Covered Bond Issuer Profile IM Cédulas 1 FTA http ://www.ixis-cib.com Market Segment: Spanish Cédulas Hipotecarias Structured Multicédulas Updated: 5 th Feb. 7 NATIXIS has been appointed joint lead of the forthcoming issue of IM Cédulas 1 Key credit factors Basic Facts Cédulas are backed by the entire mortgage portfolios of 7 Domicile: Madrid/Spain participating financial institutions (see below for list). At Legal structure: Fondo de Titulización (FTA) acquires individual Cédulas hipotecarias from 7 participating financial issuance, the ratio between total mortgage portfolio and total outstanding Cédulas stands at 3.37 (OC-ratio 337%) institutions and issues Cédulas in equivalent amount (mortgage loan portfolios as of end Dec-) The collateral pool is dominated by residential mortgage Covered Bonds regulated by: Ley /191 of 5/3/191 loans (55.1% of total mortgages) Risk weight acc. to EU CAD: 1% A liquidity facility provided by (ST: P-1/ A-1+/ F1+, Market share Jumbo Cov. Bonds (1Y.+):.1% (7.5% of CH) Moodys/ S&P/ Fitch). Outst. CH (Feb 7): 15.5 bn. (started in ) Rating by Moody s and Fitch: expected Aaa/AAA Homepage: www.imcedulas.es Bloomberg: IMCEDI Risk profile Credit risks Collateral pool dominated by residential mortgage loans (55.1% of total mortgage loans; no mortgage loan exposure outside Spain) Portfolio is distributed among Spanish provinces: Murcia 1%, Barcelona 15%, Sevilla 1%. Loan-to-value ratio at a weighted average of.% (based on initial property valuation ) NPL ration over 9 days of total mortgage loan portfolio:.1% (weigh. av.) Average over-collateralisation ratio in percent of 337% (Total mortgage portfolio/outstanding Cédulas), the average over-collateralisation ratio of the transaction weighted by participants contributions stands at % Average ratio of legally apt mortgage loan portfolio/outstanding Cédulas at % (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 At IM Cédulas 1: 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 7% to 139% At IM Cédulas 1: Complete interest rate and maturity match between assets and liabilities Over-collateralisation ratio at participating banks ranging from 7% to 139% 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 At IM Cédulas 1: Complete match between assets and liabilities and a liquidity facility of expected 3.19% (at a coupon of.5%) of 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 1. All figures are end of December, except otherwise stated Source: InterMoney Overview participating financial institutions, mortgage portfolios and over-collateralisation Contributing financial institution Over- Contribution Total Legally apt Over-collateralisation in percent Ratings Outstanding collateral- isation Ratio to IM mortgage mortgage (Moody's/S&P/Fitch) Cédulas ) * Cédulas 1 portfolio * portfolio 1) * ), ) ), 3) Caja Murcia NR/NR/A+ 3, 973,9 7 11,9,, 3% Banca March A3/NR/NR 5, 3 1, 1,9 1 5, 3, 5% Caixa Manresa A/NR/NR, 97,5 35,7 1 3,,3 19% NR/NR/A-, 7,3 1 373,, 13,9 19% NR/NR/A- 15, 5 5,9 3 31, 1 9,, 1% Banco Gallego NR/NR/NR 1, 1 11,3 9,5 55,,1 17% NR/NR/A- 1, 3 15,1 1 7,3 1 5,,9 19% TOTAL... 1 3, 91,3 19 55,3 5, 3, 37% Source: InterMoney, * as of 31.Dec. 1) Eligibility criteria for legally apt mortgages: first rank mortgage, maximum LTV % for residential, 7% for commercial mortgages ) Including contribution to IM Cédulas 1 3) Ratio between total mortgage portfolio and total outstanding Cédulas (incl. new issue) ) Relation between the part of the mortgage loan portfolio exceeding the outstanding Cédulas (incl. new issue) and the amount of outstanding Cédulas in % Continued on page Covered Bond Market Issuer Profile Page 1 5//7
