Mortgage Covered Bonds Investor Report - 29th June 2012

Report Reference Date: Report Frequency: 1. Credit Ratings Euro 10,000,000,000 Mortgage Covered Bond Programme Banco Esprito Santo, SA Portugal
1

2012-06-29 Quarterly Short Term n/a

Long Term Baa3 / AL*- (Moody's /DBRS) Ba3/BB-/BBBL*-(Moody's /S&P/DBRS) Ba3/BB/BB+/BBBL (Moody's / S&P / Fitch / DBRS)

NP / B /R-2M*- (Moody's / S&P / DBRS) NP/B/B/... (Moody's / S&P / Fitch / DBRS)

Most recent ratings

2. Covered Bonds Covered Bonds Outstanding Covered Bond 3 (PTBLMVOE0011) Covered Bond 4 (PTBER9OE0012) Covered Bond 5 (PTBLMIOE0018) Covered Bond 6 (PTBENAOE0014) Covered Bond 7 (PTBEQAOE0011)

Issue Date

Coupon

Maturity Date

Soft Bullet Date

Remaining Term (years) 4,74

Nominal Amount 4.465.000.000,00 1.000.000.000,00 1.050.000.000,00 1.125.000.000,00 40.000.000,00 1.250.000.000,00

2009-11-17 2010-07-09 2010-07-21 2010-12-15 2011-01-25

Fixed Floating Floating Fixed Floating

2015-02-17 2017-07-09 2017-07-21 2017-01-26 2018-01-25

2015-02-18 2017-07-09 2017-07-21 2017-01-27 2018-01-26

2,68 5,10 5,13 4,64 5,66 Remaining Term (years) 25,36 0,00 0,00 0,00 0,00 25,36

3. Asset Cover Test Mortgage Credit Pool Other Assets (Deposits and Securities at market value)2 Cash and Deposits RMBS Other securitues Total Cover Pool % of ECB eligible assets Overcollateralization with cash collateral (OC) Required overcollateralization (Moody's) - Minimum OC level to keep the current Mortgage Covered Bond Programme rating Required overcollateralization (DBRS) - Minimum OC level to keep the current Mortgage Covered Bond Programme rating Legal minimum overcollateralization
2

Nominal Amount 5.671.482.277,11 0,00 0,00 0,00 0,00 5.671.482.277,11 0,00% 27,02% 25% 15% 5,26%

Includes Liquidity Cushion (see section 5 below)

4. Mortgage Credit Pool Portofolio Main Characteristics Number of Loans Aggregate Original Principal Balance (EUR) Aggregate Current Principal Balance (EUR) Average Original Principal Balance per loan (EUR) Average Current Principal Balance per loan (EUR) Weight of subsidized loans (number of loans) % Weight of subsidized loans (current principal balance) % Weight of residential mortgages (number of loans) % Weight of residential mortgages (current principal balance) % Weight of commercial mortgages (number of loans) % Weight of commercial mortgages (current principal balance) % Weight of insured property (number of loans) % Weight of insured property (current principal balance) % Weight of interest-only loans (number of loans) % Weight of interest-only loans (current principal balance) % Current principal balance of the 5 largest borrowers Weight of the 5 largest borrowers (current principal balance) % Current principal balance of the 10 largest borrowers Weigth of the 10 largest borrowers (current principal balance) % Weighted Average Seasoning (months) Weighted Average Remaining Terms (months) Weighted Average Current Unindexed LTV (%) Weighted Average Current Indexed LTV (%) Weighted Average Interest Rate (%) Weighted Average Spread (%) Max Maturity Date (yyyy-mm-dd) Portfolio Interest Rate Type Fixed Floating Portfolio Seasoning Up to 1 year 1 to 2 years 2 to 3 years 3 to 4 years 4 to 5 years 5 to 6 years 6 to 7 years 7 to 8 years 8 to 9 years 9 to 10 years 10 to 11 years 11 to 12 years More than 12 Years Number of Loans 2,65% 97,35% Number of Loans 3,48% 5,89% 10,30% 6,68% 13,78% 9,76% 6,28% 4,48% 4,18% 4,70% 6,13% 5,06% 19,28% 105.651 7.214.234.638,76 5.671.482.277,11 68.283,64 53.681,29 20,97% 16,20% 100,00% 100,00% 0,00% 0,00% 100,00% 100,00% 1,46% 2,67% 10.648.582,99 0,19% 19.682.592,41 0,35% 71,63 304,09 58,38% 60,03% 2,23% 1,05% 2062-07-02 Total Loan Amount 2,29% 97,71% Total Loan Amount 3,90% 7,63% 14,61% 8,30% 15,85% 11,32% 7,18% 4,63% 3,66% 3,84% 5,00% 3,89% 10,20%

