Credit Linked Notes PROMISE I Mobility GmbH

Transcription

1 Communications Counterparties Issuer Administrator PROMISE I Mobility 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 & Touche 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) Fax: +49 (69) E mail: PROMISE I.Mobility.006 1@kfw.de Fitch Ratings Limited 30 North Colonnade London E14 5GN, United Kingdom Tel: +44 (0) Fax: +44 (0) E mail: london.cdosurveillance@fitchratings.com Protection Seller / Intermediary Arranger / Lead Manager Listing Agent 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 085 Luxembourg, Luxembourg Aaa / P 1 A / P 1 A / P 1 AAA / F1+ A+ / F1+ A+ / F1 AAA / A 1+ A / A 1 A+ / A 1 Moody's Deutschland GmbH An der Welle Frankfurt am Main, Germany Tel: +49 (69) Fax: +49 (69) E mail: monitor.cdo@moodys.com Paying Agent Transaction Account Bank 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 A / P 1 A / P 1 A+ / F1 A+ / F1+ A+ / A 1 A / A 1 * no responsibility is accepted for the correctness of this information Signed by: Page: 01

2 Reference Pool and IKB International S. A. Remittance Data Reference Pool Information Initial Aggregate Balance ,38 Initial Replenishment Cap ,00 Replenishment Cap (excl. *) ,95 Beginning Aggregate Balance ,03 Fixed or Floating Rate Loans, Facilities and Guarantees of small and medium sized Corporations scheduled Scheduled received Unscheduled received / Prepayments thereof Removals Liquidation Proceeds (on ) Total Repayment Period Realised Losses Period Realised Enforcement Cost Losses Period Realised Accrued Interest Losses Period Late Recoveries Period Unjustified Losses *Cumulative Realised Losses / Unjustified Losses / Late Recoveries , , , , ,90 0, ,3 0,00 0, , , , , ,41 Scheduled following Period Beginning Number of Period Initial Number of Number of Paid in full Period Aggregated Number of Paid in full Number of Removed Period Aggregated Number of Removed Number of Replenished Period Aggregated Number of Replenished Number of Reposted Period Aggregated Number of Reposted Ending Number of , Total of Replenished Loans 0,00 Total reserved for future Replenishment Net Repayment 0, ,08 Ending Aggregate Balance ,95 Outstanding Threshold Amount Delinquency Status Number of Delinquent Outstanding Threshold Amount (Initial Balance) Threshold Amount (Beginning Balance) Period Realised Losses Threshold Amount (Ending Balance) 0,0000% ,64 Payments in Arrears (excl. Credit Events): < 1 Month 1 Months 3 Months 0 0,00 0, , ,46 0 0,00 0,00 Interest Subparticipation 3 4 Months 4+ Months 0 0,00 0,00 0 0,00 0,00 Subtotal: , ,46 Terminated (excl. Credit Events) 0 0,00 0,00 Subtotal: , ,46 Insolvency (excl. Credit Events) 0 0,00 0,00 Total: , ,46 Additional Reference Pool Information Initial Pool Pool Weighted Average Rating Factor (IKB Rating System) 7,4 8,36 Weighted Average Rating Factor (Fitch Rating System) 4,64 4,9 Collateralisation (Portfolio) 77,71% 85,58% Credit Event Status Number of Delinquent Outstanding Credit Events in Work Out , ,15 thereof Period Estimated Amount of aggregated of aggregated Accrued Accrued Interest: , , ,3 Signed by: Page: 0

