COLLATERAL REPORT IM SABADELL EMPRESAS 5

COLLATERAL REPORT October 2010 IM SABADELL EMPRESAS 5 GLOBAL SECURITISATION AND TRUST SERVICES www.imtitulizacion.com

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

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 4.913 4.234 138 64 Number of Obligors 4.750 4.099 136 64 Principal Outstanding 899.999.999 579.477.033 27.064.602 6.107.641 Principal Outstanding not due 899.999.999 570.678.100 22.518.640 4.628.412 Avg. Loan Principal Outstanding 183.187 136.863 196.120 95.432 Largest Loan Outstanding 19.500.000 11.400.000 10.000.000 1.654.350 WA Seasoning (months) 12 27 24 27 WA Maturity (months) 78 76 62 47 % 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

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] 17 15 0 0 14.908.973 11.858.383 0 0 1,66 % 2,05 % 0,00 % 0,00 % [2005] 22 21 1 0 21.450.381 15.788.600 16.858 0 2,38 % 2,72 % 0,06 % 0,00 % [2006] 85 68 0 1 30.189.349 25.926.827 0 20.017 3,35 % 4,47 % 0,00 % 0,33 % [2007] 199 170 7 1 78.783.781 57.172.435 5.280.121 1.654.350 8,75 % 9,87 % 19,51 % 27,09 % [2008] 1.294 1.087 36 10 378.328.092 237.976.624 6.044.934 655.123 42,04 % 41,07 % 22,34 % 10,73 % [2009] 3.296 2.873 94 52 376.339.425 230.754.163 15.722.688 3.778.151 41,82 % 39,82 % 58,09 % 61,86 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 4

Outstanding Balance Outstanding Number Of Loans Balance ( ) Balance (%) Balance Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <100.000] 3.188 3.206 111 51 136.495.773 110.460.878 4.116.846 2.327.898 15,17 % 19,06 % 15,21 % 38,11 % [100.000-300.000] 1.153 700 17 11 187.872.159 120.663.035 3.130.425 1.570.408 20,87 % 20,82 % 11,57 % 25,71 % [300.000-500.000] 254 134 2 0 93.878.482 50.497.976 775.057 0 10,43 % 8,71 % 2,86 % 0,00 % [500.000-1.000.000] 180 106 4 1 116.265.089 74.676.750 2.424.122 554.985 12,92 % 12,89 % 8,96 % 9,09 % [1.000.000-3.000.000] 101 64 2 1 159.051.499 103.906.079 2.883.709 1.654.350 17,67 % 17,93 % 10,65 % 27,09 % [ >3.000.000] 37 24 2 0 206.436.996 119.272.314 13.734.443 0 22,94 % 20,58 % 50,75 % 0,00 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 5

Obligor Concentration Number Balance ( ) Balance (%) of obligors Initial Current Initial Current Top 1 19.500.000 12.570.000 2,17 % 2,17 % Top 5 70.081.739 53.261.172 7,79 % 9,19 % Top 10 109.556.749 81.003.195 12,17 % 13,98 % Top 15 139.128.177 101.011.808 15,46 % 17,43 % Top 20 162.706.749 117.568.951 18,08 % 20,29 % Top 25 181.426.384 132.361.791 20,16 % 22,84 % (Distribution of each category) 6

Reference Rate Number Of Loans Balance ( ) Balance (%) Reference Rate Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default FIXED 2.825 2.440 88 44 239.912.283 135.014.650 14.912.738 2.766.876 26,66 % 23,30 % 55,10 % 45,30 % EURH 429 360 13 4 233.210.700 158.507.536 7.323.147 2.037.258 25,91 % 27,35 % 27,06 % 33,36 % EUR12 692 546 23 11 148.862.844 102.930.974 3.261.596 1.071.968 16,54 % 17,76 % 12,05 % 17,55 % EUR6 513 473 9 2 112.060.577 81.251.302 1.315.319 65.857 12,45 % 14,02 % 4,86 % 1,08 % EUR3 85 59 4 3 105.008.172 57.962.232 92.413 165.682 11,67 % 10,00 % 0,34 % 2,71 % ICO6M 369 356 1 0 60.945.422 43.810.339 159.389 0 6,77 % 7,56 % 0,59 % 0,00 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 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