Mortgage Covered Bonds Investor Report - 29th June 2012

4. Mortgage Credit Pool (continued) Portfolio Remaining Term Up to 5 years 5 to 8 years 8 to 10 years 10 to 12 years 12 to 14 years 14 to 16 years 16 to 18 years 18 to 20 years 20 to 22 years 22 to 24 years 24 to 26 years 26 to 28 years 28 to 30 years 30 to 40 years More than 40 years Portfolio Current Unindexed LTV Up to 40% 40 to 50% 50 to 60% 60 to 70% 70 to 80% More than 80% Portfolio Loan Usage Owner-occupied Second Home Buy to let Other Portfolio Geographical Distribution North Center Lisbon Alentejo Algarve Madeira Azores Number of Loans 3,77% 4,37% 4,65% 5,19% 4,50% 6,73% 12,27% 10,87% 7,15% 4,78% 5,26% 4,47% 3,60% 16,35% 6,04% Number of Loans 23,79% 12,76% 17,24% 21,87% 24,34% 0,00% Number of Loans 67,98% 6,40% 0,94% 24,68% Number of Loans 27,93% 25,21% 35,58% 2,76% 5,02% 3,47% 0,02% Number of Loans 0,00% 0,00% Total Loan Amount 0,91% 2,05% 2,60% 3,15% 3,56% 5,25% 9,30% 10,20% 7,20% 6,12% 6,58% 5,93% 4,67% 23,15% 9,33% Total Loan Amount 15,11% 12,29% 18,36% 24,60% 29,65% 0,00% Total Loan Amount 75,17% 8,96% 1,34% 14,52% Total Loan Amount 24,88% 22,17% 40,29% 2,29% 6,79% 3,55% 0,03%

Portfolio Delinquencies > 30 days to 60 days > 60 days to 90 days 5. Liquidity Cushion Liquidity Cushion (according to Fitch's definition)3 Liquidity Cushion amount Deposits with eligible financial institutions Eligible securities Liquidity Cushion requirement calculation Required Liquidity Cushion Interest due month 1 Interest due month 2 Interest due month 3
3

Total Loan Amount 0,00% 0,00% Nominal Amount 0,00 0,00 0,00 0,00 0,00 0,00 0,00

At least equal to the interest payments due on the Covered Bonds Outstanding before swaps for the next 3 months

6. Derivative Financial Instruments Interest Rate Swaps4 Fixed to Floating Swaps Interest Basis Swaps
4

Nominal Amount 1.040.000.000,00 0,00

Yes

External counterparties (Yes/No)

6. Other Triggers Other Assets <= 20% (Cover Pool + Other Assets)4 Deposits with a remaining term > 100 days <= 15% Covered Bonds Nominal Estimated Interest from Mortgage Credit and Other Assets - Estimated Interest from Covered Bonds >= 0 Mortgage Credit + Other Assets WA Remaining Term - Covered Bonds WA Remaining Term >= 0
4

OK N/A OK OK

Considering Other Assets at Market Value

8. Contacts Financial Markets Division - Funding - Servicing Other Reports on BES website

dfme.originacao@bes.pt dfme.cor.securitiz@bes.pt

http://www.bes.pt/SiteBES/cms.aspx?plg=EDCC3FE9-6360-42E5-B23F-B85317E79A0E&gobj=451819

Mortgage Covered Bonds Investor Report - 29th June 2012

Notes 1. Overcollateralisation The overcollateralisation ratios are calculated by dividing (i) the total outstanding balance of the assets included in the cover pool by (ii) the total nominal amount of the covered bonds (both excluding accrued interest). For clarification purposes, all assets included in the covered pool are eligible assets. Required overcollateralization is the minimum overcollateralization necessary to keep the current Mortgage Covered Bond Programme rating.

2. Insured mortgages All mortgages must have property damage insurance covering fire and floods.

3. Delinquencies A loan is considered to be delinquent if any payment is in arrears by more than 30 days. According to the Portuguese covered bonds legislation, any loan which is in arrears by more than 90 days must be removed from the pool and substituted by another loan which fulfills the eligibility criteria. Therefore, there are no NPL's included in the cover pool.

4. Soft Bullet Date (Extended Maturity) If the covered bonds are not redeemed on the relevant maturity date, the maturity will automatically be extended on a monthly basis up to one year. In that event, the covered bonds can be redeemed in whole or in part on a monthly basis up to and including the Extended Maturity Date.

5. Other Assets In addition to the mortgage assets, other assets (or substitute assets) may be included in the cover pool up to an amount equal to 20% of the cover pool, subject to the following eligibility criteria: - Deposit with the Bank of Portugal in cash or ECB eligible securities, or - Deposits held with credit institutions rated at least A-.

6. Loan-to-Value The Current Unindexed LTV is calculated by dividing the outstanding balance of the loan by the value of the underlying property (last physical valuation). The Current indexed LTV is calculated by dividing the outstanding balance of the loan by the latest valuation amount of the underlying property (i.e. indexed value or last physical valuation). A full valuation of the underlying properties must have been performed by an independent appraiser, at origination or after, prior to the inclusion of the mortgage loan in the cover pool. Properties (both residential and commercial) should also be revalued regularly: - For commercial assets, this must be done on an annual basis; - Residential properties must be revalued at least every 3 years if the individual mortgage credit value exceeds 500.000; however, it can be done on a more frequent basis (revaluations of residential properties may be done using a statistical model, approved by the Bank of Portugal).