3 Replenishment Covenant Test I Reference Pool and IKB International S. A. Covenant Initial Reference Pool End of Reporting Period After Replenishment Minimum/Maximum Limit Test Moody's Diversity Score 86, , ,9800??? passed Moody's Industry Group Concentration: 101 CORP Aerospace & Defense 0,181% 0,065% 0,065% maximum 10% passed 10 CORP Automotive 7,486% 6,596% 6,596% maximum 10% passed 103 CORP Banking 0,000% 0,000% 0,000% maximum 10% passed 104 CORP Beverage, Food & Tobacco 10,970% 1,36% 1,36% maximum 13% passed 105 CORP Capital Equipment 11,308% 1,657% 1,657% maximum 14% passed 106 CORP Chemicals, Plastics, & Rubber 8,376% 6,6% 6,6% maximum 10% passed 107 CORP Construction & Building 7,308% 8,089% 8,089% maximum 10% passed 108 CORP Consumer goods: Durable 6,37% 4,673% 4,673% maximum 10% passed 109 CORP Consumer goods: Non durable,488% 3,66% 3,66% maximum 10% passed 110 CORP Containers, Packaging & Glass 3,344%,64%,64% maximum 10% passed 111 CORP Energy: Electricity 0,773% 0,483% 0,483% maximum 10% passed 11 CORP Energy: Oil & Gas 0,354% 0,150% 0,150% maximum 10% passed 113 CORP Environmental Industries 1,880% 1,431% 1,431% maximum 10% passed 114 CORP FIRE: Finance 8,05% 0,388% 0,388% maximum 10% passed 115 CORP FIRE: Insurance 0,000% 0,000% 0,000% maximum 10% passed 116 CORP FIRE: Real Estate 0,541% 0,000% 0,000% maximum 10% passed 117 CORP Forest Products & Paper,098% 4,85% 4,85% maximum 10% passed 118 CORP Healthcare & Pharmaceuticals 3,10% 8,010% 8,010% maximum 10% passed 119 CORP High Tech Industries 0,346% 4,086% 4,086% maximum 10% passed 10 CORP Hotel, Gaming & Leisure 0,501% 0,037% 0,037% maximum 10% passed 11 CORP Media: Advertising, Printing & Publishing,191% 3,674% 3,674% maximum 10% passed 1 CORP Media: Broadcasting & Subscription 0,000% 0,000% 0,000% maximum 10% passed 13 CORP Media: Diversified & Production 0,043% 0,000% 0,000% maximum 10% passed 14 CORP Metals & Mining 8,67% 1,791% 1,791% maximum 15% passed 15 CORP Retail 0,965% 1,36% 1,36% maximum 10% passed 16 CORP Services: Business 3,800%,017%,017% maximum 10% passed 17 CORP Services: Consumer 0,107% 0,000% 0,000% maximum 10% passed 18 CORP Sovereign & Public Finance 0,064% 0,036% 0,036% maximum 10% passed 19 CORP Telecommunications 0,000% 0,100% 0,100% maximum 10% passed 130 CORP Transportation: Cargo 3,369% 4,191% 4,191% maximum 10% passed 131 CORP Transportation: Consumer 0,85% 0,5% 0,5% maximum 10% passed 13 CORP Utilities: Electric,1% 0,000% 0,000% maximum 10% passed 133 CORP Utilities: Oil & Gas 0,967% 0,000% 0,000% maximum 10% passed 134 CORP Utilities: Water 1,96% 0,000% 0,000% maximum 10% passed 135 CORP Wholesale 0,587% 0,060% 0,060% maximum 10% passed 100,000% 100,000% 100,000% maximum 15% passed *Figure after repl. must not be worse than before repl. Signed by: Page: 03

4 Replenishment Covenant Test II Reference Pool and IKB International S. A. Covenant Initial Reference Pool End of Reporting Period After Replenishment Minimum/Maximum Limit Test Aggregate Balance maximum passed Germany (the first digit of the postal code) 96,4% 96,09% 96,09% Outside Germany Geographic Concentration ,34%,50%,50% maximum 18,00% passed 6,94% 6,40% 6,40% maximum 18,00% passed 8,31% 11,13% 11,13% maximum 18,00% passed 7,39% 1,33% 1,33% maximum 18,00% passed 18,09% 1,6% 1,6% maximum 18,00% passed 13,15% 6,93% 6,93% maximum 18,00% passed 6,4% 8,7% 8,7% maximum 18,00% passed 1,4% 16,85% 16,85% maximum 5,00% passed 14,79% 15,67% 15,67% maximum 18,00% passed 4,74%,95%,95% maximum 18,00% passed 3,58% 3,91% 3,91% maximum 10,00% passed 100,00% 100,00% 100,00% maximum 5,00% passed Extra Cap East Germany 11,81% 6,51% 6,51% maximum 15,00% passed Collateralisation 77,71% 85,58% 85,58% minimum 75,00% passed Weighted Average Life as of December 31st, 010 1,99 0,78 0,78 maximum,5 passed Sub participation Loans served by Agent Banks 8,00% 14,49% 14,49% maximum 15,00% passed Cumulative Realised Losses 0,000% 0,904% 0,904% maximum 1,500% passed Suspension Events: Defaulted Reference 0,00% 1,8% 1,8% maximum,50% passed Average Realised Loss in last 3 Reporting Periods 0,00% 0,30% 0,30% maximum 0,65% passed Weighted Average Life Trigger 3,65 0,78 0,78 maximum,5 passed Delivery of Pool/Replenishment Report maximum passed *Figure after repl. must not be worse than before repl. Signed by: Page: 04

5 Replenishment Covenant Test III Reference Pool and IKB International S. A. Covenant Initial Reference Pool End of Reporting Period After Replenishment Minimum/Maximum Limit Test Internal Rating Score (IKB Rating System) 1 100,00% 100,00% 100,00% maximum 100,00% passed 99,8% 100,00% 100,00% maximum 100,00% passed 3 96,68% 100,00% 100,00% maximum 100,00% passed 4 94,83% 99,96% 99,96% maximum 100,00% passed 5 91,4% 97,57% 97,57% maximum 100,00% passed 6 78,06% 85,79% 85,79% maximum 100,00% passed 7 65,37% 58,30% 58,30% maximum 88,00% passed 8 50,77% 4,5% 4,5% maximum 54,00% passed 9 4,01% 9,0% 9,0% maximum 0,00% passed * Germany 10 1,74% 1,4% 1,4% maximum 0,00% passed * (the first digit of the postal code) 96,4% 96,09% 96,09% 11 6,93% 16,8% 16,8% maximum 8,50% passed * 1,9% 15,03% 15,03% maximum 0,00% passed * 13 0,47% 13,64% 13,64% maximum 0,00% passed * 14 0,00% 13,7% 13,7% maximum 0,00% passed * 15 0,00% 11,01% 11,01% maximum 0,00% passed * 16 0,00% 10,85% 10,85% maximum 0,00% passed * 17 0,00% 9,11% 9,11% maximum 0,00% passed * 18 0,00% 9,04% 9,04% maximum 0,00% passed * 19 0,00% 3,9% 3,9% maximum 0,00% passed * *Figure after repl. must not be worse than before repl. Signed by: Page: 05

