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Cedulas TDA I

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Title: Cedulas TDA I


1
CÉDULAS TDA 2
EURO 2.000 MMNov 2003
2
This document is supplied for information
purposes only. It may not be distributed to the
general public or used in connection with any
offer for subscription or sale of securities. It
has not been submitted to the Comisión Nacional
del Mercado de Valores for approval.
3
Index
  • The Transaction
  • The Structure
  • Transaction Overview
  • Individual Cédulas
  • Joint Cédulas
  • Cash Collateral
  • TdA SGFT
  • Agent Bank
  • The Underlying Assets
  • Cédulas Issuers
  • Mortgage Portfolio
  • Issuance program
  • APPENDIX
  • I. Issuers Entities
  • II. Spanish Mortgage Market
  • III. Spanish Savings Banks Sector

4
The Transaction
5
The Transaction
  • Cédulas Hipotecarias are COVERED BONDS
    established by law under the Ley del Mercado
    Hipotecario of March 1981.
  • The main differences between Cédulas Hipotecarias
    and another Covered Bonds are
  • Cédulas have privileged guarantee over the total
    mortgage portfolio of the issuer covered bonds
    have a pool of assets that guarantee the issue.
  • Cédulas don't have a bankruptcy remote structure
    (except Cédulas TDA 2) covered bonds do have a
    bankruptcy remote structure.
  • Cédulas TDA 2 has managed to obtain the best
    feature of Cédulas, which is the high
    over-collateralisation and at the same time
    introduce bankruptcy remoteness.

6
The Transaction
7
The Transaction
  • Cédulas TDA 2, F.T.A. same structure as Cédulas
    TDA 1, F.T.A. launched on June 2003.
  • Cédulas TDA 1, F.T.A. deal subscribed over 140.

8
The Structure
9
The Structure
TRANSACTION OVERVIEW.
Cédulas TDA 2, F.T.A. has been specifically
constituted according to the laws of the Kingdom
of Spain with limited liability. The sole purpose
of the Fund is the acquisition of 11 Cédulas
Hipotecarias as collateral for the issuance of
the joint Cédulas.
10
The Structure
  • THE INDIVIDUAL CÉDULAS.
  • The Cédulas issuers (11 Financial Entities) will
    issue 11 individual Cédulas.
  • All individual Cédulas will have the same coupon
    rate, payment date and maturity.
  • Individual Cédulas are senior secured bonds
    collateralised by the total mortgage portfolio of
    each of the Financial Entity.
  • Payments will be made two working days prior to
    the joint Cédulas payments in order to avoid
    administrative cash flow mismatches.
  • Coupon payment of the Individual Cédulas will be
    higher than the Joint Cédulas Excess spread to
    cover regular expenses.

11
The Structure
  • JOINT CÉDULAS NOTES.
  • Cédulas TDA 2, F.T.A. will be the issuer of the
    joint Cédulas.
  • Each note is in fact a composition of the
    individual Cédulas.
  • Interest and principal are collateralised by each
    of the individual Cédulas and the cash
    collateral.
  • This issue, a 10 / 12 year bullet, will
    additionally have a further 3 year legal maturity
    should there be any claims outstanding in year of
    maturity, allowing investors to continue with any
    recovery procedures.
  • BIS Risk Weighting 10 in Spain, France,
    Luxembourg, Germany and The Netherlands

12
The Structure
  • RESERVE FUND
  • The Cédulas issuers will provide a subordinated
    loan to fund the cash collateral.
  • This cash collateral guarantees any interest
    payments not satisfied by any of the individual
    Cédulas.
  • Amount 3,25 / 3,37 of total issue for a 10 /
    12 years transaction and will remain in the fund
    until maturity.

13
The Structure
CASH COLLATERAL
If Individual Cédula defaults
TdA will proceed to claim the amounts due
(recovery period)
Meantime, the Cash collateral will be used to
service interest payment
Will be used to pay interest due (if any) and for
the proportional amortization of the joints
Cédulas
Once recovery amount
14
The Structure
  • TdA, SGFTA
  • Administers the Fund
  • Fund representative
  • Supervised by the CNMV and subject to the laws of
    the Kingdom of Spain.
  • Obligation to protect the credit rights of the
    joint Cédula Bond holders acting as a Comisario
    del Sindicato de Bonistas (Spanish trustee).

