· prospectus march 2010 im banco popular mbs 2 fondo de titulizacion de activos asset backed...
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Prospectus March 2010
IIMM BBAANNCCOO PPOOPPUULLAARR MMBBSS 22 FFOONNDDOO DDEE TTIITTUULLIIZZAACCIIOONN DDEE AACCTTIIVVOOSS
ASSET BACKED SECURITIES 685,000,000 €
Series A 596,000,000 Aaa Series B 89,000,000 Caa1
Backed by Mortgage Loans sold and serviced by
BANCO POPULAR
Lead Manager and Subscriber
BANCO POPULAR
Financial Agent BANCO POPULAR
Fondo designed, arranged and managed by
This document is a translation of the Spanish Prospectus registered at the CNMV. This document is not a securities offer or other document with any legal effect. No other document but the final Prospectus registered at the CNMV may be considered as having any legal effect.
INDEX RISK FACTORS _____________________________________________________________ 1 1 RISKS GENERATED BY THE LEGAL NATURE AND THE ACTIVITY OF THE ISSUER. _ 1
1.1 NATURE OF THE FONDO AND LIABILITIES OF THE SOCIEDAD GESTORA (MANAGEMENT COMPANY).___________________________________________________ 1
1.2 FORCED SUBSTITUTION OF THE SOCIEDAD GESTORA. _____________________ 1
1.3 LIMITATION OF ACTIONS AGAINST THE SOCIEDAD GESTORA. _______________ 1
1.4 APPLICATION OF THE BANKRUPTCY ACT._________________________________ 1
2 RISKS GENERATED BY THE SECURITIES____________________________________ 2
2.1 PRICE. _______________________________________________________________ 2
2.2 LIQUIDITY.____________________________________________________________ 2
2.3 YIELD. _______________________________________________________________ 2
2.4 PENALTY INTEREST. ___________________________________________________ 2
3 RISKS GENERATED BY THE ASSETS BACKING THE ISSUE. ____________________ 2
3.1 RISK OF DEFAULT OF THE MORTGAGE LOANS. ____________________________ 2
3.2 RISK OF EARLY AMORTISATION OF THE MORTGAGE LOANS. ________________ 3
3.3 GEOGRAPHICAL CONCENTRATION. ______________________________________ 3
3.4 YEAR OF ISSUE CONCENTRATION._______________________________________ 4
3.5 LIMITED HEDGING._____________________________________________________ 4
3.6 LIMITED RESPONSIBILITY. ______________________________________________ 4
3.7 OUTSTANDING TERM OF THE LOANS. ____________________________________ 4
3.8 OUTSTANDING LOAN TO VALUE RATIO.___________________________________ 4
REGISTRATION DOCUMENT FOR SECURITIES (ANNEX VII OF THE CE 809/2004 REGULATIONS) _____________________________________________________________ 5 1 INDIVIDUALS RESPONSIBLE. ______________________________________________ 5
1.1 INDIVIDUALS RESPONSIBLE FOR THE INFORMATION GIVEN IN THE REGISTRATION DOCUMENT. __________________________________________________ 5
1.2 DECLARATION BY THOSE RESPONSIBLE FOR THE CONTENTS OF THE REGISTRATION DOCUMENT. __________________________________________________ 5
2 ACCOUNTING AUDITORS._________________________________________________ 5
2.1 AUDITORS OF THE FONDO. _____________________________________________ 5
2.2 ACCOUNTING CRITERIA USED BY THE FONDO. ____________________________ 5
3 RISK FACTORS. _________________________________________________________ 6
4 INFORMATION ABOUT THE ISSUER. ________________________________________ 6
4.1 DECLARATION OF THE ESTABLISHMENT OF THE ISSUER AS FONDO DE TITULIZACIÓN. ______________________________________________________________ 6
4.2 NAME OF THE ISSUER. _________________________________________________ 6
4.3 PLACE OF REGISTRATION OF THE ISSUER AND ITS REGISTRATION NUMBER.__ 6
4.4 DATE OF INCORPORATION AND PERIOD OF ACTIVITY OF THE ISSUER.________ 6
4.5 ADDRESS, LEGAL TITLE AND LEGISLATION APPLICABLE TO THE ISSUER. _____ 9
4.6 ISSUER’S AUTHORISED AND ISSUED CAPITAL. ___________________________ 10
5 DESCRIPTION OF THE FONDO DE TITULIZACIÓN. ___________________________ 10
5.1 MAIN ACTIVITY. ______________________________________________________ 11
5.2 GENERAL DESCRIPTION OF THE PARTICIPANTS IN THE SECURITISATION.____ 11
6 ADMINISTRATIVE, MANAGEMENT AND SUPERVISORY BODIES. _______________ 12
6.1 INCORPORATION AND INSCRIPTION IN THE COMPANIES HOUSE. ___________ 13
6.2 ACCOUNT AUDITING.__________________________________________________ 13
6.3 CORPORATE PURPOSE. _______________________________________________ 13
6.4 SHARE CAPITAL. _____________________________________________________ 15
6.5 SHAREHOLDINGS IN OTHER COMPANIES.________________________________ 15
6.6 ADMINISTRATIVE, MANAGEMENT AND SUPERVISION BODIES. ______________ 15
6.7 MAIN ACTIVITIES OF THE INDIVIDUALS MENTIONED IN SECTION 6.6, CARRIED OUT OUTSIDE THE SOCIEDAD GESTORA IF RELEVANT TO THE FONDO.____________ 16
6.8 CREDITORS OF THE SOCIEDAD GESTORA IN MORE THAN 10%. _____________ 16
6.9 LAWSUITS OF THE SOCIEDAD GESTORA. ________________________________ 16
6.10 SUPERVISORY BODIES. _______________________________________________ 16
7 MAYOR SHAREHOLDERS ________________________________________________ 16
7.1 DECLARATION REGARDING THE DIRECT OR INDIRECT OWNERSHIP OF THE SOCIEDAD GESTORA OR WHETHER IT IS CONTROLLED. _________________________ 16
8 FINANCIAL INFORMATION CONCERNING THE ISSUER’S ASSETS AND LIABILITIES, FINANCIAL POSITION AND PROFITS AND LOSSES. ______________________________ 17
8.1 DECLARATION REGARDING THE INITIATION OF TRADING AND FINANCIAL STATEMENTS OF THE ISSUER PRIOR TO THE DATE OF THE REGISTRATION DOCUMENT. _______________________________________________________________ 17
8.2 HISTORICAL FINANCIAL INFORMATION REQUIRED WHEN AN ISSUER HAS INITIATED TRADING AND FINANCIAL STATEMENTS HAVE BEEN GENERATED. _______ 17
8.3 LEGAL AND ARBITRATION PROCEEDINGS. _______________________________ 17
8.4 MATERIAL ADVERSE CHANGES IN THE ISSUER’S FINANCIAL SITUATION. _____ 17
9 INFORMATION ON THIRD PARTIES, DECLARATIONS OF EXPERTS AND OF INTEREST._________________________________________________________________ 17
9.1 DECLARATION OR REPORTS BY EXPERTS._______________________________ 17
9.2 INFORMATION FROM THIRD PARTIES. ___________________________________ 17
10 REFERENCE DOCUMENTS. ____________________________________________ 17
SECURITIES NOTE (ANNEX XII OF THE CE 809/2004 REGULATIONS) _______________ 19 1 INDIVIDUALS RESPONSIBLE. _____________________________________________ 19
1.1 INDIVIDUALS LIABLE FOR THE INFORMATION GIVEN IN THE SECURITIES NOTE. _ ____________________________________________________________________ 19
1.2 DECLARATION BY THOSE RESPONSIBLE FOR THE SECURITIES NOTE. _______ 19
2 RISK FACTORS. ________________________________________________________ 19
3 KEY INFORMATION. _____________________________________________________ 19
3.1 INTEREST OF THE INDIVIDUALS AND LEGAL ENTITIES TAKING PART IN THE OFFER. ___________________________________________________________________ 19
3.2 DESCRIPTION OF ANY INTEREST, INCLUDING CONFLICTS, THAT MAY BE IMPORTANT TO THE ISSUE AND DETAILS OF THE INDIVIDUALS INVOLVED AND NATURE OF SUCH INTEREST. ________________________________________________________ 20
4 INFORMATION CONCERNING THE SECURITIES TO BE ADMITTED TO TRADING.__ 20
4.1 TOTAL VALUE OF THE SECURITIES. _____________________________________ 20
4.2 DESCRIPTION OF THE TYPE AND CLASS OF SECURITIES. __________________ 20
4.3 LEGISLATION GOVERNING THE ISSUE. __________________________________ 20
4.4 OWNERSHIP AND DESCRIPTION OF THE SECURITIES REGISTRATION. _______ 20
4.5 CURRENCY OF THE ISSUE. ____________________________________________ 21
4.6 RANKING AND SUBORDINATION OF THE SECURITIES. _____________________ 21
4.7 DESCRIPTION OF THE RIGHTS LINKED TO THE SECURITIES.________________ 21
4.8 INTEREST RATE FOR THE BONDS AND INTEREST PAYMENT ARRANGEMENTS. 22
4.9 MATURITY AND AMORTISATION DATE OF THE SECURITIES. ________________ 25
4.10 INDICATION OF THE RETURN. __________________________________________ 27
4.11 REPRESENTATION OF THE HOLDERS OF THE SECURITIES. ________________ 33
4.12 RESOLUTIONS, AUTHORISATIONS AND APPROVALS FOR THE ISSUE OF SECURITIES._______________________________________________________________ 33
4.13 DATE OF ISSUE OF THE SECURITIES. ___________________________________ 33
4.14 RESTRICTIONS TO THE FREE TRANSMISSION OF SECURITIES. _____________ 34
5 AGREEMENTS FOR THE ADMISSION TO LISTING. ___________________________ 34
5.1 MARKET IN WHICH THE SECURITIES WILL BE TRADED. ____________________ 34
5.2 FINANCIAL AGENT. ___________________________________________________ 35
6 EXPENSES OF THE OFFER. ______________________________________________ 35
7 ADDITIONAL INFORMATION.______________________________________________ 35
7.1 DECLARATION REGARDING THE CAPACITY OF THE ADVISERS MENTIONED IN THE SECURITIES NOTE. _____________________________________________________ 35
7.2 OTHER INFORMATION IN THE SECURITIES NOTE AUDITED OR REVISED BY AUDITORS. ________________________________________________________________ 35
7.3 DECLARATION OR REPORT ATTRIBUTED TO AN INDIVIDUAL ACTING AS AN EXPERT. __________________________________________________________________ 36
7.4 INFORMATION ORIGINATING FROM THIRD PARTIES._______________________ 36
7.5 RATING OF THE BONDS. _______________________________________________ 36
ADDITIONAL BUILDING BLOCK TO THE SECURITIES NOTE (ANNEX VII OF THE CE 809/2004 REGULATIONS, APRIL 29, 2004) ______________________________________ 38 1 SECURITIES.___________________________________________________________ 38
1.1 MINIMUM DENOMINATION OF THE ISSUE. ________________________________ 38
1.2 CONFIRMATION THAT THE INFORMATION RELATING TO A COMPANY OR DEBTOR TAKING PART IN THE ISSUE HAS BEEN EXACTLY REPRODUCED.__________ 38
2 UNDERLYING ASSETS. __________________________________________________ 38
2.1 CONFIRMATION OF THE CAPACITY OF THE SECURITISED ASSETS TO PRODUCE THE CASH-FLOW TO FUND THE SECURITIES.___________________________________ 38
2.2 ASSETS BACKING THE ISSUE. __________________________________________ 39
2.3 ASSETS ACTIVELY MANAGED WHICH ARE BACKING THE ISSUE. ____________ 59
2.4 DECLARATION IN THE EVENT THAT THE ISSUER INTENDS TO ISSUE NEW SECURITIES BACKED BY THE SAME ASSETS AND DESCRIPTION OF THE METHOD USED TO NOTIFY THE HOLDERS OF THIS CLASS._____________________________________ 60
3 STRUCTURE AND TREASURY. ____________________________________________ 60
3.1 DESCRIPTION OF THE STRUCTURE OF THE TRANSACTION. ________________ 60
3.2 DESCRIPTION OF THE ENTITIES PARTICIPATING IN THE ISSUE AND DESCRIPTION OF THE FUNCTIONS TO BE PERFORMED BY THEM._________________ 61
3.3 SALE OF THE MORTGAGE LOANS. ______________________________________ 61
3.4 EXPLANATION OF THE FUND FLOWS. ___________________________________ 64
3.5 NAME, ADDRESS AND SIGNIFICANT BUSINESS ACTIVITIES OF THE ORIGINATORS OF THE SECURITISED ASSETS.__________________________________ 80
3.6 RETURN AND/OR REPAYMENT OF THE SECURITIES RELATED TO OTHER ASSETS THAT ARE NOT ASSETS OF THE ISSUER. _______________________________ 82
3.7 ADMINISTRATOR, CALCULATION AGENT OR EQUIVALENT. _________________ 82
3.8 NAME, ADDRESS AND BRIEF DESCRIPTION OF ANY COUNTERPARTY IN SWAP, CREDIT, LIQUIDITY OR ACCOUNT OPERATIONS. ________________________________ 92
4 REPORTING. ___________________________________________________________ 93
4.1 NOTIFICATION OF THE AMOUNTS DUE FROM PRINCIPAL AND INTEREST TO BE PAID TO THE BONDHOLDERS.________________________________________________ 93
4.2 PERIODICAL INFORMATION.____________________________________________ 93
4.3 OBLIGATIONS TO NOTIFY RELEVANT FACTS. _____________________________ 94
4.4 NOTIFICATION TO THE COMISIÓN NACIONAL DEL MERCADO DE VALORES. ___ 94
4.5 NOTIFICATION TO THE RATING AGENCY. ________________________________ 94
DEFINITIONS_______________________________________________________________ 96
This document constitutes the Prospectus of IM BANCO POPULAR MBS 2, FTA, (hereon, the “Fondo”) approved and registered at the CNMV in accordance with the European Commission’s Regulation number 809/2004 and it includes:
1. A description of the main risk factors linked to the issue, the securities and the assets backing such issue (hereon, the “Risk Factors”).
2. A Registration Document for the securities set out in accordance with the model included in Annex 7 of the Regulations 809/2004 (hereon, the “Registration Document”).
3. Note regarding the securities, set out in accordance with the model established in Annex 13 of the Regulations 809/2004 (hereon, the “Securities Note”).
4. Additional Building Block to the Securities Note set out in accordance with Annex 8 of the Regulations 809/2004 (hereon, “Additional Building Block”).
5. Definitions.
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RISK FACTORS
1 RISKS GENERATED BY THE LEGAL NATURE AND THE ACTIVITY OF THE ISSUER.
1.1 Nature of the Fondo and liabilities of the Sociedad Gestora (Management Company).
The Fondo constitutes a separate estate lacking legal personality that, in accordance with Real Decreto 926/1998 is managed by a management company or Sociedad Gestora. The Fondo will only be responsible for its obligations to its creditors with its own estate.
For the Fondo, the Sociedad Gestora will carry out the duties established in Real Decreto 926/1998 and also, as third party manager, the protection of the interests of the Bondholders in the absence of a Bondholders syndicate. Therefore, the ability to protect the rights of the Bondholders depends on the capabilities Sociedad Gestora.
1.2 Forced substitution of the Sociedad Gestora.
In accordance with Art.19 of Real Decreto 926/1998 when the Sociedad Gestora enters bankruptcy proceedings it will search for its replacement. In the event that four months have elapsed since the event that determined the substitution and no new Sociedad Gestora is willing to undertake the management of the Fondo, the Fondo will be liquidated in advance and the securities it has issued will be amortised in accordance with the Deed of Incorporation and this Prospectus.
1.3 Limitation of actions against the Sociedad Gestora.
The Bondholders and other ordinary creditors of the Fondo will not enjoy the right to claim against the Sociedad Gestora of the Fondo, other than as a result of its breach of duties or its obligations established in the Deed of Incorporation, this Prospectus and current legislation.
1.4 Application of the Bankruptcy Act.
In the event of the bankruptcy of the Seller, the sale of the Mortgage Loans (through the issue of Mortgage Transfer Certificates) to the Fondo may be reimbursed in accordance with Ley 22/2003 or Bankruptcy Act and special regulations that are applicable to Securitisation Funds.
The sale of Mortgage Loans to the Fondo may only be cancelled or contested in accordance with Art.71 of the Bankruptcy Act by the bankruptcy administrator once the existence of fraud has been established, in virtue of Disposición Adicional Quinta of Ley 3/1994 and articles of Ley 2/1981.
In the event of the bankruptcy of the Seller of the Mortgage Loans, the goods that belong to the Fondo, with the exception of cash, due to its fungible nature, and that exist in the estate of the bankrupt Seller will belong to the Fondo and should be handed over to it, in the terms of Art.80 and 81 of the Bankruptcy Act.
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2 RISKS GENERATED BY THE SECURITIES
2.1 Price.
BANCO POPULAR ESPAÑOL, S.A. (hereon, Banco Popular) will subscribe the Bond issue in its entirety in order to generate liquid assets to be used as guarantee assets for credit operations carried out in the Euro system or to be sold in the market. As a consequence, the conditions of the Bond issue do not constitute an estimate of the price at which these products can be sold in secondary markets nor the valuations that, eventually, can be made in the Euro system in order to use them as instruments to guarantee its loan transactions to the banking system.
As the Seller will entirely subscribe the Bonds of all Series and, as a consequence, its price will not be subject to the market, it cannot be said that the financial conditions of the Bonds correspond to those current in secondary markets on the Date of Incorporation. This note on the value of the bonds is made in order to inform third parties, specifically investors taking bonds as guarantees, like the European Central Bank for credit operations in the Euro system.
2.2 Liquidity.
As the Seller will subscribe all the Series of the Bond issue, if they are sold at a later date there is no guarantee that they will be traded in the market with a minimum frequency or volume.
Under no circumstance will the Fondo repurchase the Bonds from their holders, although they may be fully amortised in advance in the event of the Early Liquidation of the Fondo, under the assumptions and terms established in section 4.4.3 of the Registration Document. There is no undertaking of any institution to take part in the secondary contracting providing liquidity to the Bonds by offering counterparties.
2.3 Yield.
The calculation of the internal rate of return, average life and the term of the Bonds included in section 4.10 of the Securities Note is subject to different assumptions for prepayment rates and specific evolution of the interest rates that might not occur. The prepayment rate of the Mortgage Loans might be affected by a variety of geographical, economic and social factors, like seasonality, market interest rates, and, in general, the level of economic activity.
2.4 Penalty Interest.
Delays in the payment of interest or principal to the Bondholders will not accrue penalty interest in their favour.
3 RISKS GENERATED BY THE ASSETS BACKING THE ISSUE.
3.1 Risk of default of the Mortgage Loans.
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The holders of the Bonds issued by the Fondo will bear the risk of default of the Mortgage Loans grouped therein. Nevertheless, credit enhancement mechanisms have been arranged and are explained in section 3.4.2 of the Additional Building Block.
Banco Popular, as Seller, does not assume any responsibility for the payment delay of the Debtors, either for principal or interest or any other amount owed in virtue of the Mortgage Loans. Banco Popular, in accordance with Art.348 of the Código de Comercio (Commercial Code), is liable to the Fondo exclusively for the existence and legitimacy of the Mortgage Loans, and of the personality under which it carries out the sale.
Neither will Banco Popular assume, in any other form, responsibility for guaranteeing directly or indirectly the success of the transaction, nor will it provide guarantees or securities or enter into repurchase agreements of the Mortgage Loans, except those assumed in section 2.2.9, 3.3.4, 3.4.2.2, 3.4.7.2 and 3.7.2 of the Additional Building Block related to the replacement of the Mortgage Transfer Certificates that do not comply with the declarations included in section 2.2.8 of the Additional Building Block.
The Bonds issued by the Fondo do not represent or constitute an obligation, on behalf of Banco Popular or the Sociedad Gestora. There are no guarantees granted by any public or private entity, included Banco Popular and the Sociedad Gestora or any other company affiliated to any of them.
These are arrears data (arrears and mortgage arrears rates and collateral) for the Seller included in section 3.5 of the Additional Building Block. These levels of arrears must be taken into consideration when assessing the transaction:
DEC.09 DEC.08
Arrears rate 4.81% 2.8% Mortgage Arrears rate 3.47% 1.83% Collateral rate 50.27% 73.03%
Mortgage arrears data from December 2009 are used as reference for the assumptions included in section 4.10 of the Securities Note. These assumptions are subject to constant change therefore the figures included in the tables of section 4.10 of the Securities Note might not take place. When applying such rates of arrears to the calculations mentioned, Bond amortisation is sequential throughout the life of the Fondo, in accordance with the rules established in section 4.9.4 of the Securities Note.
3.2 Risk of early amortisation of the Mortgage Loans.
The Mortgage Loans may be prepaid when the Debtors reimburse the portion of outstanding principal of such Mortgage Loans.
The risk of prepayment will be transferred to the Bondholders in accordance with the rules of amortisation of each Series in accordance with section 4.9 of the Securities Note.
3.3 Geographical concentration.
As detailed in section 2.2.2 of the Additional Building Block, Andalusia, Madrid and Galicia concentrate 57.92% of the properties backing the Mortgage Loans, in relation to the Outstanding Principal Balance Not Due. Due to this level of concentration, any circumstance
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that has a substancial negative effect on such regions could affect the Mortgage Loans that back the Bond issue.
3.4 Year of issue concentration.
As detailed in section 2.2.2 of the Additional Building Block, in relation with the year of issue of the Mortgage Loans selected to be sold to the Fondo, the percentage of principal pending collection of the selected loans granted between the years 2007 and 2009 is 60.61%. Due to this level of concentration, any circumstance that has a substancial negative effect on such regions could affect the Mortgage Loans that back the Bond issue.
3.5 Limited Hedging.
In the event that the defaults of the Mortgage Loans reach an elevated level they might reduce, or even eliminate, the protection against loss in the Mortgage Loans portfolio enjoyed by the Bonds of each Series provided by the credit enhancement instruments described in section 3.4.2 of the Additional Building Block.
