COLLATERAL REPORT IM SABADELL EMPRESAS 5

Transcription

1 COLLATERAL REPORT October 2010 IM SABADELL EMPRESAS 5 GLOBAL SECURITISATION AND TRUST SERVICES

2 CONTENTS: 1. SUMMARY OF POOL CHARACTERISTICS 1.1. Pool Characteristics 1.2. Distribution Charts & Tables 2. PREPAYMENT 3. DELINQUENCIES 4. GLOSSARY

3 1. Summary of Pool Characteristics Collateral Type: Credit Rights derived from loans to large companies and SMEs Pool Characteristics Initial (2) Total Portfolio (1) Arrears (1) Defaults Number of Loans Number of Obligors Principal Outstanding Principal Outstanding not due Avg. Loan Principal Outstanding Largest Loan Outstanding WA Seasoning (months) WA Maturity (months) % Over Principal Outstanding 100 % 4,67 % 1,04 % % Over Initial Portfolio (2) % Over Total Portfolio (1) % Over Portfolio in Arrears + 90 (1) % Over Defaulted Portfolio Obligor Concentration: Largest Obligor 2,17 % 2,17 % N.A. N.A. 10 Largest Obligors 12,17 % 13,98 % N.A. N.A. 25 Largest Obligors 20,16 % 22,84 % N.A. N.A. Interest Rate Fixed 26,66 % 23,30 % 55,10 % 45,30 % Floating 73,34 % 76,70 % 44,90 % 54,70 % WA Interes Rate (%) 4,83 % 3,75 % 5,49 % 5,29 % WA Margin for Floating Rate Loans (%) 1,25 % 1,25 % 1,26 % 1,76 % Borrower's Distribution Catalonia 44,45 % 42,07 % 40,85 % 30,69 % Madrid 10,45 % 10,51 % 39,52 % 36,89 % Andalusia 8,15 % 6,85 % 2,55 % 8,03 % Aragon 3,87 % 4,68 % 6,93 % 0,65 % Castilla-Leon 2,84 % 2,89 % 1,49 % 9,09 % Other 30,23 % 32,99 % 8,67 % 14,65 % Distribution by Industry Sector Development Of Building Projects 13,22 % 10,15 % 7,33 % 5,76 % Renting And Operating Of Own Or 9,45 % 9,90 % 13,80 % 0,00 % Leased Real Estate Business Support Service Activities N.e.c. 4,78 % 5,73 % 5,89 % 0,00 % Other Specialised Wholesale 3,42 % 3,39 % 1,79 % 36,00 % Travel Agency And Tour Operator 1,24 % 1,84 % 36,95 % 0,00 % Activities Medical And Dental Practice Activities 0,70 % 0,72 % 0,06 % 9,87 % Renting And Leasing Of Other Machinery, 0,26 % 0,22 % 0,00 % 6,39 % Equipment And Tangible Goods Other 66,94 % 68,05 % 34,19 % 41,98 % Type of Guaranty Mortgage Guaranties 34,77 % 36,34 % 31,03 % 33,36 % Other Guaranties 65,23 % 63,66 % 68,97 % 66,64 % (1) Excluding Defaults (2) Situation of Loans on the Closing Date. 3

4 Distribution Charts Year of Origination of the Loans Year of Origination Number Of Loans Balance ( ) Balance (%) of the Loans Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <2005] ,66 % 2,05 % 0,00 % 0,00 % [2005] ,38 % 2,72 % 0,06 % 0,00 % [2006] ,35 % 4,47 % 0,00 % 0,33 % [2007] ,75 % 9,87 % 19,51 % 27,09 % [2008] ,04 % 41,07 % 22,34 % 10,73 % [2009] ,82 % 39,82 % 58,09 % 61,86 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 4

5 Outstanding Balance Outstanding Number Of Loans Balance ( ) Balance (%) Balance Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ < ] ,17 % 19,06 % 15,21 % 38,11 % [ ] ,87 % 20,82 % 11,57 % 25,71 % [ ] ,43 % 8,71 % 2,86 % 0,00 % [ ] ,92 % 12,89 % 8,96 % 9,09 % [ ] ,67 % 17,93 % 10,65 % 27,09 % [ > ] ,94 % 20,58 % 50,75 % 0,00 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 5

