Credit Linked Notes PROMISE I Mobility GmbH

Transcription

1 Communications Counterparties Issuer Administrator PROMISE I Mobility 8 1 GmbH Wilmington Trust SP Services (Frankfurt) GmbH Steinweg Frankfurt am Main, Germany Tel: +49 (69) Fax: +49 (69) Wilmington Trust SP Services (Frankfurt) GmbH Steinweg Frankfurt am Main, Germany Tel: +49 (69) Fax: +49 (69) Servicer / Reporting Entity Contact Wilhelm Bötzkes Straße Düsseldorf, Germany CLO Management Wilhelm Bötzkes Straße Düsseldorf, Germany Tel: +49 (11) Fax: +49 (11) E mail: CLO Management@ikb.de Trustee Deloitte GmbH Wirtschaftsprüfungsgesellschaft Schwannstraße Düsseldorf, Germany Tel: +49 (11) Fax: +49 (11) E mail: securitisationde@deloitte.de Counterparties Originator / Protection Buyer / Co Manager Wilhelm Bötzkes Straße Düsseldorf, Germany Moody's n.r. / n.r. Ratings* Fitch n.r. / n.r. S&P n.r. / n.r. Intermediary / Sponsor Rating Agencies Kreditanstalt für Wiederaufbau TM b Collateral Management/Loan Securitisation Palmengartenstraße Frankfurt am Main, Germany Tel: +49 (69) 7431 Fax: +49 (69) E mail: PROMISE I.Mobility.8 1@kfw.de Standard & Poor's Rating Services European Surveillance Canada Square, Canary Wharf London E14 5LH, United Kingdom Tel: +44 () Fax: +44 () E mail: ABSEuropeanSurveillance@standardandpoors.com Moody's Investors Service Limited Minster Court, Mincing Lane London EC3R 7XB, United Kingdom Tel: +44 () Fax: +44 () E mail: monitor.cdo@moodys.com Protection Seller / Intermediary Arranger / Lead Manager Listing Agent Paying Agent Transaction Account Bank Kreditanstalt für Wiederaufbau Palmengartenstraße Frankfurt am Main, Germany Deutsche Bank AG, London Branch Winchester House 1 Great Winchester Street London ECN DB, United Kingdom BNP Paribas Securities Services Luxembourg Branch 33, rue de Gasperich Howald Hesperange 85 Luxembourg, Luxembourg BNP Paribas Securities Services S.A. Zweigniederlassung Frankfurt am Main Europa Allee Frankfurt am Main, Germany Landesbank Hessen Thüringen Girozentrale Main Tower Neue Mainzer Straße Frankfurt am Main, Germany Aaa / P 1 Baa / P Aa3 / P 1 Aa3 / P 1 A1 / P 1 n.r. / n.r. BBB+ / F A+ / F1 A+ / F1 A+ / F1+ AAA / A 1+ BBB / A A / A 1 A / A 1 A / A 1 * no responsibility is accepted for the correctness this information Date: Signed by: Page: 1

2 Reference Pool Remittance Data Initial Aggregate Balance ,9 Beginning Aggregate Balance ,8 Reference Pool Information Fixed or Floating Loans and Guarantees to small and medium sized Corporations scheduled Scheduled received Unscheduled received / Prepayments there Removals Liquidation Proceeds (on Defaulted Reference ) there Removals Total Repayment Period Realised Period Realised Enforcement Cost Period Realised Accrued Interest Period Late Recoveries Period Unjustified Cumulative /Unjustified /Late Recoveries ,1 Ending Aggregate Balance ,8 Scheduled following Period Beginning Period Initial Paid in full Period Aggregated Paid in full Removed Period Aggregated Removed Reposted Period Aggregated Reposted Ending Additional Reference Pool Information Initial Pool Pool Weighted Average Rating Factor (IKB Rating System) 7,41 19, Moody's Diversity Score (new industry codes) 9,633 1,4 Weighted Average Life 4,9 Collateralisation (Portfolio) 89,98% % Sub participation Loans served by Agent Banks,7% % Delinquency Status Delinquent Outstanding Payments in Arrears (excl. Defaulted Reference ): < 1 Month 1 Months 3 Months 3 4 Months 4+ Months Subtotal: Terminated (excl. Defaulted Reference ) Subtotal: Insolvency (excl. Defaulted Reference ) Total: Defaulted Status Delinquent Outstanding Defaulted Reference in Work Out , ,8 there Period Maximum Accrued Interest Amount Amount (or) Additional Accrued Interest , Estimated there estimated Amount Amount aggregated aggregated Accrued Accrued In Interest: ,4 Date: Signed by: Page:

3 Summary Reference Pool Original L Swap e Amount e r Swap Amount before / Recoveries Swap Amount after Super Senior Tranche (A1+) Lower Senior Tranche (A+) ,9, 45.. Class A1+ A+ B C D E F CLN Original E Class m Amount p t y Class Amount before / Recoveries Class Amount after Interest Total 5., ASMZ DEASMZ9 5., ASMZ DEASMZ , ASMZ DEASMZ , ASMZ DEASMZ , ASMZ DEASMZ , ASMZ DEASMZ , , , ,51 ASMZ DEASMZ , , , ,51 ASMZ, ASMZ , DEASMZ9, DE WKN Common Code ISIN Reference Portfolio ,9 * , ,8 Amounts per Note ** Class A1+ A+ B C D E F Notes E m p t Note Amount before / Recoveries Note Amount after Interest Total,,,,,,,,,,,, ,5.153,5 14,43 14,43 * Initial Aggregate Balance ** The allocation, Unjustified and Late Recoveries is based on each class level this can cause rounding differences at the position Amounts per Note. Date: Signed by: Page: 3

4 Reference Pool Original L Swap e Amount e r Swap Amount before Beginning Percentage** Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Enforcement Cost Accrued Interest Swap Amount after Ending Percentage** Super Senior Tranche (A1+) Lower Senior Tranche (A+) ,9 %,,,% 45..%,,,% Class A1+ A+ B C D E F CLN Original E Class m Amount pt y Class Amount before Beginning Percentage** Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Enforcement Cost Accrued Interest Class Amount after Ending Percentage** 5.%,,,% 5.%,,,% 16.9.%,,,% 11.7.%,,,% 15.1.%,,,% 13.5.%,,,% ,94 154,493% 1,64, ,94 154,493% ,94 154,493% 1,64, ,94 154,493% Reference Portfolio ,9 * ,8,393% *** ,8,393% *** Credit Enhancement Information Rating Class Original Percentage*** E m pt Beginning Percentage** Ending Percentage** WKN Common Code ISIN 3 Moody's (Initial) pt y4 S&P (Initial) A1+ A+ B C D E F 8,551579% 153,97768% 153,97768% ASMZ DEASMZ9 WR (Aaa) NR (AAA) 5,5111% 153,97768% 153,97768% ASMZ DEASMZ17 WR (Aaa) NR (AAA) 4,395656% 153,97768% 153,97768% ASMZ DEASMZ5 WR (Aa1) NR (AA) 3,61646% 153,97768% 153,97768% ASMZ DEASMZ33 WR (Aa3) NR (A),61753% 153,97768% 153,97768% ASMZ DEASMZ41 WR (A3) NR (BBB) 1,71164% 153,97768% 153,97768% ASMZ DEASMZ58 WR (Ba1) NR (BB) % % % ASMZ DEASMZ66 n.r. (n.r.) n.r. (n.r.) * Initial Aggregate Balance ** percentage rate based on Aggregate Balance *** percentage rate based on Initial Aggregate Balance Date: Signed by: Page: 4

