caixabank - covered bond investor presentation · 2016-01-29 · caixabank - covered bond investor...

CaixaBank - Covered Bond Investor presentation

Data as of 31st Dec 2015

2

Covered Bond Label Compliant since 1st January 2013

Moody’s Investors Service

Aa2

A+

High quality collateral & strong overcollateralization

Low risk profile: mortgage portfolio prudently managed

Always aiming to the best market standards Transparency: complete quarterly information available in our

web page: http://www.caixabank.com/inversoresinstitucionales/inversoresrentafija_en.html

Solid OC levels

Total OC: 251% -> and flexibility to optimize our collateral:

Legal OC: 132%

21,6 bn of retained Covered Bonds

….Despite following strict eligibility criteria

78% of residential loans, out of which:

93% with LTV < 80%

More than 90% First home

Comfortably above the legally required ratio (125%)….

Remaining Issuing Capacity: 4 € Bn (mortgage & public sector CB)

CaixaBank Covered Bonds Programme - Highlights

Covered Bonds

Ratings:

AA (low)

Best treatment as regards LCR and risk weighting

purposes

Mortgage Covered Bond Programme

CaixaBank Covered Bonds Programmes - Main figures Dec '15

3

Spanish Public Sector Covered Bond Programme

Issuing capacity & Collateral type

Remaining Issuing Capacity 4.006 Mn € Collateral by Type

Covered Bonds

RATINGS

Moody's Aa2

Mortgages CB; 2.799

Public Sector CB; 1.206

69%

21%

10%

Residential Commercial Public Sector

MORTGAGE COVER POOL MORTGAGE COVERED BONDS 31/12/2015

Cover Pool Size (mill €) 121.872 Outstanding nominal (mill €) 48.648

Residential Assets 94.524 77,6% OC (total) 251%

Comercial Assets 27.348 22,4% OC (legal - eligible portfolio) 132%

Elegible Pool (mill €) 64.310 Issuing Capacity (mill €) 2.799

Number of loans 1.431.020 Average Maturity (years) 5,8

Average loan Balance (€) 85.165

WA Seasoning (years) 8 yrs RATINGS

WA Remaining Term (years) 18,4 yrs Moody's Aa2

WA LTV 53% DBRS AA (low)

WA LTV Elegible Pool 44% S&P A+

31/12/2015

PUBLIC SECTOR COVERED BONDS 31/12/2015

Outstanding nominal (mill €) 7.300

OC 166%

Issuing Capacity 1.206

Average Maturity (years) 3,6

PUBLIC SECTOR COVER POOL

Cover Pool Size (mill €) 12.152

Number of loans 6.083

Average loan Balance (€) 1.997.619

WA Seasoning (years) 3,1 yrs

WA Remaining Term (years) 6 yrs

31/12/2015

5.795

3.907 3.982

2.103

1.378

2.701

1.332

300981

3.239

0

550450 53 20

1.288

2.165

265

1.551

176

649

2.475

1.000

2.919

1.389

3.0001.900

2.800

0

1.000

2.000

3.000

4.000

5.000

6.000

7.000

8.000

20

16

20

17

20

18

20

19

20

20

20

21

20

22

20

23

20

24

20

25

20

26

20

27

20

28

20

31

20

37

20

38

20

48

Public Issues Retained Issues

Total Collateral Eligible vs non-eligible

Max. CB Issuance Outstanding CBs vs Remaining Issuing

Capacity

121,9

64,3

51,4 48,6

57,6

2,8

4

CaixaBank Mortgage Covered Bond Programme Dec '15

Remaining Issuing Capacity

x 80%

ELIGIBLE

REMAINING ISSUING CAPACITY: 2.8 Bn €

Maturity Profile

Total Covered Bonds -> 48.649 € Mn Public -> 27.025 € Mn Retained -> 21.624 € Mn

Issued

In Billion €

Mortgages Public Sector

Total Collateral for Covered Bonds 145,758 11,659 Elligible Portfolio 101,130 11,659

Cédulas

Hipotecarias

Cédulas

Territoriales

Used Collateral 99,199 9,571 Covered Bond Issued Amount 79,359 6,700

Over Collaterization (**) 184% 174%

Available Collateral 1,932 2,087

REMAINING ISSUING CAPACITY (*) 1,545 1,461 Mn €

(*) Issuing Capacity= 80% of Collateral Available for C. Hipotecarias and 70% for C. Territoriales