6 Replenishment Covenant Test IV Reference Pool and IKB International S. A. Covenant Initial Reference Pool End of Reporting Period After Replenishment Minimum/Maximum Limit Test Group Weighted Average Rating Factor (Highest Group Concentration) < 7 <= 8 <= 10 > 10 Initial Pool End of Period After Replenishment minimum/maximum Limit For Test Test Not Worsen 1,00% 0,73% 0,73% maximum 1,00% Test passed 0,90% 0,58% 0,58% maximum 0,90% passed 0,85% 0,83% 0,83% maximum 0,80% passed * 0,30% 0,7% 0,7% maximum 0,40% passed Group Weighted Average Rating Factor (Highest Group Concentration) for Unsecured Part < 7 <= 8 <= 10 > 10 Initial Pool MA03 End of Period MA03 After Replenishment MA03 minimum/maximum Limit For Test Test Not Wors 0,67% 0,33% 0,33% maximum 0,67% passed 0,63% 0,58% 0,58% maximum 0,60% passed 0,58% 0,16% 0,16% maximum 0,50% passed 0,00% 0,09% 0,09% maximum 0,00% passed * *Figure after repl. must not be worse than before repl. Signed by: Page: 06

7 Replenishment Covenant Test V Reference Pool and IKB International S. A. Covenant Replenished Minimum/Maximum Limit Test Weighted Average Rating Factor of Replenished (IKB Rating System) 0,00 maximum 7,70 passed Moody's Weighted Average Rating Factor of Replenished 0,00 minimum passed Collateralisation of replenished claims: 0,00% minimum 75,00% passed Signed by: Page: 07

8 New Cash Flows on Portfolio Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Month (until) Empty1 Last Reporting: Payment Scheduled (after Replenishment) Empty Payment Scheduled (before Replenishment) Empty3 Payment Scheduled (after Replenishment) Nov 006 Feb 007 Mai 007 Aug 007 Nov 007 Feb 008 Mai 008 Aug 008 Nov 008 Feb 009 Mai 009 Aug 009 Nov 009 Feb 010 Mai 010 Aug 010 Nov 010 Feb 011 Mai 011 Aug 011 Nov 011 Feb 01 Mai 01 Aug 01 Nov 01 Feb 013 Mai 013 Aug 013 Nov 013 Feb 014 Mai 014 Aug 014 Nov 014 Feb 015 after Feb , , , , , , , , , , , , , , , , , , ,48 Signed by: Page: 08

9 Summary Reference Pool and IKB International S. A. Original Amount L e e r Amount before Change of Redemption Value Amount after Calculated Senior Amount thereof Unused Replenishment Capacity , , ,54 0, , ,6 0,00 0,00 Class A+ A B C D E F CLN Original E Class m Amount p t y Class Amount before Change of Redemption Value Class Amount after Interest Total , , ,90 0, ,60 101, ,10 A0LDYH DE000A0LDYH , , , , ,04 A0LDYJ DE000A0LDYJ , , , , ,64 A0LDYK DE000A0LDYK , , , , ,40 A0LDYL DE000A0LDYL , , , , ,3 A0LDYM DE000A0LDYM , , , , ,04 A0LDYN DE000A0LDYN , ,35 0, , , , ,16 A0LDYP DE000A0LDYP , , , , , , ,70 A0LDYH, A0LDYJ, , DE000A0LDYH4, DE0 WKN Common Code ISIN Reference Portfolio ,00 * , ,95 Amounts per Note ** Class A+ A B C D E F Number of Notes E m p t Note Amount before Change of Redemption Value Note Amount after Interest Total , ,69 0, ,96 10, , , ,00 97,3 97, , ,00 117,54 117, , ,00 163,04 163, , ,00 6,4 6, , ,00 65,63 65, ,84 0, , ,90.56,16.56,16 * Initial Replenishment Cap ** The allocation of Losses, Unjustified Losses and Late Recoveries is based on each class level this can cause rounding differences at the position Amounts per Note. Signed by: Page: 09