6 Obligor Concentration Number Balance ( ) Balance (%) of obligors Initial Current Initial Current Top ,17 % 2,17 % Top ,79 % 9,19 % Top ,17 % 13,98 % Top ,46 % 17,43 % Top ,08 % 20,29 % Top ,16 % 22,84 % (Distribution of each category) 6

7 Reference Rate Number Of Loans Balance ( ) Balance (%) Reference Rate Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default FIXED ,66 % 23,30 % 55,10 % 45,30 % EURH ,91 % 27,35 % 27,06 % 33,36 % EUR ,54 % 17,76 % 12,05 % 17,55 % EUR ,45 % 14,02 % 4,86 % 1,08 % EUR ,67 % 10,00 % 0,34 % 2,71 % ICO6M ,77 % 7,56 % 0,59 % 0,00 % Total ,00 % 100,00 % 100,00 % 100,00 % Reference WA Interes Rate (%) WA Margin for Floating Rate Loans (%) Interest Rate Initial Current Arrears Initial Current Arrears FIXED 5,94 % 5,95 % 6,78 % EURH 5,37 % 3,40 % 3,84 % 1,05 % 1,02 % 0,80 % EUR12 5,45 % 3,73 % 4,47 % 1,75 % 1,86 % 2,16 % EUR6 2,51 % 1,92 % 2,95 % 0,77 % 0,74 % 1,38 % EUR3 3,34 % 2,55 % 4,88 % 1,31 % 1,27 % 4,01 % ICO6M 3,76 % 3,25 % 3,53 % 1,55 % 1,55 % 1,75 % Total 4,83 % 3,75 % 5,49 % 1,25 % 1,25 % 1,26 % Outstanding Balance % 7

8 Interest Rate Number Of Loans Balance ( ) Balance (%) Interest Rate Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <2 ] ,43 % 17,27 % 6,63 % 1,08 % [ 2-2,5 ] ,58 % 6,54 % 1,57 % 0,00 % [ 2,5-3 ] ,93 % 10,91 % 0,00 % 0,00 % [ 3-3,5 ] ,99 % 7,98 % 0,25 % 0,00 % [ 3,5-4 ] ,90 % 15,03 % 0,69 % 0,35 % [ 4-4,5 ] ,24 % 17,15 % 31,53 % 46,19 % [ 4,5-5 ] ,32 % 3,32 % 1,31 % 0,65 % [ 5-5,5 ] ,00 % 2,69 % 1,38 % 1,96 % [ 5,5-6 ] ,84 % 10,07 % 7,71 % 18,97 % [ 6-6,5 ] ,19 % 1,12 % 1,11 % 6,14 % [ 6,5-7 ] ,02 % 5,54 % 42,58 % 5,77 % [ >7 ] ,56 % 2,40 % 5,23 % 18,89 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 8

9 W.A. Maturity (Years) W.A. Number Of Loans Balance ( ) Balance (%) Maturity (Years) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <5] ,15 % 47,18 % 67,57 % 67,18 % [5-10] ,26 % 26,71 % 7,39 % 30,13 % [10-15] ,40 % 19,21 % 23,27 % 2,69 % [15-20] ,07 % 4,60 % 0,00 % 0,00 % [20-30] ,12 % 2,30 % 1,78 % 0,00 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 9

10 Type of Guaranty Type of Number Of Loans Balance ( ) Balance (%) Guaranty Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Mortgage Guaranties ,77 % 36,34 % 31,03 % 33,36 % Other Guaranties ,23 % 63,66 % 68,97 % 66,64 % Total ,00 % 100,00 % 100,00 % 100,00 % 10