Liquidity facility A liquidity facility provided by (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 3.19% of of the Cédulas issued by IM Cédulas 1 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 1. 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 1. 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 1. 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 1 IM Cédulas 9 Cédulas Grupo IM Cédulas 7 IM Cédulas M1 IM Cédulas 5 IM Cédulas IM Cédulas 3 IM Cédulas IM Cédulas 1 Issuance date Feb-7 Jun- Mar- Mar- Nov-5 Jun-5 Mar-5 Nov- Jun- Feb- Issuance volume 1,3 1,75 3 1,5 1,55 1,5,75 1, 1,75 Maturity date Feb- Jun-1 Mar-11 Mar-1 Dec-15 Jun- Mar-15 Nov-1 Jun-1 Feb-1 Coupon to be determined,5% 3,75%,% 3,5% 3,5% 3,75%,%,5%,5% Mortgage loan portfolio at issuance (EUR bn),9, 1, 1, 35, 3,5 3, 1,3 1,, Share of residential mortgage loans 55% 1% 3% % 3% % 75% % 73% 7% Type of interest rate 97% variable 9% variable 9% variable 9% variable 9% variable 9% variable 93% variable 9% variable 97% variable 9% variable Average Loan-To-Value ) % % 5% % 1% 5% 5% % 1% 5% Outstand. Cédulas of participating banks 1), 9, 5, 7, 1,,5 9,3 3,9 3,1, Over-collateralisation ratio for credit enhancement at issuance (in %, 337% 31% 97% 33% 35% 3% 9% 51% 539% % unweighted) Over-collateralisation ratio for credit enhancement at issuance (in %, weighted) % 33% 95% 3% 19% 5% % 715% 51% 3% Reserve Fund in % of - - - - - - - - Liquidity facility (senior to repaymant of Cédulas, no creditenhancement)[shortcuts see legend] Liquidity provider (in case of downgrade replacement, or setup of reserve fund) covers expected 3.19% of issuance volume (ratings ST: P-1/A-1+/F1+) Structured Cédulas: Key figures of bond issues, mortgage portfolios, over-collateralisation and reserve funds covers 3.% of 1+/F1+) Contingent Liquidity Facility 5) To be determined in case Banco Popular's short-term rating falls below A- 1+ (S&P) or P-1 (Moodys) covers 3.5% of 1+/F1+) covers.% of HSBC (ST: P-1/A- 1+/F1+) and IXIS CIB 1+/F1+), ) covers 3.1% of total outstanding ; 5.1% (EUR 39.9mn) of AP (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 Murcia Cajamar Banco Andalucia Caja Laboral Caja Laboral Caja Laboral C.Cantabria Cajamar Caja Laboral Banco Andalucia Caja Insular de Caja San Caja Insular Cajamar Banca March Banco Valencia Canarias Hipotecario Fernando Canarias Hipotecario Banca March Banca March Banco Galicia Banca March Caixa Penedés Caja Espana Banco Pastor Banco Valencia Banca March Banco Galicia Caixa Manresa Caja Laboral Banco Vasconia Caixa Terrassa Caja Murcia Banco Valencia Cajamar Banco E.Santo Caixa Penedes Banco Vasconia Participating institutions Banco Espirito Banco Castilla Ipar Kutxa Banco Gallego Caixa Terrassa Caixa Terrassa Caixa Manresa Banco E.Santo Banco Castilla Santo Banco Crédito Banco Crédito Banco Gallego Caja Cantabria Caja Cantabria Sa Nostra Caja Espana Caixa Tarragona Balear Balear bancopopulare.com Caja Segovia Caixa Manresa Caja Laboral Ipar Kutxa 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 (ST: P-1/A-1+/F1+) 5) In case of a downgrade of short term ratings below A-1+ (S&P) or P-1 (Moody s) the Sociedad Gestora will contract a liquidity facility according to the amount required by the rating agencies. Structure of the transaction Participants of the transaction Participants: Caja Murcia Banca March Caixa Manresa Banco Gallego IM Cédulas 1 FTA Assets Liabilities Cedulas Structured issued by Multicédulas participating banks Aaa/AAA (Moodys/Fitch) issues Institutional Investors Participants: Caja Murcia Banca March Caixa Manresa Banco Gallego Transfer of Cédulas Grupo CIMD 7% 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 1 FTA Financial agent/ Treasury account Español, S.A. (Moodys/S&P/Fitch: Aa1/AA(-)/AA) Liquidity facility provider (Moodys/S&P/Fitch: F1+/P1/A-1+; Aa/AA/AA) Continued on page 3 Covered Bond Market Issuer Profile Page 5//7