The degree of subordination in the payment of interest and reimbursement of principal of the Bonds of the different Series generated by the Priority Order of Payment constitutes a protection mechanism different for each Series.
3.6 Limited Responsibility.
Bonds issued by the Fondo do not represent an obligation of the Sociedad Gestora or the Seller. The flow of resources used to attend the obligations generated by the Bonds is ensured or guaranteed only in the specific circumstances and with the limitations set out in this Prospectus, the Deed of Incorporation and the remaining agreements related to the incorporation of the Fondo. With the exception of these guarantees there are no others granted by public or private institutions, including the Seller, the Sociedad Gestora and any other entity affiliated or participated by any of the above. The Mortgage Loans are the main source of income of the Fondo and, therefore, of payments to the holders of its liabilities.
3.7 Outstanding term of the loans.
As detailed in section 2.2.2 of the Additional Building Block, in relation with the outstanding term of the Mortgage Loans selected to be sold to the Fondo, the percentage of outstanding principal to be collected from the selected loans with a term beyond 360 months (30 years) is 44.99%.
3.8 Outstanding Loan to Value Ratio.
As detailed in section 2.2.2 of the Additional Building Block, in relation with the outstanding term of the Mortgage Loans selected to be sold to the Fondo, the weighed average LTV ratio of the Eligible Portfolio is 86.45%. 3.12% of the outstanding principal of the Eligible Portfolio has a LTV ratio above 100%.
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REGISTRATION DOCUMENT FOR SECURITIES (ANNEX VII OF THE CE 809/2004 REGULATIONS)
1 INDIVIDUALS RESPONSIBLE.
1.1 Individuals responsible for the information given in the Registration Document.
José Antonio Trujillo del Valle, in the name and on behalf of INTERMONEY TITULIZACIÓN, SGFT, S.A. (hereon, the “Sociedad Gestora”), with its registered address at Torre Picasso, 22nd Floor, Madrid and Tax Identification Code A-83774885, entity promoting IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS (hereon, the “Fondo”), acting as Chairman of the Sociedad Gestora, in virtue of the deed of 1 February 2008, granted in the presence of the Madrid notary Antonio Huerta Trólez (protocol number 198), and specifically for the incorporation of the Fondo in virtue of the Board of Directors’ agreement on 23 November 2009, assumes responsibility for the contents of this Registration Document.
1.2 Declaration by those responsible for the contents of the Registration Document.
José Antonio Trujillo del Valle, Sociedad Gestora representative, declares that, following due diligence to guarantee the information included in this Registration Document, to his knowledge, it is in accordance to fact and does not incur in any omission that may affect its content.
2 ACCOUNTING AUDITORS.
2.1 Auditors of the Fondo.
In accordance with section 4.4.2 of this Registration Document, there is no historical financial information on the Fondo.
The Board of Directors of the Sociedad Gestora, in its meeting of 23 November 2009, has designated PriceWaterhouseCoopers Auditores S.L. (Official Register for Account Auditors or R.O.A.C. number S0242, located at Paseo de la Castellana 43, Madrid and Tax Identification Code B-79031290) as auditors of the Fondo for three years. The Board of Directors of the Sociedad Gestora will inform the Comisión Nacional del Mercado de Valores (hereon, the “CNMV”) of any change which may occur in respect of the designation of the auditors.
The annual accounts of the Fondo and the audit report will be deposited at the CNMV and the Registro Mercantil (Companies House) each year.
2.2 Accounting criteria used by the Fondo.
The income and expenses will be recognised by the Fondo following the accrual principle, that is, in the time in which such income and expenses occur, irrespective of the date in which they are collected and paid. The accounting periods of the Fondo will coincide with the natural calendar. Nevertheless and by exception, the first accounting period will begin on the Date of the Incorporation of the Fondo, and the last will end on the date of the extinction of the Fondo.
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3 RISK FACTORS.
Risk factors generated by the Issuer’s legal nature and its activity are described in section 1 of this Prospectus, “Risk Factors”.
4 INFORMATION ABOUT THE ISSUER.
4.1 Declaration of the establishment of the Issuer as Fondo de Titulización.
IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS is the issuer of the securities mentioned in the Securities Note, and will be incorporated in accordance with current Spanish legislation that regulates such Fondos de Titulización de Activos, in order to issue the securities referred to in the Securities Note and to purchase the Mortgage Loans.
4.2 Name of the issuer.
The name of the Fondo is IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS. IM BANCO POPULAR MBS 2 and IM BANCO POPULAR MBS 2, FTA will also be used as names.
4.3 Place of registration of the Issuer and its registration number.
The incorporation of the Fondo and the issue of the Bonds must be previously registered in the Official Registers of the CNMV, in accordance with Art.26 and following of Ley 24/1988 (Securities Market Act). This Prospectus has been inscribed in such registers on 9 March 2010.
The incorporation of the Fondo will require the issuing of the corresponding Deed of Incorporation. The Sociedad Gestora declares that the contents of such Deed of Incorporation will coincide with the Deed of Incorporation Draft presented at the CNMV and that, under no circumstances, will the terms of the Deed of Incorporation contradict, modify, alter or invalidate the contents of this Prospectus.
The Deed of Incorporation will not be altered except under exceptional circumstances covered by Ley 5/2009. In any event such actions will require the prior notification to the CNMV or relevant administrative body, or its prior authorisation, and also to the Rating Agency and the guarantee that such actions do not negatively affect the rating assigned by such Agencies to the Bonds. The Deed of Incorporation may also be amended by request from the CNMV. Neither the incorporation of the Fondo or the Bonds issued from its assets will be inscribed in the Registro Mercantil (Companies House), as a result of the faculty power included in Art.5.4 of Real Decreto 926/1998.
4.4 Date of Incorporation and period of activity of the Issuer.
4.4.1 Date of Incorporation of the Fondo.
Once this Prospectus has been registered by the CNMV and prior to the opening of the Subscription Period of the Bonds, the Sociedad Gestora, together with the Seller, will grant the Deed of Incorporation of the Fondo. This will take place on the Date of the Incorporation of the Fondo, 10 March 2010. The Deed, in accordance with Ley 19/1992
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will follow Art.6 of Ley 24/1988 and will be, therefore, the deed of the issue of the Bonds and the deed stating the representation of the Bonds as book entries.
4.4.2 Period of Activity of the Fondo.
The activity of the Fondo will begin on the day of the granting of the Deed of Incorporation.
The duration of the Fondo will extend until date of the extinction, in accordance with section 4.4.4 of the Registration Document.
4.4.3 Early Liquidation of the Fondo.
The Sociedad Gestora, prior notification to the CNMV, may proceed to liquidate the Fondo in advance (hereon, the “Early Liquidation of the Fondo”) to amortise the Bonds in advance (hereon, the “Early Amortisation”) and to extinguish the Fondo on a Payment Date (hereon, the “Date of the Early Liquidation”) in any of the following situations (hereon, the “Early Liquidation Events”):
(i) When the Outstanding Principal Balance of the Non-Defaulted Mortgage Loans is lower than 10% of the Initial Balance of the Mortgage Loans on the Date of Incorporation, and whenever the proceeds from the sale of the Mortgage Transfer Certificates, pending amortisation, together with the Available Resources, permit the payment of the Outstanding Principal Balance of the Bonds on that date, plus interest accrued and not paid from the Bonds on that date, minus, if applicable, withholding, and the amounts that are legally due on that date.
(ii) When, as a result of any event or circumstance related or not to the operation of the Fondo, a substantial alteration occurs or the financial balance of the Fondo is permanently altered in accordance with Art.11 of Real Decreto 926/1998. This includes the existence of a change in the Law or complementary Acts, the establishment of withholding obligations or other situations that may affect the financial balance of the Fondo. In this event, the Sociedad Gestora, following notification to the CNMV will proceed to the liquidation of the Fondo in accordance with the rules established in the Deed of Incorporation and this Registration Document.
(iii) By obligation, in the event that the Sociedad Gestora is declared bankrupt, and following the lapse of the legally established term, or by defect four months, no replacement management company has accepted the designation in accordance with section 3.7.1 of the Additional Building Block.
(iv) In the event of a default indicative of a serious and permanent unbalance of any of the Bonds issued takes place or is expected to happen.
(v) When the Sociedad Gestora has the deliberate authorisation from all the Bondholders of all Series and all those holding valid contracts with the Fondo, either for payment of amounts generated by the Early Liquidation or in relation to the procedure to be carried out.
(vi) 6 months before the Final Date, even if there are outstanding payments to be collected from the Mortgage Loans. The Final Date will be 22 September 2052. This is the Payment Date that immediately follows the third anniversary of the last maturity of the Credit Rights in the Eligible Portfolio.
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Requirements to proceed to the Early Liquidation of the Fondo:
(i) To obtain, if applicable, all the necessary authorisations by the relevant authorities or administrative bodies.
(ii) That the Bondholders are notified, following the procedure established in this section and with a 15-Business Day notice, of the agreement of the Sociedad Gestora to proceed to the Early Liquidation of the Fondo. This notification, previously sent to the CNMV, -publishing the appropriate relevant fact in accordance with Art.82 of the Securities Market Act-, and to the Rating Agency, will also be published in the Boletín de Cotización Diario (Daily Exchange Rate Bulletin) of the Mercado AIAF or through any other means of diffusion generally accepted by the market and that ensures the appropriate dissemination of the information, in time and contents. This notification will contain the description of (i) the event (s) forcing the Early Liquidation of the Fondo, (ii) the procedure followed, and (iii) the method elected to attend and cancel the payment obligations generated by the Bonds in accordance with the Priority of Payments established in section 3.4.6.5 of the Additional Building Block.
In order for the Fondo, through its Sociedad Gestora, to carry out the Early Liquidation of the Fondo and the Early Amortisation of the Bond Issue, the Sociedad Gestora, in the name and on behalf of the Fondo, will:
(i) Sell the Mortgage Transfer Certificates for an amount that will not be less than the principal plus interest accrued and not collected from the Mortgage Transfer Certificates that remain to be amortised.
(ii) Cancel all Agreements that are not necessary for the liquidation procedure.
In the event that, the above measures are insufficient and Mortgage Transfer Certificates or other assets remain in the Fondo, the Sociedad Gestora will proceed to sell them. To do so it shall request offers from, at least, five institutions among those most active in the market of these assets that, in its opinion, can offer market value in the most favourable of terms. The Sociedad Gestora must accept the best offer that, in its opinion, covers the market value of the assets. In order to establish market value, the Sociedad Gestora may request the valuation reports it considers necessary.
The Sociedad Gestora, once a Reserve for Extinction Expenses is made, will apply all amounts received from the sale of the Mortgage Transfer Certificates of the Fondo and other remaining amounts to pay the different entries, according with the Priority of Payments in accordance with section 3.4.6 of the Additional Building Block.
4.4.4 Termination of the Fondo.
The Fondo will be terminated as a result of the following circumstances:
(i) On the date in which all the Mortgage Loans are fully amortised.
(ii) On the date in which the Early Liquidation procedure described in section 4.4.3 above is concluded.
(iii) In any event, on the Final Date, as defined in the above section 4.4.3 of the Registration Document, even if there are matured amounts that remain to be collected from the Mortgage Loans.
(iv) On the date when all the payment obligations of the Fondo are met.
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(v) In the absence of confirmation as final, prior to the opening of the Subscription Period of the Bonds, of the provisional rating assigned to the Bonds by the Rating Agency, (or if prior to the Date of Subscription an unforeseen or unforeseeable event takes place, in accordance with Art.1105 of the Código Civil (Civil Code)). In this situation, the Sociedad Gestora will cancel the incorporation of the Fondo, the subscription of the Mortgage Transfer Certificates, the issue of the Bonds and the remaining Agreements of the Fondo. The CNMV will be notified. In the maximum term of 1 month from the cancellation event the Sociedad Gestora will issue a Notary Deed declaring the liquidation of the obligations of the Fondo and its extinction.
In any event, the Sociedad Gestora, acting on behalf and in representation of the Fondo, will not extinguish the Fondo and cancel its inscription in the appropriate administrative registers until all the remaining assets of the Fondo have been liquidated and the Available Resources are distributed in accordance with the Priority of Payments, except the reserve set aside to pay for the fiscal, administrative and publicity final extinction expenses.
In the event of the liquidation of the Fondo as a result of section (i) through (iv) above and following a term of 6 months since the liquidation of the remaining assets of the Fondo and the distribution of the Available Resources, the Sociedad Gestora will issue a notary deed declaring (i) the extinction of the Fondo and the causes forcing its extinction, (ii) the procedure followed to notify the Bondholders and the CNMV, and (iii) the distribution of amounts available, following the Priority of Payments, and will comply with the remaining necessary administrative procedures. The Sociedad Gestora will forward this deed to the CNMV.
In the event of the liquidation of the Fondo as a result of section (v) above, and therefore, all the Agreements of the Fondo have been cancelled, the Seller will pay all the initial expenses generated by the incorporation of the Fondo.
4.4.5 Rights of the Seller upon the liquidation of the Fondo.
The Seller will have a preferential right to acquire the Mortgage Transfer Certificates or other goods generated by them and which remain in the assets of the Fondo. To this end, the Sociedad Gestora will submit to the Seller a list of assets and the bids received from third parties so that the Seller may exercise such right in relation to all the assets offered by the Sociedad Gestora in the 10 Business Days following the receipt of such list and always provided the bid equals, at least, the highest bid made by third parties.
This preferential right does not imply, under any circumstance, the Seller’s pact or declaration to repurchase the Mortgage Transfer Certificates.
4.5 Address, legal title and legislation applicable to the Issuer.
The Sociedad Gestora will be in charge of the legal representation and administration of the Fondo as it has no legal personality in its own right. The Fondo will have its registered address at the address of the Sociedad Gestora, Plaza Pablo Ruiz Picasso s/n, Torre Picasso, 22nd Floor, Madrid 28020 (Spain). The Sociedad Gestora’s contact telephone number is +34 91 432 64 88. Further contact details of the Sociedad Gestora and the Fondo can be found at www.imtitulizacion.com.
The incorporation of the Fondo and the issue of the Bonds is regulated by the Deed of Incorporation and Spanish legislation and specifically in accordance with (i) Real Decreto
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926/1998 and any further developments, (ii) Ley 19/1992 for aspects not covered by Real Decreto 926/1998 and when applicable, (iii) Ley 3/1994, (iv) the Securities Market Act, for supervision, inspection and sanctions, and when applicable, (v) Real Decreto 1310/2005, (vi) Orden EHA/3537/2005, and (vii) any other current laws and regulations that may be applicable at any given time.
In relation to the issue, subscription, ownership and sale of the Mortgage Transfer Certificates, Ley 2/1981 and Real Decreto 719/2009, Mortgage Market Regulations, will be applied.
The Prospectus follows the templates of CE Regulations 809/2004 covering the application of CE Directive 2003/71/CE.
Equally, any dispute related to the Fondo and that may arise during its operation or liquidation, either between the Bondholders or between them and the Sociedad Gestora, will be subject to the Courts and Tribunals of Madrid, the parties having waived any other court that might correspond to them.
4.5.1 Taxation regime of the Fondo.
In accordance with Art.1.2 of Real Decreto 926/1998, Art.5.10 of Ley 19/1992; Art.7.1.h of the New Text of the Corporate Tax, approved by Real Decreto Legislativo 4/2004; Art.20.1.18 of Ley 37/1992 (VAT Tax); Art.59.k of the Corporate Tax Regulations, approved by Real Decreto 1777/2004; Art.45.I.B).15 of the New Text of the Stamp Tax, approved by Real Decreto Legislativo 1/1993, and Disposición Adicional Quinta of Ley 3/1994, and Ley 35/2006 or Personal Income Tax and partial modification of Corporate Tax act, Non Resident Income and Assets; the following are the characteristicw of the taxation regime of the Fondo:
(i) The incorporation of the Fondo, and all the transactions it carries out, is exempt from the Stamp Tax heading “corporate operations”.
(ii) The issue, subscription, sale and amortisation of the Bonds is exempt from Stamp Tax.
(iii) El Fondo is subject to Corporate Tax by applying the general rate currently fixed at 30%, plus the general rules regarding quota deductions, loss compensation and other main elements of such tax.
(iv) The yield from the assets or other credit rights that constitute income of the Fondo will not be subject to any obligation to withhold or to pay Corporate Tax.
(v) The management and custody of the Fondo carried out by the Sociedad Gestora is exempt from VAT.
(vi) The issue of Mortgage Transfer Certificates and their subscription by the Fondo is a transaction exempt from VAT.
4.6 Issuer’s Authorised and issued capital.
Not applicable.
5 DESCRIPTION OF THE FONDO DE TITULIZACIÓN.
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5.1 Main activity.
The sole purpose of the Fondo shall be the transformation of the grouped assets into homogeneous and standardised fixed income securities and capable, therefore, of being traded in organised securities markets.
The activity of the Fondo consists of the acquisition of a group of Mortgage Transfer Certificates backed by the Seller’s Mortgage Loans granted to individuals described in section 2.2.2 of the Additional Building Block, and the issue of securitised Bonds destined to finance the purchase of such Mortgage Transfer Certificates.
Income from interest and reimbursement of principal received from the Mortgage Loans acquired by the Fondo will be applied on each Payment Date to make payments due by the Fondo, in accordance with the Priority of Payments established in section 3.4.6 of the Additional Building Block.
Furthermore, the Fondo will arrange, through the Sociedad Gestora, financial operations and agreement services to consolidate the financial structure of the Fondo, to increase its security and the regularity of the Bond payments, to cover temporary shortfalls between the principal and interest flows from the Mortgage Loans and the Bonds and, in general, to facilitate the financial transformation taking place by virtue of the structure of the Fondo between the financial characteristics of the Mortgage Loans and those of the Series of Bonds, described in the Additional Building Block.
5.2 General description of the participants in the securitisation.
- The Sociedad Gestora of the Fondo shall be INTERMONEY TITULIZACION S.G.F.T., S.A. and will incorporate, service and legally represent it. InterMoney Titulización has also carried out the financial design of the Fondo and the Bond issue.
Intermoney Titulización, S.G.F.T., S.A. is a management company of securitisation funds incorporated in Spain and registered at the Madrid Companies House, Volume 19, 277, book 0, sheet 127, section 8, page M-337707, inscription 1, on 21 October 2003, and also at the Registro Especial de Sociedades Gestoras de Fondos de Titulización of the Comisión Nacional del Mercado de Valores as number 10.
Registered address: Plaza Pablo Ruiz Picasso s/n, Torre Picasso, floor 22, 28020 Madrid
Tax Code (CIF): A-83774885
- Banco Popular Español, S.A. (Banco Popular), acts as Seller of the Mortgage Loans, Financial Agent, and counterparty to the Fondo in the Swap Agreement, the Subordinated Loan Agreement for the Initial Expenses, and the Subordinated Loan Agreement for the Reserve Fund. Banco Popular will also act as Lead Manager and Subscriber of the Bonds, assuming the roles included in Art.35.1 of Real Decreto 1310/2005.
Banco Popular is a financial entity incorporated in Spain and registered in the Madrid Companies House in volume 137 of the Corporate Book, sheet M2715, inscription 1279, and it is registered in the Bank of Spain with number 0075.
Registered address: Calle Velázquez 34 esquina Goya 35, Madrid (Spain).
C.I.F.: A-28000727.
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The Rating Agencies have assigned the following unsubordinated and unsecured short and long-term ratings to Banco Popular:
These ratings have been confirmed by S&P (March 2009), Fitch (April 2009) and Moody’s (June 2009).
- Moody’s Investor Service España, S.A. (hereon, Moody’s) acts as Rating Agency for the Bonds.
Registered address: Calle Bárbara de Braganza 2, 28004 Madrid (Spain).
Tax Code (CIF): A-80448475.
- CLIFFORD CHANCE, S.L. has provided the legal advice for the transaction.
Registered address: Paseo de la Castellana 110, 28046 Madrid (Spain).
Tax Code (CIF): B-80603319.
- PriceWaterhouseCoopers Auditores S.L. is the auditor of the Fondo. It is registered in the R.O.A.C. with number S0242.
Registered address: Paseo de la Castellana 43, Madrid (Spain).
Tax Code (CIF): B-79031290
The Sociedad Gestora belongs to the group of companies Corretaje e Información Monetaria y de Divisas, S.A. that holds 70% of its shares. Banco Popular holds 5% of the shares of Corretaje e Información Monetario y de Divisas, S.A., main shareholder of the remaining companies of Grupo CIMD.
José Antonio Trujillo del Valle, in the name and in representation of InterMoney Titulización, SGFT, S.A., declares he is unaware of the existence of any other link or financial interest between the participants in the Fondo other than those mentioned above and other than the commercial relationship between Corretaje e Información Monetaria y de Divisas, S.A., its subsidiaries and the Seller.
6 ADMINISTRATIVE, MANAGEMENT AND SUPERVISORY BODIES.
In accordance with Real Decreto 926/1998, Fondos de Titulización de Activos have no legal personality in their own right and therefore the Sociedades Gestoras carry out their incorporation, servicing and legal representation, together with the representation and defence of the holders of the Bonds issued from the funds they represent.
RATINGS
MOODY´S S&P FITCH Long Term Aa3 A+ AA-
Short term P-1 A-1 F1+
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6.1 Incorporation and inscription in the Companies House.
InterMoney Titulización, S.G.F.T., S.A. was incorporated through a public deed executed on 16 October 2003, in the presence of the Madrid Notary Public Antonio Huerta Trólez, protocol number 2572, and with prior authorisation from the Ministerio de Economía y Hacienda on 6 October 2003. It is registered in the Registro Mercantil de Madrid (Companies House) in Volume 19277, Book 0, Sheet 127, Section 8, Page M-337707, inscription 1, on 21 October 2003, and in the Registro Especial de Sociedades Gestoras de Fondos de Titulización (Special Register for Management Companies for Fondos de Titulización) at the CNMV with number 10.
The Sociedad Gestora has perpetual existence, with the exception of the occurrence of any of the causes for dissolution established by legal and statutory regulations.