Interest Rate Number Of Loans Balance ( ) Balance (%) Interest Rate Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <2 ] 115 468 6 2 48.856.817 100.055.384 1.794.154 65.857 5,43 % 17,27 % 6,63 % 1,08 % [ 2-2,5 ] 283 55 2 0 77.231.566 37.873.415 426.042 0 8,58 % 6,54 % 1,57 % 0,00 % [ 2,5-3 ] 76 159 0 0 26.388.851 63.195.064 0 0 2,93 % 10,91 % 0,00 % 0,00 % [ 3-3,5 ] 130 222 1 0 44.871.963 46.253.898 68.500 0 4,99 % 7,98 % 0,25 % 0,00 % [ 3,5-4 ] 333 263 2 1 71.062.216 87.102.525 185.621 21.673 7,90 % 15,03 % 0,69 % 0,35 % [ 4-4,5 ] 390 452 19 10 119.184.444 99.378.723 8.533.157 2.820.829 13,24 % 17,15 % 31,53 % 46,19 % [ 4,5-5 ] 229 224 5 1 65.845.379 19.249.574 354.960 40.000 7,32 % 3,32 % 1,31 % 0,65 % [ 5-5,5 ] 256 223 6 3 44.983.143 15.565.376 373.520 119.454 5,00 % 2,69 % 1,38 % 1,96 % [ 5,5-6 ] 1.372 1.135 42 15 160.593.229 58.332.557 2.086.065 1.158.799 17,84 % 10,07 % 7,71 % 18,97 % [ 6-6,5 ] 236 83 5 2 91.741.030 6.476.510 301.207 375.000 10,19 % 1,12 % 1,11 % 6,14 % [ 6,5-7 ] 702 524 19 5 99.183.899 32.080.249 11.525.081 352.514 11,02 % 5,54 % 42,58 % 5,77 % [ >7 ] 791 426 31 25 50.057.462 13.913.758 1.416.293 1.153.515 5,56 % 2,40 % 5,23 % 18,89 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 8

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] 3.807 3.350 120 59 496.329.496 273.374.701 18.287.020 4.103.015 55,15 % 47,18 % 67,57 % 67,18 % [5-10] 751 606 12 4 209.310.726 154.783.560 2.000.098 1.840.283 23,26 % 26,71 % 7,39 % 30,13 % [10-15] 235 188 4 1 138.632.278 111.311.505 6.296.818 164.343 15,40 % 19,21 % 23,27 % 2,69 % [15-20] 72 60 0 0 36.617.376 26.666.219 0 0 4,07 % 4,60 % 0,00 % 0,00 % [20-30] 48 30 2 0 19.110.123 13.341.047 480.666 0 2,12 % 2,30 % 1,78 % 0,00 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 9

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 479 401 13 4 312.943.128 210.605.831 8.397.111 2.037.258 34,77 % 36,34 % 31,03 % 33,36 % Other Guaranties 4.434 3.833 125 60 587.056.871 368.871.202 18.667.490 4.070.383 65,23 % 63,66 % 68,97 % 66,64 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % 10

