Risk profile. Overview participating financial institutions, mortgage portfolios and over-collateralisation. Ratings (Moody's/S&P/Fitch)

Transcription

1 Covered Bond Issuer Profile IM Cédulas 7 FTA http :// Bloomberg : IXCR Market Segment: Spanish Cédulas Hipotecarias Structured Multicédulas Updated: h March has been appointed joint lead of the forthcoming issue of IM Cédulas 7 Key credit factors Basic Facts Cédulas are backed by the entire mortgage portfolios of 5 Domicile: Madrid/Spain participating financial institutions (see below for list). The Legal structure: Fondo de Titulización (FTA) acquires individual Cédulas hipotecarias from 5 participating financial over-collateralisation ratio for IM Cédulas 7 at issuance will stand at 33% (mortgage loan portfolios as of end Dec-5) institutions and issues Cédulas in equivalent amount The collateral pool is dominated by residential mortgage loans (.1% of total mortgages) A liquidity facility provided by (ST: P-1/ A-1+/ F1+, Moodys/ S&P/ Fitch). Rating by Moody s and Fitch: expected Aaa/AAA Risk profile Covered Bonds regulated by: Ley /191 of 5/3/191 Risk weight acc. to EU CAD: 1% Market share Jumbo Cov. Bonds (1Y.+): 1.% (5.9% of CH) Outst. CH (March ): 9.9 bn. (started in ) Homepage: Bloomberg: IMCEDI Credit risks Collateral pool dominated by residential mortgage loans (.1% of total mortgage loans; no mortgage loan exposure outside Spain) Domestic geographical diversification: % of total mortgage portfolio is granted in the wealthier parts of Spain (GDP per capita above national average). The region of Barcelona accounts for 1.3%, the region of Vizcaya for 13.7%. Loan-to-value ratio at an weighted average of 59.7% (based on initial property valuation ) NPL ratio of total mortgage loan portfolio:.1% (weigh. av.), NPL over 9 days:.% (weigh. av.) Average over-collateralisation ratio of 33% (Total mortgage portfolio/outstanding Cédulas), the average over-collateralisation ratio of the transaction weighted by participants contributions stands at 3% Average ratio of legally apt mortgage loan portfolio/outstanding Cédulas at 15% (legal minimum 111%), eligibility criteria for legally apt mortgage loans: first rank mortgage, maximum LTV % for residential, 7% for commercial mortgages, underlying property of the mortgages must be appraised and insured. Stable fundamentals and ratings of participating financial institutions Reinvestment and loan pre-payment risks Interest rate and currency risks Liquidity risks Counterparty risks Assets and liabilities are both fixed, non-callable High share of variable-rate mortgage loans (9.% of total mortgage portfolio) Over-collateralisation ratio at participating banks ranging from 5% to % Complete interest rate and maturity match between assets and liabilities Over-collateralisation ratio at participating banks ranging from 5% to % Participating banks swap fixed-rate Cédulas issues into floating in order to reduce interest rate mismatch with mortgage portfolio on the asset side Currency risks are non-existent as no mortgage loan exposure outside Spain Complete match between assets and liabilities and a liquidity facility expected to be around [3.5%] of issuance volume to cover shortfall on interest payments and extraordinary expenses up to a certain limit. The participating banks benefit from a high share of customer deposits (ratio customer deposits/total assets at an average of 71%) If the short-term rating of the liquidity facility provider falls below P-1/F1 (Moody s/fitch), the liquidity provider has 3 days to (i) obtain from a credit entity with sufficient rating a guarantee for the liquidity facility, or (ii) find an adequate substitute liquidity facility provider, or (iii) deposit the entire amount of the liquidity