5 Interest Reference Pool Class Class (Credit A1+ Spread)* A+ CLN B C D E F CLN Original Original Class Class Amount Amount Original Original Notes Notes Class Class Amount Amount before before Beginning Beginning Notes Notes Pool Pool Spread over Factor Factor 3m EURIBOR Spread over 3m EURIBOR Interest Rate Interest Amount Interest Rate per Interest Note Amount per Note Interest Interest ,94 57,153 1,5% 5,95% 48,647%,91% 14, ,94 57,153,% 5,95% 48,647% 1,671% 14, ,65%,31% ,1% 3,771% ,7% 5,371% ,75% 8,41% ,94 57,153 6,5% 6,171% 14, , , ,79% 6,95% 14, ,51 Period Fixing Date: Interest Payment Date: m EURIBOR current Period:,39% Interest Accrual Period (Floating): Days (act/36): 91 Day Count Fraction:, Date: Signed by: Page: 5

6 Structure Glossary Early Redemption Accrued Interest Amount The Issuer shall redeem the Mezzanine Notes/Class F Notes before the Scheduled Maturity Date (a) on the Payment Date on which KfW exercises its prepayment option under the Mezzanine Certificates/Junior Certificates (i) upon the occurrence a Tax Event, or (ii) upon the occurence a Mezzanine Regulatory Event/Junior Regulatory Event in respect KfW, or (b) as a result the termination the Mezzanine Tranche/Junior Tranche the Bank Guarantee by the Bank at its option as any Payment Date (i) following the occurrence a Mezzanine Regulatory Event/Junior Regulatory Event, or (ii) following the reduction the Aggregate Balance as the end any Collection Period to less than 1% the Initial Aggregate Balance, or (iii) falling in or after March 1, or (c) on the 1th Business Day following the termination the Mezzanine Tranche/Junior Tranche the Bank Guarantee because the occurence Serious Cause or Insolvency. Accrued Interest Amount means, with respect to a Reference Claim, as any date, the amount calculated by applying the Accrued Interest Rate to the daily Outstanding Nominal Amount such Reference Claim for the period commencing on (and including) the day on which such Reference Claim became a Defaulted Reference Claim until (but excluding) the earlier the Scheduled Maturity Date and such date, adding the results and dividing such sum by 36. Key Dates: Cut f Date: Closing Date: Scheduled Maturity: Legal Maturity: Contact: CLO Management Wilhelm Bötzkes Straße Düsseldorf, Germany Tel.: (+49) Fax: (+49) E mail: CLO Management@ikb.de The Investor Report is additionally published on our Homepage [ under: Investor Relations / Fixed Income / CLO Transactions [ transactions/index.jsp] 14th February, 8 6th March, 8 15th March, 18 16th March, Maximum Accrued Interest Amount Additional Accrued Interest Liquidation Proceeds In case the Scheduled Maturity and an Early Redemption by the Issuer: Maximum Accrued Interest Amount means, as any Payment Date, the sum (A) the aggregate Accrued Interest Amounts as the end the Related Collection Period with respect to all Defaulted Reference excluding any Reference with respect to which a Realised Loss has been allocated on or prior to such Payment Date and excluding any Reference removed from the Reference Pool, plus (B) the amount calculated by applying the Accrued Interest Rate to the aggregate Outstanding Nominal Amounts any Overdue Reference outstanding as the end the Related Collection Period, multiplying the result by the actual number days falling in the period from the calendar day immediately following the last day the Related Collection Period until the Legal Maturity Date (both days inclusive) divided by 36. In case an Early Redemption for Default: Additonal Accrued Interest means, as the Termination Date, the sum (A) the aggregate Accrued Interest Amounts as the Termination Date all Defaulted Reference outstanding as the Termination Date, plus (B) the amount calculated by applying the Accrued Interset Rate to the aggregate Outstanding Nominal Amounts as the Termination Date such Defaulted Reference, multiplying the result by the actual number days falling in the period from (but excluding) the Termination Date until (and including) the date redemption the remaining outstanding Notes divided by 36. Liquidation proceeds mean all payments (including principal and interest payments, prepayments and foreclosure proceeds etc.) allocable to the principal amount, then to the Accrued Interest Amount and then to the Enforcement Costs Amount a Reference Claim to which a has occured. Date: Signed by: Page: 6