Borrower's Distribution Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Andalusia 284 236 10 4 73.349.343 39.716.124 690.146 490.727 8,15 % 6,85 % 2,55 % 8,03 % Aragon 122 110 5 1 34.872.749 27.147.940 1.876.242 40.000 3,87 % 4,68 % 6,93 % 0,65 % Asturias 328 280 7 2 44.337.536 28.830.498 213.315 62.306 4,93 % 4,98 % 0,79 % 1,02 % Balearic Islands 150 127 1 1 32.921.825 23.837.399 17.314 21.673 3,66 % 4,11 % 0,06 % 0,35 % Basque Country 63 55 1 1 51.534.148 38.418.954 5.128 73.600 5,73 % 6,63 % 0,02 % 1,21 % Canary Islands 94 84 5 2 15.046.894 12.336.494 205.127 143.931 1,67 % 2,13 % 0,76 % 2,36 % Cantabria 20 20 0 0 3.684.216 2.717.170 0 0 0,41 % 0,47 % 0,00 % 0,00 % Castilla-La Mancha 89 74 3 0 14.234.704 9.735.784 146.155 0 1,58 % 1,68 % 0,54 % 0,00 % Castilla-Leon 197 171 8 1 25.573.919 16.739.296 402.581 554.985 2,84 % 2,89 % 1,49 % 9,09 % Catalonia 2.387 2.082 62 30 400.088.549 243.783.617 11.055.420 1.874.459 44,45 % 42,07 % 40,85 % 30,69 % Extremadura 15 15 5 0 8.479.571 6.975.757 197.462 0 0,94 % 1,20 % 0,73 % 0,00 % Galicia 102 77 3 1 17.838.797 10.924.123 290.686 26.722 1,98 % 1,89 % 1,07 % 0,44 % La Rioja 30 24 0 1 7.327.441 2.874.776 0 60.000 0,81 % 0,50 % 0,00 % 0,98 % Madrid 506 422 18 11 94.025.976 60.926.351 10.694.592 2.252.963 10,45 % 10,51 % 39,52 % 36,89 % Murcia 53 40 1 3 9.275.812 6.158.333 21.157 215.859 1,03 % 1,06 % 0,08 % 3,53 % Navarre 46 45 3 0 11.971.337 9.802.028 293.622 0 1,33 % 1,69 % 1,08 % 0,00 % Valencia 427 372 6 6 55.437.181 38.552.390 955.652 290.417 6,16 % 6,65 % 3,53 % 4,75 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % 11

Borrower's Distribution (Distribution of each category) 12

Guaranty's Distribution Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default Andalusia 47 36 3 1 33.440.852 14.955.957 254.475 104.334 10,69 % 7,10 % 3,03 % 5,12 % Aragon 13 12 2 0 16.171.938 15.619.658 1.776.392 0 5,17 % 7,42 % 21,15 % 0,00 % Asturias 33 25 0 0 19.465.771 13.030.081 0 0 6,22 % 6,19 % 0,00 % 0,00 % Balearic Islands 10 10 0 0 10.099.756 9.399.077 0 0 3,23 % 4,46 % 0,00 % 0,00 % Basque Country 7 6 0 0 5.555.781 4.539.448 0 0 1,78 % 2,16 % 0,00 % 0,00 % Canary Islands 14 13 0 1 8.439.768 7.994.460 0 114.230 2,70 % 3,80 % 0,00 % 5,61 % Cantabria 2 2 0 0 289.376 264.350 0 0 0,09 % 0,13 % 0,00 % 0,00 % Castilla-La Mancha 14 8 0 1 8.048.045 5.166.498 0 1.654.350 2,57 % 2,45 % 0,00 % 81,20 % Castilla-Leon 8 8 0 0 3.889.134 3.503.543 0 0 1,24 % 1,66 % 0,00 % 0,00 % Catalonia 240 205 6 1 129.458.373 95.930.187 4.536.824 164.343 41,37 % 45,55 % 54,03 % 8,07 % Extremadura 1 1 0 0 632.385 589.990 0 0 0,20 % 0,28 % 0,00 % 0,00 % Galicia 5 3 0 0 4.163.004 3.582.098 0 0 1,33 % 1,70 % 0,00 % 0,00 % La Rioja 1 1 0 0 228.507 203.170 0 0 0,07 % 0,10 % 0,00 % 0,00 % Madrid 40 32 0 0 43.800.918 10.880.046 0 0 14,00 % 5,17 % 0,00 % 0,00 % Murcia 6 4 0 0 1.852.097 1.192.231 0 0 0,59 % 0,57 % 0,00 % 0,00 % Navarre 4 4 1 0 1.937.265 1.753.132 89.056 0 0,62 % 0,83 % 1,06 % 0,00 % Valencia 34 31 1 0 25.470.157 22.001.906 1.740.364 0 8,14 % 10,45 % 20,73 % 0,00 % Total 479 401 13 4 312.943.128 210.605.831 8.397.111 2.037.258 100,00 % 100,00 % 100,00 % 100,00 % 13