(**) Due to the early amortisation of € 3 Bn of retained cedulas on April 15th, OC ratio is currently higher

Data in Million €

3,006 Available Issuing Capacity

86,1€ bn

89,1 € bn

113 bn

157 € bn

≈ 3 € bn Remaining

Issuing Capacity

44 € bn

Outstanding CBs

Max. CB Issuance

Elegible vs non-elegible

Total Collateral (Mortgages+Public

Sector)

Covered Bonds

Data in million €

Mortgages

Total Collateral for Covered Bonds 121.872 Eligible Portfolio 64.310

Cédulas

Hipotecarias

Used Collateral 60.811 Covered Bond Issued Amount 48.648

Over Collaterization 251%

Available Collateral 3.499

REMAINING ISSUING CAPACITY (*) 2.799

5


OC Evolution

OC Legal

132%

Decision of generating additional collateral for the ECB credit facility to anticipate any potential deterioration in markets

Banca Cívica integration

Retained Covered Bonds Amortizations

Active and prudent collateral management, focus on adding value to investors

TOTAL OC: 251%

LEGAL OC: 132%

Covered Bonds

OC comfortably above the legally required ratio

BBSAU integration

23,7%

15,8%

20,1%21,4%

12,1%

2,8%1,8%

0,9% 0,5% 0,2% 0,5%0,0%

5,0%

10,0%

15,0%

20,0%

25,0%

4,4%

3,0%

2,3%

9,3%

81,0%

< 12

≥12-<24

≥24-<36

≥36-<60

≥606


RESIDENTIAL ASSETS

Portfolio Breakdown

Seasoning

Cover Pool Description – Main figures

Covered Bonds

93% of the pool with LTV <80%

Total Mortgage Loans (ex securitization) (€ k) 94.524.232 WA LTV (%) 53,9%

Number of loans 1.275.044 First Rank 94,1%

Average Loan balance (€) 74.134 Floating Rate loan Interest Rate type: 99,3%

Number of Borrowers 1.095.254 WA Interest Rate (Floating Rate loans) 1,6%

Number of properties 1.354.096 WA Interest Rate (Fixed Rate loans) 4,4%

WA Seasoning in months 99,0 8,2 yrs

WA Remaining term in months 242,1 20,2 yrs

Unindexed LTV Ranges

Distributions

Total Loan

Balance

(ex sec) €k

%

0-≤40% 22.398.094 23,7%

>40%-≤50% 14.921.366 15,8%

>50%-≤60% 19.007.263 20,1%

>60%-≤70% 20.234.209 21,4%

>70%-≤80% 11.470.724 12,1%

>80%-≤85% 2.673.439 2,8%

>85%-≤90% 1.745.974 1,8%

>90%-≤95% 894.290 0,9%

>95%-≤100% 468.244 0,5%

>100%-≤105% 201.131 0,2%

>105% 509.498 0,5%

94.524.232

Seasoning (months) € k %

< 12 4.133.955 4,4%

≥12-<24 2.863.840 3,0%

≥24-<36 2.187.550 2,3%

≥36-<60 8.754.820 9,3%

≥60 76.584.067 81,0%

Total: 94.524.232

93% of the loans with LTV < 80%

91%

7%1% 1%

First Home Second Home Not Owner occupied Other

7


RESIDENTIAL ASSETS

First home loans represent more than 90% of the residential pool

Acquisitions led to a more diversified regional distribution of the assets

Covered Bonds

> 20%

Between 10% - 20%

Between 5% - 10%

Between 3% - 5%

Between 1% - 3%

< 1%

Property type € k %

First Home 85.558.291 90,5%

Second Home 7.005.352 7,4%

Not Owner occupied 1.100.820 1,2%

Other 859.769 0,9%

Total: 94.524.232

65%

18%

4% 6% 4% 2%

0%

10%

20%

30%

40%

50%

60%

70%

Adquisition Re-mortgage Equity release Rehabilitation New construction

Other

Loan Purpose € k %

Adquisition 61.745.851 65%

Re-mortgage 16.995.211 18%

Equity release 4.091.382 4%

Rehabilitation 5.407.202 6%

New construction 4.058.100 4%

Other 2.226.485 2%

Total: 94.524.232

Regional Distribution € k %

Catalonia 26.243.092 28%

Andalusia 16.248.025 17%

Madrid 13.264.370 14%

Valencia 7.414.162 8%