10 Reference Pool and IKB International S. A. Original Amount L e e r Amount before Beginning Percentage** Repl. Reduction Amount / Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Losses Enforcement Cost Losses Accrued Interest Losses Realised Losses Amount after Ending Percentage** Calculated Senior Amount thereof Unused Replenishment Capacity , ,18 66,753030% ,54 0,01,00 0,00 0, ,64 56,37569% ,6 0,00 0,000000% 0,00 0,000000% Class A+ A B C D E F CLN Original E Class m Amount pt y Class Amount before Beginning Percentage** Repl. Reduction Amount / Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Losses Enforcement Cost Losses Accrued Interest Losses Realised Losses Class Amount after Ending Percentage** , ,50 0,015456% ,90 0,01,00 0,00 0, ,60 0,013053% , ,00 9,98401%,00,00 0, ,00 13,44505% , ,00 3,0907%,00,00 0, ,00 4,315019% , ,00 5,348679%,00,00 0, ,00 7,191699% , ,00 6,95383%,00,00 0, ,00 9,34909% , ,00 1,604604%,00,00 0, ,00,157510% , ,35 6,131540%,00 0,00 0, , , ,71 7,173737% , ,85 33,46970% ,90 0,01, , , ,31 43,64731% Reference Portfolio ,00 * ,03 8,044308% *** ,95 0,857380% *** Credit Enhancement Information Rating Class A+ A B C D E F Original Percentage*** E m pt Beginning Percentage** Ending Percentage** empty WKN Common Code ISIN Interest Amount per Note for IKB 9,999900% 33,31158% 43,611199% A0LDYH DE000A0LDYH4 Aa1 (Aaa) BBB (AAA) 7,19998% 3,47057% 30,18688% A0LDYJ DE000A0LDYJ0 Ba1 (Aaa) BB (AAA) 6,99937% 0,037881% 5,87185% A0LDYK DE000A0LDYK8 B1 (Aa) B (AA) 4,79995% 14,68956% 18,6805% A0LDYL DE000A0LDYL6 Caa1 (A) CCC (A),84997% 7,73604% 9,331110% A0LDYM DE000A0LDYM4 Caa3 (Baa) CCC (BBB),399976% 6,131455% 7,1736% A0LDYN DE000A0LDYN Caa3 (Ba1) CC (BB+) 0,000000% 0,000000% 0,000000% A0LDYP DE000A0LDYP7 n.r. (n.r.) n.r. (n.r.) Moody's (Initial) Curr ent Inter est Fitch (Initial) * Initial Replenishment Cap ** percentage rate based on Aggregate Balance *** percentage rate based on Initial Replenishment Cap Signed by: Page: 10

11 Interest Reference Pool and IKB International S. A. Class Original Class Amount Original Number of Notes Class Amount before Beginning Number of Notes Pool Factor Spread over 3m EURIBOR Interest Rate Interest Amount per Note Interest A+ A B C D E F (Index Rate) (Credit Spread) * CLN , , , ,160% 0,385% 10,1 101, , , , ,160% 0,385% 97, , , , , ,40% 0,465% 117, , , , , ,40% 0,645% 163, , , , , ,670% 0,895% 6, , , , ,000000,50%,475% 65, , , , , ,000% 5,5% 946,30 6,50% 1.579, , , , , ,900% 16,75% 3.766, ,80 Period Fixing Date: Interest Payment Date: m EURIBOR current Period: 0,5% Interest Accrual Period (Floating): Number of Days (act/360): 91 Day Count Fraction: 0, * refer to Original Class Amount Signed by: Page: 11

12 Structure Glossary Early Redemption Moody's CDOROM Test The Issuer shall redeem the Mezzanine Notes before the Scheduled Maturity Date (a) on the interest payment date on which KfW exercises its prepayment option under the Mezzanine Certificates (i) upon the occurrence of a Tax Event, or (ii) upon the occurrence of a Mezzanine Regulatory Event in respect of KfW, or (iii) upon the termination of the Mezzanine Tranche of the Bank Guarantee by the Bank at its option, (x) as of any interest payment date following the occurence of a Mezzanine Regulatory Event or (Y) as of any interest payment date following the reduction of the aggregate principal balance to less than 10% of the initial Replenishment Cap; or (Z) on or after the Interest Payment Date in September 01 or (b) on the second business day following the termination of the Mezzanine Tranche of the Bank Guarantee upon the occurence of serious cause or insolvency. For each Class of Notes, the Moody's test effected as follows: (1) the Bank shall calculate and record the MM as shown by the Moody's Model in the Pre Replenishment MM field by running the model with the CDOROM Inputs immediately prior to the addition of new Reference ; () the Bank shall run the Moody's Model with the CDOROM Inputs immediately after the addition of new Reference. If the Post Replenishment MM is less than or equal to (i) the Hurdle MM or (i) the Pre Replenishment MM then Test is passed and the proposed addition of new Reference is permissible. Key Dates: Liquidation Proceeds 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 of a Reference Claim to which a Credit Event has occured. Cut off Date: Closing Date: Scheduled Maturity: Legal Maturity: 15th November, 006 1th December, th March, th March, 017 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] Suspension Event It means any of the following: a) the aggregate outstanding nominal amount of all defaulted reference claims exceeds the relevant percentages of the initial replenishment cap for the relevant periods; b) the sum of the realised losses for the last three collection periods divided by the three and multiplied by four exceeds 0,65 % of the initial replenishment cap; c) the weighted average life of the reference pool exceeds the relevant number of years for the relevant periods; d) failure by the Bank to deliver a reference claim list or a report to the Trustee to which the Trustee is entitled, provided that a replenishment in the absence of such list, or report would, in the professional judgement of the Trustee, adversely affect the interests of the transaction creditors in a material manner. Signed by: Page: 1