Guaranty's Distribution (Distribution of each category) 14

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 123 84 3 4 118.977.202 58.791.347 1.984.622 351.880 13,22 % 10,15 % 7,33 % 5,76 % 148 117 1 0 85.011.011 57.344.272 3.734.443 0 9,45 % 9,90 % 13,80 % 0,00 % 74 62 4 0 43.043.623 33.225.486 1.593.146 0 4,78 % 5,73 % 5,89 % 0,00 % 79 60 8 0 29.059.722 19.746.674 1.360.126 0 3,23 % 3,41 % 5,03 % 0,00 % 139 126 4 5 30.779.485 19.653.606 484.331 2.198.954 3,42 % 3,39 % 1,79 % 36,00 % 62 50 1 0 26.455.031 19.481.025 35.417 0 2,94 % 3,36 % 0,13 % 0,00 % 174 149 2 4 22.806.438 17.428.260 254.455 144.802 2,53 % 3,01 % 0,94 % 2,37 % 229 202 5 3 22.383.214 16.523.037 140.619 130.857 2,49 % 2,85 % 0,52 % 2,14 % 46 38 0 1 16.699.796 13.071.892 0 50.000 1,86 % 2,26 % 0,00 % 0,82 % 117 103 4 0 17.716.917 11.015.238 160.510 0 1,97 % 1,90 % 0,59 % 0,00 % 22 19 1 0 11.158.758 10.634.338 10.000.000 0 1,24 % 1,84 % 36,95 % 0,00 % 159 137 5 2 11.905.126 7.480.432 249.580 159.894 1,32 % 1,29 % 0,92 % 2,62 % 115 104 0 2 10.702.956 6.521.168 0 155.000 1,19 % 1,13 % 0,00 % 2,54 % 84 69 7 2 9.608.815 5.680.410 742.891 84.359 1,07 % 0,98 % 2,74 % 1,38 % 60 56 3 1 8.201.638 5.548.755 629.685 125.000 0,91 % 0,96 % 2,33 % 2,05 % 67 60 1 2 6.288.363 4.186.848 15.302 602.985 0,70 % 0,72 % 0,06 % 9,87 % 25 22 2 0 4.344.219 3.129.761 729.990 0 0,48 % 0,54 % 2,70 % 0,00 % Building Completion And 89 69 4 3 5.964.953 2.843.362 130.463 172.762 0,66 % 0,49 % 0,48 % 2,83 % Finishing Manufacturing N.e.c. 33 29 2 1 3.813.338 2.612.456 69.100 150.000 0,42 % 0,45 % 0,26 % 2,46 % Motion Picture, Video And 20 17 2 0 3.116.923 1.864.617 701.400 0 0,35 % 0,32 % 2,59 % 0,00 % Television Programme Activities Renting And Leasing Of Other Machinery, Equipment And Tangible Goods 18 14 0 3 2.315.765 1.301.314 0 390.000 0,26 % 0,22 % 0,00 % 6,39 % Other 3.030 2.647 79 31 409.646.705 261.392.734 4.048.521 1.391.148 45,52 % 45,11 % 14,96 % 22,78 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % 15