Canary Islands 5.927.400 6%

Balearic Islands 3.841.586 4%

Castile León 3.446.583 4%

Castile La Mancha 3.004.270 3%

Navarra 2.847.311 3%

Basque Country 2.691.224 3%

Murcia 2.422.856 3%

Galicia 1.999.725 2%

Aragon 1.636.537 2%

Cantabria 856.283 1%

Extremadura 809.122 1%

Asturias 734.377 1%

Others/ No info 585.890 1%

La Rioja 459.029 0%

Ceuta 72.725 0%

Melilla 19.663 0%

Total: 94.524.232

6%

18%

10%

6%

20%

10%

21%

10%

0%

5%

10%

15%

20%

25%

Offices Commercial storesIndustrial Hotel Flats & Houses Land Mixed Use Others

8


COMMERCIAL ASSETS

Portfolio Breakdown


Covered Bonds

RE (Flat & Houses) assets steadily declining

Total Mortgage Loans (ex securitization) (€ k) 27.347.895 WA LTV (%) 51,6%

Number of loans 155.976 Floating Rate loan Interest Rate type: 96,5%

Average Loan balance (€) 175.334 WA Interest Rate (Floating Rate loans) 2,4%

Number of Borrowers 86.206 WA Interest Rate (Fixed Rate loans) 5,1%

Number of properties 199.181

WA Seasoning in months 83,4 7 yrs

WA Remaining term in months 148,4 12,4 yrs

Unindexed LTV

Ranges Distribution

Total Loan

Balance

(ex sec) €k

%

0-≤40% 9.199.129 33,6%

>40%-≤50% 4.497.098 16,4%

>50%-≤60% 4.891.541 17,9%

>60%-≤70% 3.778.327 13,8%

>70%-≤80% 2.015.464 7,4%

>80%-≤85% 713.696 2,6%

>85%-≤90% 475.108 1,7%

>90%-≤95% 405.883 1,5%

>95%-≤100% 382.688 1,4%

>100%-≤105% 271.348 1,0%

>105% 717.613 2,6%

Total: 27.347.895

Property Type € k %

Offices 1.526.337 5,6%

Commercial stores 4.890.606 17,9%

Industrial 2.761.313 10,1%

Hotel 1.636.808 6,0%

Flats & Houses 5.414.357 19,8%

Land 2.719.405 9,9%

Mixed Use 5.612.447 20,5%

Others 2.786.620 10,2%

Total: 27.347.895

33,6%

16,4%17,9%

13,8%

7,4%

2,6% 1,7% 1,5% 1,4% 1,0%2,6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

9


COMMERCIAL ASSETS

Portfolio Breakdown

Covered Bonds

> 20%

Between 10% - 20%

Between 5% - 10%

Between 3% - 5%

Between 1% - 3%

< 1%

17%

26%

22%

29%

6%

≤ 5

>5 - ≤10

>10 - ≤15

>15 - ≤25

>25 - ≤50

Loan Maturity (yrs) € k %

≤ 5 4.610.473 16,9%

>5 - ≤10 7.201.878 26,3%

>10 - ≤15 6.250.017 22,9%

>15 - ≤25 7.770.510 28,4%

>25 - ≤50 1.515.018 5,5%

Total: 27.347.895

Regional Distribution € k %

Catalonia 6.044.317 22,1%

Andalusia 5.060.073 18,5%

Madrid 4.950.121 18,1%

Canary Islands 2.537.914 9,3%

Valencia 2.319.931 8,5%

Balearic Islands 1.185.688 4,3%

Castile León 900.903 3,3%

Castile La Mancha 723.342 2,6%

Navarra 691.329 2,5%

Basque Country 557.213 2,0%

Murcia 504.395 1,8%

Others/ No info 495.850 1,8%

Aragon 432.025 1,6%

Galicia 402.036 1,5%

Extremadura 196.165 0,7%

Cantabria 146.346 0,5%

Asturias 113.551 0,4%

La Rioja 70.934 0,3%

Ceuta 11.127 0,0%

Melilla 4.634 0,0%

Total: 27.347.895 100%

Total Collateral Max. CB Issuance Outstanding CBs vs Remaining Issuing Capacity

12,2

8,5

7,3

1,2

0

500

1.000

1.500

2.000

2.500

20

16

20

17

20

18

20

19

20

20

20

21

Public Issues Retained Issues 10

CaixaBank Public Sector Covered Bond Programme Dec '15

Remaining Issuing Capacity

x 70%

REMAINING ISSUING CAPACITY: 1.2 Bn €

Maturity Profile

Total Covered Bonds -> 7.300 € Mn Public -> 88 € Mn Retained -> 7.212 € Mn

Issued

In Billion €

Mortgages Public Sector

Total Collateral for Covered Bonds 145,758 11,659 Elligible Portfolio 101,130 11,659