13 Stratification Tables I Reference Pool and IKB International S. A. Balance Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty5 Minimum 1.194,05 Maximum ,00 Average ,97 0 < < < < < < < < < < < < < < < < < < < < < < < < = ,35% 74 86,89% ,45% 71 8,31% ,78% 17 1,99% ,58% 7 0,8% ,8% 6 0,70% ,15% 1 0,1% ,5% 0,3% ,59% 1 0,1% ,80% 3 0,35% ,99% 3 0,35% ,50% 1 0,1% ,00% ,00% Page: 13

14 Stratification Tables II Reference Pool and IKB International S. A. Internal Rating Score Total Portfolio (IKB Rating System) Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty ,04% 1 0,1% ,39%,58% ,78% 88 10,30% ,49% ,38% ,05% ,74% ,06% 11 14,17% ,96% 66 7,73% ,4% 51 5,97% ,78% 19,% ,39% 1 1,41% ,37% 7 0,8% ,6% 10 1,17% ,16% 3 0,35% ,74% 9 3,40% ,07% 1 0,1% ,75% 86 10,07% ,9% 38 4,45% ,00% ,00% Page: 14

15 Stratification Tables III Reference Pool and IKB International S. A. Internal Rating Score Credit Events separate (IKB Rating System) Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Credit Events ,04% 1 0,1% ,39%,58% ,78% 88 10,30% ,49% ,38% ,05% ,74% ,06% 11 14,17% ,96% 66 7,73% ,4% 51 5,97% ,78% 19,% ,38% 10 1,17% ,37% 7 0,8% ,6% 10 1,17% ,16% 3 0,35% ,46% 4,81% ,64% 1,46% ,0% 1 0,1% ,75% 110 1,88% ,00% ,00% Page: 15

16 Stratification Tables IV Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Regional Concentration (the first digit of the postal code system) Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty Outside Germany ,50% 4,81% ,40% 84 9,84% ,13% 6 7,6% ,33% 77 9,0% ,6% 88 10,30% ,93% 67 7,85% ,7% 57 6,67% ,85% 184 1,55% ,67% ,10% ,95% 45 5,7% ,91% 0,34% ,00% ,00% Regional Concentration Regional Regional Concentration (German States // State* / Outside Germany)* Baden Wuerttemberg Bavaria Berlin Brandenburg Bremen Hamburg Hesse Lower Saxony Mecklenburg Western Pomerania North Rhine Westphalia Outside Rhineland Palatinate Germany Rhineland Palatinate Saarland Saarland Saxony Saxony Anhalt Saxony Anhalt Schleswig Holstein Schleswig Holstein Thuringia Thuringia Outside Germany Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty ,38% 39 7,99% ,78% ,56% ,69% 7 3,16% ,9% 49 5,74% ,44% 6 0,70% ,43% 19,% ,0% 44 5,15% ,35% 48 5,6% ,98% 1 1,41% ,3% ,98% ,91% 1,71% 0 3,34%,69% ,71% 1,51% 3 5,69% 0,59% ,51% 0,3% 5 4 0,59% 0,47% ,3%,50% 44 0,47%,81% ,50% 5,88% 4 1,81%,46% ,88% 0,80% 1 18,46%,11% ,80% 3,91% 18 0,11%,34% ,00% ,00% * not relevant for Replenishment Test Page: 16

17 Stratification Tables V Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Moody's Industry Description Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty5 101 CORP Aerospace & Defense 10 CORP Automotive 103 CORP Banking 104 CORP Beverage, Food & Tobacco 105 CORP Capital Equipment 106 CORP Chemicals, Plastics, & Rubber 107 CORP Construction & Building 108 CORP Consumer goods: Durable 109 CORP Consumer goods: Non durable 110 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 10 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 130 CORP Transportation: Cargo 131 CORP Transportation: Consumer 13 CORP Utilities: Electric 133 CORP Utilities: Oil & Gas 134 CORP Utilities: Water 135 CORP Wholesale ,07% 1 0,1% ,60% 53 6,1% ,36% ,83% ,66% 14 14,5% ,6% 6 7,6% ,09% ,71% ,67% 36 4,% ,7% 7 3,16% ,6% 19,% ,48% 0,3% ,15% 1 0,1% ,43% 13 1,5% ,39% 0,3% ,85% 47 5,50% ,01% 7 3,16% ,09% 45 5,7% ,04% 0,3% ,67% 31 3,63% ,79% ,35% ,4% 4 0,47% ,0% 15 1,76% ,04% 1 0,1% ,10% 1 0,1% ,19%,58% ,% 3 0,35% ,06% 1 0,1% ,00% ,00% Page: 17