15
The Structure
  • TdA SGFT
  • TdA is a holding company whose shareholders are

16
The Structure
  • TdA SGFT

First Spanish transaction backed with Credit
Rights derived from Participative Loans
First prime residential mortgage transaction
including conforming loans (LTVlt80) and
non-conforming loans (LTVgt80)
First fund to issue a Interest Only (I.O.) Bond
in the Spanish market
Management Company of the Nuclear Moratorium Fund
Founded May 1992
First Trade receivables securitisation in Spain
2003
2001
2002
1992
1993
1996
2000
First Auto Loans transaction in the Spanish
Market
First multi-originator transaction in Europe
First SME s Loans transaction in the Spanish
Market
First private fund in Spain
Elected member of the Executive committee of the
European Securitisation Forum
17
The Structure
  • THE AGENT BANK
  • Caja Madrid will be the payment and fiscal agent.
  • Caja Madrid will hold the reserve fund and will
    guarantee a minimum return on it (Euribor -10
    bps).
  • Caja Madrid will make all payments of the issue
    through the Spanish IBERCLEAR and its links with
    EUROCLEAR

18
The Structure
  • EXPENSES
  • Initial expenses will be funded with a provision
    in favour of the Fund as the difference between
    the issue price of the Joint Cédulas and the
    issue price of the Individual Cédulas.
  • Regular expenses will be funded through excess
    spread.
  • The order of payments will be as follows
  • 1. Regular and Extraordinary Expenses.
  • 2. Interest of the Notes.
  • 3. Amortization of principal.
  • 4. Reserve fund Replenishment
  • 5. Fixed interest on subordinated loan (Euribor
    15 bps).
  • 6. Subordinated loan amortization.
  • 7. Any excess proceeds to Cédulas issuers (once
    fund is liquidated).

19
The Underlying Assets
20
The Underlying assets
CÉDULAS ISSUERS
21
The Underlying assets
CÉDULAS ISSUERS
  • The 11 Financial Entities issuing the Cédulas
    Hipotecarias are widely diversified amongst all
    Spanish regions.

Caja Laboral
Caixanova Banco Gallego
Caixa Catalunya Caixa Terrassa Caixa Tarragona
Caja España
Ibercaja
Caja Madrid
Caja Castilla la Mancha
Unicaja
22
The Underlying assets
  • THE MORTGAGE PORTFOLIO
  • Eligible portfolio is set by Law 2/81 as those
    mortgages within the total mortgage portfolio
    under which Cédulas can be issued.
  • The issuance limit is established as 90 of the
    eligible portfolio.
  • The main conditions that eligible mortgage loans
    have to fulfil are
  • LTV maximum of 80 for residential properties and
    70 for commercial properties.
  • Only first mortgages can be eligible and have to
    be legally registered in the SPANISH PROPERTY
    REGISTRY.
  • The value of the property has to be assessed by
    an independent appraisal company, which has to be
    authorised and supervised by the Bank of Spain.
  • The property has to be insured for the total
    amount of its value.
  • Although Cédulas issuance is limited by the size
    of the eligible portfolio it is the TOTAL
    MORTGAGE PORTFOLIO that is backing the Cédulas.

23
The Underlying assets
THE MORTGAGE PORTFOLIO
  • I Total Mortgage Portfolio of Cédulas TdA EUR
    75,866 Bn
  • II Eligible Portfolio of Cédulas TdA EUR
    43,885 Bn (57.84 Total Mortgage
    Portfolio)
  • III Issuance limit (90 of II) EUR 39,496 Bn
  • IV Amount of Cédulas outstanding of the
    11Entities EUR 15,334 Bn (including this issue)
  • Average Over-collateralisation 494,75.

24
The Underlying assets
  • COLLATERAL MAINTENANCE MECHANISMS
  • If the eligible collateral falls below the limits
    established by the Spanish Mortgage Law (early
    amortizations/defaults), the issuer will have to
    re-establish the equilibrium through
  • Cash Deposit in Banco de España.
  • Buying or Early Termination of the Cédulas.
  • Granting of new eligible mortgage loans (increase
    collateral).
  • In case of buy-back or early termination, the
    buy-back price or early termination price will be
    the maximum between par and the market price of
    the Joint Cédula note. The Joint Cédulas are then
    partially amortized on a prorated basis. The
    income excess will be divided among the owners of
    the Joint Cédulas in a prorated basis (exemption
    to the general preferential claim order).

25
The Underlying assets
  • KEY RATIOS
  • Average over-collateralisation 494,75
  • Minimum individual level of over-collateralisation
    (Caixanova) 264,28
  • Eligible Portfolio over Mortgage
    Portfolio 57,84
  • Total Mortgage Portfolio over Total Credit
    portfolio of the 11 Cédulas Issuers 60,27
  • Weighted Average LTV (Loan-To-Value) 61,69
  • Weighted Average Current Interest Rate
    4,00
  • Weighted Average Residual Maturity 206,83
  • Floating rate loans over the total Mortgage
    Portfolio 91,29
  • Deliquency ratio of the 11 Cédulas Issuers
    0,82
  • Deliquency as set by the Bank of Spain being any
    payments outstanding after a period of three
    consecutive months.