(Distribution of each category) 16

W.A. LTV Number Of Loans Balance ( ) Balance (%) W.A. LTV Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default [ <40] 54 57 1 0 29.125.764 26.654.842 89.056 0 9,31 % 12,66 % 1,06 % 0,00 % [40-50] 37 29 2 0 38.197.255 25.431.400 3.775.510 0 12,21 % 12,08 % 44,96 % 0,00 % [50-60] 32 92 0 1 25.306.869 37.331.476 0 1.654.350 8,09 % 17,73 % 0,00 % 81,20 % [60-70] 198 135 9 1 116.960.348 69.294.610 4.440.861 164.343 37,37 % 32,90 % 52,89 % 8,07 % [70-80] 89 49 1 0 68.931.363 35.749.900 91.684 0 22,03 % 16,97 % 1,09 % 0,00 % [ >80] 69 39 0 2 34.421.529 16.143.603 0 218.565 11,00 % 7,67 % 0,00 % 10,73 % Total 479 401 13 4 312.943.128 210.605.831 8.397.111 2.037.258 100,00 % 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

Segment Segment Number Of Loans Balance ( ) Balance (%) Initial Current Arrears Default Initial Current Arrears Default Initial Current Arrears Default de 3.000.000 hasta 30.000.000 994 882 25 19 316.971.283 186.616.704 5.437.184 3.895.324 35,22 % 32,20 % 20,09 % 63,78 % de < 300.000 1.007 840 32 7 190.771.135 117.532.905 7.116.021 296.919 21,20 % 20,28 % 26,29 % 4,86 % de 900.000 hasta 1.076 954 28 18 149.685.704 107.822.598 1.503.236 1.125.935 16,63 % 18,61 % 5,55 % 18,43 % 3.000.000 de 30.000.000 hasta 85 68 1 0 100.415.909 75.335.010 10.000.000 0 11,16 % 13,00 % 36,95 % 0,00 % 100.000.000 de 300.000 hasta 900.000 962 825 33 15 80.340.262 51.814.498 2.243.870 626.218 8,93 % 8,94 % 8,29 % 10,25 % Autónomo 789 665 19 5 61.815.707 40.355.317 764.290 163.245 6,87 % 6,96 % 2,82 % 2,67 % Total 4.913 4.234 138 64 899.999.999 579.477.033 27.064.602 6.107.641 100,00 % 100,00 % 100,00 % 100,00 % (Distribution of each category) 18

2. Prepayment Prepayment Rates (Last 12 Month) Date Monthly Quarterly Semiannual Annual Life 200911 9,09 11,58 - - 19,53 200912 10,15 13,51 - - 18,21 201001 8,67 9,47 11,73-16,96 201002 8,22 9,15 10,67-16,19 201003 6,11 7,81 11,01-15,26 201004 28,23 14,91 12,44-16,93 201005 16,03 17,49 13,62-17,02 201006 15,17 20,47 14,56-17,16 201007 8,86 13,78 14,78 13,85 16,84 201008 6,47 10,49 14,57 13,18 16,29 201009 15,88 10,65 16,32 14,27 16,58 201010 5,49 9,64 12,16 13,03 16,22 19

3. Arrears and Defaults Date Arrears and Defaults (Last 12 Month) >3 and <12 mth Defaults Num. % Num. % Outstanding % Initial 200911 51 0,45 % 0 0,00% 0,00% 200912 60 0,51 % 0 0,00% 0,00% 201001 76 0,75 % 0 0,00% 0,00% 201002 93 1,12 % 0 0,00% 0,00% 201003 102 2,05 % 0 0,00% 0,00% 201004 122 1,45 % 0 0,00% 0,00% 201005 113 2,15 % 13 0,11% 0,08% 201006 123 1,88 % 22 0,23% 0,16% 201007 124 2,34 % 33 0,33% 0,24% 201008 140 2,49 % 45 0,44% 0,31% 201009 134 2,12 % 57 0,68% 0,45% 201010 138 4,67 % 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

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 www.ine.es. 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

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 http://www.bde.es/tipos/tipose.htm 22

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