facility. Rating agencies request that the liquidity facility includes proceeds to cover extraordinary expenses (e.g. for back-up manager) Initial expenses and taxes will be paid at issue date. Periodical ordinary expenses will be covered through a 1 basis Administrative costs point spread between the coupon of Cédulas issued by participating banks and the coupon of Cédulas issued by IM Cédulas 7. All figures are end of December 5, except otherwise stated Source: InterMoney Overview participating financial institutions, mortgage portfolios and over-collateralisation Contributing financial institution Ratings (Moody's/S&P/Fitch) Contribution to IM Cédulas 7 Total mortgage portfolio * Legally apt mortgage portfolio 1) * Outstanding Cédulas )* Over- Collateralisation Ratio ) Caja Laboral Popular A / NR / A+ 55.,139. 3,517. 3,5. 9.1% Caja San Fernando NR / NR / A- 75.,535. 1,5. 1, % Banca March A3 / NR / NR 5. 3,1.3, % Caixa Terrassa NR / NR / A- 1.,53.,.7,1. 5.% NR / NR / NR 1. 1, % TOTAL... 1,5. 1,73. 1,99.3 7, % Source: InterMoney, * as of 31.Dec 5 (+) positive outlook (+*) watch positive 1) Eligibility criteria for legally apt mortgages: first rank mortgage, maximum LTV % for residential, 7% for commercial mortgages ) Including contribution to IM Cédulas 7 Intermoney reported that Caixa Terrassa plans to participate in another upcoming Structured Multicédulas transaction with an undisclosed amount Continued on page Covered Bond Market Issuer Profile Page 1 /3/

2 Liquidity facility A liquidity facility provided by with a guarantee from Caisse Nationale des Caisses d Epargne (CNCE) (ratings ST: P-1/ A-1+/ F1+; LT: Aa/ AA/ AA, Moodys/ S&P/ Fitch) will cover interest shortfall in case of payment delays from the participating banks. The size of the liquidity facility is expected to be limited to be around [3.5%] of issuance volume of the Cédulas issued by IM Cédulas 7 to cover shortfall on interest payments and extraordinary expenses. Interest payments on the Cédulas of the participating banks will be made business days in advance of payment of the coupon of IM Cédulas 7. In case of delayed payment by a participating bank, the liquidity facility will be drawn within 1 business day, which assures timely payment of the coupon of IM Cédulas 7. In the order of priority of payments as defined in the offering circular, interest and replenishment of the withdrawn liquidity facility amounts rank prior to amortisation or repayment of the principal of IM Cédulas 7. In case of default of a participating financial institution, the insolvency administrator must pay interest before payment of any principal. Amounts paid by the insolvency administrator for the purpose of repayment of the single Cédulas will be used according to the priority of payments defined in the transaction documents. Comparison with other structured Cédulas IM Cédulas 7 IM Cédulas M1 IM Cédulas 5 IM Cédulas IM Cédulas 3 IM Cédulas IM Cédulas 1 Issuance date Mar- Nov-5 Jun-5 Mar-5 Nov- Jun- Feb- Issuance volume Maturity date Mar-1 Dec-15 Jun- Mar-15 Nov-1 Jun-1 Feb-1 Coupon 3) 3.5% 3.5% 3.75%.%.5%.5 Mortgage loan portfolio at issuance (EUR bn) Share of residential mortgage loans % 3% % 75% % 73% 7% Type of interest rate 9% variable 9% variable 9% variable 93% variable 9% variable 97% variable 9% variable Average Loan-To-Value ) % 1% 5% 5% % 1% 5% Outstanding Cédulas of participating banks 1) Over-collateralisation for credit enhancement at issuance (unweighted) 33% 35% 3% 9% 51% 539% % Over-collateralisation for credit enhancement at issuance (weighted) 3% 19% 5% % 715% 51% 3% Reserve Fund in % of issuance volume Liquidity facility (senior to repaymant of Cédulas, no creditenhancement)[shortcuts see legend] Liquidity provider (in case of downgrade replacement, or setup of reserve fund) Structured Cédulas: Key figures of bond issues, mortgage portfolios, over-collateralisation and reserve funds covers 3.5% of issuance volume incl. EE Caisse Nat.des Caisses d'epargne (ratings ST: P-1/A- 1+/F1+) covers.