweight TKAGR 16/02/2016 Sell CBLCSY 29/01/2016 Buy GMKNRM 30/05/2016 Coverage in

transition PGNPW 04/03/2016 Hold TLSAU 21/07/2016 Marketweight

CHMFRU 30/05/2016 Coverage in transition

GMKNRM 25/01/2016 Hold PIAGIM 01/08/2016 Hold TMENRU 30/05/2016 Coverage in transition

CHMFRU 25/01/2016 Buy GMKNRM 06/10/2015 Restricted PIAGIM 14/09/2015 Sell TMFG 18/09/2015 Hold CIRSA 26/07/2016 Hold GPBRU 30/05/2016 Coverage in

transition PKNPW 19/11/2015 Restricted TOTAL 28/06/2016 Marketweight

CIRSA 10/09/2015 Buy GT 01/08/2016 Hold PMIIM 11/05/2016 Marketweight TOTAL 10/05/2016 Restricted CMCRAV 31/05/2016 Hold GT 16/12/2015 Buy PMIIM 10/11/2015 Coverage in

transition TOTAL 11/04/2016 Marketweight

CMZB 02/11/2015 Marketweight HALKBK 30/06/2016 Restricted PNLNA 29/04/2016 Marketweight TOTAL 12/02/2016 Overweight CMZB 14/09/2015 Restricted HALKBK 30/05/2016 Coverage in

transition PNLNA 05/10/2015 Underweight TOTAL 02/02/2016 Marketweight

CNHI 31/05/2016 Hold HALKBK 18/12/2015 Hold POPSM 02/05/2016 Marketweight TOYOTA 05/08/2016 Marketweight CNHI 10/05/2016 Restricted HANIEL 21/03/2016 No recommendation POPSM 10/11/2015 Coverage in

transition TRNIM 28/07/2016 Underweight

CNHI 02/05/2016 Hold HEIANA 09/09/2015 Marketweight PRADA 30/08/2016 Buy TRNIM 18/02/2016 Marketweight COFP 21/03/2016 Hold HEIGR 06/04/2016 Buy PRADA 17/12/2015 Hold TRNIM 10/12/2015 Restricted COFP 18/01/2016 Marketweight HERIM 29/07/2016 Marketweight PROXBB 30/10/2015 Marketweight TRUBRU 30/05/2016 Coverage in

transition COFP 16/12/2015 Overweight HERIM 08/07/2016 Restricted PSON 04/03/2016 Marketweight UBS 03/05/2016 Marketweight CONGR 04/08/2016 Underweight HERIM 12/11/2015 Marketweight PSON 21/01/2016 Underweight UBS 14/03/2016 Restricted CONGR 12/01/2016 Marketweight HERIM 26/10/2015 Restricted PSON 30/10/2015 Marketweight UBS 13/10/2015 Marketweight CONGR 12/11/2015 Restricted HNDA 12/04/2016 No recommendation PUBFP 14/01/2016 Marketweight UNIIM 06/11/2015 Marketweight COVEGR 27/06/2016 Overweight HPLGR 10/08/2016 Sell RABOBK 19/08/2016 Marketweight UOBSP 26/02/2016 Marketweight CPGLN 21/03/2016 No recommendation HPLGR 24/02/2016 Hold RABOBK 10/11/2015 Coverage in UOBSP 10/11/2015 Coverage in




Company Date Rec. Company Date Rec. Company Date Rec. Company Date Rec. transition transition

CPGLN 25/11/2015 Marketweight HPLGR 28/09/2015 Restricted RACE 03/08/2016 Sell URKARM 30/05/2016 Coverage in transition

CPRIM 01/07/2016 Buy HPLGR 18/09/2015 Buy RACE 29/03/2016 Hold VAKBN 30/05/2016 Coverage in transition

CRBKMO 30/05/2016 Coverage in transition

HTZ 09/08/2016 Sell RBIAV 13/05/2016 Marketweight VAKBN 18/12/2015 Sell

CRH 18/11/2015 Restricted HTZ 29/02/2016 Hold RBIAV 10/11/2015 Coverage in transition

VATFAL 10/06/2016 Marketweight

CRHID 27/04/2016 Marketweight HTZ 10/11/2015 Sell RBS 08/08/2016 Underweight VEBBNK 30/05/2016 Coverage in transition

CS 04/02/2016 Marketweight IBM 20/07/2016 Overweight RBS 29/04/2016 Marketweight VEBBNK 26/11/2015 Hold CS 19/11/2015 Restricted IBM 31/03/2016 Marketweight RBS 31/03/2016 Restricted VIP 30/05/2016 Coverage in

transition DAA 12/05/2016 Marketweight IBM 29/02/2016 Restricted RCIBK 21/06/2016 Marketweight VIP 25/01/2016 Buy 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 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. 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. If not otherwise stated daily price data refers to pre-day closing levels and iBoxx bond index characteristics refer to the previous month-end index characteristics. 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 AG and/or other related legal persons with them regularly trade shares of the analyzed company. UniCredit Bank AG and/or other related legal persons may hold significant open derivative positions on the stocks of the company which are not delta-neutral. UniCredit Bank AG and/or other related legal persons have a significant financial interest relating to the analyzed company or may have such at any future point of time. Due to the fact that UniCredit Bank AG and/or any related legal person are entitled, subject to applicable law, to perform such actions at any future point in time which may lead to the existence of a significant financial interest, it should be assumed for the purposes of this information that UniCredit Bank AG and/or any related legal person will in fact perform such actions which may lead to the existence of a significant financial interest relating to the analyzed company.