6.2 Account auditing.
The annual accounts of InterMoney Titulización for the years ending on 31 December 2006, 2007 and 2008 have been audited by Price Waterhouse Coopers S.L., with its registered address in Madrid and registered in the ROAC (Official Register for Account Auditors) with number S0242.
The audit reports for the annual accounts for the years 2006, 2007 and 2008 do not present exceptions.
6.3 Corporate purpose.
In accordance with legal requirements, Art.2 of its Statutes states that: “the Company has the sole purpose of incorporating, servicing and legally representing both Fondos de Titulización de Activos and Fondos de Titulización Hipotecaria”. Furthermore, and in accordance with current applicable legislation, it will be responsible, as manager of third party business, for the representation and defence of the interests of the holders of the securities issued by the Fondos it manages and of all the other ordinary creditors of the Fondo.
Main activity: InterMoney Titulización, on 4 March 2010, manages the following securitisation funds:
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6.4 Share capital.
The share capital of the Sociedad Gestora on the date of registration of this Prospectus is 1,000,000 Euros, entirely disbursed, represented by 100,000 nominative shares with a value of 10 Euros each.
All shares belong to the same class and series and enjoy equal rights.
The Sociedad Gestora’s own resources are the following:
EQUITY 31/12/2007 31/12/2008 31/12/2009*
Share Capital 1,000 1,000 1,000
Legal Reserve 200 200 200
Voluntary Reserve 193.6 692.7
Reserves adapted to NPGC (New Gen. Accounting Plan, in the Spanish original)
-44.5 -33.2
Net results 1,279.6 1,649.1 1,586.7
Data in thousands of Euros. * Data pending audit.
6.5 Shareholdings in other companies.
There are no shareholdings of the Sociedad Gestora in any other companies.
6.6 Administrative, management and supervision bodies.
The government and management of the Sociedad Gestora have been entrusted statutorily to the General Shareholder's Meeting and the Board of Directors. Their duties and powers are those that correspond to these bodies in accordance to the Ley de Sociedades Anónimas (Public Limited Companies Act) and Real Decreto 926/1998, in respect of its registered purpose.
Board of Directors The Board of Directors is made up of the following:
José Antonio Trujillo del Valle (Chairman)
Carmen Barrenechea Fernández
Rafael Bunzl Csonka
Beatriz Senís Gilmartín
Iñigo Trincado Boville
Secretary of the Board: Beatriz Senís Gilmartín
The registered address of all the members of the Board is Plaza Pablo Ruiz Picasso s/n, Torre Picasso, floor 22, 28020 Madrid.
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6.7 Main activities of the individuals mentioned in section 6.6, carried out outside the Sociedad Gestora if relevant to the Fondo.
To this effect, the following individuals carry out the following positions outside the Sociedad Gestora:
NAME Positions in other companies
Iñigo Trincado Boville General Manager of Corretaje e Información Monetaria y de Divisas, S.A
Rafael Bunzl Csonka General Manager of Corretaje e Información Monetaria y de Divisas, S.A
Beatriz Senís Gilmartín Control Department Manager at Corretaje e Información Monetaria y de Divisas, S.A
6.8 Creditors of the Sociedad Gestora in more than 10%.
The Sociedad Gestora has not received any loan or credit from any individual or entity.
6.9 Lawsuits of the Sociedad Gestora.
On the date of the registration of this Prospectus, the Sociedad Gestora is not involved in any bankruptcy situation or in lawsuits and disputes that may affect its financial situation or, in the future, its ability to carry out its duties of management and administration of the Fondo.
6.10 Supervisory bodies.
The CNMV is responsible for the supervision of the Sociedades Gestoras de Fondos de Titulización and, therefore, of the Sociedad Gestora.
The CNMV is responsible for the supervision of the Fondos de Titulización de Activos and, therefore, of the Fondo.
7 MAYOR SHAREHOLDERS
7.1 Declaration regarding the direct or indirect Ownership of the Sociedad Gestora or whether it is controlled.
InterMoney Titulización, S.G.F.T. is part of Corretaje e Información Monetaria y de Divisas, S.A.
The shares of the Sociedad Gestora are distributed as follows:
PERCENTAGE Nº. SHARESCorretaje e Información Monetaria y de Divisas, S.A. 70% 70,000
Directors and Employees of the Company 30% 30,000
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The total amount of shares held by the members of the Board is 20%.
Corretaje e Información Monetaria y de Divisas, S.A., in order to comply with the rules of conduct of the securities market and in order to contribute to the transparency and efficient operation of the markets, has developed an Internal Code of Conduct that affects all the companies of the group and that was presented to the CNMV on 2 February 2006.
8 FINANCIAL INFORMATION CONCERNING THE ISSUER’S ASSETS AND LIABILITIES, FINANCIAL POSITION AND PROFITS AND LOSSES.
8.1 Declaration regarding the initiation of trading and financial statements of the Issuer prior to the date of the Registration Document.
In accordance with section 4.4.2 of the Registration Document, the Fondo will initiate transactions on the Date of Incorporation therefore no financial statement has been made on the date of the Registration Document.
8.2 Historical financial information required when an Issuer has initiated trading and financial statements have been generated.
Not applicable.
8.2 bis Historical financial information for security issues in excess of 50,000 Euros. Not applicable.
8.3 Legal and arbitration proceedings.
Not applicable.
8.4 Material adverse changes in the Issuer’s financial situation.
Not applicable.
9 INFORMATION ON THIRD PARTIES, DECLARATIONS OF EXPERTS AND OF INTEREST.
9.1 Declaration or reports by experts.
No declaration or report from an expert is included.
9.2 Information from third parties.
No information from third parties is included.
10 REFERENCE DOCUMENTS.
If necessary, the following documents or a copy of them may be consulted during the life of this Registration Document:
a) The Deed of Incorporation of the Fondo;
b) The Board Agreements of the Sociedad Gestora and the Seller;
c) This Prospectus;
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d) The audit report on certain characteristics and attributes of a sample of all the Mortgage Loans of the Portfolio selected to be sold to the Fondo;
e) The letters (provisional and final) from the Rating Agency notifying the ratings assigned to each Series of Bonds;
f) The annual accounts of the Sociedad Gestora and the corresponding audit accounts;
g) The current statutes and the deed of incorporation of the Sociedad Gestora; and
h) The agreements to be signed by the Sociedad Gestora in the name and on behalf of the Fondo;
These documents are available in hard copy at the address of the Sociedad Gestora, Plaza Pablo Ruiz Picasso s/n, Torre Picasso, 22nd floor, Madrid, and those mentioned in a) through e) at the CNMV.
The Prospectus may be consulted in hard copy at the address of the Sociedad Gestora and at the CNMV and also in electronic format at their web sites www.imtitulizacion.com and www.cnmv.es.
Once the Deed of Incorporation has been issued, the Sociedad Gestora will forward an authorised copy to the CNMV. Additionally, the Sociedad Gestora and IBERCLEAR or the participating entity in which it delegates its functions, will hold copies of the Deed of Incorporation available for consultation by the Bond holders and members of the public.
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SECURITIES NOTE (ANNEX XII OF THE CE 809/2004 REGULATIONS)
1 INDIVIDUALS RESPONSIBLE.
1.1 Individuals liable for the information given in the Securities Note.
José Antonio Trujillo del Valle, acting in the name and on behalf of Intermoney Titulización, S.G.F.T., assumes the responsibility for the contents of the Securities Note and the Additional Building Block.
José Antonio Trujillo del Valle, acts as Chairman of INTERMONEY TITULIZACIÓN, SGFT, S.A. in virtue of his appointment at the agreement reached by the Board of Directors of the Sociedad Gestora on 16 October 2003, and, specifically for the incorporation of the Fondo, in virtue of the powers issued by the Board of Directors in its meeting held on 23 November 2009.
1.2 Declaration by those responsible for the Securities Note.
José Antonio Trujillo del Valle, representing the Sociedad Gestora, declares that having exercised due diligence, guarantees that the information contained in this Securities Note and its Additional Building Block is in accordance with fact and does not omit anything that might affect its contents.
2 RISK FACTORS.
Risk factors linked to the securities are described in section 2 of the previous section “Risk Factors”.
Risk factors linked to the assets are described in section 3 of the previous section “Risk Factors”.
3 KEY INFORMATION.
3.1 Interest of the individuals and legal entities taking part in the offer.
The identity of the companies participating in this offer and their direct or indirect controlling participation is detailed in section 5.2 of the Registration Document. The interest of such companies as participants in the Bond Issue offer is as follows:
- InterMoney Titulización, SGFT, S.A. is the Sociedad Gestora of the Fondo.
- Banco Popular acts as Seller of the Mortgage Loans and counterparty to the Fondo in the Subordinated Loan Agreements for Initial Expenses and the Reserve Fund. Equally, it will act as Lead Manager, Subscriber of the Bonds, Financial Agent and counterparty of the Interest Swap.
- Clifford Chance has provided the legal advice of the transaction.
- Moody’s is the Rating Agency for the credit risk of the Bonds.
- PriceWaterhouseCoopers is the auditor of the Fondo.
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3.2 Description of any interest, including conflicts, that may be important to the issue and details of the individuals involved and nature of such interest.
The Sociedad Gestora is unaware of the existence of any economic link or interest of significance between the participants of the Bond Issue except the strictly professional relationship generated by their participation, as has been detailed in this section and in section 5.2 of the Registration Document.
4 INFORMATION CONCERNING THE SECURITIES TO BE ADMITTED TO TRADING.
4.1 Total value of the securities.
The Bond Issue will total 685,000,000 Euros, with a principal value each of 100,000 Euros each (100%). The Bonds are grouped in the following Series:
- Series A, comprising 5,960 Bonds, for a total amount of 596,000,000 Euros.
- Series B, comprising 890 Bonds, for a total amount of 89,000,000 Euros.
Each and every one of the Bonds of the same Series will be amortised in the same amount through the reduction of their principal value.
4.2 Description of the type and class of securities.
The Bonds will be legally defined as listed and tradable fixed-income securities with an explicit return, and are subject to the Securities Market Act and other legislation that may develop it. Subscription or ownership of the Bonds of one Series does not imply the subscription or ownership of the Bonds of other Series.
4.3 Legislation governing the issue.
The Fondo and the Bond Issue are regulated in accordance with Spanish regulations and specifically (i) Real Decreto 926/1998 and any further developments of such Act, (ii) Ley 19/1992, for aspects not covered by Real Decreto 926/1998, and when applicable, (iii) the Securities Market Act, in its current wording, in relation to supervision, inspection and sanctions, (iv) Real Decreto 1310/2005, (v) Orden EHA/3537/2005, and (vi) any other current laws and regulations that may be applicable at any given time.
In relation to the issue, subscription, ownership and sale of the Mortgage Transfer Certificates, Ley 2/1981 and Real Decreto 719/2009 will also be applicable.
This Securities Note follows the templates established by CE Regulation 809/2004, relating to the application of CE Directive 2003/71/CE.
Any dispute related to the Fondo or the Bonds that may arise during its operation or liquidation, either between the Bondholders or the Bondholders and the Sociedad Gestora will be subject to the Courts and Tribunals of Madrid, waiving any other forum that may apply.
4.4 Ownership and description of the securities registration.
Bonds will be exclusively represented as nominative book entries, in accordance with Real Decreto 926/1998, and will be constituted as such following their inscription in the corresponding accounting register. The corresponding Deed of Incorporation will follow Art.6 of the Securities Market Act, in accordance with Art.5.9 of Ley 19/1992.
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The entity in charge of the accounting registry of the Bonds shall be the Sociedad de Gestión de los Sistemas de Registro, Compensación y Liquidación de Valores, S.A. (IBERCLEAR), registered in Madrid, at Plaza de la Lealtad 1, or the entity which replaces it in the future, appointed in the Deed of Incorporation following Art.45 of Real Decreto 116/1992.
Bondholders will be identified as such (on their behalf or on behalf of third parties) when entered into the accounting ledger kept by IBERCLEAR.
4.5 Currency of the Issue.
The Bonds of all Series shall be issued in Euros.
4.6 Ranking and subordination of the securities.
Interest of Series B is subordinated to Series A.
Principal of Series B is subordinated to Series A.
4.6.1 Priority order for the interest payment of the Bonds.
Payment of interest accrued by the Bonds of each Series occupy the following ranks in the Priority Order of Payments:
- Payment of interest accrued by Series A ranks (iii) in accordance with section 3.4.6.3 of the Additional Building Block, except when the specific Priority Order of Payments for Liquidation is applicable (described in section 3.4.6.5) when it will rank (iv).
- Payment of interest accrued by the Bonds of Series B ranks (iv) in accordance with section 3.4.6.3 of the Additional Building Block, except when postponed to (vi) in the event of the occurrence of the situations covered in section 3.4.6.4 of the Additional Building Block, or the specific Priority Order of Payments for Liquidation is applicable (described in section 3.4.6.5) when it will rank (vi).
4.6.2 Priority order for the payment of principal from the Bonds.
Withholding of the Amount Available of Principal of the A and B Bonds, jointly and without distinction between series, ranks (v) in the Priority of Payments established in section 3.4.6.3 of the Additional Building Block.
If section 3.4.6.5 is applicable as specific Priority Order of Payments on the Date of the Liquidation of the Fondo or on the Date of its Early Liquidation, the amortisation of principal of the Series A will rank (v).
If section 3.4.6.5 is applicable as specific Priority Order of Payments on the Date of the Liquidation of the Fondo or on the Date of its Early Liquidation, the amortisation of principal of the B Bonds will rank (vii).
4.7 Description of the rights linked to the securities.
The Bondholders will have all the rights recognised in the Deed of Incorporation, this Prospectus and current legislation.
Subscription or purchase of the Bonds implies the acceptance of all the terms and conditions established in the Deed of Incorporation and the Prospectus.
Bondholders will have no right to demand the Fondo’s repurchase of the Bonds.
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Economic and financial rights for the investor that are linked to the purchase and holding of Bonds will derive from the conditions of interest rate, yield and amortisation conditions with which they are issued and which are covered in sections 4.8 and 4.9 of the Securities Note, and the remaining terms of this Prospectus.
In accordance with current legislation, the Bonds described in this Securities Note do not provide the investor purchasing them any current or future right over the Fondo.
The Bondholders and other creditors of the Fondo will not hold any right to claim against the, Sociedad Gestora except when it is in breach of its obligations generated by the Deed of Incorporation, this Prospectus and current legislation and, therefore never as a consequence of the delinquencies or prepayments on the Mortgage Loans, of the breach by any of the counterparties of the agreements arranged by it on behalf of the Fondo, or as a result of the lack of the credit enhancements protecting the financial service of the Bonds.
The Bondholders will have no right of action against the Debtors of the Mortgage Loans that are in default of their payments; the Sociedad Gestora, as representative of the Fondo, will hold such right.
4.8 Interest rate for the Bonds and interest payment arrangements.
All the Bonds issued will accrue, from the Closing Date, until their full amortisation, an annual variable principal interest rate, reset and paid quarterly, calculated as follows (hereon, Principal Interest Rate). This interest will be paid at the end of each quarter, on each Payment Date and will be calculated over the Outstanding Principal Balance of the Bonds of each Series on the immediately prior Payment Date, accordingly with the Priority of Payments.
4.8.1 Interest accrual.
In respect of the interest accrual of all the Series, the Bond issue will be divided in Interest Accrual Periods with a duration ranging between two Payment Dates (including the first and excluding the last).
The First Interest Accrual Period will begin on the Closing Date (including this date) and will end on the first Payment Date, that is, 22 June 2010 (excluding this date).
4.8.2 Principal Interest Rate.
The Principal Interest Rate accrued by each Series of Bonds during each Interest Accrual Period shall be the result of the sum of: (i) the Reference Interest Rate, as determined in section 4.8.3 and common to all Series of Bonds and rounded to one thousandth of a percentage point, taking into account that, in the event that such rounding up is equal either way, it will be rounded up, and (ii) the margin applicable to each Series of Bonds, as indicated in section 4.8.4.
Once the Reference Interest Rate of the Bonds has been determined, and on the same Determination Date, the Sociedad Gestora will calculate and determine for each Series of Bonds, the interest rate applicable on the following Interest Accrual Period.
The Sociedad Gestora will notify the resulting interest rate using those channels generally accepted by the market and that guarantee an adequate diffusion of the information in time and content.
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4.8.3 Determination of the Reference Interest Rate of the Bonds.
The Reference Interest Rate of the Bonds to determine the interest rate applicable to the Bonds of all Series shall be the 3-month EURIBOR (Euro Interbank Offered Rate), or if there is need its replacement, determined as follows.
The determination of the EURIBOR will follow the rules of this section. Determination Date of the Reference Interest Rate for each Interest Accrual Period shall be the second Business Day prior to the Payment Date that marks the start of the corresponding Interest Accrual Period. For the first Interest Accrual Period the Reference Interest Rate will be determined on the second Business Day prior to the Closing Date.
On each Determination Date, the Sociedad Gestora will determine the Reference Interest Rate of the Bonds, equal to the EURIBOR, understood as:
(i) The 3-month EURIBOR rate that appears on the REUTERS’ screen, EURIBOR01 page at 11 am C.E.T of the Determination Date of the RIR. “REUTERS’ screen, EURIBOR01 page" is the page that reflects the contents of page "EURIBOR01" on the REUTERS MONITOR MONEY RATES SERVICE (or any other page that might replace it in this service).
(ii) In absence of the rates indicated in (i) the Reference Interest Rate to replace it shall be the interest resulting from the basic average of the London 3-month interbank interest rates for Euro-denominated deposit operations and for an amount equivalent to the Outstanding Principal Balance of the Bonds offered on the Determination Date by the following institutions (following a simultaneous request):
▪ Banco Bilbao Vizcaya Argentaria (BBVA)
▪ Banco Santander, S.A.
▪ Confederación Española de Cajas de Ahorros
▪ Deutsche Bank, S.A.E.
In the event that one or more of the above institutions do not supply quotes, the applicable rate shall be the average of the rates declared by at least two of the remaining institutions.
(iii) In the event that the rates cannot be determined by the above-mentioned procedures (i) and (ii), the applicable rate shall be that which was applicable for the previous Interest Accrual Period. On the first Determination Date, if the rate has not been previously published or determined in accordance with (i) and (ii) above, the applicable rate shall be the one published in accordance with (i) on the last Business Day in which it was made public.
The Sociedad Gestora will keep copy of REUTERS’ pages, or in its case, the supplied quotes of the institutions mentioned in part (ii), as documentation of the EURIBOR established.
4.8.4 Applicable margin to each Series of Bonds.
The margins to be added to the Reference Rate to determine the Principal Interest Rate for each Interest Accrual Period of each Series of Bonds shall be the following:
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- Series A: 0.30%.
- Series B: 1.50%.
4.8.5 Formula to calculate the interest on the Bonds.
The Sociedad Gestora shall calculate the interest accrued by the Bonds during each Interest Accrual Period through the following formula:
360** nrNI =
Where:
I = Total amount of interest accrued by the Bond during the Interest Accrual Period.
N = Outstanding Principal Balance of the Bond at the start of the Interest Accrual Period.
r = Interest rate of the Bond in annual percentage, calculated as the sum of the EURIBOR Reference Interest Rate of the corresponding Interest Accrual Period plus the established margin.
n = Number of days of the Interest Accrual Period.
4.8.6 Dates, place, institutions and procedure for the payment of coupons.
Bond interest, of any Series, shall be paid and cleared at the end of each quarter on each Payment Date, that is, 22nd of March, June, September and December of every year until the total maturity of the Bond, or the immediately following Business Day if such days are not Business Days.
The first Payment Date shall be 22 June 2010.
If on a Payment Date, and despite the mechanisms established to protect the rights of the Bondholders, the Available Resources are insufficient to meet the interest payment obligations of the Bonds, the amount available to pay interest will be distributed in accordance with the Priority of Payments and, if the Available Resources are only sufficient to partially fulfil the payments with the same ranking, independently and for each one, the amount will be distributed among the affected Bonds in proportion to the Outstanding Net Principal Balance of the Bonds affected. The amounts that remain outstanding shall be paid on the following Payment Date possible without accruing additional interest. The payments due to the Bondholders will be paid on the following Payment Date (if there are sufficient Available Resources to do so) immediately before the payment of the same Series for the new period.
Existing withholdings, payments on account or taxes levied or to be levied in the future, in relation to capital, interest or yield of these Bonds, shall be borne exclusively by the Bond holders and the amount will be deducted, when necessary, by the appropriate institution in the legally established procedure.
Payment will be made through the Financial Agent, which will use IBERCLEAR and its participating institutions to distribute the amounts to the Bondholders in accordance with their established procedures. Payment of interest and amortisation will be notified to the Bondholders in the situations and with the notice established for each situation described in 4.1 of the Additional Building Block.
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4.8.7 Calculation Agent.
The Sociedad Gestora will calculate the Principal Interest Rate for each Series of Bonds.
4.9 Maturity and amortisation date of the securities.
4.9.1 Redemption price.
The redemption price will be 100,000 Euros, equal to its principal value, free of expenses and taxes for the Bondholder and to be paid progressively on each Payment Date as is established in the following sections.
Each and every Bond of each Series will be amortised in the same amount through the reduction of their principal.
4.9.2 Maturity of the Bonds and Dates of Maturity of the Bonds.
The final amortisation of the Bonds of all Series will take place on the date in which they are fully amortised or on the Final Date. The amortisation on the Final Date or on the date established in accordance with section 4.4.3 of the Registration Document for the Early Liquidation of the Fondo, will be subject to the Priority Order of Payments for the Liquidation that is established in section 3.4.6.5 of the Additional Building Block.
The amortisation of each Series of Bonds will be carried out by applying the Amount Available of Principal (described in section 4.9.4) on each Payment Date of amortisation to the corresponding Series, in accordance with the rules of section 4.9.4 of this Securities Note. The Payment Date to begin the amortisation of the Bonds shall be the Date of the Start of the Amortisation, as defined further down. Until the Date of the Start of the Amortisation, the withheld amount of principal, in accordance with the Priority Order of Payments, will be deposited in the Principal Account, in accordance with the rules of this section.