11 Borrower's Distribution Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Andalusia ,15 % 6,85 % 2,55 % 8,03 % Aragon ,87 % 4,68 % 6,93 % 0,65 % Asturias ,93 % 4,98 % 0,79 % 1,02 % Balearic Islands ,66 % 4,11 % 0,06 % 0,35 % Basque Country ,73 % 6,63 % 0,02 % 1,21 % Canary Islands ,67 % 2,13 % 0,76 % 2,36 % Cantabria ,41 % 0,47 % 0,00 % 0,00 % Castilla-La Mancha ,58 % 1,68 % 0,54 % 0,00 % Castilla-Leon ,84 % 2,89 % 1,49 % 9,09 % Catalonia ,45 % 42,07 % 40,85 % 30,69 % Extremadura ,94 % 1,20 % 0,73 % 0,00 % Galicia ,98 % 1,89 % 1,07 % 0,44 % La Rioja ,81 % 0,50 % 0,00 % 0,98 % Madrid ,45 % 10,51 % 39,52 % 36,89 % Murcia ,03 % 1,06 % 0,08 % 3,53 % Navarre ,33 % 1,69 % 1,08 % 0,00 % Valencia ,16 % 6,65 % 3,53 % 4,75 % Total ,00 % 100,00 % 100,00 % 100,00 % 11

12 Borrower's Distribution (Distribution of each category) 12

13 Guaranty's Distribution Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Andalusia ,69 % 7,10 % 3,03 % 5,12 % Aragon ,17 % 7,42 % 21,15 % 0,00 % Asturias ,22 % 6,19 % 0,00 % 0,00 % Balearic Islands ,23 % 4,46 % 0,00 % 0,00 % Basque Country ,78 % 2,16 % 0,00 % 0,00 % Canary Islands ,70 % 3,80 % 0,00 % 5,61 % Cantabria ,09 % 0,13 % 0,00 % 0,00 % Castilla-La Mancha ,57 % 2,45 % 0,00 % 81,20 % Castilla-Leon ,24 % 1,66 % 0,00 % 0,00 % Catalonia ,37 % 45,55 % 54,03 % 8,07 % Extremadura ,20 % 0,28 % 0,00 % 0,00 % Galicia ,33 % 1,70 % 0,00 % 0,00 % La Rioja ,07 % 0,10 % 0,00 % 0,00 % Madrid ,00 % 5,17 % 0,00 % 0,00 % Murcia ,59 % 0,57 % 0,00 % 0,00 % Navarre ,62 % 0,83 % 1,06 % 0,00 % Valencia ,14 % 10,45 % 20,73 % 0,00 % Total ,00 % 100,00 % 100,00 % 100,00 % 13

14 Guaranty's Distribution (Distribution of each category) 14

15 Industry Sector Number Of Loans Balance ( ) Balance (%) Industry Sector Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Development Of Building Projects Renting And Operating Of Own Or Leased Real Estate Business Support Service Activities N.e.c. Buying And Selling Of Own Real Estate Other Specialised Wholesale Hotels And Similar Accommodation Restaurants And Mobile Food Service Activities Retail Sale Of Other Goods In Specialised Stores Support Activities For Transportation Wholesale Of Food, Beverages And Tobacco Travel Agency And Tour Operator Activities Electrical, Plumbing And Other Construction Installation Activities Wholesale Of Other Machinery, Equipment And Supplies Construction Of Residential And Non- Residential Buildings Non-Specialised Wholesale Trade Medical And Dental Practice Activities Manufacture Of Other General-Purpose Machinery ,22 % 10,15 % 7,33 % 5,76 % ,45 % 9,90 % 13,80 % 0,00 % ,78 % 5,73 % 5,89 % 0,00 % ,23 % 3,41 % 5,03 % 0,00 % ,42 % 3,39 % 1,79 % 36,00 % ,94 % 3,36 % 0,13 % 0,00 % ,53 % 3,01 % 0,94 % 2,37 % ,49 % 2,85 % 0,52 % 2,14 % ,86 % 2,26 % 0,00 % 0,82 % ,97 % 1,90 % 0,59 % 0,00 % ,24 % 1,84 % 36,95 % 0,00 % ,32 % 1,29 % 0,92 % 2,62 % ,19 % 1,13 % 0,00 % 2,54 % ,07 % 0,98 % 2,74 % 1,38 % ,91 % 0,96 % 2,33 % 2,05 % ,70 % 0,72 % 0,06 % 9,87 % ,48 % 0,54 % 2,70 % 0,00 % Building Completion And ,66 % 0,49 % 0,48 % 2,83 % Finishing Manufacturing N.e.c ,42 % 0,45 % 0,26 % 2,46 % Motion Picture, Video And ,35 % 0,32 % 2,59 % 0,00 % Television Programme Activities Renting And Leasing Of Other Machinery, Equipment And Tangible Goods ,26 % 0,22 % 0,00 % 6,39 % Other ,52 % 45,11 % 14,96 % 22,78 % Total ,00 % 100,00 % 100,00 % 100,00 % 15

