Programmme Overview Ratings

Programmme size. J0,000,000,000 t Covered onds RaIing**. aa3- f ALe

|ssuer. anco LspiriIo SanIo, S.A. |ssuer Senior Unsecured raIing**. a3 f L
ToIal ousIanding liabiliIies. 4.765.000.000 t
ToIal MorIgage AsseIs in Ihe Cover Pool. 5.479.750.0J2 t ** y Moodys f DRS
Cover Pool Information
AsseI Iype. ResidenIial MorIgages Hedging contracts
AsseI currenI balance. 5.479.750.0J2 t asis |nIeresI RaIe Swap No
Average loan balance. 54.26J t Cover ond |nIeresI RaIe Swap Yes
CurrenI number oI loans. J00.988
Fixed RaIe AsseIs J38.677.038 t
FloaIing RaIe AsseIs 5.34J.072.974 t
WeighIed Average Remaining Term (Years). 25,56
WeighIed Average Seasoning (Years). 5,79 Over-Collateralisation levels
WeighIed Average Spread (). J,03 CurrenI Legal OC ***. J4,670
WeighIed Average |nIeresI RaIe (). 2,57 CurrenI OC****. J5,000
WeighIed Average CurrenI LTV*. 58,38
LTV Ihreshold. 80
* ased on Ihe currenI properIy valuaIion
Cover Bond Information
|S|N OuIsIanding Annual Coupon
PTLMVOL00JJ J.000.000.000 t 3,375
PTLR9OL00J2 J.350.000.000 t 6M Lur + 60 bp*****
PTLM|OL00J8 J.J25.000.000 t 6M Lur + 60 bp*****
PTLNAOL00J4 40.000.000 t 4,600
PTLQAOL00JJ J.250.000.000 t 6M Lur + 60 bp*****
*****Semi-annual coupon
|nIeresI RaIe Type. Fixed RaIe
Principal PaymenI. ulleI
}anuary 25Ih, 20JJ }anuary 25Ih, 20J8
}uly 2JsI, 20J0
AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs
Covered Bonds issed under Euro 10,000,000,000 Covered Bonds Programme
Summary Information
QuarIerly Covered ond ReporI - 30Ih March 20J2 QuarIerly Covered ond ReporI - 30Ih March 20J2 QuarIerly Covered ond ReporI - 30Ih March 20J2 QuarIerly Covered ond ReporI - 30Ih March 20J2
December J5Ih, 20J0
MaIuriIy DaIe
February J7Ih, 20J5
}uly 9Ih, 20J7
}anuary 26Ih, 20J7
SeIIlemenI DaIe
November J7Ih, 2009
}uly 9Ih, 20J0
}uly 2JsI, 20J7
**** Principal OusIanding alance oI Ihe Cover Pool divided by Ihe
Principal OusIanding alance oI Ihe Covered onds
which seIs Ihe minimum aI 5,2632
*** CalculaIed in accordance wiIh RegulaIion 6f2006 (ank oI PorIugal)
Assets Liabillities
Aggregate Principal Balance of the Cover Pool 5.479.750.0J2 Covered Bonds 4.765.000.000
Accrued and Unpaid Interest 7.943.362 Accrued Interest 20.64J.386
Cumulative Interest Received 32.44J.668
5.520.J35.042 t 5.520.J35.042 t 5.520.J35.042 t 5.520.J35.042 t 4.785.64J.386 t 4.785.64J.386 t 4.785.64J.386 t 4.785.64J.386 t
Hedging contracts
Asset Swap 4.4J4.729
Liability Swap 2.752.3J2
Assets/Liabilities ratio (excluding Hedging contracts): J5,348
87,2J Pass
JJ4,67 Pass
4,99 Pass
The maximum Loan Io Value Ior residenIial morIgages is 80 Pass
OIher AsseIs shall noI exceed 20 oI Ihe aggregaIe value oI Ihe Cover Pool 0,00 Pass
CumulaIive |nIeresI Received Iaking inIo accounI Hedging conIracIs 44.799.758
CumulaIive |nIeresI payable Iaking inIo accounI Hedging conIracIs 23.393.698
Page J
Pass
The IoIal amounI oI inIeresI Io be paid under Ihe covered bonds shall noI exceed, aI any Iime, Ihe amounI oI
inIeresI Io be collecIed Irom Ihe morIgage crediIs and oIher asseIs comprised in Ihe corresponding cover pool.
AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs AsseI-LiabiliIy ManagemenI and Financial RequiremenIs
Assets & Liabilities
Overcollateralisation, Valuation of Cover Pool and Issuer Covenants
The global nominal value oI Ihe ouIsIanding morIgage covered bonds cannoI exceed 95 per cenI. oI Ihe global
value oI Ihe morIgage crediIs and oIher asseIs aI any Iime comprised in Ihe relevanI cover pool ***
OvercollaIeralisaIion PercenIage shall noI be reduced below J05.2632 ***
The average maIuriIy oI ouIsIanding morIgage covered bonds cannoI exceed Ihe average maIuriIy oI Ihe
morIgage crediIs and subsIiIuIion asseIs allocaIed Io Ihe relevanI issue oI covered bonds
Performance
Days in arreas Days in arreas Days in arreas Days in arreas Nr oI Loans Nr oI Loans Nr oI Loans Nr oI Loans OuIsIanding OuIsIanding OuIsIanding OuIsIanding
0 - 3J days J00.988 5.479.750.0J2
> 3J days 0 0
** y Moodys
Seasoning
WeighIed Average Seasoning (Years). 5,79
Loan to Value
WA CurrenI LTV*. 58,38
Covered Bonds issued under Euro 10,000,000,000 Covered Bonds Programme
Cover Pool Information
96,98
J,54
J,47
0 J-J5 J6-3J
0
J00
200
300
400
500
600
700
800
J993 J995 J997 J999 200J 2003 2005 2007 2009 20JJ
t
M
i
l
l
i
o
n
s
Year oI OriginaIion Year oI OriginaIion Year oI OriginaIion Year oI OriginaIion
CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion
Interest rate type
FloaIing raIe 5.34J.072.973,66
Fixed raIe wiIh reseI <2 years 80.57J.J95,J6
Fixed raIe wiIh reseI z2 buI < 5 years 9.997.362,94
Fixed raIe wiIh reseI z5 years 48.J08.480,JJ
Contacts
Servicer
anco LspriIo SanIo, S.A.
Av. da Liberdade, J95, 9 andar
J250-J42 Lisboa, PorIugal
email. dIme.cor.securiIizQbes.pI Page 2
* ased on Ihe currenI properIy valuaIion
96,98
J,54
J,47
0 J-J5 J6-3J
0
J00
200
300
400
500
600
700
800
J993 J995 J997 J999 200J 2003 2005 2007 2009 20JJ
t
M
i
l
l
i
o
n
s
Year oI OriginaIion Year oI OriginaIion Year oI OriginaIion Year oI OriginaIion
0
200
400
600
800
J.000
J.200
J.400
J.600
J.800
0.00 -
40.00
40.0J -
50.00
50.0J -
60.00
60.0J -
70.00
70.0J -
80.00
t
M
i
l
l
i
o
n
s
CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion CurrenI LTV DisIribuIion
2,53
4,06
60,83
32,54
0,04
97,47
|nIeresI raIe Iype |nIeresI raIe Iype |nIeresI raIe Iype |nIeresI raIe Iype
Fixed raIe Luribor J2M Luribor 6M Luribor 3M Luribor JM