Analyses may refer to one or several companies and to the securities issued by them. In some cases, the analyzed companies have actively supplied information for this analysis.

INVESTMENT SERVICES The analyzed company and UniCredit Bank AG and/or any related legal person concluded an agreement on the provision of investment services in the previous 12 months, in return for which the Bank and/or such related legal person received a consideration or promise of consideration or intends to do so. Due to the fact that UniCredit Bank AG and/or any related legal person are entitled to conclude, subject to applicable law, an agreement on the provision of investment services with the analyzed company at any future point in time and may receive a consideration or promise of consideration, it should be assumed for the purposes of this information that UniCredit Bank AG and/or any related legal person will in fact conclude such agreements and will in fact receive such consideration or promise of consideration.

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 You will find a list of further additional required disclosures under the laws and regulations of the jurisdictions indicated on our website www.cib-unicredit.com/research-disclaimer. Notice to Austrian investors: This analysis is only for distribution to professional clients (Professionelle Kunden) as defined in article 58 of the Securities Supervision Act. Notice to investors in Bosnia and Herzegovina: This report is intended only for clients of UniCredit in Bosnia and Herzegovina who are institutional investors (Institucionalni investitori) in accordance with Article 2 of the Law on Securities Market of the Federation of Bosnia and Herzegovina and Article 2 of the Law on Securities Markets of the Republic of Srpska, respectively, and may not be used by or distributed to any other person. 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. Notice to Brazilian investors: The individual analyst(s) responsible for issuing this report represent(s) that: (a) the recommendations herein reflect exclusively the personal views of the analysts and have been prepared in an independent manner, including in relation to UniCredit Group; and (b) except for the potential conflicts of interest listed under the heading “Potential Conflicts of Interest” above, the analysts are not in a position that may impact on the impartiality of this report or that may constitute a conflict of interest, including but not limited to the following: (i) the analysts do not have a relationship of any nature with any person who works for any of the companies that are the object of this report; (ii) the analysts and their respective spouses or partners do not hold, either directly or indirectly, on their behalf or for the account of third parties, securities issued by any of the companies that are the object of this report; (iii) the analysts and their respective spouses or partners are not involved, directly or indirectly, in the acquisition, sale and/or trading in the market of the securities issued by any of the companies that are the object of this report; (iv) the analysts and their respective spouses or partners do not have any financial interest in the companies that are the object of this report; and (v) the compensation of the analysts is not, directly or indirectly, affected by UniCredit’s revenues arising out of its businesses and financial transactions. UniCredit represents that: except for the potential conflicts of interest listed under the heading “Potential Conflicts of Interest” above, UniCredit, its controlled companies, controlling companies or companies under common control (the “UniCredit Group”) are not in a condition that may impact on the impartiality of this report or that may constitute a conflict of interest, including but not limited to the following: (i) the UniCredit Group does not hold material equity interests in the companies that are the object of this report; (ii) the companies that are the object of this report do not hold material equity interests in the UniCredit Group; (iii) the UniCredit Group does not have material financial or commercial interests in the companies or the securities that are the object of this report; (iv) the UniCredit Group is not involved in the acquisition, sale and/or trading of the securities that are the object of this report; and (v) the UniCredit Group does not receive compensation for services rendered to the companies that are the object of this report or to any related parties of such companies. Notice to Canadian investors: This communication has been prepared by UniCredit Bank AG, which does not have a registered business presence in Canada. This communication is a general discussion of the merits and risks of a security or securities only, and is not in any way meant to be tailored to the needs and circumstances of any recipient. The contents of this communication are for information purposes only, therefore should not be construed as advice and do not constitute an offer to sell, nor a solicitation to buy any securities. Notice to Cyprus investors: This document is directed only at clients of UniCredit Bank who are persons falling within the Second Appendix (Section 2, Professional Clients) of the law for the Provision of Investment Services, the Exercise of Investment Activities, the Operation of Regulated Markets and other Related Matters, Law 144(I)/2007 and persons to whom it may otherwise lawfully be communicated who possess the experience, knowledge and expertise to make their own investment decisions and properly assess the risks that they incur (all such persons together being referred to as “relevant persons”). This document must not be acted on or relied on by persons who are not relevant persons or relevant persons who have requested to be treated as retail clients. Any investment or investment activity to which this communication related is available only to relevant persons and will be engaged in only with relevant persons. This document does not constitute an offer or solicitation to any person to whom it is unlawful to make such an offer or solicitation. Notice to Hong Kong investors: This report is for distribution only to “professional investors” within the meaning of Schedule 1 to the Securities and Futures Ordinance (Chapter 571, Laws of Hong Kong) and any rules made thereunder, and may not be reproduced, or used by or further distributed to any other person, in whole or in part, for any purpose. This report does not constitute or form part of an offer or solicitation of any offer to buy or sell any securities, nor should it or any part of it form the basis of, or be relied upon in connection with, any contract or commitment whatsoever. By accepting this report, the recipient represents and warrants that it is entitled to receive such report in accordance with, and on the basis of, the restrictions set out in this “Disclaimer” section, and agrees to be bound by those restrictions. Notice to investors in Ivory Coast: The information contained in the present report have been obtained by Unicredit Bank AG from sources believed to be reliable, however, no express or implied representation or warranty is made by Unicredit Bank AG or any other person as to the completeness or accuracy of such information. All opinions and estimates contained in the present report constitute a judgement of Unicredit Bank AG as of the date of the present report and are subject to change without notice. They are provided in good faith but without assuming legal responsibility. This report is not an offer to sell or solicitation of an offer to buy or invest in securities. Past performance is not an indicator of future performance and future returns cannot be guaranteed, and there is a risk of loss of the initial capital invested. No matter contained in this document may be reproduced or copied by any means without the prior consent of Unicredit Bank AG. Notice to New Zealand investors: This report is intended for distribution only to persons who are “wholesale clients” within the meaning of the Financial Advisers Act 2008 (“FAA”) and by receiving this report you represent and agree that (i) you are a “wholesale client” under the FAA (ii) you will not distribute this report to any other person, including (in particular) any person who is not a “wholesale client” under the FAA. This report does not constitute or form part of, in relation to any of the securities or products covered by this report, either (i) an offer of securities for subscription or sale under the Securities Act 1978 or (ii) an offer of financial products for issue or sale under the Financial Markets Conduct Act 2013.