% of issuance volume incl. EE HSBC (ST: P-1/A- 1+/F1+) and IXIS CIB (ratings ST: P-1/A- 1+/F1+), ) covers 3.1% of total outstanding incl. EE; 5.1% (EUR 39.9mn) of AP Caisse Nat.des Caisses d'epargne (ST: P-1/A-1+/F1+) covers 3.75% (EUR.7mn) of AP and EE up to EUR 3.9mn.9% of total outstanding incl. EE; covers 1.15% (EUR 51.3mn) of AP initial liquidity facility limit will be EUR 3.5m (or.7% of total outstanding) Caisse des Dépôts covers max annual coupon payments plus EE up to EUR 3, Caja Laboral Caja Laboral Caja Laboral C.Cantabria Cajamar Caja Laboral Banco Andalucia Caja San Fernando Cajamar Banca March Caja San Caja Insular Banco Valencia Fernando Canarias Hipotecario Banca March Caixa Penedés Caja Espana Banco Pastor Banco Valencia Banca March Banco Galicia Caixa Terrassa Caja Murcia Banco Valencia Cajamar Banco E.Santo Caixa Penedes Banco Vasconia Participating institutes Banco Gallego Caixa Terrassa Caixa Terrassa Caixa Manresa Banco E.Santo Banco Castilla Caja Cantabria Sa Nostra Caja Espana Caixa Tarragona Banco Créd.Balear Caja Segovia Caixa Girona Caixa Manresa Caja Laboral La Caja Canarias Banco Valencia Sources: Intermoney Titulizacion, Legend: AP = annual payments; EE = extraordinary expenses 1) At issuance of the new Cédulas issue (included) ) Based on initial property valuation 3) To be determined on pricing day ) Until January 7 and thereafter by Caisse Nationale des Caisses d'epargne (ST: P-1/A-1+/F1+) Structure of the transaction Participants of the transaction Participants: Caja Laboral Popular Caja San Fernando Banca March Caixa Terrassa IM Cédulas 7 FTA Assets Liabilities Cedulas Structured issued by Multicédulas participating banks AAA (S&P) issues Institutional Investors Participants: Caja Laboral Popular Caja San Fernando Banca March Caixa Terrassa Transfer of Cédulas Grupo CIMD 1% Intermoney Titulización S.A., S.G.F.T. Arranges and manages Legal representative/fund Custody administration InterMoney InterMoney Valores, Sociedad Titulizacion S.G.F.T. de Valores, S.A. Source: InterMoney, Financial agent/ treasury account Español, S.A. Liquidity facility provider Intermoney Valores S.V. Instrumental transferor, acts as custodian for Cédulas Source: Intermoney Cédulas 7 FTA Financial agent/ Treasury account Español, S.A. (Moodys/S&P/Fitch: Aa1/AA(-)/AA) Liquidity facility provider ( CNCE Moodys/S&P/Fitch: F1+/P1/A-1+; Aa/AA/AA) Continued on page 3 Covered Bond Market Issuer Profile Page /3/

3 Relative Value Benchmark Cédulas Hipotecarias: Relative value position and average performance since Jun 5-5 Dear Rel. Value position vs. imputed yield curve in bps (Mar ) La Caixa 1. bn. [7.].5 bn. [.] Caja Madrid 1 bn. [.3] The size of the bubbles indicates the outstandig volume of the respective issuer's Benchmark Cédulas Hipotecarias. [Average term to maturity in brackets] Cédulas TDA 1. bn. [.5] Cé dulas Ca ja s 9.3 bn. [.1] Banco Pastor 1 bn. [9] Santander CH IM Cedulas 15 bn. [7.3] bn. [9.7] BBVA Banco Sabadell Banesto 5 bn. [.5] bn. [.1] bn. [7.] Cheap Underperformance Outperformance Performance vs. imputed yield curve in bps (since Jun5) since 1/1/5 Spread vs. Swap (in bp.) Cédulas Hipotecarias: mapping by selected issuer (spreads vs. swaps in bps, 7 Feb ) IM Cédulas 3.75% 11 Mar 15 IM Cédulas 3.5% Dec 15 IM Cédulas.5% 1 Feb 1 IM Cédulas % 19 Nov 1 IM Cédulas 3.5% 15 Jun IM Cédulas Banco Pastor Term-to-maturity (years) Banesto BBVA Caixa Catalunya Caja Madrid Cédulas Cajas Cédulas TDA La Caixa Sabadell SAN Cédulas Hipotecarias: New issuance by