18 Stratification Tables VI Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Weighted Average Life (months)* Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty5 Minimum Maximum Average 0,00 51,96 7,4 0 <= 6 > 6 <= 1 > 1 <= 18 > 18 <= 4 > 4 <= 30 > 30 <= 36 > 36 <= 4 > 4 <= 48 > 48 <= 54 > 54 <= 60 > 60 <= 66 > 66 <= 7 > 7 <= 78 > 78 <= 84 > ,78% ,56% ,85% ,51% ,51% 9 1,05% ,80% 7 0,8% ,10% 0,3% ,10% 6 0,70% ,86% 1 0,1% ,00% ,00% Asset Type* Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty5 amortising loan bullet loan ,7% 786 9,04% ,8% 68 7,96% ,00% ,00% Type of Collateral* Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty5 mortgage machinery equipment positive/negative pledge other unsecured ,86% ,37% ,91% 103 1,06% ,64% 48 5,6% ,17% 5,93% ,4% 77 9,0% ,00% ,00% * not relevant for Replenishment Test Page: 18

19 Stratification Tables VII Reference Pool and IKB International S. A. Currency* CHF EUR GBP JPY USD Empty1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty ,64% 4,81% ,87% 8 96,5% ,88% 1 0,1% ,39% 6 0,70% ,% 1 0,1% ,00% ,00% Currency* Non EUR Reference Empt Pool Cut / Replenishment Date Empty Exchange Rate CHF , , , ,348 GBP ,8841 JPY , , ,9695 USD ,366 Empty3 Outstanding Nominal Amount (EUR) Empty 7 Aggregate Outstanding Nominal Amount (EUR) Empty5 * not relevant for Replenishment Test Page: 19

20 Stratification Tables VIII Reference Pool and IKB International S. A. Top 0 Single Debtor Group* Empty 1 Balance Empty Percent of Balance Empty3 Reference Empty4 Percent of Reference Empty ,99% 4 0,47% ,50% 1 0,1% ,80% 0,3% ,03% 0,3% ,00% 1 0,1% ,60% 1 0,1% ,60% 1 0,1% ,39% 6 0,70% ,33% 1 0,1% ,31% 0,3% ,8% 6 0,70% ,8% 3 0,35% ,5% 7 0,8% ,4% 6 0,70% ,0% 1 0,1% ,95% 5 0,59% ,94% 1 0,1% ,91% 0,3% ,89% 9 1,05% ,87% 15 1,76% ,3% 76 8,90% * not relevant for Replenishment Test Page: 0

21 Additional Information of Credit Event overall Reference Pool and IKB International S. A. Credit Events ( overall) Pool Initial Pool Aggregated Replenishment Aggregated Removal Total Pool Credit Events Number of as of Securitisation Repayments before occurence of Credit Event as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final Losses (on +AI+EC) +AI Recovery Rate so far Pool , , , ,3 Credit Events , , , , , , ,38 43,65% , , ,69 (98%) ,63 (%) , , as of Credit Event Unimpaired Pool 0,00 Percent of Total Pool Percent of Credit Event (incl. max cum. AI+EC) overall 1,00,00 3,00 1,00,00 3,00 4,00 5,00 6,00 7,00 1,00,00 3,00 5,00 6,00 7,00 4,00 3,49% 1,04%,46% 0,13% 1,13% 0,45% 1,01% 1,00,00 3,00 4,00 5,00 6,00 7,00 Percent of Initial Replenishment Cap 6,95%,06% 4,89% 0,7%,5% 0,90%,00% 14,0% 4,0% 100,00% 43,65% 17,54% 38,81% 5,00 6,00 7, :4 AM Page: 1

22 Additional Information of Credit Event workout completed Reference Pool and IKB International S. A. Credit Events ( workout completed) Number of as of Securitisation Repayments before occurence of Credit Event as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final Losses (on +AI+EC) +AI Recovery Rate so far , , , , , ,9 0,00 60,15% Work Out Timing (months) , as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final Losses (on +AI+EC) , <= , , , ,93 >6<= , , , ,57 >1<=18 >18<=4 >4<= , , , , , , , ,6,00 0, , >30<=36 >36<=4 >4<=48 >48<= , , , ,64,00 0, , , , 0, , , , , , >54<=60 > 60,00 0,00,00 0, , , , ,9 0,00 1,00,00 3,00 4,00 5,00 6,00 7,00 0 Percent of Total Pool 1,37% 0,8% 1,09% 0,05% 0,69% 0,45% 0,00% Percent of Initial Replenishment Cap,73% 0,55%,18% 0,09% 1,36% 0,90% 0,00% Percent of Credit Event (incl. max cum. AI+EC) overall 55,89% 11,36% 44,00% 6,46% 17,54% 0,00% :4 AM Page:

23 Additional Information of Credit Event current in workout Reference Pool and IKB International S. A. Credit Events ( current in workout) Number of as of Securitisation Repayments before occurence of Credit Event as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) Final Los ses (on +AI+EC) +AI Recovery Rate so far , , , , ,80 0, ,38 30,69% , , , , Final Losses (on +AI+EC) Credit Event ( incl. AI) Cumulative Credit Event (incl. max cum. AI+EC) F Note E Note D Note ,00 Percent of Total Pool Percent of Initial Replenishment Cap 1,00,00 3,00 1,00,00 3,00 4,00 5,00 6,00 7,00,1% 0,76% 1,36% 0,09% 0,45% 0,00% 1,01% 1,00,00 3,00 4,00 5,00 6,00 7,00 4,00 4,% 1,51%,71% 0,18% 0,89% 0,00%,00% 5,00 6,00 7,00 0 Percent of Credit Event (incl. max cum. AI+EC) overall 1,00,00 3,00 5,00 6,00 7,00 86,30% 30,84% 56,00% 17,19% 0,00% 38,81% :4 AM Page: 3

24 Additional Information of Credit Event Stratification Tables I Reference Pool and IKB International S. A. Balance ( Credit Events) 0 < < < < < < < < < < < < < < < < < < < < < < < < = Empty1 Em pty AI Em pty Number 3 of , , , , , , , , , ,3 110 Internal Rating Score ( Credit Events) Empty1 Em pty AI Em pty 3 Number of 63.93, , ,83 474, , , , , , , , ,3 110 Page: 4

25 Additional Information of Credit Event Stratification Tables II Reference Pool and IKB International S. A. Regional (postal code) ( Credit Events) Outside Germany Empty1 Em pty AI Em Number pty of , , , , , , , , , , , , , , , , , , , ,3 110 Regional (State) ( Credit Events) 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 Outside Germany Em pty AI Em pty 3 Number of , , , , , , , , , , , , ,03 164, , , , , , , , , , , , ,3 110 Page: 5

26 Additional Information of Credit Event Stratification Tables III Reference Pool and IKB International S. A. Moody's Industrial Description ( Credit Events) Em pty AI Em Number pty of 3 Asset Type ( Credit Events) Em pty AI Em Number pty of CORP Aerospace & Defense 10 CORP Automotive 103 CORP Banking 104 CORP Beverage, Food & Tobacco 105 CORP Capital Equipment 106 CORP Chemicals, Plastics, & Rubber 107 CORP Construction & Building 108 CORP Consumer goods: Durable 109 CORP Consumer goods: Non durable 110 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 10 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 130 CORP Transportation: Cargo 131 CORP Transportation: Consumer 13 CORP Utilities: Electric 133 CORP Utilities: Oil & Gas 134 CORP Utilities: Water 135 CORP Wholesale , , , , , , , , , , ,83 474, , , , , , , , ,3 110 amortising loan bullet loan Type of Collateral ( Credit Events) machinery equipment mortgage other positive/negative pledge unsecured , , , , , ,3 110 Em pty AI Em pty 3 Number of , , , , , , , , , ,3 110 Page: 6

27 Additional Information of Credit Event Stratification Tables IV Reference Pool and IKB International S. A. Currency Exchange Rate ( Credit Events) Pool Cut / Replenishm ent Date Exchange Rate CHF ,5990 Curr Dat Em pty AI Em pty 3 Number of , , , ,5 Currency ( Credit Events) CHF EUR Em pty AI Em pty 3 Number of , , , , , ,3 110 Page: 7

28 Additional Information of Credit Event Stratification Tables V Reference Pool and IKB International S. A. Top 0 Single Debtor Group ( Credit Events) em pty AI em pty Number of ,37.54, , , , , , , , , , , ,1 958, , , , , , , , , , , ,83 474, , , ,56 8., , , , , , , , , , , , ,95 97 Page: 8