Notice to Omani investors: This communication has been prepared by UniCredit Bank AG. UniCredit Bank AG does not have a registered business presence in Oman and does not undertake banking business or provide financial services in Oman and no advice in relation to, or subscription for, any securities, products or financial services may or will be consummated within Oman. The contents of this communication are for the information purposes of sophisticated clients, who are aware of the risks associated with investments in foreign securities and neither constitutes an offer of securities in Oman as contemplated by the Commercial Companies Law of Oman (Royal Decree 4/74) or the Capital Market Law of Oman (Royal Decree 80/98), nor does it constitute an offer to sell, or the solicitation of any offer to buy non-Omani securities in Oman as contemplated by Article 139 of the Executive Regulations to the Capital Market Law (issued vide CMA Decision 1/2009). This communication has not been approved by and UniCredit Bank AG is not regulated by either the Central Bank of Oman or Oman’s Capital Market Authority. Notice to Pakistani investors: Investment information, comments and recommendations stated herein are not within the scope of investment advisory activities as defined in sub-section I, Section 2 of the Securities and Exchange Ordinance, 1969 of Pakistan. 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. The distribution of this report is intended only for informational purposes for the use of professional investors and the information and opinions contained herein, or any part of it shall not form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. 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 (as amended). The publisher and distributor of the document certifies that it has acted with due care and diligence in preparing it, however, assumes no liability for its completeness and accuracy. This document is not an advertisement. It should not be used in substitution for the exercise of independent judgment. Notice to Serbian investors: This analysis is only for distribution to professional clients (profesionalni klijenti) as defined in article 172 of the Law on Capital Markets. 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. CR e 10




UniCredit Research* Erik F. Nielsen Group Chief Economist Global Head of CIB Research +44 207 826-1765 [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]

Holger Kapitza Credit Strategy & Structured Credit +49 89 378-28745 [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]

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]

Dr. Michael Teig Banks +49 89 378-12429 [email protected]

Emanuel Teuber Covered Bonds +49 89 378-12961 [email protected]

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

Dr. Martina von Terzi Banks, Financial Services, Insurance +49 89 378-14245 [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] Christian Aust, CFA Industrials +49 89 378-12806 [email protected] Mehmet Dere Oil & Gas, EEMEA Energy, Consumer +49 89 378-11294 [email protected]

Michael Gerstner Utilities, Hybrids +49 89 378-15449 [email protected] Jonathan Schroer, CFA Media/Cable, Logistics, Business Services +49 89 378-13212 [email protected] Dr. Silke Stegemann, CEFA Health Care & Pharma, Food & Beverage, Personal & Household Goods +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.unicredit.eu

ABS Trading Thomas Bremer (UniCredit Bank), +49 89 378-12729, [email protected] Thomas März (UniCredit Bank), +49 89 378-13784, [email protected]

*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 Bank New York (UniCredit Bank NY), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech Republic and Slovakia,Bank Pekao, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Bank Romania. CR 24

Securitization Market Watch

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