3, Relative Value Spread Performance Performance of secondary market bonds Performance of primary market bonds 1 IM Cédulas Benchmarks (Spreads vs. swap in bp.) 1, 1 1 Relative Performance vs. market average in bps 1,, -1, 1 1 -, Banesto Sabadell La Caixa Caja Madrid Source : market data, - Calculation based on bonds with term-to-maturity between Y and 15Y Performance of secondary market bonds: Average performance vs imputed yield curve in bps (since 9-Jan-) of all bonds issued before Jan- Performance of primary market bonds: Average performance vs secondary market index of all bonds issued in (since launch) Spread vs. Swap (in bp.) 15 1 5-5 -1-15 Banco Pastor Cédulas Hipotecarias: mapping by selected issuer (spreads vs. swaps in bps, 9 Jan 7) IM Cédulas 3.5% Dec 15 IM Cédulas.5% 9 Jun 1 5 1 15 5 3 Term-to-maturity (years) Banco Pastor Banesto BBVA Caixa Catalunya Caja Madrid Cédulas Cajas Cédulas TDA La Caixa Sabadell SAN Caixa Galicia IM Cédulas IM Cedulas BBVA IM Cédulas 3.75% 11 Mar 15 IM Cédulas % IM Cédulas.5% 19 Nov 1 1 Feb 1 Santander IM Cédulas 3.5% 15 Jun IM Cédulas % 31 Mar 1 Cédulas Hipotecarias: New issuance by issuers 1) (in bn EUR) 1 3 5 7 ytd Total Banesto 1 1.5 3.75 3 13.3 BBVA 3 3 9.5 7.5 33. Banco Pastor 1 1..5.5 Caja Madrid 3 1.5 1.5 Cedulas GBP II 3 3. AyT Cedulas Cajas.5 3.5 5.9.35 1. 11..5 Cedulas TDA 3.75 5 5.3 1.1 La Caixa 1.5 1.5 5.5 1 5.3 Sabadell 1.5 1. 1.5 1.75 1.5 7.5 SAN CF 1. 1. Santander 3 5 1.5 7 7.5. Caixa Catalunya 1.75 1. Caixa Galicia 1.5 1.5 IM Cedulas.5.9.5 1. Total. 15. 7. 3.3 53.9 1.3 5. 1) excl. FRN benchmarks, private placements and others Cedulas Cajas Cedulas TDA IM Cedulas 3,5% Dec 15 IM Cedulas % 19 Nov 1 IM Cedulas 3,75% 11 Mar 15 IM Cedulas 3,5% 15 Jun Jan-5 May-5 Sep-5 Jan- May- Sep- Jan-7 1 1 1 1 1 Issuance and swap spread of long-dated Cédulas Hipotecarias Jan- Jan-1 Jan- Jan-3 Jan- Jan-5 Jan- Jan-7 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) 1 1 1 1 1 199 1999 1 3 5 7 * Forecast 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, IM Cédulas launched 3 Cédulas benchmark transactions, a 15Y in March (% Mar/1, EUR 1.5bn) issued at E+11.5 and currently trading at E+9, a 5Y in April (Cédulas GBP II 3.75% Apr/11, EUR 3 bn) issued ad E+ and currently trading at E-1.5bp and a 1Y in June (.5% Jun/1, EUR 1.75bn) issued at E+9 and currently trading at E+.5 Continued on page Covered Bond Market Issuer Profile Page 3 5//7
Key figures of participating financial institutions Financial institutions participating in IM Cédulas 1 come from different segments of the Spanish banking sector. Caja Murcia, Caixa Manresa, Caja San Fernando and Caixa de Girona are savings banks; Banca March, and Banco Gallego are commercial banks. Caja Murcia (rated A+ by Fitch) is among the biggest Spanish savings banks (by total assets). Following mergers with savings banks in the vicinity, Caja Murcia was able to expand into adjacent regions (Andalucía, Comunidad Valenciana and Castilla La Mancha). Consequently, almost half of the branches are located outside the Murcia region. Caja Murcia s activities are dominated by retail banking, mainly mortgage lending to individuals, SME loans and customer deposits. Banca March (rated A3 by Moodys) is the 3rd 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. Caixa Manresa (rated A by Moody s) is a small provincial Spanish saving bank with a focus of its operations in the north-eastern Catalonia region. Its traditional area of operation is Bages, Berguedà and Anioa, but almost half of the banking income now result