29 Additional Information of Credit Event List of Credit Events Reference Pool and IKB International S. A. Obligor Date of securitisation as of securisation Risk Factor as of securisation Date of Credit Event Risk Factor before Credit Event Credit Event Reason as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) +AI Final Losses (on +AI+EC) Recovery Rate Length of workout (month) Collateral as of Credit Event Moody's Industry Code , Bankruptcy , , , ,31 in workout mortgage , Bankruptcy , ,35 0, ,35 in workout mortgage , Failure to pay , , , ,6 0,00 60,06% mortgage , Bankruptcy , , , ,90 in workout mortgage , Failure to pay , , ,7 0,00 0,00 100,00% 18 machinery , Bankruptcy , , , ,56 in workout mortgage , Bankruptcy , , ,35 0,00 0,00 100,00% 16 mortgage , Bankruptcy 639.3, , , ,35 in workout mortgage , Bankruptcy , ,00 0, ,00 in workout unsecured , Bankruptcy , , , ,64 0,00 54,3% 3 mortgage , Bankruptcy , , , ,55 in workout mortgage , Bankruptcy 31.50,00 794, ,04 0,00 0,00 100,00% 17 mortgage , Failure to pay 7.038, , , ,14 in workout mortgage , Bankruptcy 15.74, , , ,67 in workout mortgage , Bankruptcy , , ,81 0,00 0,00 100,00% 19 other , Failure to pay 3.467, , ,64 0,00 0,00 100,00% 1 mortgage , Bankruptcy , , , ,06 in workout mortgage , Bankruptcy ,61 494, ,70 0,00 0,00 100,00% mortgage , Failure to pay , , , ,19 in workout mortgage , Failure to pay 33.35, , ,03 0,00 0,00 100,00% 10 mortgage , Bankruptcy , , , ,0 in workout mortgage , Failure to pay , , ,50 0,00 0,00 100,00% 7 mortgage , Bankruptcy , , ,09 0,00 0,00 100,00% 3 mortgage , Bankruptcy ,78 958, , ,6 in workout mortgage , Bankruptcy ,70.54, , ,84 in workout mortgage , Bankruptcy , , , ,51 in workout mortgage , Bankruptcy , , , ,77 in workout machinery , Bankruptcy , , , ,74 in workout mortgage , Failure to pay , , , ,33 0,00 31,4% 6 mortgage , Bankruptcy , , , ,51 0,00 15,39% 15 pos/neg pledge , Bankruptcy , , , ,64 in workout mortgage , Bankruptcy ,83 474,71 0, ,54 in workout mortgage , Bankruptcy , , , ,54 in workout mortgage , Failure to pay , , , ,8 0,00 66,95% 1 machinery 119 If an obligor has more than one claim and divergent attributes, the first attribute in chronological order is applicable except for the length of workout where the latest date is applicable. Page: 9

30 Additional Information of Credit Event List of Credit Events Reference Pool and IKB International S. A. Obligor Date of securitisation as of securisation Risk Factor as of securisation Date of Credit Event Risk Factor before Credit Event Credit Event Reason as of Credit Event max cum. AI+EC Liquidation Proceeds so far (on +AI+EC) +AI Final Losses (on +AI+EC) Recovery Rate Length of workout (month) Collateral as of Credit Event Moody's Industry Code , Bankruptcy 6.500,00.741,67 0, ,67 in workout machinery , Bankruptcy , , , ,00 in workout mortgage , Bankruptcy , , , ,14 0,00 63,3% 5 other , Bankruptcy , , , ,46 0,00 35,3% 4 other , Failure to pay , , , ,80 in workout mortgage , Bankruptcy , , , ,07 in workout mortgage , Bankruptcy , , , ,66 in workout mortgage , Bankruptcy 54.70, ,41 0, ,97 in workout mortgage , Bankruptcy ,78,1 0, ,99 in workout machinery , Bankruptcy , , , ,56 0,00 9,50% 50 other , Failure to pay , , ,99 0,00 0,00 100,00% 18 mortgage , Bankruptcy , , , ,70 in workout mortgage , Bankruptcy , , , ,49 in workout mortgage , Failure to pay , , , ,4 0,00 11,64% 7 mortgage , Bankruptcy , , , ,93 in workout mortgage , Failure to pay , , ,8 0,00 0,00 100,00% 13 machinery , Failure to pay , , , ,15 0,00 96,15% 10 mortgage , Bankruptcy , ,11 0, ,11 in workout mortgage , Failure to pay , , , 0,00 0,00 100,00% 4 machinery , Bankruptcy , , , ,4 in workout mortgage , Bankruptcy , ,56 0, ,56 in workout unsecured , Bankruptcy ,03 164,43 0, ,46 in workout mortgage , Bankruptcy , , , ,5 in workout machinery , Bankruptcy, Failur , , , , , ,97% 393 machinery, mort If an obligor has more than one claim and divergent attributes, the first attribute in chronological order is applicable except for the length of workout where the latest date is applicable. Page: 30

31 Comments In the recent period four Credit Events () of six Obligors have occurred: Obligor Credit Event : EUR ,00 because of Bankruptcy Branch: CORP Capital Equipment Type of collateral: mortgage Obligor Claim Credit Event : EUR ,78 because of Bankruptcy Branch: CORP Media: Advertising, Printing & Publishing Type of collateral: mortgage In the recent period one Loss (Obligor) of three claims has to be allocated to the Notes: Obligor: as of Credit Event: EUR ,00 Max. cum. AI+EC : EUR ,3 Final Loss: EUR ,64 Type of collateral: mortgage Obligor Credit Event : EUR ,70 because of Bankruptcy Branch: CORP Capital Equipment Type of collateral: mortgage Obligor Credit Event : EUR ,83 because of Bankruptcy Branch: CORP Healthcare & Pharmaceuticals Type of collateral: mortgage Obligor Claim Credit Event : EUR ,78 because of Bankruptcy Branch: CORP High Tech Industries Type of collateral: mortgage Obligor Credit Event : EUR ,03 because of Bankruptcy Branch: CORP High Tech Industries Type of collateral: mortgage The Investor Report is additionally published on our Homepage [ under: Investor Relations / Fixed Income / CLO Transactions Page 1 [ transactions/index.jsp] Page Page: 31