4.9.3 Common characteristics for the Amortisation of the Bonds of all Series.
The Net Outstanding Principal Balance of the Bonds of a Series on a Payment Date shall be the Outstanding Principal Balance of such Series prior to the amortisation that corresponds on such Payment Date, minus the amount accumulated on previous Payment Dates and deposited in the Principal Account as amortisation from the Bonds of the relevant Series.
The Net Outstanding Principal Balance of the Bonds shall be the sum of the Net Outstanding Principal Balance of each Series making up the Bond Issue.
The Date of the Start of the Amortisation is the Payment Date of 22 March 2011, except when Moody’s lowers the short-term rating of the Provider of the Principal Account below P-1; in this case it shall be the Payment Date that follows the moment of such lowering. On any Payment Date prior to the Date of the Start of the Amortisation (excluded) the Amount Available of Principal will be deposited in the Principal Account. From the Date of the Start of the Amortisation, the Principal Account will be cancelled and the Amount Available of Principal will be deposited in the Treasury Account.
For each Payment Date, the Amount Available of Principal shall be the lesser of the following amounts:
26
a) The Theoretical Amount of Principal.
b) The Available Resources on that Payment Date, minus the amounts that corresponds to sections (i) through (iv) of the Priority Order of Payments included in section 3.4.6.3 of the Additional Building Block.
On each Payment Date, the Theoretical Amount of Principal is defined as the positive difference on the Payment Date between (i) the Net Outstanding Principal Balance of all the Bonds and (ii) the sum of the Outstanding Principal Balance of the Non-defaulted Mortgage Loans that correspond to the last day of the month prior to the month of the Payment Date.
The Principal Shortfall on a Payment Date shall be the positive difference, if it exists, between:
(i) The Theoretical Amount for Principal, and
(ii) The Amount Available of Principal.
The Available Amounts of Principal shall be equal to the sum of the following amounts:
a) The amount of the Available Amount of Principal on the corresponding Payment Date and withheld at rank (v) of the Priority Order of Payments, and
b) The balance of the Principal Account exclusively on the Date of the Start of the Amortisation.
4.9.4 Rules of Amortisation of the Bonds. Distribution of the Available Funds of Principal.
The distribution of Available Funds will take place in accordance with the following rules:
1 Until the Date of the Start of the Amortisation (excluded), the amount of the Amount Available of Principal will be deposited in the Principal Account.
2 From the Date of the Start of the Amortisation (included), the Amount Available of Principal will be applied in sequence, first to the full amortisation and reimbursement of Series A, and second to the full amortisation and reimbursement of Series B (notwithstanding the following Rule 3 for the pro rata amortisation between the different Series).
3 Amortisation of the Bonds of Series B: even in the absence of the full amortisation of Series A, the Amount Available of Principal will also be applied to the amortisation of Series B on the Payment Date that is not the last Payment Date or the Date of the Liquidation of the Fondo and in which the following circumstances are met:
a) That on the corresponding Payment Date, the Reserve Fund will reach the Minimum Level of the Reserve Fund required.
b) That on the last Business Day of the month prior to the corresponding Payment Date, the amount of Outstanding Balance of the Non-Defaulted Mortgage Loans is equal or higher than 10% of the initial live balance on the Date of the Incorporation of the Fondo.
c) The Outstanding Net Principal Balance of Series B is equal or higher than 26% of the Outstanding Net Principal Balance of all the Bonds;
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d) The sum of the Outstanding Balance of the Non-Defaulted Mortgage Loans with arrears above 90 days does not exceed 1.25% of the Outstanding Balance of the Non-Defaulted Mortgage Loans, on the last Business Day of the month prior to such Payment Date.
When on a Payment Date the pro rata amortisation of Series B is applicable, in accordance with this section, the Available Funds of Principal will be applied to the amortisation of Series B in such a way that the Net Outstanding Principal Balance of Series B, in relation to the sum of the Net Outstanding Principal Balance of all the Series of bonds, remains respectively at 26% or the nearest possible higher percentages.
4.10 Indication of the return.
The average life, yield, duration and final maturity of the Bonds of each Series depend on several factors, some of which are:
− The calendar and the amortisation system of each Mortgage Loan established in each policy.
− The Debtors capacity to amortise in advance in part or in full, the Mortgage Loans and the speed of such aggregated prepayments during the life of the Fondo.
− The variable interest rates of the Mortgage Loans that will vary the amount of amortisation for each quota.
− The Debtors’ arrears in the payment of the quotas of the Mortgage Loans.
In order to calculate the following tables, the following assumptions have been made:
− Reference Interest rate for the Mortgage Loans: the interest rate of each Mortgage Loan current on 3 February 2010, kept constant for the remaining life of the Fondo. The weighed average interest rate of the eligible portfolio on 3 February 2010 is 3.41% as included in the tables of section 2.2.2 of the Additional Building Block.
− The amortisation tables for each Mortgage Loan have been simulated and 3 constant annual rates of early amortisation assumed (5, 10 and 15%) constant during the life of the Fondo, and which are coherent with those observed by the Seller from Mortgage Loans similar to those of the Eligible Portfolio.
− Arrears (Outstanding Principal Balance of the Non Defaulted Mortgage Loans with arrears above 90 days) and recovery: Annual arrears rate of 3.47% (this data corresponds with the mortgage arrears rate of the Seller on 31 December 2009) and a recovery of 93% 3-months later. These rates are consistent with those observed by the Seller in relation with the Mortgage Loans that have a similar nature to those comprising the Eligible Portfolio.
− Considering the above mentioned arrears rate and in accordance with section 3.4.2.2 of the Additional Building Block, the conditions necessary for the reduction of the Reserve Fund would not take place.
− Default and recovery: Annual default rate of 0.70% from the first year and a recovery of 75% a year later. These rates are consistent with those observed by
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the Seller in relation with the Mortgage Loans that have a similar nature to those comprising the Eligible Portfolio.
− Closing Date of the Bonds: 16 March 2010.
− Reference Interest Rate of the Bonds: the calculation for each Series has been carried out applying the rules established in section 4.8.4 of the Securities Note at a Reference Interest Rate equal to 0.655% (3-month EURIBOR taken on 2 March 2010). The Reference Interest Rate of the Bonds of each Series is assumed constant during the life of the Fondo.
− Margins: for each Series of Bonds, 0.30% for the Series A Bonds and 1.50% for the Series B Bonds.
− It is assumed the Sociedad Gestora will carry out the Early Liquidation of the Fondo option when the Outstanding Principal Balance of the Non-Defaulted Mortgage Loans is less than 10% of the Initial Balance of the Mortgage Loans on the Date of the Incorporation of the Fondo, in accordance with section 4.4.3 of the Registration Document.
− In the expected scenario there is no pro rata amortisation for Series B.
− These hypotheses are reasonable and based on the historical behaviour of securitised Mortgage Loans with similar characteristics to those sold by Banco Popular.
4.10.1 Average life, yield, duration and estimated final maturity of the Bonds.
The information included in the following tables is presented for illustrative purposes only. The data have been elaborated under the above assumptions of interest rate, rate of arrears, delinquencies and regular amortisation and prepayments of the Mortgage Loans, subject to change, and as a consequence, may not take place. Also assuming that the Sociedad Gestora will carry out the Early Liquidation of the Fondo and the Early Amortisation of the Bonds, established in section 4.4.3 of the Registration Document, when the Outstanding Principal Balance of the Non Defaulted Mortgage Loans is less than 10% of the Initial Balance of the Mortgage Loans sold on the Date of Incorporation, the average life, the yield for the Bond subscriber, duration (calculated without taking into consideration the variable nature of the interest rate) and final maturity of the Bonds (for different prepayments scenarios) would be the following. The date in which it is assumed, under the same hypothesis, the liquidation of the Fondo takes places is also included.
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IM Banco Popular MBS 2, FTA
Scenario 5% CPR 10% CPR 15% CPR A Bond Average life (years) 7.60 5.09 3.77
IRR 0.972% 0.972% 0.972%
Duration 7.15 4. 86 3.64 B Bond Average life (years) 20.82 15.08 11.35 IRR 2.203% 2.203% 2.203% Duration 16.42 12.61 9.87 Net defaulted rate accumulated by the Fondo 1.49% 0.98% 0.70% Date of the Early Liquidation of the Fondo 24/03/2031 23/06/2025 22/09/2021
4.10.2 Tables with the assumed principal and interest payment of the Bonds.
The information included in the following tables is presented for illustrative purposes only and it does not represent the Fondo’s specific payment obligations to third parties on the dates or periods to which they correspond. The data have been elaborated under assumptions of interest rate, rate of arrears, delinquencies and regular and prepayment amortisation rates of the Mortgage Loans described above and which are subject to constant change, and as a consequence, investors interested in the Fondo’s expected calendar of payments should request the information from the institutions authorised to distribute it, the Sociedad Gestora and the CNMV. Nevertheless, this information is also available through the Lead Manager of the Bonds and others active in the secondary market.
As has been indicated in 4.10.1 above, in order to produce these tables 3 annual constant rates of early amortisation have been assumed (5, 10 and 15%) for the entire life of the Fondo. The choice of these rates is the result of the coherence of such rates with those observed by the Seller from other Mortgage Loans similar to those making up the Eligible Portfolio and that are most useful to understand the estimated flows of the Bonds.
FLOWS FOR EACH BOND WITHHOLDING FOR THE HOLDER CPR = 5% (euros)
Payment Date
16/03/201022/06/2010 0.00 259.97 259.97 0.00 586.64 586.6422/09/2010 0.00 244.06 244.06 0.00 550.72 550.7222/12/2010 0.00 241.40 241.40 0.00 544.74 544.7422/03/2011 8,146.05 238.75 8,384.80 0.00 538.75 538.7522/06/2011 2,251.80 224.17 2,475.97 0.00 550.72 550.7222/09/2011 2,206.72 218.68 2,425.40 0.00 550.72 550.7222/12/2011 2,174.74 210.97 2,385.71 0.00 544.74 544.7422/03/2012 2,139.76 205.73 2,345.49 0.00 544.74 544.7422/06/2012 2,113.18 202.76 2,315.94 0.00 550.72 550.7224/09/2012 2,066.60 201.90 2,268.50 0.00 562.69 562.6924/12/2012 2,033.94 190.47 2,224.41 0.00 544.74 544.7422/03/2013 2,000.57 179.44 2,180.01 0.00 526.78 526.7824/06/2013 1,974.69 186.69 2,161.38 0.00 562.69 562.6923/09/2013 1,930.33 175.96 2,106.29 0.00 544.74 544.7423/12/2013 1,900.49 171.30 2,071.79 0.00 544.74 544.7424/03/2014 1,868.74 166.72 2,035.46 0.00 544.74 544.7423/06/2014 1,845.10 162.20 2,007.30 0.00 544.74 544.7422/09/2014 1,803.27 157.75 1,961.02 0.00 544.74 544.7422/12/2014 1,776.01 153.40 1,929.41 0.00 544.74 544.7423/03/2015 1,746.75 149.11 1,895.86 0.00 544.74 544.7422/06/2015 1,724.86 144.89 1,869.75 0.00 544.74 544.7422/09/2015 1,685.06 142.28 1,827.34 0.00 550.72 550.7222/12/2015 1,659.42 136.66 1,796.08 0.00 544.74 544.7422/03/2016 1,631.85 132.66 1,764.51 0.00 544.74 544.7422/06/2016 1,611.46 130.13 1,741.59 0.00 550.72 550.7222/09/2016 1,571.84 126.20 1,698.04 0.00 550.72 550.7222/12/2016 1,547.89 121.03 1,668.92 0.00 544.74 544.7422/03/2017 1,521.80 116.01 1,637.81 0.00 538.75 538.7522/06/2017 1,502.24 114.87 1,617.11 0.00 550.72 550.7222/09/2017 1,463.02 111.20 1,574.22 0.00 550.72 550.7222/12/2017 1,439.64 106.46 1,546.10 0.00 544.74 544.7422/03/2018 1,414.11 101.86 1,515.97 0.00 538.75 538.7522/06/2018 1,396.10 100.67 1,496.77 0.00 550.72 550.7224/09/2018 1,361.10 99.38 1,460.48 0.00 562.69 562.6924/12/2018 1,339.38 92.92 1,432.30 0.00 544.74 544.7422/03/2019 1,314.62 86.73 1,401.35 0.00 526.78 526.7824/06/2019 1,295.30 89.36 1,384.66 0.00 562.69 562.6923/09/2019 1,261.70 83.38 1,345.08 0.00 544.74 544.7423/12/2019 1,238.74 80.34 1,319.08 0.00 544.74 544.7423/03/2020 1,216.30 77.35 1,293.65 0.00 544.74 544.7422/06/2020 1,198.77 74.41 1,273.18 0.00 544.74 544.7422/09/2020 1,169.25 72.30 1,241.55 0.00 550.72 550.7222/12/2020 1,149.24 68.70 1,217.94 0.00 544.74 544.7422/03/2021 1,129.07 65.20 1,194.27 0.00 538.75 538.7522/06/2021 1,113.54 63.89 1,177.43 0.00 550.72 550.7222/09/2021 1,083.68 61.17 1,144.85 0.00 550.72 550.7222/12/2021 1,065.19 57.89 1,123.08 0.00 544.74 544.7422/03/2022 1,044.63 54.71 1,099.34 0.00 538.75 538.7522/06/2022 1,026.69 53.38 1,080.07 0.00 550.72 550.7222/09/2022 997.51 50.87 1,048.38 0.00 550.72 550.7222/12/2022 977.96 47.91 1,025.87 0.00 544.74 544.7422/03/2023 959.08 45.05 1,004.13 0.00 538.75 538.7522/06/2023 941.08 43.71 984.79 0.00 550.72 550.7222/09/2023 914.96 41.41 956.37 0.00 550.72 550.7222/12/2023 898.00 38.76 936.76 0.00 544.74 544.7422/03/2024 879.33 36.59 915.92 0.00 544.74 544.7424/06/2024 859.49 35.60 895.09 0.00 562.69 562.6923/09/2024 833.30 32.39 865.69 0.00 544.74 544.7423/12/2024 816.94 30.38 847.32 0.00 544.74 544.7424/03/2025 802.32 28.41 830.73 0.00 544.74 544.7423/06/2025 787.70 26.47 814.17 0.00 544.74 544.7422/09/2025 767.88 24.57 792.45 0.00 544.74 544.7422/12/2025 753.58 22.71 776.29 0.00 544.74 544.7423/03/2026 738.53 20.89 759.42 0.00 544.74 544.7422/06/2026 722.40 19.11 741.51 0.00 544.74 544.7422/09/2026 706.02 17.56 723.58 0.00 550.72 550.7222/12/2026 692.72 15.66 708.38 0.00 544.74 544.7422/03/2027 678.26 13.84 692.10 0.00 538.75 538.7522/06/2027 662.89 12.49 675.38 0.00 550.72 550.7222/09/2027 646.58 10.87 657.45 0.00 550.72 550.7222/12/2027 631.57 9.19 640.76 0.00 544.74 544.7422/03/2028 617.63 7.67 625.30 0.00 544.74 544.7422/06/2028 600.61 6.25 606.86 0.00 550.72 550.7222/09/2028 585.98 4.78 590.76 0.00 550.72 550.7222/12/2028 571.74 3.31 575.05 0.00 544.74 544.7422/03/2029 559.76 1.91 561.67 0.00 538.75 538.7522/06/2029 240.95 0.59 241.54 2,021.62 550.72 2,572.3424/09/2029 0.00 0.00 0.00 3,530.36 551.32 4,081.6824/12/2029 0.00 0.00 0.00 3,440.35 514.49 3,954.8422/03/2030 0.00 0.00 0.00 3,368.96 479.41 3,848.3724/06/2030 0.00 0.00 0.00 3,291.33 493.14 3,784.4723/09/2030 0.00 0.00 0.00 3,221.62 459.47 3,681.0923/12/2030 0.00 0.00 0.00 3,153.64 441.92 3,595.5624/03/2031 0.00 0.00 0.00 77,972.12 424.74 78,396.86
Total 100,000.00 7,356.41 107,356.41 100,000.00 45,494.82 145,494.82
Series A Series B
Redemption Interest Total Redemption Interest Total
FLOWS FOR EACH BOND WITHHOLDING FOR THE HOLDER CPR = 10% (euros)
Payment Date
16/03/201022/06/2010 0.00 259.97 259.97 0.00 586.64 586.6422/09/2010 0.00 244.06 244.06 0.00 550.72 550.7222/12/2010 0.00 241.40 241.40 0.00 544.74 544.7422/03/2011 13,628.73 238.75 13,867.48 0.00 538.75 538.7522/06/2011 3,467.60 210.79 3,678.39 0.00 550.72 550.7222/09/2011 3,351.13 202.33 3,553.46 0.00 550.72 550.7222/12/2011 3,249.64 192.04 3,441.68 0.00 544.74 544.7422/03/2012 3,147.98 184.20 3,332.18 0.00 544.74 544.7422/06/2012 3,056.33 178.54 3,234.87 0.00 550.72 550.7224/09/2012 2,949.40 174.80 3,124.20 0.00 562.69 562.6924/12/2012 2,857.33 162.10 3,019.43 0.00 544.74 544.7422/03/2013 2,767.00 150.09 2,917.09 0.00 526.78 526.7824/06/2013 2,685.24 153.42 2,838.66 0.00 562.69 562.6923/09/2013 2,590.16 142.04 2,732.20 0.00 544.74 544.7423/12/2013 2,509.51 135.79 2,645.30 0.00 544.74 544.7424/03/2014 2,429.34 129.73 2,559.07 0.00 544.74 544.7423/06/2014 2,357.68 123.87 2,481.55 0.00 544.74 544.7422/09/2014 2,273.48 118.17 2,391.65 0.00 544.74 544.7422/12/2014 2,202.83 112.69 2,315.52 0.00 544.74 544.7423/03/2015 2,132.42 107.37 2,239.79 0.00 544.74 544.7422/06/2015 2,069.37 102.22 2,171.59 0.00 544.74 544.7422/09/2015 1,994.53 98.29 2,092.82 0.00 550.72 550.7222/12/2015 1,932.10 92.41 2,024.51 0.00 544.74 544.7422/03/2016 1,869.86 87.75 1,957.61 0.00 544.74 544.7422/06/2016 1,814.33 84.15 1,898.48 0.00 550.72 550.7222/09/2016 1,746.60 79.72 1,826.32 0.00 550.72 550.7222/12/2016 1,691.63 74.64 1,766.27 0.00 544.74 544.7422/03/2017 1,636.58 69.78 1,706.36 0.00 538.75 538.7522/06/2017 1,587.36 67.33 1,654.69 0.00 550.72 550.7222/09/2017 1,526.22 63.46 1,589.68 0.00 550.72 550.7222/12/2017 1,477.22 59.08 1,536.30 0.00 544.74 544.7422/03/2018 1,428.07 54.91 1,482.98 0.00 538.75 538.7522/06/2018 1,385.01 52.64 1,437.65 0.00 550.72 550.7224/09/2018 1,332.27 50.33 1,382.60 0.00 562.69 562.6924/12/2018 1,289.27 45.51 1,334.78 0.00 544.74 544.7422/03/2019 1,245.51 41.00 1,286.51 0.00 526.78 526.7824/06/2019 1,206.19 40.69 1,246.88 0.00 562.69 562.6923/09/2019 1,159.30 36.48 1,195.78 0.00 544.74 544.7423/12/2019 1,120.01 33.68 1,153.69 0.00 544.74 544.7423/03/2020 1,082.06 30.98 1,113.04 0.00 544.74 544.7422/06/2020 1,047.93 28.37 1,076.30 0.00 544.74 544.7422/09/2020 1,007.85 26.12 1,033.97 0.00 550.72 550.7222/12/2020 974.19 23.40 997.59 0.00 544.74 544.7422/03/2021 941.33 20.82 962.15 0.00 538.75 538.7522/06/2021 911.86 18.99 930.85 0.00 550.72 550.7222/09/2021 875.41 16.76 892.17 0.00 550.72 550.7222/12/2021 846.03 14.47 860.50 0.00 544.74 544.7422/03/2022 816.32 12.29 828.61 0.00 538.75 538.7522/06/2022 788.76 10.57 799.33 0.00 550.72 550.7222/09/2022 756.18 8.64 764.82 0.00 550.72 550.7222/12/2022 729.38 6.72 736.10 0.00 544.74 544.7422/03/2023 703.62 4.91 708.53 0.00 538.75 538.7522/06/2023 678.99 3.30 682.29 0.00 550.72 550.7222/09/2023 651.09 1.64 652.73 0.00 550.72 550.7222/12/2023 21.77 0.05 21.82 4,062.00 544.74 4,606.7422/03/2024 0.00 0.00 0.00 4,054.13 522.61 4,576.7424/06/2024 0.00 0.00 0.00 3,901.00 517.03 4,418.0323/09/2024 0.00 0.00 0.00 3,732.62 479.27 4,211.8923/12/2024 0.00 0.00 0.00 3,598.84 458.94 4,057.7824/03/2025 0.00 0.00 0.00 3,473.79 439.34 3,913.1323/06/2025 0.00 0.00 0.00 77,177.62 420.41 77,598.03
Total 100,000.00 4,924.25 104,924.25 100,000.00 32,941.80 132,941.80
Series A Series B
Redemption Interest Total Redemption Interest Total
FLOWS FOR EACH BOND WITHHOLDING FOR THE HOLDER CPR = 15% (euros)
Payment Date
16/03/201022/06/2010 0.00 259.97 259.97 0.00 586.64 586.6422/09/2010 0.00 244.06 244.06 0.00 550.72 550.7222/12/2010 0.00 241.40 241.40 0.00 544.74 544.7422/03/2011 19,118.64 238.75 19,357.39 0.00 538.75 538.7522/06/2011 4,592.55 197.40 4,789.95 0.00 550.72 550.7222/09/2011 4,374.48 186.19 4,560.67 0.00 550.72 550.7222/12/2011 4,176.75 173.60 4,350.35 0.00 544.74 544.7422/03/2012 3,984.90 163.52 4,148.42 0.00 544.74 544.7422/06/2012 3,807.76 155.59 3,963.35 0.00 550.72 550.7224/09/2012 3,622.72 149.48 3,772.20 0.00 562.69 562.6924/12/2012 3,456.21 135.96 3,592.17 0.00 544.74 544.7422/03/2013 3,296.27 123.41 3,419.68 0.00 526.78 526.7824/06/2013 3,148.38 123.61 3,271.99 0.00 562.69 562.6923/09/2013 2,994.08 112.06 3,106.14 0.00 544.74 544.7423/12/2013 2,856.28 104.83 2,961.11 0.00 544.74 544.7424/03/2014 2,723.11 97.94 2,821.05 0.00 544.74 544.7423/06/2014 2,600.72 91.37 2,692.09 0.00 544.74 544.7422/09/2014 2,472.35 85.09 2,557.44 0.00 544.74 544.7422/12/2014 2,358.37 79.12 2,437.49 0.00 544.74 544.7423/03/2015 2,248.07 73.43 2,321.50 0.00 544.74 544.7422/06/2015 2,146.63 68.00 2,214.63 0.00 544.74 544.7422/09/2015 2,039.67 63.51 2,103.18 0.00 550.72 550.7222/12/2015 1,945.03 57.89 2,002.92 0.00 544.74 544.7422/03/2016 1,853.43 53.20 1,906.63 0.00 544.74 544.7422/06/2016 1,769.38 49.26 1,818.64 0.00 550.72 550.7222/09/2016 1,679.46 44.94 1,724.40 0.00 550.72 550.7222/12/2016 1,601.09 40.40 1,641.49 0.00 544.74 544.7422/03/2017 1,525.08 36.13 1,561.21 0.00 538.75 538.7522/06/2017 1,455.28 33.21 1,488.49 0.00 550.72 550.7222/09/2017 1,379.86 29.66 1,409.52 0.00 550.72 550.7222/12/2017 1,314.64 26.01 1,340.65 0.00 544.74 544.7422/03/2018 1,251.36 22.58 1,273.94 0.00 538.75 538.7522/06/2018 1,193.85 20.03 1,213.88 0.00 550.72 550.7224/09/2018 1,132.14 17.49 1,149.63 0.00 562.69 562.6924/12/2018 1,078.32 14.20 1,092.52 0.00 544.74 544.7422/03/2019 1,025.71 11.21 1,036.92 0.00 526.78 526.7824/06/2019 977.37 9.42 986.79 0.00 562.69 562.6923/09/2019 926.12 6.76 932.88 0.00 544.74 544.7423/12/2019 880.88 4.52 885.40 0.00 544.74 544.7423/03/2020 837.80 2.40 840.20 0.00 544.74 544.7422/06/2020 155.26 0.37 155.63 4,305.58 544.74 4,850.3222/09/2020 0.00 0.00 0.00 5,066.48 527.01 5,593.4922/12/2020 0.00 0.00 0.00 4,819.89 493.68 5,313.5722/03/2021 0.00 0.00 0.00 4,583.85 462.29 5,046.1422/06/2021 0.00 0.00 0.00 4,367.13 447.32 4,814.4522/09/2021 0.00 0.00 0.00 76,857.07 423.27 77,280.34
Total 100,000.00 3,647.97 103,647.97 100,000.00 24,807.52 124,807.52
Series A Series B
Redemption Interest Total Redemption Interest Total
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4.11 Representation of the holders of the securities.
