Credit Linked Notes STABILITY CMBS GmbH

Transcription

1 Communications Issuer Administrator STABILITY CMBS 27 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 4474 Düsseldorf, Germany CLO Management Wilhelm Bötzkes Straße 4474 Düsseldorf, Germany Tel: +49 (2) Fax: +49 (2) E mail: CLO Management@ikb.de Trustee Deloitte GmbH Wirtschaftsprüfungsgesellschaft Schwannstraße Düsseldorf, Germany Tel: +49 (2) Fax: +49 (2) E mail: securitisationde@deloitte.de Counterparties Originator / Protection Buyer / Co Manager Wilhelm Bötzkes Straße 4474 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 b2 Collateral Management/Loan Securitisation Palmengartenstraße Frankfurt am Main, Germany Tel: +49 (69) 743 Fax: +49 (69) E mail: Fitch Ratings Limited 3 North Colonnade London E4 5GN, United Kingdom Tel: +44 (2) Fax: +44 (2) E mail: sf_surveillance@fitchratings.com Moody's Deutschland GmbH An der Welle Frankfurt am Main, Germany Tel: +49 (69) Fax: +49 (69) E mail: monitor.cmbs@moodys.com Standard & Poor's Rating Services European Surveillance 2 Canada Square, Canary Wharf London E4 5LH, United Kingdom Tel: +44 (2) Fax: +44 (2) E mail: CMBSeuropeansurveillance@standardandpoors.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 Great Winchester Street London EC2N 2DB, United Kingdom BNP Paribas Securities Services Luxembourg Branch 33, rue de Gasperich Howald Hesperange 285 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 Baa2 / P 2 Aa3 / P Aa3 / P A / P n.r. / n.r. BBB+ / F2 A+ / F A+ / F A+ / F+ AAA / A + BBB / A 2 A / A A / A A / A * no responsibility is accepted for the correctness of this information Counterparties Date: Signed by: Page:

2 Reference Pool and IKB International S. A. Remittance Data Initial Aggregate Balance ,69 Initial Replenishment Cap Replenishment Cap (excl. *) Beginning Aggregate Balance scheduled Scheduled received Unscheduled received / Prepayments thereof Removals Liquidation Proceeds (on of Defaulted Reference Claims) thereof Removals Total Repayment Period Realised Period Realised Enforcement Cost Period Realised Accrued Interest Period Realised Period Late Recoveries Period Unjustified 42.9, , , ,6 42.9,53 Reference Pool Information Scheduled following Period Beginning Number of Claims Period Initial Number of Claims Number of Claims paid in full Period Aggregated Number of Claims Paid in Full Number of Claims Removed Period Aggregated Number of Claims Removed Number of Claims Replenished Period Aggregated Number of Claims Replenished Number of Claims Reposted Period Aggregated Number of Claims Reposted Ending Number of Claims Period Fixed or Floating Commercial Real Estate Loans secured by Commercial Properties located predominantly in Germany *Cumulative / Unjustified / Late Recoveries ,6 Total of Replenished Loans Payments of other than Prepayments reserved for future Replenishment Prepayments of reserved for future Replenishment Ending Aggregate Balance ,63 Amortisation Sum of all Payments of other than Prepayments ,66 Sum of all Prepayments of ,46 Additional Reference Pool Information Initial Pool After Replenishment Weighted Average Exposure Rating 2,22 4,29 Weighted Average Property Rating 2,42,86 Delinquency Status Number of Claims Delinquent Outstanding Payments in Arrears (excl. Defaulted Reference Claims): < Month 2 Months 2 3 Months 3 4 Months 4+ Months Subtotal: Terminated (excl. Defaulted Reference Claims) Subtotal: Insolvency (excl. Defaulted Reference Claims) Total: Defaulted Status Number of Claims Delinquent Outstanding Defaulted Reference Claims in Work Out , ,63 thereof Period Estimated aggregated Accrued of aggregated Interest: Accrued In ,29 Estimated s additional in Work Out by current of Exchan Non EUR Defaulted Reference 3Claims: , ,87 Date: Signed by: Page: 2