from neighboring areas. Caixa Manresa runs a savings bank retail franchise with a focus on mortgage lending and local SMEs. (rated A- by Fitch) was Spain s 1 st -largest Savings banks by total assets at end 5. has located the majority of its branches in the western part of Andalucia (Seville and Cadiz). Its business is focused on retail banking (high importance of mortgage lending) and SME lending. The main funding sources are retail deposits. (rated A- by Fitch) is the 3 th -largest Spanish banking group, headquartered in the Basque Country and operating a national network of approx. 5 branches. Main business activities comprise lending to SMEs and individuals, real estate management, pension and investment fund management. Bilbao Bizkaia Kutxa and Caja de Ahorros de Guipuzcoa y San Sebastian, two Basque savings banks, are the largest single shareholders with 1.5% and 9.9% shares respectively. Banco Gallego S.A. (expected to be rated by Moody s) is a small regional commercial bank (total assets Dec-: EUR 3.5bn), operating in the north-western region of Galicia with headquarter in Santiago de Compostela. In 199 Banco Gallego acquired Banco 1 S.A. All branch offices are in Galicia, except for 1 in Madrid, 1 in Pais Vasco and 1 in Castilla Leon. Banco Gallego s operations are focused on retail banking with mortgage lending accounting for.9% of total lending (). Caixa Nova holds a 15% share of Banco Gallego. Caixa de Girona (rated A- by Fitch) is a small provincial Spanish saving bank and has located its main business activities in the north-east of Spain in the province Girona, which is in the Catalonia region (with the capital Barcelona). Key figures of participating financial institutions Overview Balance Sheets in bn Euro Loans Cédulas Deposits & ST funding Total Assets 5 5 5 5 Caja Murcia 13.9 11. 1.9 1.1 1. 1.5 1. 1.9 Banca March 7.5. 1. -. -..7 Caixa Manresa. 3. 1.1 1.1 3..5.9. 7..1.. 7.9. 9. 7. 9..3 1..9 7. 7. 1. 9. Banco Gallego.9...5.5.1 3.5.7 5.. 1.1.7..1.5 5. Overview Profitability and Efficiency in bn Euro Net Banking Income Net Interest Margin Cost to Income Ratio Return on Average Equity 5 5 5 5 Caja Murcia..37.1%.%.%.7% 17.5% 1.% Banca March..1 1.% 1.% 1.5% 5.3%.%.% Caixa Manresa.1.11 1.9%.% 5.% 59.3% 1.% 1.1%.1.1 1.% 1.% 57.%.% 13.1% 1.%.3.3.%.5% 5.%.5% 1.% 1.5% Banco Gallego.1..%.1% 7.% 71.7% -.%.1.11 1.9% 1.9% 5.5%.% 11.3% 11.9% Overview Asset Quality Impaired mortgage loans/ Loan loss reserves/ gross Loan loss reserves/ impaired Impaired loans/ gross loans in % gross loans loans loans 5 5 5 5 Caja Murcia.53%.57% - - 1.9%.% 3.9% 39.% Banca March.3%.37% - - 1.% 1.91% 9.% 51.5% Caixa Manresa.3%.7%.35%.37% 1.7% 1.7% 79.9% 3.5%.5%.%.%.% 1.% 1.97% 335.3% 331.5%.%.9%.17%.1% 1.5% 1.9% 31.1% 33.9% Banco Gallego.5%.1%.%.7% - - 5.37% 357.5%.37%.3%.3%.37% 1.7% 1.% 1.3% 33.7% Overview Capitalisation in bn Euro Total Equity Equity/ Total Assets Total Capital Ratio H1 5 5 H1 5 Caja Murcia 1.5 1.5 7.9% 7.% 1.1% 13.3% Banca March 1. 1. 7.%.3% 1.5%.% Caixa Manresa.5.3 5.97%.5% 1.5% 1.5%..1 5.1% 5.% 11.3% 1.% 1.. 5.73% 5.% 1.% 11.5% Banco Gallego...% 5.37% -.5%..3.% 7.7% 1.% 9.3% Covered Bond Market Issuer Profile Page 5//7
Please note that NATIXIS holds % in the company which is the subject of this report. Contacts Credit Research Financial Institutions - Covered Bonds Covered Bonds Ralf GROSSMANN 9 () 9 97 153 9 rgrossmann@ixis-cib.com Financial Institutions Gwenaëlle LERESTE 33 () 1 5 55 17 19 glereste@ixis-cib.com Financial Institutions Antoine HOUSSIN 33 () 1 5 55 5 7 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 3 7 7 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 ( ). 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