No Bondholders syndicate will be established for the securities of this Bond Issue.
The Sociedad Gestora will be entitled to manage and legally represent the Fondo as defined by Art.12 of Real Decreto 926/1998, and, therefore to defend the rights of the Bondholders and other regular creditors of the Fondo. As a consequence, it will subordinate its actions to such defence and will comply with the requirements established at any given time.
4.12 Resolutions, authorisations and approvals for the issue of securities.
a) CORPORATE AGREEMENTS: Agreement to incorporate the Fondo and issue the Bonds. The Board of Directors of the Sociedad Gestora, in its meeting of 23 November 2009, has agreed to incorporate the Fondo and issue the Bonds.
Agreement to issue the Mortgage Loans. The Executive Board of the Seller, in its meeting of 10 December 2009, has agreed to authorise the sale of the Mortgage Loans upon the Incorporation of the Fondo.
b) CNMV REGISTRATION: Prior to the incorporation of the Fondo and the Bond issue this Prospectus and any other supportive documents must be registered in the Official Registers of the CNMV, in accordance with Art.5.1.e) of Real Decreto 926/1998.
This Prospectus will be registered in the Official Registers of the CNMV on 9 March 2010.
c) GRANTING OF THE PUBLIC DEED INCORPORATING THE FONDO: Following registration at the CNMV of this Prospectus, the Sociedad Gestora and the Seller will proceed to grant the Deed of Incorporation of IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS and to subscribe the remaining agreements established in this Prospectus. The Deed of Incorporation will be issued before the start of the Subscription Period.
The Sociedad Gestora, on behalf of the Fondo, declares that the contents of the Deed of Incorporation will coincide with the Deed of Incorporation Project forwarded to the CNMV and that, under no circumstance, the terms of the Deed of Incorporation contradict, modify, alter or invalidate the terms of this Prospectus.
The Sociedad Gestora will forward a copy of the Deed of Incorporation to the CNMV to be included in the Official Registers.
4.13 Date of issue of the securities.
The issue of the securities will take place on the Date of Incorporation through the granting of the Deed of Incorporation.
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4.13.1 Effect of the Subscription for the Bondholders.
The subscription of the Bonds implies, for each holder, the acceptance of the terms of the Deed of Incorporation and this Prospectus.
4.13.2 Group of potential investors.
Banco Popular will subscribe 100% of all the Series in order to make available liquid assets that can be used as guarantee of credit transactions in the Euro system or sold in the market, and, as a consequence, the conditions of the Bond issue do not constitute an estimation of the prices these products can be sold in the secondary market for or of valuations that eventually could be carried out in the Euro system to use them as guarantee instruments in its loan transactions in the banking system.
This note on the value of the Bonds is directed at third parties, specifically investors taking bonds as guarantees, like the European Central Bank for credit transactions in the Euro system.
Once the Issue is registered at the AIAF Market Bonds may be purchased by any investor.
4.13.3 Subscription Date.
The Subscription Date will be the Business Day prior to the Closing Date, 15 March 2010.
4.13.4 Where to direct the subscription.
Banco Popular will subscribe the entire issue, in virtue of the Subscription and Management Agreement. Banco Popular will not collect any commission as a result of this subscription.
4.13.5 Closing Date.
On the Closing Date, the Subscriber will pay the price of subscription (100%), value that day, before 10 am, Madrid time.
The Closing Date is 16 March 2010.
4.14 Restrictions to the free transmission of securities.
The Bonds may be freely transferred by any legal procedure. Ownership of each Bond will be conveyed through an accounting transfer. Registering the sale in the accounting ledger will have the same effect for the buyer as the delivery of the deeds and will, thereupon, be enforceable before third parties. In this sense, the third party purchasing the bonds from an individual legally entitled to do so according to accounting registry, will not be subject to claims unless at the time of sale acted in bad faith or with gross negligence, in accordance with Art.12 of Real Decreto 116/1992.
5 AGREEMENTS FOR THE ADMISSION TO LISTING.
5.1 Market in which the securities will be traded.
Following Art.2.3 of Real Decreto 926/1998, the Sociedad Gestora will request, immediately after the Closing Date, the admission to listing of the issue at the AIAF Mercado de Renta
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Fija, an official secondary market created by the Asociación de Intermediarios de Activos Financieros. The admission must be completed in the 30 days that follow the Closing Date.
The Sociedad Gestora hereby states that it is aware of and will comply with the requisites and conditions necessary to admit, maintain and exclude securities at the AIAF Mercado de Renta Fija in accordance with current legislation and the requisites of its ruling bodies.
If the admission to listing fails to comply with the term established, the Sociedad Gestora will inform the Bondholders, including the reasons for the failure through a national newspaper, despite the eventual responsibility of the Sociedad Gestora if such failure can be attributed to it.
5.2 Financial Agent.
The financial service of the Bond issue will be attended through the Financial Agent. The Sociedad Gestora, in the name of the Fondo, and Banco Popular Español SA will sign the agreement regulating these functions, and described in section 3.4.7.1 of the Additional Building Block. The Financial Agent’s details are listed in section 5.2 of the Registration Document.
6 EXPENSES OF THE OFFER.
The expected incorporation, issue and admission to listing expenses are the following:
INITIAL EXPENSES EUROS
CNMV Fees 41,836.35CNMV Fees for Admission to Listing 9,646.38AIAF Fees 37,700.00IBERCLEAR 1,160.00
Notary fees, legal advice, audit, initial commission of the Sociedad Gestora, translation, printing, underwriting commission and others. 444,657.27
TOTAL EXPENSES 535,000.00
7 ADDITIONAL INFORMATION.
7.1 Declaration regarding the capacity of the advisers mentioned in the Securities Note.
Clifford Chance, an independent advisor, has provided legal advice on the incorporation of the Fondo and the issue of the Bonds and has revised the declarations regarding the taxation of the Fondo that are included in section 4.5.1 of the Registration Document.
7.2 Other information in the Securities Note audited or revised by auditors.
Not applicable.
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7.3 Declaration or report attributed to an individual acting as an expert.
PriceWaterhouseCoopers has audited a series of attributes of the Mortgage Loans in the terms covered in section 2.2 of the Additional Building Block.
7.4 Information originating from third parties.
As part of its duties to verify the information contained in this Prospectus, the Sociedad Gestora has received confirmation from the Seller regarding the accuracy of the characteristics of the Seller and the Mortgage Loans, included in section 2.2.8 of the Additional Building Block, and also regarding the remaining information on the Seller and the Mortgage Loans included in this Prospectus. The Seller will ratify to the Sociedad Gestora the fulfilment of such characteristics on the Date of Incorporation in the Deed of Incorporation.
The Sociedad Gestora confirms that the information provided by the Seller regarding the Mortgage Loans has been accurately reproduced and that, to its knowledge and from the information provided by such entity, it can determine that no information has been omitted that might render such information inaccurate or misleading or that this Prospectus omits significant facts or data that may be relevant to the investor.
7.5 Rating of the Bonds.
The Sociedad Gestora and the Seller have requested Bond ratings for each Series of Bonds from the Rating Agency in accordance with Art.5 of Real Decreto 926/1998.
On the date of registration of this Prospectus the provisional ratings for the Bonds are:
SERIES MOODY’S
Series A Aaa
Series B Caa1
In the absence of the Rating Agency’s confirmation of any of the preliminary ratings prior to the start of the Subscription Period for the Bonds, the CNMV will be immediately notified, following the procedure established in section 4 of the Additional Building Block. This situation would force the cancellation of the incorporation of the Fondo, the Bond issue and the remaining agreements of the Fondo.
Additional ratings for the Bonds issued by the Fondo may be requested after the Date of Incorporation of the Fondo.
Rating considerations Moody’s has notified the Sociedad Gestora of the following:
1. The ratings assigned measure the loss expected before the Final Date. In Moody’s opinion, the structure permits the due payment of interest and principal of the A and B Bonds during the life of the transaction and, in any event, before the Final Date.
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2. These ratings only measure the credit debts inherent to the transaction; other types of risk, which could have a significant influence on the yield for the investors are not considered.
The rating takes into account the structure of the Bond issue, its legal aspects and those of the issuing Fondo, the characteristics of the Mortgage Loans selected for sale to the Fondo and the regularity and continuity of the flows of the operation.
The ratings assigned do not constitute an evaluation of the probability that the Debtors prepay the principal or in what measure such prepayments vary from the initial assumption. The ratings are, under no circumstance, a rating of the actuarial yield level.
The ratings assigned, together with their revision or suspension:
(i) are issued by Moody’s on the basis of the information received and of which it can’t guarantee their accuracy or that they are comprehensive, so it can not be held in any way responsible;
(ii) do not constitute and can not in any way be interpreted as an invitation, recommendation or encouragement for the investors to undertake any transaction in relation to the Bonds and, specifically, to purchase, maintain, tax or sell such Bonds.
Moody’s may revise, suspend or withdraw the ratings at any time, based on any information that may come to its notice. These events, which do not constitute early liquidation events of the Fondo, shall be immediately notified to the CNMV and the Bondholders, in accordance with section 4 of the Additional Building Block.
In carrying out the rating and monitoring process, Moody’s relies on the accuracy and wholeness of the information provided by the Seller, the Sociedad Gestora, the auditors of the selected Mortgage Loans and the legal advisors.
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ADDITIONAL BUILDING BLOCK TO THE SECURITIES NOTE (ANNEX VII OF THE CE 809/2004 REGULATIONS,
APRIL 29, 2004)
1 SECURITIES.
1.1 Minimum denomination of the issue.
IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS, represented by InterMoney Titulización, SGFT, S.A. will be arranged with the Mortgage Transfer Certificates (defined further on) that the Seller will issue, with a maximum principal equal to an amount as close as possible to 685,000,000 Euros.
1.2 Confirmation that the information relating to a company or debtor taking part in the issue has been exactly reproduced.
Not applicable.
2 UNDERLYING ASSETS.
2.1 Confirmation of the capacity of the securitised assets to produce the cash-flow to fund the securities.
The Sociedad Gestora confirms that the flows of principal and financial charges generated by the securitised Mortgage Loans permit, in accordance with their contractual attributes, the payment of all the amounts due that are generated by the Bonds issued.
Nevertheless, in order to cover possible payment delinquencies of the Debtors of the securitised assets a credit enhancement structure has been established to increase the security or regularity in the Bond payments that mitigate or neutralise the differences of interest rate between the assets and the Bonds of each Series. Exceptional circumstances may render the credit enhancement instruments insufficient. These transactions are described in sections 3.4.2 of the Additional Building Block.
As not all the Bonds issued have the same default risk, the Rating Agency has assigned to each Series of Bonds the ratings detailed in section 7.5 of the Securities Note.
In the event of (i) a substantial alteration of the Fondo or permanently distorting the balance of the Fondo as a result of any event or extraordinary circumstance of any nature external to the Fondo, or (ii) a payment default indicating a serious and permanent unbalance affecting any of the Bonds happens or is expected to happen, the Sociedad Gestora will proceed to the Early Liquidation of the Fondo and the early amortisation of the Bond Issue in accordance with the rules of section 4.4.3 of the Registration Document.
The Sociedad Gestora makes the above statements on the basis of the declarations made by the Seller regarding the Mortgage Loans likely to be sold that are included in section 2.2.8 of the Additional Building Block, of all the information provided by the Seller on each Mortgage Loan likely to be sold, of their audit report and the valuation resulting from the provisional rating assigned by the Rating Agency to the Bonds.
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2.2 Assets backing the issue.
The Mortgage Transfer Certificates to be grouped in the Fondo participate of the Mortgage Loans, selected from a loan portfolio of private individuals (none self-employed) with a mortgage guarantee related to properties.
On the Date of Incorporation the Seller will sell Mortgage Transfer Certificates from the selected Mortgage Loans in the Eligible Portfolio. The Eligible Portfolio has 6,135 Mortgage Loans with an Outstanding Principal Balance Not Due of 851,281,395.42 Euros on 3 February 2010.
The Outstanding Principal Balance Not Due of a Mortgage Loan shall be the outstanding principal of the Mortgage Loan on a particular date. The Outstanding Principal Balance Not Due of the Mortgage Loans shall be the sum of the Outstanding Principal Balance Not Due of all the Mortgage Loans on a particular date.
The assets of the Fondo are linked to the payments made by the Debtors and therefore, they are directly affected by the evolution, arrears, prepayments or any other event of such Debtors.
Mortgage Loans’ Audit Report. In accordance with Art.5 of Real Decreto 926/1998, Pricewaterhouse Coopers has audited the Eligible Portfolio. This report has been carried out using sampling techniques, a method generally accepted to verify an entity’s registries in relation to a group of entries (population), and allowing for a conclusion of said population through the analysis of the number of entries (sample) below the total population. The level of confidence indicates the possibility that the real number of entries with deviations in respect of the existing trend in a real population does not exceed a predetermined limit (precision). The size of the sample and the level of confidence chosen, determine that the absence of errors in the sample corresponds to a maximum number of errors inferred for the population, other than zero.
Those Mortgage Loans that have been selected from the audited Portfolio and which present errors during the authentication will not be sold to the Fondo on the Date of Incorporation.
The Sociedad Gestora hereby declares that all the Mortgage Transfer Certificates to be grouped in the Fondo on the Date of Incorporation will derive from Mortgage Loans from the Eligible Portfolio audited and referred to in this section.
The results of the audit are included in a Pricewaterhouse Coopers report available for consultation in accordance with section 10 of the Registration Document.
PriceWaterhouseCoopers details are included in section 5.2 of the Registration Document.
2.2.1 Legal jurisdiction governing the group of assets.
Spanish Law governs the securitised assets.
2.2.2 General characteristics of the debtors; and the economic environment, and global statistical data referred to the assets to be securitised.
The following tables show the most relevant distributions of the Mortgage Loans:
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a) Distribution by date of issue Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Grouped by Origination Date
ORIGINATION DATE
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE 1997 5 100,477.23 0.01% 77 227 5.31 1998 4 175,494.12 0.02% 94 234 3.89 1999 9 407,516.91 0.05% 90 232 4.90 2000 5 287,231.84 0.03% 102 222 4.26 2001 14 1,058,863.27 0.12% 156 258 2.99 2002 193 13,944,426.29 1.64% 258 349 3.88 2003 518 46,633,190.34 5.48% 282 361 3.45 2004 417 43,310,705.03 5.09% 278 348 3.10 2005 533 71,756,804.90 8.43% 297 353 2.94 2006 1,140 157,665,188.13 18.52% 335 378 3.53 2007 1,522 235,706,930.98 27.69% 359 392 3.65 2008 878 131,288,736.75 15.42% 348 369 3.55 2009 897 148,945,829.63 17.50% 340 350 3.01 TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41 More recently loan granted: 06/08/2009
b) Distribution by seniority of the loans
Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Antiquity
ANTIQUITY Number
of Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE
WEIGHTED ANTIQUITY
0 - 12 817 136,174,240.54 16.00% 342 351 2.96 8.1812 - 24 853 126,632,509.16 14.88% 345 365 3.51 17.5424 - 36 1,485 232,409,907.65 27.30% 359 391 3.68 30.0836 - 48 1,225 170,795,489.58 20.06% 337 379 3.55 40.4648 - 60 551 75,108,502.88 8.82% 299 354 2.94 53.2460 - 72 414 44,166,566.26 5.19% 279 347 3.08 65.5572 - 84 535 47,833,181.21 5.62% 282 361 3.44 76.8784 - 96 214 15,815,663.06 1.86% 259 350 3.83 89.1196 - 108 18 1,374,614.98 0.16% 188 289 3.30 99.53108 - 120 3 84,965.00 0.01% 69 186 3.68 115.87120 - 132 11 609,783.75 0.07% 99 234 4.77 124.42132 - 144 4 175,494.12 0.02% 94 234 3.89 139.15144 - 156 4 71,101.31 0.01% 74 221 5.32 146.03156 - 168 1 29,375.92 0.00% 84 241 5.30 156.00TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41 34.63
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c) Distribution by current balance
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d) Distribution by current rate Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Grouped by Current Interest Rate
CURRENT INTEREST
RATE
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE
MINIMUM CURRENT INTEREST
RATE
MAXIMUM CURRENT INTEREST
RATE 1,00 - 1,50 336 72,184,858.25 8.48% 364 393 1.38 1.38 1.38 1,50 - 2,00 80 10,919,536.24 1.28% 310 343 1.67 1.50 1.99 2,00 - 2,50 132 23,566,399.90 2.77% 315 342 2.21 2.00 2.49 2,50 - 3,00 828 125,435,238.84 14.73% 328 366 2.59 2.50 2.99 3,00 - 3,50 1,179 159,532,964.23 18.74% 330 373 3.11 3.00 3.45 3,50 - 4,00 1,396 192,376,051.93 22.60% 339 376 3.58 3.50 3.99 4,00 - 4,50 821 101,139,332.40 11.88% 329 366 4.09 4.00 4.48 4,50 - 5,00 677 80,104,620.95 9.41% 338 375 4.55 4.50 4.98 5,00 - 5,50 558 73,923,588.91 8.68% 332 359 5.01 5.00 5.45 5,50 - 6,00 70 6,343,206.08 0.75% 298 330 5.60 5.50 5.99 6,00 - 6,50 43 4,651,457.16 0.55% 232 262 6.12 6.00 6.38 6,50 - 7,00 12 824,989.17 0.10% 240 254 6.61 6.50 6.90 7,00 - 7,50 2 185,151.36 0.02% 156 174 7.00 7.00 7.00 7,50 - 8,00 1 94,000.00 0.01% 167 180 7.75 7.75 7.75
TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41 1.38 7.75
e) Distribution by reference rate
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f) Distribution by margin
g) Distribution by minimum rate
None of the Mortgage Loans in the Eligible Portfolio have maximum interest rates.