3 Summary Reference Pool and IKB International S. A. Original Swap L e e r Swap before / Recoveries Swap after Calculated Senior Swap thereof Unused Replenishment Capacity ,69 Class A+ A B C D E F Totals CLN Original E Class m p t y Class before / Recoveries Class after Interest Total 5. AN3Z DEAN3Z AN DEAN AN DEAN AN DEAN AN DEAN ,8 42.9, , , ,36 AN DEAN , , , ,64 AN DEAN , , , , , AN3, AN3, 37727, 3773 DEAN35, DE WKN Common Code ISIN Reference Portfolio ,69 * , ,63 s per Note ** Class Number of Notes Note before / Recoveries Note after Interest Total A+ A B C D E F ,4 49, ,4 77,22 326, , ,83.675,34.675,34 * Initial Replenishment Cap ** The allocation of, Unjustified and Late Recoveries is based on each class level this can cause rounding differences at the position s per Note. Date: Signed by: Page: 3

4 Reference Pool and IKB International S. A. Calculated Senior Swap thereof Unused Replenishment Capacity Original Swap L e e r Swap before Beginning Percentage** Repl. Reduction / Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Enforcement Cost Accrued Interest Swap after Ending Percentage** ,69 % % % % Class A+ A B C D E F Totals CLN Original E Class m pt Class before Beginning Percentage** Repl. Reduction / Pool Reduction Rounding Difference for future Reduction Late Recoveries Unjustified Enforcement Cost y 5. % % Accrued Interest Class after Ending Percentage** 3.8. % % % % 3.5. % % 3.4. % % ,8 44,932% 42.9,32 2, ,48 43,93643% ,84 55,99884% ,84 56,6365% ,64 6% 42.9,32 2, ,32 8% Reference Portfolio ,69 * ,6,688476% *** ,63,683847% *** Credit Enhancement Information Rating Class Original Percentage*** E m pt Beginning Percentage** Ending Percentage** empty WKN Common Code ISIN Moody's (Initial) S&P (Initial) Fitch (Initial) A+ A B C D E F 26865% 99,997228% 99,997222% AN3Z DEAN3Z7 WR (Aaa) NR (AAA) PIF (AAA) 6,59239% 99,997228% 99,997222% AN DEAN35 WR (Aaa) NR (AAA) PIF (AAA),45783% 99,997228% 99,997222% AN DEAN33 WR (Aa2) NR (AA) PIF (AA) 8,54% 99,997228% 99,997222% AN DEAN32 WR (A2) NR (A) PIF (A) 4,77498% 99,997228% 99,997222% AN DEAN339 WR (Baa2) NR (BBB) PIF (BBB),65829% 55,98933% 56,6265% AN DEAN347 Caa3 (Ba3) CCC (BB) C (BB) % % % AN DEAN354 n.r. (n.r.) n.r. (n.r.) n.r. (n.r.) * Initial Replenishment Cap ** percentage rate based on Aggregate Balance *** percentage rate based on Initial Replenishment Cap Date: Signed by: Page: 4

5 Interest Reference Pool and IKB International S. A. Class Original Class Original Number of Notes Class before Beginning Number of Notes Pool Factor Spread over 3m EURIBOR Interest Interest per Note Total Interest A+ A B C D E F (Index ) (Credit Spread) * Totals CLN 5.,9%,39% ,9%,39% ,29%,39% ,49%,6% ,79%,46% ,8 282,244 3,25% 2,92% 77, , ,84 46, ,5% 6,7% 97, 3,% 758, , ,64 428,827882,7% 2,397%.852, ,68 Period Fixing Date: 27 2 Interest Payment Date: m EURIBOR current Period:,329% Interest Accrual Period (Floating): Number of Days (act/36): 9 Day Count Fraction:, * refer to Original Class Date: Signed by: Page: 5