7 Additional Information Defaulted Reference overall Reference Pool Defaulted Reference (overall) Pool Initial Pool Aggregated Replenishment Aggregated Removal Total Pool s as Securitisation Repayments before occurence as max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final (on +AI+EC) +AI Recovery Rate so far Pool , , ,4 s , , , , , , ,3 84,65%.., , ,37 (3%) ,3 (97%).., 5.. as Unimpaired Pool Percent Total Pool Percent (incl. max cum. AI+EC) overall 1,, 3, 1,, 3, 4, 5, 6, 7, 1,, 3, 5, 6, 7, 4, 4,3% 1,4% 3,19%,3%,96%,5%,3% 1,, 3, 4, 5, 6, 7, Percent Initial Replenishment Cap 4,3% 1,4% 3,19%,3%,96%,5%,3% 13,61% 3,61% 1% 84,65% 14,38%,97% 5, 6, 7, Date: Page: 7

8 Additional Information Defaulted Reference workout completed Reference Pool Defaulted Reference (workout completed) as Securitisation Repayments before occurence as max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final (on +AI+EC) +AI Recovery Rate so far , , , , , ,1 84,98% Work Out Timing (months).., 75.. <=6 >6<=1 as max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final (on +AI+EC) , , , , ,4 6.6, , ,.., 5.. >1<= , ,93 >18<= , , ,6 >4<=3 >3<=36 >36<= , , , , , , , ,5.., 5.. >4<= , ,97 >48<= , , , >54<=6 > 6,.33.38, 445.8, , , , , , ,1 1,, 3, 4, 5, 6, 7, Percent Total Pool 4,1%,96% 3,5%,9%,84%,5% % Percent Initial Replenishment Cap 4,1%,96% 3,5%,9%,84%,5% % Percent (incl. max cum. AI+EC) overall 15,77% 3,1% 95,74% 81,36% 14,38% % Date: Page: 8

9 Additional Information Defaulted Reference current in workout Reference Pool Defaulted Reference (current in workout) as Securitisation Repayments before occurence as max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final Los ses (on +AI+EC) +AI Recovery Rate so far , , , , , ,3 77,14% , , , ,, 3, 4, 5, 6, 7, Final (on +AI+EC) ( incl. AI) Cumulative (incl. max cum. AI+EC) F Note E Note D Note Percent Total Pool in Workout Percent Initial Replenishment Cap in Workout 1,, 3, 4, 5, 6, 7,,%,8%,14%,1%,11% %,3% 1,, 3, 4, 5, 6, 7,,%,8%,14%,1%,11% %,3% Percent (incl. max cum. AI+EC) overall 1,, 3, 5, 6, 7, 6,85%,5% 4,6% 3,9% %,97% Date: Page: 9

10 Additional Information Defaulted Reference Stratification Tables I Reference Pool Balance ( Defaulted Reference ) < <.... < < < < < < < < < < 1.. >= AI 3 Internal Rating Score ( Defaulted Reference ) AI 3 Date: Page: 1

11 Additional Information Defaulted Reference Stratification Tables II Reference Pool Regional (postal code) ( Defaulted Reference ) AI , , , , , 63.46,39 1 Regional (State) ( Defaulted Reference ) Baden Wuerttemberg Bavaria Berlin Brandenburg Bremen Hamburg Hesse Lower Saxony Mecklenburg Western Pomerania North Rhine Westphalia Rhineland Palatinate Saarland Saxony Saxony Anhalt Schleswig Holstein Thuringia AI , 63.46, , , , ,46 1 Date: Page: 11