44
h) Distribution by term to maturity
45
i) Distribution by date of maturity
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j) Distribution by date of the end of the delay period
Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Date of End of Principal Delay
Date of End of Principal Delay
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE without delay 6,022 826,220,338.39 97.06% 335 372 3.40 2010 61 14,595,855.17 1.71% 278 292 3.78 2011 42 8,558,581.36 1.01% 338 355 3.76 2012 10 1,906,620.50 0.22% 355 375 3.46 TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41
k) Distribution by months in arrears
Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Months in Arrears
ARREARS Number
of Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE without arrears 6,019 835,388,895.42 98.13% 333 370 3.39 <30 53 6,815,578.57 0.80% 337 374 4.05 30-60 63 9,076,921.43 1.07% 344 377 4.23 Total 6,135 851,281,395.42 100.00% 334 370 3.41
l) Distribution by frequency of principal payment
Information as of 03/02/2010
IM BANCO POPULAR MBS 2,
Distribution by Principal Payment Frecuency
Yearly Principal Payments
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE 1 19 3,495,732.79 0.41% 203 239 4.02 2 4 476,207.60 0.06% 248 300 3.67 4 8 1,112,662.19 0.13% 191 224 4.65
12 6,104 846,196,792.84 99.40% 334 371 3.40 TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41
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m) Distribution by frequency of interest payment Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Frecuency of Interest Payment
Yearly Interest
Payments
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE 1 21 3,931,131.25 0.46% 229 262 4.15 2 4 476,207.60 0.06% 248 300 3.67 4 8 1,112,662.19 0.13% 191 224 4.65
12 6,102 845,761,394.38 99.35% 334 371 3.40 TOTAL 6,135 851,281,395.42 100.00% 334 370 3.41
n) Distribution by amortisation system
o) Details of concentration of the 10 largest debtors Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Top-10 Debtors
DEBTOR Number
of Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
% (*)
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE Debtor 1 1 1,702,656.95 0.20 228 240 3.500 Debtor 2 1 1,400,000.00 0.16 232 240 2.375 Debtor 3 1 1,295,367.80 0.15 283 300 4.500 Debtor 4 2 1,162,843.98 0.14 230 300 3.125 Debtor 5 1 1,059,960.87 0.12 328 360 1.375 Debtor 6 1 935,527.07 0.11 340 361 4.000 Debtor 7 1 893,000.00 0.10 233 240 2.375 Debtor 8 1 812,616.41 0.10 294 361 2.500 Debtor 9 1 811,935.08 0.10 171 241 3.375 Debtor 10 3 802,892.41 0.09 228 241 5.375 TOTAL 13 10,876,800.57 1.28 256 285 3.232 (*) Percentage over total portfolio
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p) Distribution by LTV ratio
q) Distribution by geographical region of the guarantee
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r) Distribution by type of property as guarantee
s) Distribution by purpose of the loan
50
t) Distribution by loans part of State Protected Property agreement
Information as of 03/02/2010
IM BANCO POPULAR MBS 2, FTA
Subsidised Housing
SUBSIDISED HOUSING
Number of
Loans
TOTAL CURRENT BALANCE
(Euros)
CURRENT BALANCE
%
WEIGHTED RESIDUAL MATURITY (months)
WEIGHTED INITIAL
MATURITY (months)
WEIGHTED CURRENT INTEREST
RATE NO 6,066 844,748,008.26 99.23% 334 370 3.41 YES 69 6,533,387.16 0.77% 320 379 2.59 Total 6,135 851,281,395.42 100.00% 334 370 3.41
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2.2.3 Legal nature of the assets.
As indicated, all the assets will be credit rights derived from loans with a mortgage guarantee on built properties located in Spain. The Seller has granted them to private individuals that are subject to Spanish Law.
The sale of the Mortgage Loans will take place through the Seller’s issue of the Mortgage Transfer Certificates from which they derive. The Fondo will subscribe them so that they may be grouped in the asset securitisation fund, in accordance with Real Decreto 926/1998 and the following sections.
The Mortgage Transfer Certificates will be issued in accordance with Disposición Adicional Quinta of Ley 3/1994, in the wording set out by Ley 41/2007, Ley 2/1981 and Real Decreto 716/2009.
2.2.4 Date or dates of the maturity of the assets.
Each Mortgage Loan selected has a final maturity date despite its periodical partial amortisation quotas, in accordance with the specific conditions of each one.
At any time during the life of the Mortgage Loans the Debtors may prepay a part or the full amount of outstanding principal.
The last maturity date of the Mortgage Loans will be 4 August 2049.
2.2.5 Amount of the Assets.
The maximum amount of the Outstanding Principal Balance Not Due of the Mortgage Loans grouped in the Fondo shall be an amount equal or as close as possible to 685,000,000 Euros.
2.2.6 Loan-to-value Ratio or level of collateralisation.
The tables included in the above section 2.2.2 hold the data related to this section.
2.2.7 Asset creation method.
The Mortgage Loans selected to be sold to the Fondo where granted by the Seller using its current procedures to analyse and evaluate risk transactions. They are described as follows:
Mechanism originating the Mortgage Loans Each new transaction is originated in the branch, in order to make a final decision – by agreement- if such decision is within its powers, or to be reported and sent to the higher level, if it is not. This same rule applies to the following levels, in such a way that the larger transactions are valuated all along the chain of attributions.
In remaining areas, the procedure is similar. Risk proposals originate in the corresponding office that also enjoys delegation attributes for the decision. Above them, the transaction moves along with its prior reports to the appropriate office.
To this effect, the steps in the organisation of the commercial bank area are:
a) The Branch.
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b) Regional Management.
(i) Banco Popular Delegate.
(ii) Area or General Management for Banks and affiliates.
c) Banca Minorista office (Retail Bank).
d) Risk General Management.
e) Risk Delegation Management.
The Board is responsible for determining the number of its members, including the Managing Director, their designation and resignation, and also to determine, following a request from its Chairman, the member of the Commission designated to preside it. The Risk General Manager attends as speaker and, if applicable, other senior directors designated by the Board. The other members of the Board can also attend. When the Chairman attends he may preside the meeting. The Secretary of the Board, the member of the Board selected by the Board or in the absence of these, the Vicesecretary or one of the Vicesecretaries of the Board will act as Sescertay. This meeting is weekly.
The Commission oversees the Group’s market credit risk and operational activity risk, and it constantly valuates the assumed global risk, its sectorial and geographic diversification and the degree of cover that is advisable to preserve the appropriate level of solvency, proposing at all times the most adequate policies to reach such targets.
The Commission proposes the risk control and management policy of the Group to the Board, including:
a) The different risk levels (operational, technological, financial, legal, or reputation and others) the Company faces, including economic and financial, liability contingencies and other off-balance risks;
b) Establishing the level of risk acceptable to the Company;
c) The measured introduced to mitigage the identified risk impact, when they take place; and
d) The information and internal control systems to be used to control and manage such risk.
The Commission analyses and makes decisions on the credit and guarantee petitions that meet the risk attributions delegated to other units of the Group through a signature or a series of signatures. The details of the Risk Delegate Commission’s attributions are included in the Risk Management chapter of the Management Report. The Commission also discusses general and sectorial risk policies.
1. RISK PREVENTION Responsible for the design and management of a system that allows the identification, measurement and monitoring of risk in difficulty using a system of rating and permanent monitoring of the credit risk to be able to value the quality of the creditor and the policy to be implemented, in such a way that it establishes warning mechanisms for the evolution of certain clients and their transactions, anticipating possible difficulties and providing preventive measures for such risk.
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Depending on the level of delegated attributions, these are reduced or cancelled for clients with restrictive policies, elevated PD levels, or if they are delinquent or in arrears.
2. ATTRIBUTIONS Banco Popular has established a formal system of attributions for risk concessions according to which the different levels of hierarchy of the organisation have delegated faculties assigned to them in order to authorise transactions, varying in relation to the rating of the customer, the nature and amount of the risk, elevated PD levels or if there are delinquent or in arrears. These levels will submit risk to a higher level when such faculties are exceeded.
A good attributions policy allows for the risk to be dealt with in the most appropriate level in accordance to its complexity or risk, speeding up the process. The limits are established to control the credit risk exposure at each decision making level, providing the appropriate organisation, resources and human resources for each task, taking into consideration that:
− From the commercial point of view the level of decision affects the speed of reply to a transaction request.
− In the internal administrative order, the need to submit and forward documents to other offices and wait for a reply originates additional work. This fact is a constant concern.
2.1 Delegating attributions. It takes the form of a letter addressed to the unit/individual affected in which the philosophy and reach of the delegated responsibilities are explained, including some further considerations.
Annexed to this letter are documents detailing the minimum interest rates and commissions applicable, some General Risk Considerations (common to all the levels of the Organisation) and another annex on the Procedures to Delegate Attributions to the levels immediate below.
All holders of attributions located in the different levels of the organisation hold them in writing, and they constitute the definition and reach of their direct responsibilities, establishing their limits.
2.2 Standardised analysis and support tools. i. Integrated in the admission process and as a reinforcement of the
decision making process related to asset transasctions, the Group has analysis models for the credit rating of the creditors.
i. Electronic file: summarises the current and historical position of the customer and gives a global view of assets, liabilities, the services the customer uses, detailing the returns obtained and the historical evolution of its CIR, risk policies assigned, level of rating/scoring at company or economic Group level and any incidents detected in the information available for such end.
2.3 Term of the authorisations. Once the transaction has been authorised there is period of 1 month to formalise it. Once this term has elapsed, a new authorisation is required therefore the process of authorisation must be initiated again.
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3. SIGNATURE AND MONITORING OF THE TRANSACTIONS Once the appropriate level of decision-making has approved the transaction, the following steps must be carried out:
To strictly adhere to the conditions of the authorisation and monitor the correct instruction of the operations to avoid legal faults that may affects its security.
To prevent arrears by constantly monitoring the development of the operations and the clients, giving particular attention to the analysis of the technical alerts issued by the Control computer systems.
To update and analyse the estate information of all the creditors in accordance with what is instructed at each given time, and to revise the policies and ratings assigned with the periodicity required.
When a creditor falls into arrears every possible step must be carried out to remove it from that situation, in accordance with section 3.7.2.2 of the Additional Building Block.
To extract conclusions from defaulted operations and distribute them to maximise its learning value, updating the automated alerts on the basis of such experience.
2.2.8 Significant Representations given to the issuer relating to the assets.
The Sociedad Gestora here reproduces the representations and guarantees made by the Seller, as holder of the Mortgage Loans until they are sold to the Fondo, and to be ratified in the Deed of Incorporation to the Sociedad Gestora, as Fondo representative (in relation to the Seller, the Mortgage Loans and the Mortgage Transfer Certificates).
Regarding the Seller 1) That it is a financial entity rightly constituted in accordance with
current legislation, it is registered in the Companies House and in the Bank of Spain’s Credit Entity Registry, and is authorised to grant loans;
2) That neither to date or at any other time since its incorporation has it been insolvent, in suspension of payments, bankrupt or up for auction and neither has it been the subject of any administrative procedure that concludes in an implication to revoke its authorisation as credit entity;
3) That it has obtained all the necessary authorisations, both administrative and corporate to grant the Deed of Incorporation, any compromises assumed in such Deed and any other agreement related with the Fondo’s incorporation;
4) That is has audited individual and consolidated accounts for the years ending on 31 December 2007, 2008 and 2009, and that the latter is favourable. These annual accounts and audit reports have been deposited at the CNMV and the Companies House in accordance with current legislation; and
5) That they meet all applicable legislation in the matter of data protection.
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Relating to the Mortgage Loans 1) That all the Mortgage Loans are duly documented and authenticated
in a public deed. That the Seller holds at its registered address such contractual documents, available to the Sociedad Gestora;
2) That all the Mortgage Loans exist, are valid and enforceable in accordance with current legislation;
3) That the Seller rightfully owns all the Mortgage Loans, free of interim payments and claims, and there is no impediment to sell them to the Fondo;
4) That all the Mortgage Loans are in Euros and are paid exclusively in Euros;
5) That the data related to the Mortgage Loans included in this Prospectus and to be included in the Deed of Incorporation accurately reflect and will reflect the current situation on the Date of Incorporation, as set out in the public deeds that document the Loans, and that such data are accurate, complete and do not lead to error. Any additional information regarding the characteristics of the Mortgage Loans included in the Prospectus is accurate and does not lead to error;
6) That the criteria summarised in section 2.2.7 of this Additional Building Block and the Deed of Incorporation are those regularly used by the Seller when granting the Mortgage Loans included in the portfolio. These procedures have not varied in relation to those described in said section;
7) That all the Mortgage Loans have been granted to individuals;
8) That all the Mortgage Loans have been granted by a branch of the Seller without the intervention of a mediator or intermediary;
9) That all the Mortgage Loans are clearly identified and properly deposited at the Seller, both in IT files and in their public deeds, and are analysed and monitored by the Seller, in accordance with standard procedure;
10) That from the moment they are granted all the Mortgage Loans are being serviced by the Seller in accordance with its standard procedures for granting loans;
11) That the Seller is not aware of the existence of legal claims of any kind in relation to the Mortgage Loans that may adversely affect their validity or that may force the application of Art.1535 of the Código Civil (Civil Code). Equally, the Seller declares that to its knowledge, none of the Debtors are involved in bankruptcy procedures;
12) That the Seller, to date, has no knowledge that any Debtor of the Mortgage Loans is in a position to oppose a settlement right (“derecho de compensación”);
13) That in the private deeds that document the Mortgage Loans there are no clauses that prohibit the sale of the Mortgage Loans or in which any authorisation is necessary to carry out such sale;
14) That the guarantees, in each case, of the Mortgage Loans are valid and enforceable in accordance with current legislation and that there
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is no knowledge of the existence of any circumstance that may prevent their execution;
15) That none of the Mortgage Loans has been granted to the Seller’s employees;
16) That no person has preferential rights over the Fondo, as holder of the Mortgage Loans, for the collection of amounts it generates, except legal rights;
17) That at the time of the granting of the Mortgage Loans, and all related aspects, have been carried out and will be carried out in accordance with market criteria;
18) That all the Mortgage Loans have been granted to residents in Spain;
19) That the quota payment of all the Mortgage Loans is carried out by direct debit from the account of the debtor opened at the Seller;
20) That none of the Mortgage Loans has a maturity date beyond 4 August 2049;
21) That the principal of all the Mortgage Loans has been fully disbursed;
22) That the Mortgage Loans are not financing real estate promotions under construction;
23) That all the Mortgage Loans are backed by a senior mortgage that covers all the properties and that these are not subject to any prohibition to sell them, that they are not affected by any settlement conditions or any other limitation to their ownership;
24) That all the Mortgage Loans are formalised in a public deed and that all the mortgages are duly incorporated and registered in the appropriate Property Registers, that the registration data correspond to those mentioned in the Multiple Deed. The inscription of the mortgaged properties is updated and not affected by any contradiction;
25) That all the mortgaged properties have been finished and are located in Spain and have been appraised by appraisal companies registered with the Bank of Spain and that such appraisal has the appropriate certificate. The appraisals meet all the legal requirements of the mortgage market. Specifically, properties affected by State Protection with a maximum sale value have been appraised at such value;
26) That the LTV ratio of the Mortgage Loan falls between 22.12% and 119.26%;
27) That the Mortgage Loans do not meet any of the characteristics of excluded or restricted credit backing the issue of Mortgage Transfer Certificates, in accordance with Art.12 of Real Decreto 716/2009 to act as cover for the issue of Mortgage Transfer Certificates. The mortgaged properties are not subject to a prohibition to sell them, are not affected by settlement conditions or any other limitation to their ownership;
28) That the Mortgage Loans do not generate security titles bearing a person’s name, an order or payable to the bearer;
29) That the Mortgage Loans are not subject to any issue of mortgage bonds, mortgage shares or mortgage transfer certificates other than this issue of the Mortgage Transfer Certificates and, that from such
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issue, the Mortgage Loans will not be subject to any issue of cédulas hipotecarias, mortgage bonds, mortgage shares or any other mortgage transfer certificates;
30) That the mortgaged properties have been insured, at least, against damage and fire through individual policies and/or global policies in favour of the Seller, and that the amounts insured are not lower than the appraisal value of the mortgage properties, in accordance with the appraisal agency, exclusing those elements that can’t be insured or, if applicable are not lower than the current value of the loan;
31) That the Seller is not aware of the existence of any circumstance that prevents the foreclosure of the mortgage guarantee;
32) That the mortgages backing the Mortgage Loans are either registered as a first rank mortgage, or that the Seller holds the documentation that certifies the financial cancellation of debt guaranteed by such preferential burdens;
33) That the data and information related to the Mortgage Loans selected to be sold to the Fondo and covered in section 2.2.2 of this Additional Building Block reflect the situation on the date to which they correspond and are correct and complete;
34) That on the Date of Incorporation, no notice for the early amortisation has been received from the Mortgage Loans from which the Mortgage Transfer Certificates derive;
35) That the Seller will not issue Mortgage Transfer Certificates backing Mortgage Loans that have notified their early amortisation;
36) That on the Date of Incorporation of the Fondo none of the Mortgage Loans to be sold to the Fondo will have delays in payment above 30 days. Additionaly, the Outstanding Principal Balance Not Due of the Mortgage Loans sold with delays equal or lower than 30 days will not exceed 2% of the Outstanding Principal Balance of the Mortgage Loans on the Date of Incorporation;
37) That, prior to their acquisition, each Mortgage Loan will have paid at least one quota;
38) That the Mortgage Loans sold on the Date of Incorporation are at least 3-months old;
39) That the Mortgage Loans from which the Mortgage Transfer Certificates have an amortisation system of periodical payments. There are no bullet amortisation Mortgage Loans;
40) That on the Date of Incorporation of the Fondo the Initial Balance Not Due of the Mortgage Loans granted to a single Debtor does not exceed 0.25% of the initial amount of the issue.
In respect of the Mortgage Transfer Certificates 1) That the Board of Directors of the Seller has approved all the
necessary agreements to sell the Mortgage Loans and the issue of the Mortgage Transfer Certificates;
2) That the data relating to the Mortgage Loans included in the Multiple Deed, accurately reflect the current situation, as is included in the IT
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files and public deeds of such Mortgage Loans and that they are correct and complete;
3) That the Certificates are issued in accordance with Ley 2/1981, the modifications introduced by Ley 41/2007, Real Decreto 716/2009 and other applicable legislation and that they fulfil all the requirements therein for the issue of mortgage transfer certificates. This information is consistent with the content established in Annex I of Real Decreto 716/2009 of the special mortgage loan and credit accounting register; and
4) That the Certificates are issued for the same term to maturity and with the same interest as each of the Mortgage Loans from which they originate.
2.2.9 Replacement of the securitised assets.
In the exceptional event that, following the Date of Incorporation and despite the representations of the Seller and its diligence to guarantee their fulfilment, it is detected that any of the Mortgage Loans or corresponding Mortgage Transfer Certificates has vicios ocultos (hidden defects), including that it does not adjust on the Date of Incorporation to the representations of section 2.2.8 of the Additional Building Block, the Seller will:
a) Repair the vicio oculto (hidden defect) in the 30 days following its identification or from the notification from the Sociedad Gestora of such defect;
b) If this is not possible, the Sociedad Gestora will urge the Seller to replace the Mortgage Loan or Mortgage Transfer Certificate for another of similar characteristics in respect of type of Agreement, quota term, amortisation system, term to maturity, interest rate, reference rate margin (for variable-rate Mortgage Loans), value of principal pending reimbursement, guarantees and general credit quality, acceptable to the Sociedad Gestora. This replacement will not damage the Bond rating assigned by the Rating Agency.
The Seller, as soon as it is aware that a Mortgage Loan or Mortgage Transfer Certificate has a hidden defect, including that it does not meet the declarations of section 2.2.8 of this Additional Building Block, will immediately notify the Sociedad Gestora and indicate those Mortgage Loans or Mortgage Transfer Certificates it intends to sell to replace those affected.
In the event of the replacement the Seller must prove that the new Mortgage Loan and/or Mortgage Transfer Certificate meets the representations of section 2.2.8 of the Additional Building Block. The Seller will pay any expenses generated by the replacement of the Mortgage Loans and the issue of the Mortgage Transfer Certificates described in this section.
Subsidiary to the above obligations (a) and (b) and in those situations, equally exceptional, in which the hidden defect, included that it does not meet the above declarations, is not corrected in the required term or that such correction is not possible, the Seller will cancel the Certificate and reimburse the Fondo in cash for the amount pending reimbursement, interest accrued and not paid, and any other amount that might correspond to the Fondo until that date from the Mortgage Transfer Certificate, amount that will be deposited at the Treasury Account.
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The replacement will comply with the requisites of current legislation concerning the sale of the replacing Credit Right and the replaced one. The replacement will be notified to the Rating Agency and CNMV.
2.2.10 Insurance policies relevant and related to the securitised assets.
Properties mortgaged as guarantee for the Mortgage Loans have been insured against damage through individual or global insurance policy arranged by the Seller. The amount insured will not be lower than the appraisal value of the mortgage properties minus the value of elements that can’t be insured, or if applicable the current value of the loan.
In the event of a lack of individual insurance or of insufficient insured amounts arranged by the Debtors, the mortgaged properties that are guarantee for the Mortgage Loans have been insured against damage through a subsidiary Global Insurance Policy arranged by the Seller for the appraisal value of the property minus elements that are uninsurable, of 386,441,639.36 Euros. This insurance guarantees damage cover if such does not exist or if the amount arranged by the debtor is insufficient. The value insured corresponds to the appraisal value minus uninsurable goods. This policy has been arranged with Allianz Seguros.
The only data is presented for concentration collateral purposes in an insurance company, as a consequence, it is not possibly to confirm the absence of concentration in another company.
2.2.11 Information related to the debtors when the securitised assets include obligations from five or less debtors that are legal entities, or if a single debtor represents 20% or more of the assets, or if a debtor entails a significant part of the assets.
Not applicable.
2.2.12 Details of the relationship, if material to the issue, between the issuer, the guarantor and the debtor.
There is no relationship between the Fondo, the Sociedad Gestora and other participants in the transaction other than those covered by sections 5.2 of the Registration Document.
2.2.13 If the assets include fixed income securities, description of the main conditions.
Not applicable.
2.2.14 If the assets include equity securities, description of the main conditions.
Not applicable.
2.2.15 If the assets include equity securities that are not traded in an official market or equivalent, if they represent more than 10% of the securitised assets, description of the main conditions.
Not applicable.
2.3 Assets actively managed which are backing the issue.
Not applicable.
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2.4 Declaration in the event that the issuer intends to issue new securities backed by the same assets and description of the method used to notify the holders of this class.
Not applicable.
3 STRUCTURE AND TREASURY.
3.1 Description of the structure of the transaction.
3.1.1 Diagram of the transaction
3.1.2 Initial balance of the Fondo.
ASSETS LIABILITIES
A Bonds 596,000,000Credit Rights 685,000,000 B Bonds 89,000,000 Subordinated Loan for Initial Expenses 535,000
Treasury (Reserve Fund) 55,335,000 Subordinated Loan for the Reserve Fund 54,800,000
Total Assets 740,335,000 Total Liabilities 740,335,000
Swap Swap
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3.2 Description of the entities participating in the issue and description of the functions to be performed by them.