16 (Distribution of each category) 16

17 W.A. LTV Number Of Loans Balance ( ) Balance (%) W.A. LTV Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <40] ,31 % 12,66 % 1,06 % 0,00 % [40-50] ,21 % 12,08 % 44,96 % 0,00 % [50-60] ,09 % 17,73 % 0,00 % 81,20 % [60-70] ,37 % 32,90 % 52,89 % 8,07 % [70-80] ,03 % 16,97 % 1,09 % 0,00 % [ >80] ,00 % 7,67 % 0,00 % 10,73 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) W.A. LTV Initial Current Arrears Default WA LTV 63,89 % 60,58 % 52,87 % 63,25 % 17

18 Segment Segment Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default de hasta ,22 % 32,20 % 20,09 % 63,78 % de < ,20 % 20,28 % 26,29 % 4,86 % de hasta ,63 % 18,61 % 5,55 % 18,43 % de hasta ,16 % 13,00 % 36,95 % 0,00 % de hasta ,93 % 8,94 % 8,29 % 10,25 % Autónomo ,87 % 6,96 % 2,82 % 2,67 % Total ,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 18

19 2. Prepayment Prepayment Rates (Last 12 Month) Date Monthly Quarterly Semiannual Annual Life ,09 11, , ,15 13, , ,67 9,47 11,73-16, ,22 9,15 10,67-16, ,11 7,81 11,01-15, ,23 14,91 12,44-16, ,03 17,49 13,62-17, ,17 20,47 14,56-17, ,86 13,78 14,78 13,85 16, ,47 10,49 14,57 13,18 16, ,88 10,65 16,32 14,27 16, ,49 9,64 12,16 13,03 16,22 19

20 3. Arrears and Defaults Date Arrears and Defaults (Last 12 Month) >3 and <12 mth Defaults Num. % Num. % Outstanding % Initial ,45 % 0 0,00% 0,00% ,51 % 0 0,00% 0,00% ,75 % 0 0,00% 0,00% ,12 % 0 0,00% 0,00% ,05 % 0 0,00% 0,00% ,45 % 0 0,00% 0,00% ,15 % 13 0,11% 0,08% ,88 % 22 0,23% 0,16% ,34 % 33 0,33% 0,24% ,49 % 45 0,44% 0,31% ,12 % 57 0,68% 0,45% ,67 % 64 1,04% 0,68% Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults. Outstanding percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults. Initial percentage of defaults is calculated as Principal Outstanding of Defaults over total initial balance on the Closing Date. 20