26
Appendix 1Issuers Entities
27
Caixa dEstalvis de Catalunya
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
28
Caja Laboral Popular
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
29
Caixa dEstalvis de Terrassa
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
30
Caja España
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
31
Caixanova
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
32
Unicaja
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
33
Caja Madrid
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
() Datos a 31 de diciembre de 2002
Mortgage Portfolio
Geographical distribution
(MM uros)
34
Caja Castilla la Mancha
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
35
Ibercaja
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
36
Caixa dEstalvis de Tarragona
Ranking Cajas by Total Assets
Rating
Main Ratios ()
Balance (MM uros)
Mortgage Portfolio
Geographical distribution
(MM uros)
37
Banco Gallego
Rating
Main Ratios ()
Balance (MM uros)
Mortgage Portfolio
Geographical distribution
(MM uros)
38
Appendix 2Spanish Mortgage Market
39
Spanish Mortgage Market
House prices have been increasing in the last
years to a level higher than the rest of the
consumer or investment goods.
Source INE
The number of built houses grows at a pace
higher than the population
Source INE
40
Spanish Mortgage Market
Even with regular growth of mortgage volumes,
delinquency ratio is still in historically low
levels (0.629)
Source CECA e INE
Number of mortgages in constant growing without
relation to the interest rate
Source CECA e INE
41
Appendix 3Spanish Savings Banks Sector
42
Spanish Savings Banks Sector
  • GENERAL FEATURES
  • Savings Banks represent almost 50 of the
    Spanish financial system
  • Manage 43,1 of the Assets.
  • Market share in Loans of 48,1
  • Market Share in Deposits of 49,4
  • Majority of them are local entities specialized
    in retail banking , of the 47 existent Savings
    banks
  • 21 are considered small, with less than 5 billion
    euros balance sheet.
  • Of the rest, 6 have a balance sheets bigger than
    20 billion euros.
  • They have no regulatory advantage, they are
    credit entities with freedom to expand and to
    compete with the rest of the entities of the
    Spanish Financial System.
  • Special legal nature foundations of private
    nature, whose purpose is the accomplishment of
    enterprise performances under market criteria and
    reinvestment of a percentage of its benefits to
    Social welfare.
  • They have no defined owners. Governing bodies
    are General Assembly, the Board of Directors and
    Control Committee. Groups represented are Local
    and regional governments, customers and employees.

43
Spanish Savings Banks Sector
  • SAVINGS BANKS vs BANKS
  • Continuous growth of the loans market share.
  • Specialization in the Retail sector, which is
    reflected in the market share of mortgages.
  • Continuous improvement of Deliquency ratio
    (lower than Banking sector) currently at all time
    lows.

44
Spanish Savings Banks Sector
  • Position of leadership in the traditional Saving
    products
  • Resident private sector Deposits 55
  • Resident private sector current accounts 42
  • Resident private sector Saving accounts 65
  • Resident private sector term deposits 68

45
Spanish Savings Banks Sector
  • Continuous growth in branch network.
  • Branches with less staff and more technology
    allows for a higher productivity per employee.
  • Development of a strategy of multichannel
    distribution that complements the branch network
    (Phone banking and Internet banking)

46
Spanish Savings Banks Sector
  • KEY INDICATORS
  • Business Diversification increasing the relative
    weight of fee plus commission income as a
    percentage of Operating income.
  • Excellent Asset quality
  • Deliquency ratio with decreasing trend.
  • Increases of the insolvency coverage ratios.
  • Creation of the Provision of statistical cover
    of insolvencies of anti cyclical character.

47
Spanish Savings Banks Sector
  • ACTIVITY INDICATORS
  • Profitability Savings Banks present better
    profitability ratios than Banks.

48
Spanish Savings Banks Sector
Savings Banks Ranking (Total Assets)
Thousand Euros
49
Contacts
Fernando Cuesta Head of Funding Capital
Markets. fcuestab_at_cajamadrid.es Phone
34.91.423.92.92 Juan Landazabal Director
Credit Products Capital Markets jlandazv_at_cajamadri
d.es Phone 34.91.423.92.92 Alvaro
Carbajosa Funding Manager Capital
Markets acarba01_at_cajamadrid.es Phone
34.91.423.92.92
Rafael Garcés Director Division Credits
Markets Capital Markets. rgarcesb_at_cajamadrid.es Ph
one 34.91.423.92.92 Julio Gilsanz Director
Securitization Capital Markets jgilsanu_at_cajamadrid
.es Phone 34.91.423.92.97 Gorka Barrondo Head
of Treasury and Capital Markets CCM gbarra_at_ccm.es
Phone 34.969.17.78.35
Angel Tello Treasury and Capital Makets. Caixa
Catalunya angel.tello_at_caixacatalunya.es Phone
34.93.484.55.60
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