The description of the institutions taking part in the issue and the description of their respective duties are included in section 5.2 of the Registration Document.
3.3 Sale of the Mortgage Loans.
3.3.1 Procedure to sell the Mortgage Loans.
The sale of the Mortgage Loans be carried out through the Seller’s issue of the corresponding Mortgage Transfer Certificates. They will be subscribed by the Fondo in accordance with Real Decreto 926/1998 and the following sections.
The Seller will issue and the Fondo will subscribe, on the Date of Incorporation, as many Mortgage Transfer Certificates as Mortgage Loans are being sold, for an amount equal to the Outstanding Principal Balance Not Due of such Mortgage Loans, subject to the terms and conditions included in the Deed of Incorporation and the Prospectus.
The Mortgage Transfer Certificates are issued in accordance with Disposición Adicional Quinta of Ley 3/1994, Ley 2/1981 and Real Decreto 716/2009.
Each Mortgage Transfer Certificate has a share of 100% of the Outstanding Balance Not Due of each Mortgage Loan and will accrue an interest rate equal to the principal interest rate accrued by each one of them, and will imply the sale of as many accessory rights generated by the Mortgage Loan, in the terms established in each agreement and that are inherent to them from the Date of Incorporation.
3.3.2 Price and sale procedure.
The price of sale shall be Outstanding Principal Balance Not Due of each Mortgage Loan grouped in the Fondo on the Date of Incorporation. The Fondo will pay this amount to the Seller as a result of its subscription of the Mortgage Transfer Certificates on the same Date.
The Sociedad Gestora will pay this price, on behalf of the Fondo, to the Seller on the Closing Date, value that day, once the Fondo has received the subscription price of the Bonds.
3.3.3 Rights conferred to the Fondo through the sale of the Mortgage Loans.
Each Mortgage Share and Mortgage Transfer Certificate has a share of 100% of the Outstanding Principal Balance Not Due of each Mortgage Loan from the Date of Incorporation and for the same term to maturity of each one. The Fondo will be entitled to receive the following amounts:
q Mortgage Loan regular principal: all payments made by the Debtors of the Loans accrued from the Date of Incorporation (included).
q Mortgage Loan regular interest: all payments made by the Debtors of the Loans accrued from the Date of Incorporation (included).
q All Debtor penalty interest payments incurred from the Date of Incorporation (included).
q Any other amount of principal, interest or expenses of the Mortgage Loans resulting from the amount determined by judicial resolution or notary procedure in the foreclosure of mortgage or non mortgage guarantees, the sale or exploitation of the properties or goods or, as a
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result of these, the administration or temporary possession of the foreclosed properties.
Principal and interest of the Mortgage Loans due and accrued prior to the Date of Incorporation will correspond to the Seller who will collect them with preference over the amounts due to theFondo when the Debtor makes the payment.
The amounts paid by the Debtors of the Mortgage Loans including those derived from any accessory right, such as penalty interest, compensation from insurance policies, payments made by possible guarantors, etc. will correspond to the Fondo, as holder of the Credit Rights, except commissions for the reclaim of unpaid receipts, subrogation commissions, early amortisation or amortisation commissions or any other commission or expense which will correspond to the Seller.
The Seller will undertake to make all the necessary notification so that such payments are made to the Sociedad Gestora.
3.3.4 Responsibility of the Seller.
The Seller, in accordance with Art.348 of the Código de Comercio and Art.1529 of the Código Civil (Civil Code) will be responsible before the Fondo solely for the existence and ownership of the Mortgage Loans sold, and the title under which it carries out the sale, but will not assume any responsibility for the default of the Debtors of the Mortgage Loans, either for their principal, interest or any other amount due from the Mortgage Loans. Neither will it assume, under any other form, responsibility in guaranteeing directly or indirectly the success of the transaction, neither will it grant guarantees or endorsements, either in virtue of the Deed of Incorporation or any other agreement or contract, and notwithstanding the responsibilities generated by the Seller’s declarations, included in section 2.2.8 of this Additional Building Block and the commitments it has undertaken and which are included in sections 2.2.9, 3.4 and 3.7.2 of the Additional Building Block and that relate to the management of the Mortgage Loans.
In the event that the Fondo is forced to pay third parties any amount resulting from the subscription of the Certificates or the sale of the Mortgage Loans that have not been paid on the Date of Incorporation of the Fondo as a result of the incomplete information of the Mortgage Loans provided by the Seller, the latter will be responsible to the Fondo for any damage, expense, tax or penalty incurred.
3.3.5 Fund advance.
The Seller will not advance any amount to the Fondo on behalf of the Debtors, either for principal, interest or any other amount due from the Mortgage Loans.
3.3.6 Sale notification.
The Seller will continue to service the Mortgage Loans in accordance with section 3.7.2 of this Additional Building Block. The Sociedad Gestora and the Seller will agree not to notify the Debtors of the sale of the Mortgage Loans or the issue of the Mortgage Transfer Certificates on the Date of Incorporation.
Nevertheless, the Sociedad Gestora will instruct the Seller of the obligation to notify the sale of the Mortgage Loans. It will also notify the Seller that the payments generated by the Mortgage Loans will only be releasable if they are made in the name of the Fondo into the Treasury Account, and to the Debtors. And, if applicable, to any guarantor of the Mortgage Loans and the
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underwriters related to them, as soon as it considers it appropriate. Such notification will take place in the event of the replacement of the Seller as Servicer of the Mortgage Loans and in the event of bankruptcy, administrative or judicial intervention of the Seller, including by the Bank of Spain. For this notification the Sociedad Gestora will make use of the communication channel it considers to be most rapid and efficient.
Following the above paragraph, the Sociedad Gestora will be entitled to request from the Seller, and the Seller the obligation to supply any information the Sociedad Gestora considers necessary or convenient.
When required to do so by the Sociedad Gestora the Seller will immediately notify the Debtors and, if applicable, any guarantor of the Mortgage Loans and the underwriters of such loans, of the sale of the Mortgage Loans and will vouch to the Sociedad Gestora, in the 5 Business Days that follow the instruction, for the positive notification to the Debtors by presenting receipt of such communication.
Together with this instruction to notify, the Sociedad Gestora will forward to the Seller a list of the expected payments for the current and the immediately following Collection Periods, in accordance with the data available to the Sociedad Gestora at such time. In any event, from the date in which the Seller receives this list it will immediately transfer to the designated account (at an entity with a short-term rating of P-1 (Moody’s)) any amount generated by the Mortgage Loans it has in its power at that moment and will continue to transfer, on a daily basis, any amount it continues to receive from them. Nevertheless, the Seller issues the widest possible legal powers to the Sociedad Gestora so that it can notify the sale of the Mortgage Loans when it considers it necessary. In particular, the Sociedad Gestora will immediately notify the sale of the Mortgage Loans if in the above situations the Seller does not vouch its positive notification in the 5 Business days thereto established.
In this respect, the Seller undertakes to immediately notify the Sociedad Gestora of the occurrence of bankruptcy or administrative intervention.
The Seller will pay all the notification expenses to the Debtors even when carried out by the Sociedad Gestora and undertakes to work together with the Sociedad Gestora in such notifications.
3.3.7 Mortgage Loan yield withholding.
The returns from the Mortgage Transfer Certificates that constitute income of the Fondo are not subject to Corporate Tax, as is established by Real Decreto 1777/2004 de Julio (Rules for Corporate Tax Act).
In the event that any direct or indirect tax is established in the future that affects such payments, they will be paid by the Seller and reimbursed to whom they correspond if they are recovered by the Fondo.
3.3.8 Set-off.
In the event that any Debtors has a legal credit right or an opposable claim against the Seller and, therefore, as a result any Mortgage Loan is settled in full or in part, the Seller will resolve such circumstance with the debtor and if such remedy is not possible, will transfer to the Fondo the amount compensated plus interest accrued that would have corresponded to the Fondo until the day of the transfer, calculated in accordance with the applicable conditions of the corresponding Mortgage Loan.
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3.4 Explanation of the fund flows.
3.4.1 How the asset flows will meet the Issuer’s obligations with the Bondholders.
In accordance with this section, the Fondo will attend the payment obligations generated by the Bonds and other liabilities that comprise its estate by applying the resources originating from the Mortgage Loans and other applicable rights. The Fondo will, in addition, arrange other credit enhancement mechanisms that are included in this section. These mechanisms will be applied in accordance with the rules established in the Prospectus and will be directed to enable the flows to which the Fondo is entitled to attend the payment obligations, in accordance with the Priority Order of Payments.
Quarterly, on each Payment Date, it will pay the holders of Bonds the interest accrued and the reimbursement of the principal of the Bonds of each Series in accordance with the rules established for each Series and the Priority Order of Payments included in section 3.4.6 of the Additional Building Block.
3.4.2 Financial operations arranged and credit enhancement.
3.4.2.1 Financial operations arranged.
In order to consolidate the financial structure of the Fondo, to increase its security or Bond payment regularity, to cover the temporary shortfalls between the flow of principal and interest of the Mortgage Loans and the Bonds, or, in general, to transform the financial characteristics of the Bonds issued, together with complementing the administration of the Fondo, the Sociedad Gestora, in the name and on behalf of the Fondo, will contract the following operations or contracts at the granting of the Deed of Incorporation:
- Subordinated Loan for Initial Expenses, as set out in section 3.4.3.1 of this Additional Building Block.
- Subordinated Loan for the Reserve Fund, as set out in section 3.4.3.2 of this Additional Building Block.
- Treasury Account, as set out in section 3.4.4.1 of this Additional Building Block.
- Principal Account, as set out in section 3.4.4.2 of this Additional Building Block.
- Financial Agency Agreement, as set out in section 3.4.7.1 of this Additional Building Block.
- Financial Swap, as set out in section 3.4.7.2 of this Additional Building Block.
The Sociedad Gestora may extend or modify the agreements it subscribes on behalf of the Fondo and replace each of the participants, including and if necessary arrange additional agreements as long as it is in accordance with current legislation. In any event, such actions will require the prior notification to the CNMV or its prior authorisation (or from the relevant authority), and to the Rating Agency. These actions will not lower the rating assigned to the Bonds by the Rating Agency. Furthermore, such actions will not require the modification of the Deed of Incorporation as long as the Priority Order of Payments is not modified.
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The description of the agreements included in this Prospectus accurately reflects the most relevant information they contain and does not omit any information that might affect the contents of this Prospectus.
Such agreements may be cancelled in the event that the Rating Agency fails to confirm, prior to the start of the Subscription Period, the provisional ratings assigned to the Bonds and that are included in this Prospectus; they will also be cancelled if, prior to the Subscription Date, an unforeseeable or inevitable occurs that prevents the fulfilment of this Prospectus, in accordance with Art.1105 of the Civil Code.
Additionally the Fondo will enjoy the following protection mechanisms and subordinated rights:
- Reserve Fund, as described in section 3.4.2.2 of this Additional Building Block;
- Structure of preference and subordination of the principal and interest of the Bonds established in sections 4.8 and 4.9 of the Securities Note.
3.4.2.2 Reserve Fund.
This credit enhancement arrangement will protect against the possible losses generated by delayed or defaulted Mortgage Loans and, in order to permit the payments of the Fondo in accordance with the Priority Order, the Fondo will have a Reserve Fund.
The Initial Reserve Fund will be funded on the Closing Date from the Subordinated Loan for the Reserve Fund, that is, an amount equal to 54,800,000 Euros.
On each Payment Date, and in accordance with the Priority of Payments, the necessary amounts will be provided with the resources available on the Payment Date so that the Reserve Fund reaches its Minimum Level.
The Minimum Level of the Reserve Fund shall be the lesser of the following:
8% of the Initial Balance of the A and B Series of Bonds.
16% of the Outstanding Principal Balance of the A and B Bonds.
Under no circumstance will the Minimum Level of the Reserve Fund fall below 27,400,000 Euros.
Nevertheless, the Minimum Level of the Reserve Fund will not be reduced, until the Payment Date immediately following the 3 years that follow the Closing Date.
Neither will it be reduced in the event of the following:
- That the Outstanding Principal Balance of the Non Defaulted Mortgage Loans with defaults above 90 days is not above 1% of the Outstanding Principal Balance of the Non Defaulted Mortgage Loans.
- That on the current Payment Date the Reserve Fund can not be provided to reach the Minimum Level required on such Payment Date.
The amounts making up the Reserve Fund will be deposited in the Treasury Account.
If, following the Date of Incorporation of the Fondo, an additional rating is requested for the Bonds issued by the Fondo, the size of the Reserve Fund may be modified if required by the Rating Agency. Under no circumstance will
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the size of the Reserve Fund be lower than the size of the Reserve Fund and that are established in this section.
3.4.3 Details of any subordinated debt finance.
3.4.3.1 Subordinated Loan for Initial Expenses.
The Sociedad Gestora will arrange, in representation and on behalf of the Fondo, with the Seller a commercial subordinated loan agreement for a total amount of 535,000 Euros.
The Loan will be paid on the Closing Date into the Treasury Account opened at the Financial Agent. The Sociedad Gestora will use the amount of the Loan to pay the initial expenses of the incorporation of the Fondo. In the event that amounts remain from this Loan they will be used by the Fondo as Available Resources.
The Loan will accrue a variable interest rate, rest on each Payment Date, equal to the Reference Interest Rate of the Bonds current at any given time, plus a margin of 1.5%, payable on each Payment Date from the first Payment Date (included), and the following on the following Payment Dates, in accordance with the Priority Order of Payments.
The amortisation will take place in 20 equal and consecutive quotas, the first of which will occur on the first Payment Date.
The maturity of the Loan will take place on the first of the following: the Payment Date of its full amortisation, the Final Date or the Date of the Early Liquidation of the Fondo.
The amortisation and payment of interest from the Loan will follow the Priority of Payments in the event that there are sufficient resources to do so. All amounts that, in virtue of the above paragraphs, have not been reimbursed to the Seller will be paid on the following Payment Dates in which the Available Amount allow for such payment in accordance with the Priority of Payments described in section 3.4.6 of this Prospectus.
The amounts due and not paid of this Loan will not accrue penalty interest in favour of the creditor.
3.4.3.2 Subordinated Loan for the Reserve Fund.
The Sociedad Gestora will arrange, in representation and on behalf of the Fondo, with the Seller a commercial subordinated loan agreement for a total amount of 54,800,000 Euros that will be used to establish the Reserve Fund.
The initial principal of the Loan will be transferred to the Treasury Account on the Closing Date.
The Loan will accrue a variable interest rate, rest on each Payment Date, equal to the Reference Interest Rate of the Bonds current at any given time, plus a margin of 1.5%. Payment of this interest will be subject to the Priority Order of Payments described in section 3.4.6 of the Additional Building Block.
The amortisation of the Loan will take place on each Payment Date in an amount equal to the amounts in which the Minimum Level of the Reserve Fund is reduced, once all the prior payments in the Priority Order of section 3.4.6.3 have been met or, eventually, in accordance with the specific Priority Order of Payments for the Date of the Liquidation of the Fondo, established in section 3.4.6.5 of the Additional Building Block.
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The amortisation and payment of interest from the Loan will take place in accordance with the Priority Order of Payments when on the corresponding Payment Date there are sufficient resources to do so. All the amounts that as a result of the above, have not been forwarded to the creditors will be paid on the following Payment Dates in which there are sufficient Available Resources, in accordance with the Priority Order of Payments of section 3.4.6 of this Additional Building Block.
The amounts due and not paid from this Loan will not accrue penalty interest in favour of the creditor.
3.4.3.3 Structure of preference and subordination in the payment of principal and interest of the Bonds.
In accordance with section 4.6 of the Securities Note, Series B Bond interest is subordinated to Series.
Equally, in accordance with section 4.6 of the Securities Note, Series B Bond principal is subordinated to Series A.
3.4.4 Parameters for the investment of temporary excess amounts and institutions responsible for such investment.
3.4.4.1 Treasury Account.
The Fondo will hold an account at the Financial Agent, as Provider of the Treasury Account, in accordance with the Financial Agency Agreement, through which all payments due will be made.
Despite other items to be deposited at the Treasury Account in the future, amounts deposited will be:
(i) Regular principal and interest payment from the Mortgage Loans.
(ii) Income from the payment of delayed interest from the Mortgage Loans.
(iii) Returns generated by the balances of the Treasury Account.
(iv) Other income from the Debtors that are not regular principal and interest payments from the Mortgage Loans and that correspond to the Fondo.
(v) Net amounts that may correspond to the Fondo from the Interest Swap Agreement.
(vi) The amount of the Reserve Fund.
(vii) The result of the liquidation of the assets of the Fondo.
The Treasury Account will make all payments that correspond to the Fondo, following the instructions of the Sociedad Gestora.
The Treasury Account may not have a negative balance against the Fondo. The balances of the Treasury Account will be maintained in cash.
The amounts deposited in the Treasury Account will have monthly interest periods. Interest Accrual Periods coincide with the calendar month. The first liquidation period for the Treasury Account will begin on the Closing Date and end on the last day of the month of the Closind Date. Interest accrued will be cleared and pay in the Treasury Account on the last day of each one of those
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periods, and if such day is not a Business Day, the immediately following Business Day.
The amounts deposited in the Treasury Account will accrue, daily and from the date of their deposit, interest in favour of the Fondo on the basis of a variable interest rate equal to the Reference Interest Rate of the Bonds current at the start of the Interest Period of the Treasury Account.
Moody’s criteria: In the event that the short-term debt of the Provider of the Treasury Account is lowered below P-1 (Moody’s) at any time during the life of the Bonds, or that such rating is suspended, the Sociedad Gestora will notify the Rating Agency and carry out any of the following options, in the 30 Business Days following such event, to guarantee an adequate level of guarantee for the compromises related to the Treasury Account:
a. Obtain from a credit institution with a minimum rating for its short term debt of P-1 (Moody’s), an unconditional, irrevocable and first demand guarantee securing for the Fondo, at the request of the Sociedad Gestora, timely payment by the Provider of the Treasury Account of its obligation to reimburse the amounts deposited at the Treasury Account, during the time that such loss of rating is maintained.
b. Transfer the Treasury Account to a new entity with a short term debt rating of at least P-1 (Moody’s), arranging the highest possible yield for its balance which may be different to that arranged with Banco Popular in the Financial Agency Agreement.
In the event that the short-term risk of the provider of the Treasury Account returns to a rating of P-1 (Moody’s), and in the event of situation (b), the Sociedad Gestora will transfer the balances back to the Provider of the Treasury Account under the Financial Service Agreement.
The Provider of the Treasury Account will pay all costs related to any of the abovementioned situations.
3.4.4.2 Principal Account
The Fondo will hold an account at Banco Popular in which to deposit on each Payment Date until the Date of the Start of the Amortisation, and from the Date of Incorporation of the Fondo, the Amount Available of Principal withheld at rank (v) of the Priority Order of Payments that are not applied to the effective amortisation of all the Series of Bonds during such period.
The Principal Account may not have a negative balance against the Fondo. The balances of the Principal Account will be maintained in cash.
The amounts deposited in the Principal Account will have monthly interest periods. Interest Accrual Periods coincide with the calendar month. The first liquidation period for the Principal Account will begin on the Closing Date and end on the last day of the month of the Closind Date. Interest accrued will be cleared and pay in the Principal Account on the last day of each one of those periods, and if such day is not a Business Day, the immediately following Business Day.
The amounts deposited in the Principal Account will accrue, daily and from the date of their deposit, interest in favour of the Fondo on the basis of a variable interest rate equal to the Reference Interest Rate of the Bonds current at the start of the Interest Period of the Principal Account.
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Moody’s criteria: In the event that the short-term debt of the Provider of the Principal Account is lowered below P-1 (Moody’s) at any time during the life of the Bonds, or that such rating is suspended, the Sociedad Gestora will notify the Rating Agency and carry out any of the following options, in the 30 Business Days following such event, to guarantee an adequate level of guarantee for the compromises related to the Principal Account:
c. Obtain from a credit institution with a minimum rating for its short term debt of P-1 (Moody’s), an unconditional, irrevocable and first demand guarantee securing for the Fondo, at the request of the Sociedad Gestora, timely payment by the Provider of the Principal Account of its obligation to reimburse the amounts deposited at the Principal Account, during the time that such loss of rating is maintained.
d. Transfer the Principal Account to a new entity with a short term debt rating of at least P-1 (Moody’s), arranging the highest possible yield for its balance which may be different to that arranged with Banco Popular in the Financial Agency Agreement.
In the event that the short-term risk of the Provider of the Principal Account returns to a rating of P-1 (Moody’s), and in the event of situation (b), the Sociedad Gestora will transfer the balances back to the Provider of the Principal Account under the Financial Service Agreement.
The Provider of the Principal Account will pay all costs related to any of the abovementioned situations.
The Principal Account will be cancelled after the liquidation of interest that follows the Payment Date of 22 March 2011.
3.4.5 Collection by the Fondo of the payments related to the assets.
The Seller, as Servicer of the Mortgage Loans, will continue to collect all the amounts due from the Debtors and will make its best effort to guarantee that all payments due from the Debtors or third parties are collected in accordance with the terms and conditions of such Mortgage Loans or any other agreements on the corresponding dates.
In the event of delinquencies of the Debtors of the Mortgage Loans, the Seller, as Servicer, will carry out the options described in section 3.7.2 of the Additional Building Block, acting as if it was still holding the ownership of the Mortgage Loans if such actions do not affect the management of the Fondo or the rating assigned to the Bonds by the Rating Agency.
Each Collection Period is defined as the calendar month from the Date of Incorporation and until the extinction of the Fondo. Exceptionally, the first Collection Period will begin on the Date of Incorporation and end on 31 March 2010. The Seller’s payments, as Servicer of the Mortgage Loans, will take place on every Business Day of each Collection Period in the Treasury Account and the amount will correspond to the amounts paid by the Debtors on the immediately prior Business Day.
Currently, the Financial Agent Banco Popular has a short term rating of P-1 (Moody’s).