12 Additional Information Defaulted Reference Stratification Tables III Reference Pool Moody's Industrial Description ( Defaulted Reference ) AI 3 Asset Type ( Defaulted Reference ) AI 3 11 CORP Aerospace & Defense 1 CORP Automotive 13 CORP Banking 14 CORP Beverage, Food & Tobacco 15 CORP Capital Equipment 16 CORP Chemicals, Plastics, & Rubber 17 CORP Construction & Building 18 CORP Consumer goods: Durable 19 CORP Consumer goods: Non durable 11 CORP Containers, Packaging & Glass 111 CORP Energy: Electricity 11 CORP Energy: Oil & Gas 113 CORP Environmental Industries 114 CORP FIRE: Finance 115 CORP FIRE: Insurance 116 CORP FIRE: Real Estate 117 CORP Forest Products & Paper 118 CORP Healthcare & Pharmaceuticals 119 CORP High Tech Industries 1 CORP Hotel, Gaming & Leisure 11 CORP Media: Advertising, Printing & Publishing 1 CORP Media: Broadcasting & Subscription 13 CORP Media: Diversified & Production 14 CORP Metals & Mining 15 CORP Retail 16 CORP Services: Business 17 CORP Services: Consumer 18 CORP Sovereign & Public Finance 19 CORP Telecommunications 13 CORP Transportation: Cargo 131 CORP Transportation: Consumer 13 CORP Utilities: Electric 133 CORP Utilities: Oil & Gas 134 CORP Utilities: Water 135 CORP Wholesale 3.69, , , ,58 3 amortising loan bullet loan Type Collateral ( Defaulted Reference ) machinery equipment mortgage other positive/negative pledge unsecured 37.66, , , , 1 AI 3 Date: Page: 1

13 Additional Information Defaulted Reference Stratification Tables IV Reference Pool Top Single Debtor Group ( Defaulted Reference ) 1 3 em AI em 65.58, , , 63.46, , ,46 1 Date: Page: 13

14 Additional Information Defaulted Reference List Defaulted Obligors Reference Pool Obligor Date securitisation as securisation Risk Factor as securisation Date Credit Event Risk Factor before Credit Event Reason as max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) +AI Final (on +AI+EC) Recovery Rate Length workout (month) Collateral as Moody's Industry Code Bankruptcy , ,66 1% 18 mortgage Failure to pay , , , ,71 93,6% 8 mortgage Bankruptcy , , ,7 1% 6 mortgage Bankruptcy , , ,56 78,5% 49 other , Failure to pay ,89.68, , 1% 7 machinery Failure to pay , , ,38 98,49% 77 mortgage Bankruptcy , ,5 1% 37 mortgage , Bankruptcy , , , ,15 in workout machinery Bankruptcy , ,39 1% 34 mortgage Failure to pay , ,67 53,49% 9 mortgage Bankruptcy , , ,59 in workout mortgage Bankruptcy , , , ,45 96,3% 3 mortgage Bankruptcy , , ,54 88,78% 34 mortgage Bankruptcy , , ,4 91,47% 1 machinery Failure to pay , ,93 1% 13 mortgage , Failure to pay 91.66, 9.333, ,88 1.6,58 in workout mortgage Bankruptcy , ,34 1% 44 mortgage Bankruptcy , ,77 1% 7 other Failure to pay , ,63 1% 45 mortgage Bankruptcy , , ,83 8,34% 35 mortgage Bankruptcy 66.49, , ,57 6.3,93 91,4% 34 mortgage Failure to pay , , ,8 11,58% 7 mortgage Failure to pay , ,6 1% 75 mortgage Bankruptcy , , ,46 96,31% 5 mortgage Failure to pay , , ,53 88,8% 31 mortgage , Bankruptcy , , ,4 1% 3 mortgage , Bankruptcy, Failur , , , , ,3.67,5% 78 machinery, mort.94 If an obligor has more than one claim and divergent attributes, the first attribute in chronological order is applicable except for the length workout where the latest date is applicable. Date: Page: 14

15 Comments The Investor Report is additionally published on our Homepage [ under: Investor Relations / Fixed Income / CLO Transactions Page 1 [ transactions/index.jsp] Page Date: Page: 15