Cédulas

Hipotecarias

Cédulas

Territoriales

Used Collateral 99,199 9,571 Covered Bond Issued Amount 79,359 6,700

Over Collaterization (**) 184% 174%

Available Collateral 1,932 2,087

REMAINING ISSUING CAPACITY (*) 1,545 1,461 Mn €

(*) Issuing Capacity= 80% of Collateral Available for C. Hipotecarias and 70% for C. Territoriales

(**) Due to the early amortisation of € 3 Bn of retained cedulas on April 15th, OC ratio is currently higher

Data in Million €

3,006 Available Issuing Capacity

86,1€ bn

89,1 € bn

113 bn

157 € bn

≈ 3 € bn Remaining

Issuing Capacity

44 € bn

Outstanding CBs

Max. CB Issuance

Elegible vs non-elegible

Total Collateral (Mortgages+Public

Sector)

Covered Bonds

Data in million €

Public Sector

Total Collateral for Covered Bonds 12.152 Eligible Portfolio 12.152

Cédulas

Territoriales

Used Collateral 10.429 Covered Bond Issued Amount 7.300

Over Collaterization 166%

Available Collateral 1.723

REMAINING ISSUING CAPACITY (*) 1.206

11

CaixaBank Public Sector Covered Bond Programme Dec '15

Portfolio Breakdown

Loans Maturity


Covered Bonds

Total Loans (ex securitization) (€ k) 12.151.515 Floating Rate loan Interest Rate type: 85,3%

Number of loans 6.083 WA Interest Rate (Floating Rate loans) 1,15%

Average Loan balance (€) 1.997.619 WA Interest Rate (Fixed Rate loans) 1,93%

Number of Borrowers 1.633

Average exposure to borrowers (€ ) 7.441.222

WA Remaining term in months 72,5 6 yrs

WA Seasoning in months 37 3,1 yrs

< 12 4.379.839 36%

≥12-<24 304.844 3%

≥24-<36 804.025 7%

≥36-<60 1.158.819 10%

≥60 5.503.988 45%

Total: 12.151.515

Loan Maturity € k %

<2m 0,04%

≥ 2m - <6m 0,06%

≥ 6m - <12m 0,18%

≥12m 0,97%

Loans in Arrears %

36%

3%

7%

10%

45%

< 12

≥12-<24

≥24-<36

≥36-<60

≥60

12

Appendix 1: CaixaBank Covered Bond Issuances

Covered Bonds

Spanish Mortgages - Pubic Deals Covered Bonds

ISIN Currency Issue Date Outstanding (€) Maturity Date Coupon Investor Type

ES0414970659 EUR 22/02/2011 2.200.000.000 22/02/2016 5,00% Institutional



ES0414970261 EUR 16/06/2006 150.000.000 16/06/2016 Eur 3m+0.06% Institutional

ES0414970253 EUR 20/04/2006 10.646.000 30/06/2016 Eur 3m+0.1% Retail




ES0440609024 EUR 14/11/2011 250.000.000 26/01/2017 4,25% Institutional




ES0414970352 EUR 22/01/2007 6.380.000 30/03/2017 Eur 3m +0.00% Retail


ES0414965105 EUR 22/09/2009 150.000.000 22/09/2017 Eur 3m + 1,50% Institutional


ES0414970220 EUR 09/01/2006 1.000.000.000 09/01/2018 Eur 3m+0.075% Institutional








ES0414970501 EUR 14/05/2009 175.000.000 14/05/2021 Eur 3m+1% Institutional






13


Spanish Mortgages - Retained Deals Covered Bonds





ES0440609115 EUR 07/06/2012 2.000.000.000 07/06/2022 Eur 6m +3.85% Institutional






ES0440609164 EUR 03/07/2012 1.000.000.000 03/07/2027 Eur 6m+4% Institutional





Registered - Covered Bonds


---------------------- EUR 12/12/2008 200.000.000 12/12/2016 Eur 3m +0.00% Institutional