issuers (in bn EUR) ytd Total Banesto BBVA Banco Pastor Caja Madrid Caixa Catalunya AyT Cedulas Cajas Cedulas TDA La Caixa Sabadell Santander IM Cedulas Total IM Cédulas Benchmarks (Spreads vs. swap in bp.) Covered Bond Market Issuer Profile Page 3 /3/ 1 1 IM Cedulas 3.75% 11 Mar 15 IM Cedulas % 19 Nov 1 IM Cedulas 3.5% Dec 15 IM Cedulas 3.5% 15 Jun Jan 5 Apr 5 Jul 5 Okt 5 Jan Issuance and swap spread of long-dated Cédulas Hipotecarias Jan- Jan-1 Jan- Jan-3 Jan- Jan-5 Dec-5 Swap spread, Cédulas with maturity 1+ years (in bps, l.h. scale ) Volume of new issues, cédulas 1+ years (in EUR bn, r.h. scale) Cédulas Hipotecarias issuance versus other market segments (in EUR bn) ytd * Fore cas t New segments Other UK CB Irish ACS 1 1 Cédulas Hip. Oblig. Foncières Pfandbriefe Comment IM Cédulas is one of three issuers of structured Multicédulas Hipotecarias. It joined the covered bond market in February. In 5, IM Cédulas launched 3 transactions, a 1Y in March (3.75% Mar/15, EUR.75bn) issued at E+7 and currently trading at the E+, a 15Y in June (3.5% Jun/, EUR 1.5bn), launched at E+1 and trading now at around E+7 and a 1Y in November (3.5%, Dec/15, EUR 1.55bn), issued at E+9 and currently trading at.5. In relative value terms, IM Cédulas slightly outperformed the other Cédulas issuers. Despite strong primary market activities in 5, Cédulas Hipotécarias have on average managed to deliver a stable performance Continued on page 1 1

4 Key figures of participating financial institutions Financial institutions participating in IM Cédulas 7 come from different segments of the Spanish banking sector. Caja Laboral Popular and are credit cooperative banks, Banca March is a commercial bank, Caja San Fernando and Caixa Terrassa are savings banks. Caja Laboral Popular (rated A/A+ by Moodys/Fitch) is Spain s largest Caja Populares y Profesionales (credit co-operatives for industrial and professional bodies) with total assets of EUR 13.7bn at end of 5. It mainly operates in the Basque Country and neighbouring Navarra. Caja Laboral has also expanded its franchise into other north-central Spanish regions (Zaragoza, Castilla-Leon, Cantabria). In the past, Caja Laboral provided banking, social security system services and technical assistance to the Mondragόn Corporacion Cooperativa group (the largest group of companies in the Basque country). After reorganisation of the latter, Caja Laboral s business profile and client base today very much resembles that of a regional savings bank. Lending to individuals dominates the bank s loan book, followed by corporate lending and lending to co-operatives. Mortgage lending accounted for 7% of total loans at end of 5. Credit co-operatives enjoy the status of credit institutions and are subject to Spanish banking law and capital adequacy requirements. Credit cooperatives are supervised by the bank of Spain and are regulated by specific laws governing co-operatives and credit co-operatives, as well as by some regional laws. Credit co-operatives are owned by their members and benefit from lower effective tax rates (as long as loans to non-members are limited to 5% of total funds). Unlike in other European countries, credit co-operatives do not play an important role in the Spanish banking sector (less than 5% of total assets of the sector). [For more info on the Spanish credit co-operative sector, see Fitch s special report: Spanish Rural Co-operatives: A small but Respectable Place in Spanish Banking of April ]. (not rated) is ranking no. 9 in the rural credit co-operative sector with total assets of EUR 1.7bn at the end of 5. is domiciled in Bilbao and operates in the northern provinces of Vizcaya and Alava through a franchise of 7 branches. s main activity is retail banking with individuals and small