6 Structure Glossary Early Redemption The Issuer shall redeem the Mezzanine Notes before the Scheduled Maturity Date (a) on the 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 (b) as a result of the termination of the Mezzanine Tranche of the Bank Swap by the Bank at its option, (i) as of any Payment Date following the occurence of a Mezzanine Regulatory Event or (ii) as of any Payment Date following the reduction of the Aggregate Balance to less than % of the initial Replenishment Cap or (iii) on or after the Payment Date falling in May 23; or (c) on the th Business Day following the termination of the Mezzanine Tranche of the Bank Swap upon the occurence of Serious Cause in respect of the Bank or Insolvency of the Bank. Herfindahl Index SPV Liquidation Proceeds (A) the Aggregate Balance as of the end of the relevant Collection Period, squared, divided by (B) the aggregate of the squared Balance(s) of all Reference Claims affiliated with a particular Debtor Group It means a special purpose company in the form of a sole proprietorship with the statutory object and purpose of the administration and renting of a limited number of commercial real estate properties, and which derives its cash flows exclusively from such property or properties. 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 and then to the Enforcement Costs of a Reference Claim to which a has occured. Key Dates: Cut off Date Closing Date: Scheduled Maturity: Legal Maturity: Contact: CLO Management Wilhelm Bötzkes Straße 4474 Düsseldorf, Germany Tel.: (+49) Fax: (+49) E mail: CLO Management@ikb.de 5th January, 27 22th May, 27 7th May, 29 5th May, 222 The Investor Report is additionally published on our Homepage [ under: Investor Relations / Fixed Income / CLO Transactions [ transactions/index.jsp] Suspension Event Replenishment Termination Event It means any of the following: (A) the aggregate Outstanding Nominal s of all Reference Claims with respect to which any due payments of not less than EUR 5, has not been made for a period of more than 6 calendar days, but fewer than or equal to 8 calendar days, from the relevant due date exceeds on the Replenishment Date 3% of the Aggregate Balance minus the aggregate Outstanding Nominal s of the Defaulted Reference Claims and Liquidated Reference Claims at such time; or (B) the aggregate Outstanding Nominal s of all Reference Claims with respect to which (i) Bankruptcy has occured, or (ii) any due payments of not less than EUR 5, has not been made for a period of more than 8 calendar days from the relevant due date exceeds on the Replenishment Date % of the Initial Aggregate Balance. It occurs if (A) at any time, the rating by S&P and Fitch initially assigned to any Class of Notes is withdrawn or lowered, or (B) the sum of the Realised allocated to the Notes (as reduced by Late Recoveries and/or as a result of the Unjustified Loss Allocation procedure) exceed EUR 2,. Date: Signed by: Page: 6

7 Additional Information of Defaulted Reference Claims overall Reference Pool and IKB International S. A. Defaulted Reference Claims (overall) Last Investor Report + Early Redemption Report Pool Initial Pool Aggregated Replenishment Aggregated Removal Total Pool s Number of Claims as of Securitisation Repayments before occurence of as of max cum. AI+EC+ Liquidation Proceeds so far (on +Conver sion+ai+ec) Final (on +AI+EC +) +AI+ Recovery so far Pool , , , ,27 s , , , , , , ,79 65,37%..,...., ,4 (6%) ,87 (94%).., 5...., 25.. as of Unimpaired Pool Percent of Total Pool Percent of (incl. max cum. AI+EC+) overall, 2, 3,, 2, 3, 4, 5, 6, 7, 4, 8,37%,96% 6,4%,64% 4,6%,56%,88%, 2, 3, 4, 5, 6, 7, Percent of Initial Replenishment Cap 9,92% 2,32% 7,59%,76% 5,46%,66% 2,23%, 2, 3, 5, 6, 7, 3,59% 3,59% % 65,37% 7,92% 26,7% 5, 6, 7, Date: Page: 7

8 Additional Information of Defaulted Reference Claims workout completed Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Defaulted Reference Claims (workout completed) Number of Claims as of Securitisation Repayments before occurence of as of max cum. AI+EC+ Liquidation Proceeds so far (on ++AI+EC) Final (on +AI+EC +) +AI+ Recovery so far , , , , , ,6 85,85% Work Out Timing (months)..,.. <=6 as of max cum. AI+EC+ Liquidation Proceeds so far (on +Conver sion+ai+ec) Final (on +AI+EC +).., 75.. >6<= , , , ,6 >2<=8 >8<=24 >24<=3 >3<= , , , , , , , ,83.., 5.. >36<=42 >42<=48 >48<= , , ,2 22.6,5.., 25.. >54<=6 > 6 Totals , , , ,6, 2, 3, 4, 5, 6, 7, Percent of Total Pool Percent of Initial Replenishment Cap, 2, 3, 4, 5, 6, 7, 5,53%,76% 3,77%,8% 3,39%,56% %, 2, 3, 4, 5, 6, 7, 6,55% 2,9% 4,46%,2% 4,%,66% %, 2, 3, 5, 6, 7, Percent of (incl. max cum. AI+EC+) overall 86,27% 27,5% 55,97% 48,5% 7,92% % Date: Page: 8