---------------------- EUR 01/10/2008 20.000.000 01/10/2048 5,32% Institutional

Spanish Mortgages - Covered Bonds (non €)

ISIN Currency Issue Date Outstanding Maturity Date Coupon Investor Type

XS0231003129 GBP 30/09/2005 300.000.000 30/09/2015 Libor 1A+0.02% Institutional

XS0273475094 USD 01/11/2006 255.000.000 02/02/2037 Libor 3m +0.00% Institutional

Covered Bonds

Spanish Mortgages - Covered Bonds (non €)

ISIN Currency Issue Date Outstanding Maturity Date Coupon Investor Type

XS0273475094 USD 01/11/2006 255.000.000 02/02/2037 Libor 3m +0.00% Institutional

14


Spanish Public Sector - Covered Bonds










Covered Bonds

Spanish Multi-Issuers - Public Covered Bonds

Código ISIN Divisa Fecha emisiónCaixaBank

Contribution (€)

Total Issue

Outstanding (€)Maturity Date Coupon Investor Type

ES0317043000 EUR 25/02/2004 225.000.000 2.000.000.000 01/03/2016 4,39% Institutional



ES0371622004 EUR 29/05/2006 150.000.000 1.585.000.000 08/04/2016 Eur 3m +0.06% Institutional




ES0312298062 EUR 26/05/2006 50.000.000 1.000.000.000 24/05/2017 Eur 3m+0.086% Institutional


15


Spanish Multi-Issuers - Public Covered Bonds


Contribution (€)

Total Issue


ES0312298039 EUR 20/02/2006 75,000,000 1,195,000,000 20/02/2018 Eur 3m+0.11934% Institutional

ES0312298070 EUR 12/06/2006 110,000,000 2,230,000,000 12/06/2018 4.25% Institutional
















Spanish Multi-Issuers - Retained Covered Bonds


Contribution (€)

Total Issue


ES0312298195 EUR 21/11/2008 1,050,000,000 4,105,000,000 22/11/2015 Eur 3m+1.2146% Institutional



ES0312298153 EUR 16/04/2008 100,000,000 2,810,000,000 21/10/2017 Eur 3m+0. 165% Institutional

ES0312298153 EUR 16/04/2008 100,000,000 2,810,000,000 21/10/2017 Eur 3m+0. 16849% Institutional

Covered Bonds

Spanish Multi-Issuers - Retained Covered Bonds


Contribution (€)

Total Issue






The purpose of this presentation is purely informative. In particular, regarding the data provided by third parties, neither CaixaBank, S.A.

(“CaixaBank”) as a legal entity, nor any of its administrators, directors or employees, is obliged, either explicitly or implicitly, to vouch that

these contents are exact, accurate, comprehensive or complete, nor to keep them updated, nor to correct them in the case that any deficiency,

error or omission were to be detected. Moreover, in reproducing these contents in any medium, CaixaBank may introduce any changes it

deems suitable, may omit partially or completely any of the elements of this document, and in the case of any deviation between such a

version and this one, assumes no liability for any discrepancy.

This document has at no time been submitted to the Comisión Nacional del Mercado de Valores (CNMV – the Spanish Stock Markets

regulatory body) for approval or scrutiny. In all cases its contents are regulated by the Spanish law applicable at time of writing, and it is not

addressed to any person or legal entity located in any other jurisdiction. For this reason it may not necessarily comply with the prevailing

norms or legal requisites as required in other jurisdictions.

This presentation on no account should be construed as a service of financial analysis or advice, nor does it aim to offer any kind of financial

product or service. In particular, it is expressly remarked here that no information herein contained should be taken as a guarantee of future

performance or results.

Without prejudice to legal requirements, or to any limitations imposed by CaixaBank that may be applicable, permission is hereby expressly

refused for any type of use or exploitation of the contents of this presentation, and for any use of the signs, trademarks and logotypes which it

contains. This prohibition extends to any kind of reproduction, distribution, transmission to third parties, public communication or conversion

into any other medium, for commercial purposes, without the previous express permission of CaixaBank and/or other respective proprietary

title holders. Any failure to observe this restriction may constitute a legal infraction which may be sanctioned by the prevailing laws in such

cases

16

Disclaimer

caixabank - covered bond investor presentation · 2016-01-29 · caixabank - covered bond investor...

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