and medium-sized companies from real-estate and agricultural sectors. Banca March (rated A3/A- by Moodys/Fitch) is the 3 rd largest financial institution of the Balearic Islands (% of the branches). The family-owned commercial bank runs a traditional retail and commercial banking franchise, with a total asset of EUR 7bn at the end of 5. Mortgage loans account for 53% of total loans. Caja San Fernando (rated A- by Fitch) and Caixa Terrassa (rated A- by Fitch) are small provincial Spanish saving banks. Caja San Fernando has located the majority of its branches in the western part of Andalucia. Caixa Terrassa is focusing its operations in Catalonia (north-east of Spain). Key figures of participating financial institutions Overview Balance Sheets Loans Cédulas Deposits & ST funding Total Assets Caja Laboral Popular Caja San Fernando Banca March Caixa Terrassa Net Banking Income Net Interest Margin Cost to Income Ratio Return on Average Equity Caja Laboral Popular % 1.75% 9.% 59.9% 9.% 7.71% Caja San Fernando.3..77%.77%.5% 7.3% 1.% 9.% Banca March.. 1.9%.3% 5.3% 9.%.37% 5.95% Caixa Terrassa % 1.53% 5.% 7.7% - 5.9%.. 1.9%.% 7.7% 7.7%.%.9% Overview Profitability and Efficiency Caja Laboral Popular.%.9%.5%.55% 1.% 1.39%.5%.% Caja San Fernando.9% 1.3%.1%.3% 1.9% 1.75% 33.5% 13.9% Banca March.37%.3%.7%.9%.%.19% 555.% 57.3% Caixa Terrassa.51%.75%.%.35% 1.7%.% 335.% 7.%.99% 1.%.91% 1.3% 1.97%.1% 19.% 1.9% Impaired loans/ gross loans Overview Asset Quality Impaired mortgage loans/ gross loans Loan loss reserves/ gross loans Loan loss reserves/ impaired loans Caja Laboral Popular % 1.% 1.% 13.9% 13.% 13.9% Caja San Fernando %.% % 11.7% Banca March % 9.% % Caixa Terrassa.7.5.%.%.%.% 11.7% 1.3% % 1.% 15.5% 17.1% 17.3% 17.1% Overview Capitalisation Total Equity Equity/ Total Assets Tier 1 Ratio Total Capital Ratio Covered Bond Market Issuer Profile Page /3/

5 Please note that the Group Caisse d Epargne holds % in the company which is the subject of this report. Contacts Credit Research Financial Institutions - Covered Bonds Covered Bonds Ralf GROSSMANN 9 () rgrossmann@ixis-cib.com Financial Institutions Gwenaëlle LERESTE 33 () glereste@ixis-cib.com Financial Institutions Antoine HOUSSIN 33 () ahoussin@ixis-cib.com IXIS Corporate & Investment Bank Head Office, 7 Quai d Austerlitz 75 Paris cedex 13 French corporation with Supervisory Board and Executive Board -Licensed as a bank with capital stock of 1,99,1,791.5 RCS Paris DISCLAIMER This document and any attachments thereto are strictly confidential and intended solely for the use of the addressee(s) and should not be transmitted to any person(s) other than the original addressee(s) without the prior written consent of IXIS Corporate & Investment Bank ( ). If you receive this document and any attachments thereto in error, please delete or destroy and notify the sender immediately. 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Changes in rates of exchange may have an adverse effect on the value, price or income from an investment. Levels and basis for taxation may change. The protection provided by the UK regulatory regime, including the Financial Services Compensation Scheme, does not generally apply to business coordinated by from an office outside the United Kingdom. THIS DOCUMENT IS INTENDED FOR THE USE OF MARKET COUNTERPARTIES AND INTERMEDIATE CUSTOMERS ONLY, AND NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. FINANCIAL SERVICES AUTHORITY. To Readers in Other Countries: This report, and the securities discussed herein, may not be eligible for distribution or sale in all countries or to certain categories of investors. Generally, this report may only be distributed to professional and institutional investors. Covered Bond Market Issuer Profile Page 5 /3/