9 Additional Information of Defaulted Reference Claims current in workout Reference Pool and IKB International S. A. Defaulted Reference Claims (current in workout) Last Investor Report + Early Redemption Report Number of Claims as of Securitisation Repayments before occurence of as of max cum. AI+EC+ Liquidation Proceeds so far (on ++AI+EC) Final (on +AI+EC +) +AI+ Recovery so far , , , , , ,79 39,34%...., , , , Final (on +AI+EC+) ( incl. AI+) Cumulative (incl. max cum. AI+EC+) F Note E Note D Note Percent of Total Pool Percent of Initial Replenishment Cap, 2, 3, 4, 5, 6, 7,, 2, 3, 4, 5, 6, 7, 2,84%,2% 2,64%,46%,22% %,88%, 2, 3, 4, 5, 6, 7, 3,37%,23% 3,3%,55%,45% % 2,23% Percent of (incl. max cum. AI+EC+) overall, 2, 3, 5, 6, 7, 44,33% 3,9% 44,3% 7,32% % 26,7% Date: Page: 9

10 Additional Information of Defaulted Reference Claims Stratification Tables I Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Obligor Balance Date of Credit Event AI n Estimated Prior Charges Paripassu (incl. Syndication) Additional Collateral Property Value WA LTV Interest Service WA ICR Debt Service WA DSCR , , ,87.. 6,5% ,, ,45 Borrower CE Ranking Loan Info Balance AI n Estimated Currency Exchange Maturity Date Reset Date Seasoning in years Interest Type Amortisation Type SPV Exposure Rating Region Country, , ,7 EUR, ,8 Interest fixed Annuity Yes Bavaria Germany , , ,87 CHF, ,5 Interest fixed Annuity Yes Bavaria Germany Borrower CE Ranking Property Info Property Value Property Value Date Property Type Net Operating Income Tenant Units WA Rental Period (years) Vacancy (sqm) Tenure Building Age Remaining Useful Life, Office 33.57,2 2 6,64% Freehold 6 4 3, Baden Wuerttemberg Germany Property Rating Region Country Obligor Balance Date of Credit Event AI n Estimated Prior Charges Paripassu (incl. Syndication) Additional Collateral Property Value WA LTV Interest Service WA ICR Debt Service WA DSCR , , ,94 Borrower CE Ranking Loan Info Balance AI n Estimated Currency Exchange Maturity Date Reset Date Seasoning in years Interest Type Amortisation Type SPV Exposure Rating Region Country 2, , ,37 EUR, ,6 Interest fixed Annuity Yes 6, Hamburg Germany Borrower CE Ranking 2, Property Info Property Value Property Value Date Property Type Net Operating Income Tenant Units WA Rental Period (years) Vacancy (sqm) Tenure Building Age Remaining Useful Life Property Rating Region Country Date: Page:

11 Additional Information of Defaulted Reference Claims List of Defaulted Obligors Reference Pool and IKB International S. A. Last Investor Report + Early Redemption Report Obligor Date of securitisation as of securitisation Date of Credit Event Credit Event Reason as of max cum. AI+EC+ Liquidation Proceeds so far (on + AI+EC+) Final (on +AI+EC+) +AI+ Recovery Length of workout (month) Totals , Failure to pay , , ,75 % , Failure to pay , , ,2 22.6,5 92,9% , Failure to pay , , , ,6 78,95% , Failure to pay 6.9.6, , , ,95 in workout , Failure to pay , , , ,83 4,44% , Failure to pay , , , ,22 77,62% Failure to pay , , , ,84 in workout , Failure to pay , , , , ,79 % 39 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. Date: Page:

12 Comments The objects of the Defaulted Obligor 48 (page ) were sold in the meantime. The Liquidation Proceeds were paid on the Reference Claim and Collarateral was released respectively. In addition, enforcement proceedings are still going on. For this Debtor Group exists no object anymore. According to the Defaulted Obligor 24 (page ) it is intended to rent the property and sell it afterwards. The Investor Report is additionally published on our Homepage [ under: Investor Relations / Fixed Income / CLO Transactions [ transactions/index.jsp] Page Page 2 Date:, Page: 2