21 4. Glossary Notes and Definitions Total portfolio: Arrears : Defaults: Principal outstanding: Outstanding Balance: Balance: Principal outstanding not due: Obligor concentrations: WA seasoning: WA remaining life: WA interest rate: WA margin for floating rate loans: Regional concentration: Industry concentration: Type of guaranty: LTV: Outstanding loans (defaulted loans excluded). Loans in arrears more than 90 days, defaulted loans excluded. Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults. Definition may vary according to each Fondo, see prospectus for precise definition. In general, after a certain number of months in arrears plus those loans that, according to the originator/servicer, present reasonable doubts that they will be fully reimbursed. When the loans are classified as defaults, a write off mechanism is activated amortizing bonds in an amount equal to the defaulted loans. Proceeds from defaulted loans enter the payment waterfall but these loans, either partially or fully recovered, keep their default status for the life of the Fondo. Therefore, once a loan is classified as default, it keeps the same status until fully reimbursed, even if unpaid amounts are recovered and the loan pays regular instalments again. Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults. Outstanding balance of the loan, including unpaid due principal amounts. See principal outstanding. See principal outstanding. Outstanding balance, excluding unpaid due principal amounts. Sum of principal outstanding of all de loans of the same debtor over total portfolio. Obligor concentration in arrears and defaults are calculated using loans of the same obligor that are in arrears or defaulted. Both conditions have to be met, so if a debtor has one loan paying regularly and another in default, only the defaulted loan will be taken into account to calculate the ratio. Average seasoning of the loans weighed by principal outstanding and expressed in months. Average remaining maturity of the loans weighed by principal outstanding and expressed in months. Average interest rate of the loans weighed by principal outstanding. Average margin over the corresponding interest rate index of reference weighed by principal outstanding. Please note that several interest index may coexist in the same portfolio and margins may vary according to de index. (i.e. margin on loans indexed to Euribor is usually higher than margin of loans indexed to IRPH). Grouped by Comunidad Autónoma or Province. Grouped by CNAE ( Clasificación Nacional de Actividades Económicas). Categories showed are the top categories of each portfolio. For more information on the clasification visit Mortgage guaranty/other guaranties. Weighed average loan to value of loans with mortgage guaranty. Appraisal values, in general, correspond to the date of the loan origination and are not updated. 21

22 Interest Rate Indexes EUR1: EUR3: EUR6: EUR12: EURH: MIB1: MIB3: MIB6: MIB12: MIBH: IRPHCE: IRPHB: IRPHC: IRPHCEta: MUTUOA: ISDA3: ISDA5: CECA: CLEUR100: TMC: ICO(T): ICO_FIJO: Interest rate for 1-month Euro deposit transactions. Interest rate for 3-months Euro deposit transactions. Interest rate for 6-months Euro deposit transactions. Interest rate for 12-months Euro deposit transactions. Monthly EUR12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin,mortgage Market Official Reference Rates. Madrid Interbank Offered Rate for 1-month deposit transactions. Madrid Interbank Offered Rate for 3-month deposit transactions. Madrid Interbank Offered Rate for 6-month deposit transactions. Madrid Interbank Offered Rate for 1-year deposit transactions. Monthly MIB12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates. Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, Cajas de Ahorros and Mortgage Lending Companies, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates. Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates. Monthly average rate for mortgage loans over 3 years to purchase free housing from Cajas de Ahorros, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates. Annualized monthly average rate for mortgage loans over three years to purchase free housing from Bancos, Cajas de Ahorros and Mortgage Lending Companies. Interest rate agreed between the parties involved in the mortgage loan contract. 3 years IRS. 5 years IRS. Reference rate of the Confederacion Española de Cajas de Ahorro published by the Bank of Spain. 100% of the monthly EUR 12 average published by the Bank of Spain during the six month before of the date of review. Monthly weighted average rate for consumer credits published by the Bank of Spain. 6 months Euribor published by the Instituto de Crédito Oficial (ICO). Fixed, under the Instituto de Crédito Oficial (ICO) agreement. For further information on interest rate indexes please visit Bank of Spain website 22

23 Formulas Prepayment Rate: Life prepayment rate: Prepayment rates are calculated using the following formula: (1-(1-(PPA)/(PPA+OB)))^(12/N))*100 Where: N: number of months of the period. PPA: Prepaid amount of the period. OB: Outstanding balance not due at the end of the period. Calculated using actual / 365 from Closing Date: 1-(1-(PPA / (PPA+OB))) ^ (1/days/365)) Where: Days: number of days from Closing Date until the end of the current month. PPA: Cumulative prepaid amount since Closing Date. OB: Outstanding balance not due at the end of the current month. Arrears and Defaults Loans are considered delinquent when they have any unpaid interest or principal amounts, since the day the payment was due, even if this means only one day in arrears. Loans in arrears are grouped in monthly buckets as follows: 1 month: 0 <=30 Days in Arrears 2 months: >30 <=60 Days in Arrears 3 months: >60 <=90 Days in Arrears 4 months: >90 <=120 Days in Arrears.. and so on. Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults. Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults. 23