In the event that Banco Popular’s short-term rating is lowered from P-1 (Moody’s) or such rating is suspended, the Sociedad Gestora, on behalf of the Fondo, will carry out the actions described in section 3.4.4.1 above. In the
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event of option (ii) Banco Popular will transfer to such account all amounts received by the Fondo from the Mortgage Loans. This transfer will take place daily until, when applicable, the rating of Banco Popular returns, at least, to P-1 (Moody’s) or the guaranteed described in section 3.4.4.1 above is obtained, the Sociedad Gestora will instruct the Seller to make the deposits back into the Treasury Account or the one that replaces it in accordance with section 3.4.4.1 of the Additional Building Block.
Nevertheless, the Sociedad Gestora will instruct the Seller to notify each Debtor to pay the amounts due from the Mortgage Loans directly into the Treasury Account if it considers it necessary for the best defence of the interests of the Bondholders or whenever the Seller is compulsory replaced as collection Servicer of the Mortgage Loans, or to an account opened in the name of the Fondo at an entity with a rating of P-1 or higher, or similar acceptable to the Sociedad Gestora. Furthermore, the Sociedad Gestora may request the Servicer to carry out any actions or procedures necessary –including notifying third parties- and, if applicable, official registrations in order to guarantee the maximum efficiency of the accessory guarantees against third parties.
Control of the amounts received from the Mortgage Loans In the first five Business Days of each month the Seller will forward to the Fondo, as information relating to the Mortgage Loans it administers, a detailed report including the following:
- Outstanding principal to be paid from each Mortgage Loan, differentiating between matured and outstanding.
- The amounts received during the previous Collection Period from the established principal from each Mortgage Loan, including prior default recoveries.
- Amounts received during the previous Collection Period from prepayments of principal of each Mortgage Loan, indicating the value date of such prepayments.
- Amounts received during the previous Collection Period from interest from each Mortgage Loan (including prior default recoveries).
- Amounts received during the previous Collection Period from penalty interest, commission and expenses from each Mortgage Loan (including prior default recoveries).
- Current quota and date of the next payment of each Mortgage Loan.
- Current interest rate for each Mortgage Loan and starting date, if applicable.
- Margin over the current interest rate, if applicable.
- Term to maturity (in months) of each Mortgage Loan.
- List of Mortgage Loans declared Defaulted during the previous Collection Period.
- Amount defaulted of each Mortgage Loan of principal, due and not paid.
- Amount of the defaulted of each Mortgage Loan of interest, due and not paid.
- Number of defaulted quotas for each Mortgage Loan.
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- In relation with the defaulted Mortgage Loans, a detailed list of their situation, expected dates for recovery of amounts owed and the amounts, and the legally recovery procedures initiated.
- Information regarding any good or right allocated to the Fondo as a result of the recovery processes initiated.
Additionally, the Seller will provide any other information related to the Mortgage Loans that is requested by the Sociedad Gestora and is necessary to carry out its functions.
Collection Adjustment Period is defined as the 20th of each month or the immediately prior Business Day. On such date, the Sociedad Gestora will proceed to adjust with the Seller the amounts effectively deposited in the Treasury Account during the Collection Period that corresponds to the calendar month immediately prior to such date, are those that should have been deposited in accordance with each Mortgage Loan agreement.
In the event that there are discrepancies between the Seller and the Sociedad Gestora regarding the amount of the adjustment on the Collection Adjustment Date, both parties will endeavour to settle such discrepancies. Nevertheless, if no agreement is reached prior to such Date, the Seller will make a provisional transfer to the Fondo of the amount established and sufficiently justified by the Sociedad Gestora despite the agreement of adjustments at a later date.
The Seller, as Servicer, will pay all costs, expenses and taxes generated by the above options.
3.4.6 Priority Order of Payments.
3.4.6.1 Available Resources.
On the Closing Date, Available Resources shall be the funds received from the issue and subscription of the Bonds, plus those received from the Subordinated Loan for Initial Expenses and the Reserve Fund.
On each Payment Date of the Fondo, Available Resources to meet the payment obligations or withholdings will be the following amounts deposited in the Treasury Account and the Principal Account:
- Amounts deposited in the Treasury Account and the Principal Account (the latter only on the Date of the Start of the Amortisation) as principal, interest and any other concept collected from the Mortgage Loans until the last day of the previous month (included).
- Yield collected by the Treasury Account and the Principal Account during the Interest Periods of the Treasury Account and the Principal Account immediately prior to the Payment Date, and any other that is opened by the Sociedad Gestora on behalf of the Fondo.
- Net amounts received from the Financial Swap Agreement.
- Remaining amounts from the Subordinated Loan for Initial Expenses once the initial expenses have been paid.
- Amounts corresponding to the Reserve Fund.
- Other amounts collected from the Debtors for concepts other than the principal and current interest of the Mortgage Loans and that might correspond to the Fondo, including penalty interest.
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- The result of the liquidation, if and when applicable, of the assets of the Fondo.
The Available Resources will be applied on each Payment Date in accordance with the Priority of Payments that follows.
In the event of the Early Liquidation of the Fondo, the amount from the liquidation of the assets of the Fondo and any amounts deposited in the Treasury Account will also be considered Available Resources (including amounts collected as reimbursement of principal and interest of the Mortgage Loans from the calendar month in which the Early Liquidation takes place).
3.4.6.2 Priority Order of Payments on the Closing Date.
The Available Resources will be applied, on the Closing Date, to pay the purchase of the Mortgage Transfer Certificates grouped in the Fondo, the initial expenses and the initial provision of the Reserve Fund.
3.4.6.3 Priority of Order of Payments for any Payment Date from the Closing Date and different to the Early Liquidation Date of the Fondo.
The Available Resources will be applied to the following concepts on each Payment Date –except the Date of Liquidation of the Fondo and the Date of the Early Liquidation of the Fondo- in the following order, in the event of insufficient resources:
(i) Ordinary and extraordinary expenses and taxes of the Fondo.
(ii) Payment, when applicable, of the Net Amount of the Swap Agreement and, in the event of the cancellation of such Agreement (1) as a result of a breach by the Fondo or (2) if the Fondo is affected by Circunstancias Objetivas Sobrevenidas (Overcome Objective Circumstances, as defined in the Swap Agreement), the settlement amount, without prejudice that if Party B is in breach of the agreement, or it is affected by Circunstancias Objetivas Sobrevenidas or both parties are affected by them, the settlement amounts due by the Fondo are postponed to rank (viii) following.
(iii) Payment of interest of the A Bonds.
(iv) Payment of interest of the B Bonds if they are not postponed to rank (vi) of this Priority of Payments.
(v) Withholding of the Amount Available of Principal.
(vi) Payment of interest of the B Series of Bonds if postponed to this rank, in accordance with section 3.4.6.4 of the Additional Building Block.
(vii) Provision of the Reserve Fund to its Minimum Level on all the Payment Dates other than the one in which the Early Liquidation of the Fondo takes place or the Final Date.
(viii) Payment of the Swap settlement amount due by the Fondo if the agreement is terminated as a result of (1) the breach of Party B, (2) if it is an Affected Party in an Early Amortisation Event as a result of Circunstancias Objetivas Sobrevenidas or (3) when both Parties are affected by such circumstances.
(ix) Interest accrued by the Subordinated Loan for Initial Expenses.
(x) Interest accrued by the Subordinated Loan for the Reserve Fund.
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(xi) Amortisation of the principal of the Subordinated Loan for Initial Expenses.
(xii) Amortisation of the principal of the Subordinated Loan for the Reserve Fund.
(xiii) Payment of the Variable Commission.
3.4.6.4 Rules of postponement in the payment of interest of the B Bonds.
If on the corresponding Payment Date the Outstanding Principal Balance accumulated from the Defaulted Mortgage Loans since the Deed of Incorporation of the Fondo is higher than 5% of the Initial Balance of the Mortgage Loans on the Date of Incorporation, B Bond interest will be postponed to rank (vi) provided that the full amortisation of the A and B Bonds has not taken place or is not going to take place on the corresponding Payment Date.
3.4.6.5 Priority of Payments on the Date of the Liquidation of the Fondo.
The Sociedad Gestora will proceed to liquidate the Fondo in the events covered by section 4.4 of the Registration Document and will apply the Available Resources in the following order:
(i) Liquidation Reserve to pay the final extinction expenses and the liquidation of taxes, administrative expenses and publicity.
(ii) Ordinary and extraordinary expenses and taxes of the Fondo.
(iii) Payment, if applicable, of the Net Amount in virtue of the Swap Agreement and in the event of the cancellation of the Agreement (1) as a result of a breach of the Fondo or (2) when the Fondo is a Party Affected by an Early Amortisation Event generated by Circumstancias Objetivas Sobrevenidas (and defined in the Swap Agreement), the settlement amount despite the fact that if the breach was caused by Party B, or that it is a Party Affected by an Early Liquidation Event generated by Circumstancias Objetivas Sobrevenidas or that both are Affected Parties, the amounts paid by the Fondo are postponed to rank (viii).
(iv) Payment of interest of the A Bonds.
(v) Amortisation of the A Bonds.
(vi) Payment of the interest of the B Bonds.
(vii) Amortisation of the B Bonds.
(viii) Settlement payment to be paid by the Fondo as a result of the Swap Agreement when (1) Party B is in breach, (2) it is a Party Affected by an Early Amortisation Event generated by Circumstancias Objetivas Sobrevenidas or (3) both Parties are affected by Circumstancias Objetivas Sobrevenidas.
(ix) Payment of interest of the Subordinated Loan for Initial Expenses.
(x) Payment of interest of the Subordinated Loan for the Reserve Fund.
(xi) Amortisation of the principal of the Subordinated Loan for Initial Expenses.
(xii) Amortisation of the principal of the Subordinated Loan for the Reserve Fund.
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(xiii) Payment of the Variable Commission.
3.4.6.6 Other Rules of the Priority Order of Payments.
In the event that the Available Resources are insufficient to pay any of the amounts mentioned in previous sections, the following rules will apply:
o When there are different amounts with the same rank in the Priority Order, the Available Resources will be applied pro rata between them in accordance with the maturity order of each amount.
o The funds will be used for the payment of such entries, in accordance with the Priority Order established and pro rata among the payment obligations with the same rank.
o The amounts that remain outstanding will be placed, on the following Payment Date, in the priority order immediately prior to the original entry.
o The amounts due by the Fondo and which have not been paid on their Payment Dates will not accrue additional interest.
3.4.6.7 Variable Commission.
The Seller will be entitled to the Variable Commission. The Variable Commission is accrued daily and is defined as the difference between (i) all the income generated by the Mortgage Loans plus the yield of the Treasury Account, the Principal Account and other that might correspond to the Fondo; minus (ii) all the other expenses of the Fondo, including interest from any financing, those necessary for its incorporation and operation, and the insurance of any default of the Mortgage Loans. On the Date of the Early Liquidation or on the Final Date the remaining amount of the Fondo will also be added, following the liquidation of all the obligations.
In its case, its perceiver will pay all the taxes related to payments made under this entry. In the event that such payments generate compulsory taxation of any amount, the amount due shall be deducted in the necessary amount in order to, by increasing the taxation, the agreed compensation is maintained. Any tribute that may affect the Fondo must be considered to this end.
The Seller may sell, transfer, replace and subrogate the rights and obligations generated by its right to this entry with the prior authorisation from the Sociedad Gestora.
3.4.6.8 Expenses of the Fondo.
In relation to this section,
- Ordinary expenses of the Fondo shall be any necessary expense to its normal operation being accrued or that might be accrued in the future, like the periodical commission of the Sociedad Gestora mentioned in section 3.7.1 of the Additional Building Block, the commissions derived from the Guarantees Agreement, the commission of the Financial Agent, the Management Commission of the Mortgage Loans, the Rating Agency’s fees for monitoring and maintaining the rating of the Bonds, the expenses generated by the accounting registry of the Bonds represented as book entries, the annual account auditing expenses, expenses generated by the amortisation of the Bonds and the expenses generated by the advertising and notifications related to the Fondo and/or the Bonds. These ordinary expenses for the first year have been
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estimated in 350,700 Euros. These amounts will vary in following years, as some of such costs are referenced to the balance of the portfolio, others are fixed and other will be revised in accordance with a general price index.
- Extraordinary expenses shall be the expenses related to the liquidation of the Fondo, expenses generated by the preparation and authentication of the modification of the Deed of Incorporation and the agreements, and also the arrangement of new agreements, the expenses necessary to initiate the foreclosure of the Mortgage Loans and those generated by the necessary recovery actions, extraordinary audit expenses, legal advice and, in general, any other extraordinary expense borne by the Fondo or the Sociedad Gestora, as its representative.
3.4.7 Other agreement relevant to the payment of interest and principal to the investors.
3.4.7.1 Financial Agency.
The financial service of the Bond Issue will be attended through Banco Popular. The Sociedad Gestora, in representation and on behalf of the Fondo will arrange with Banco Popular a financial services agreement to carry out the financial agency of the Bonds issued with charge to the Fondo (hereon, the “Financial Services Agreement”).
The Financial Agent obligations generated by this Agreement are summarised as follows:
o On the Closing Date, to pay the Fondo, before 11 am (CET), by a transfer to the Treasury Account, value that same day, the total amount of the subscription commitment of the Bond Issue that, in accordance with the Management and Subscription Agreement, is paid by the Subscriber of the Bonds.
o On each Payment Date of the Bonds, payment of interest and reimbursement of principal of the Bonds, once the total tax withholdings have been made accordingly with current tax regulations for returns on movable capital.
o On each Payment Date of the Fondo, carry out any payment required by the Sociedad Gestora in relation to the Fondo for expenses and commissions.
o Custody of the Multiple Deed representing the Mortgage Transfer Certificates.
The Financial Agent may subcontract or delegate to third parties with acknowledged capacity, the functions regulated in the Financial Services Agreement, when (i) legally possible, (ii) there is prior written consent from the Sociedad Gestora on behalf of the Fondo, (iii) the ratings assigned to the Bonds by the Rating Agency are not lowered, and (iv) the subcontractor or delegate has waived the right to claim any responsibility from the Fondo. Under the same terms, the Financial Agent may cancel such subcontracts or delegations. Such subcontracting or delegation will not cancel the Financial Agent’s responsibility.
In any event, this subcontracting or delegation will not incur in extra costs or expenses for the Fondo or the Sociedad Gestora. Neither one of them will
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assume any additional responsibility as a result of such subcontracting or delegation.
The substitution will not adversely affect the ratings assigned to the Bonds by the Rating Agency. Any subcontracting will notified to the CNMV and must enjoy, if legally necessary, its previous approval.
Notwithstanding section 3.4.4.1 of the Additional Building Block and in relation to the Treasury Account and the Principal Account, the Sociedad Gestora will be entitled to replace the Financial Agent –in all or some of its functions- if legally possible and, when necessary, the appropriate authorisations from the relevant authorities have been issued. The reason for the replacement must be serious and must imply a danger to the interest of the Bondholders and the Bond ratings. The replacement will be notified to the CNMV and the Rating Agency.
The replaced Financial Agent will pay administrative and management costs derived from the replacement process resulting from the decision adopted by the Sociedad Gestora, in accordance with the Financial Agency Agreement.
Despite the rules of operation of the Treasury Account, in the event that the short-term debt of the Financial Agent is lowered below P-1 (Moody’s), or any such rating is suspended, the Sociedad Gestora will, on behalf of the Fondo, prior notification to the Rating Agency, in the 30 business days following such event any of the following options that will maintain an adequate level of guarantee in respect of the compromises generated by the Financial Agency Agreement and protecting the ratings assigned to the Bonds:
a) Obtain an unconditional and irrevocable upon-request guarantees from another credit institution with a minimum credit rating for short-term risk of P-1 (Moody’s), to guarantee the compromises of the Financial Agent.
b) Replace the Financial Agent with an institution with a short-term credit rating no lower than P-1 (Moody’s), to assume under the same conditions, the duties of the affected institution and established in the appropriate agreement.
The Financial Agent may terminate the Agreement, with at least a 2-month prior notification to the Sociedad Gestora, in accordance with such Agreement, whenever (i) it is replaced with another institution with similar financial characteristics to Banco Popular, with a credit rating for short-term risk of, at least, P-1 (Moody’s), acceptable to the Sociedad Gestora, in the duties established by the Financial Agency Agreement, (ii) the CNMV and the Rating Agency are notified, and (iii) the ratings assigned to the Bonds are not lowered. Additionally, this termination will not take place, except when authorised by the Sociedad Gestora, until the 20th of the month following the month of the Payment Date that followed the termination notice. In the event that the replacement is a result of the waiver of the replaced institution, the latter will pay all costs generated by the substitution process. If the Financial Agency’s rating is lowered below P-1 (Moody’s) the actions described in section 3.4.4.1 of the Additional Building Block will be carried out.
The Financial Agent will receive a commission defined in the Financial Agency Agreement.
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3.4.7.2 Interest Rate Swap Agreement.
The Sociedad Gestora, in representation and on behalf of the Fondo, will settle with Banco Popular an Interest Swap Agreement summarised as follows:
Party A: The Fondo represented by the Sociedad Gestora.
Party B: Banco Popular
Liquidation Dates: they will coincide with the Payment Dates of the Bonds. The first Liquidation Date will be 22 June 2010.
Liquidation Periods: period between two Liquidation Dates, including the first and excluding the last.
Swap notional: the Outstanding Principal Balance of the Bonds at the beginning of the Liquidation Period.
Variable Amount of Party A: for each Liquidation Date, the sum of (i) interest from the Mortgage Loans effectively collected by the Fondo and deposited in the Treasury Account that correspond to the three calendar months immediately prior to the current Liquidation Date; plus (ii) interest effectively collected by the Fondo from the remuneration of the Principal Account accrued in the three calendar months immediately prior to the current Liquidation Date. For the first Liquidation Date, it shall be equal to the sum of (i) interest from the Mortgage Loans collected by the Fondo and deposited in the Treasury Account from the Date of Incorporation and until 31 May 2010; plus (ii) interest collected by the Fondo from the remuneration of the Principal Account accrued from the Closing Date and until 31 May 2010.
Party A payments: On each Liquidation Date, Party A will pay Party B the Variable Amount for Party A.
Interest Rate for Party B: for each Liquidation Period, the average Principal Interest Rate for all the Bonds, applicable on such Liquidation Period, weighed by the Outstanding Principal Balance of each Series of Bonds on the immediately prior Liquidation Date plus a margin of 0.65%.
Variable Amount of Party B: for each Liquidation Period, the result of applying the Interest Rate of Party B to the Notional Amount, in relation to the number of days of the Calculation Period, on a 360-basis. Party B payments: On each Liquidation Date, Party B will pay Party A the Variable Amount for Party B.
Liquidation base: 360 days.
The Amounts to be paid will be liquidated in such a way that, if both parties must pay each other, the Party with the highest amount will make a payment for the excess amount. Swap Agreement breaches: if on a Payment Date Party A (the Fondo) does not have sufficient liquidity to pay the entire amount due to Party B, the outstanding amount will be paid on the following Payment Date whenever the Fondo has sufficient resources to do so, in accordance with the Priority of Payments. If this circumstance occurs on two consecutive Payment Dates, the Swap Agreement may be terminated upon request of Party B. In this case, the Fondo will assume payment of the Swap settlement amount, if applicable, in accordance with the Priority Order of Payments or the Priority Order of Payments for Liquidation of section 3.4.6.5 of the Additional Building Block. Despite this, except in the event of a permanent unbalance of the financial
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equilibrium of the Fondo, the Sociedad Gestora, on behalf of the Fondo, will try to arrange a new interest swap agreement under identical conditions.
If on a Payment Date Party B does not pay the amounts due to the Fondo, the Sociedad Gestora may terminate the Interest Swap Agreement. In this case, Party B will assume payment of the Swap settlement amount established in the Agreement, if applicable. If the Sociedad Gestora carries out this option of early cancellation it will identify another alternative financial entity to replace Party B as soon as possible.
The Sociedad Gestora will calculate the settlement amount, as Swap calculation agent, taking into account the market value for the Interest Swap Agreement.
Special situations for Party B in agreement with Moody’s criteria Party B assumes the following irrevocable undertakings in the Interest Swap Agreement:
i. If, at any time during the life of the Bond Issue, no Relevant Entity holds the First Level of Rating Required (Breach of First Level of Rating), Party B will establish a cash or securities deposit in favour of the Fondo at an entity with a short-term unsubordinated and unsecured debt rating at least equal to P-1 (Moody’s), in accordance with the Interest Swap Agreement.
Party B may, at any given time, avoid the constitution of such deposit if it grants an Apt Guarantee in relation to all the present and future obligations of the Counterparty under the Swap Agreement, by a guarantor with the First Level of Rating Required or it is replaced by an entity with the First Level of Rating Required.
ii. if at any time during the life of the Bond Issue, no Relevant Entity holds the Second Level of Rating Required (Breach of the Second Level of Rating), Party B, acting with due diligence will obtain, in the shortest possible time, (A) an Apt Guarantee for all present and future obligations of Party B under the Swap Agreement by a Guarantor with the Second Level of Rating Required; or (B) a Valid Replacement with the Second Level of Rating Required (or that the Valid Replacement grants an Apt Guarantee in relation with all present and future obligations assumed under the Swap Agreement by a Guarantor with the Second Level of Rating Required).
Until these actions are carried out as indicated above, Party B must, in the 30 Business Days that follow the breach of Second Level of Rating Required, establish a cash or securities deposit in favour of the Fondo at an entity with a short-term unsubordinated and unsecured debt rating of P-1 (Moody’s), in accordance with the Interest Swap Agreement.
Party B’s obligations described in (i) and (ii) above, together with the Causes for Early Liquidation that derive from them will only be in effect whilst the causes of the breach of the First Level of Rating Required or the Second Level of Rating Required. The amount of the deposit Party B establishes under said sections will be reimbursed when the causes that originated the breaches are cancelled.
Part B will pay all costs, expenses and taxes derived from the fulfilment of the above obligations.
Guarantor shall mean the entity that provides an unconditional irrevocable guarantee upon request and in relation to all the present and future obligations
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of Party B in the current Financial Swap Agreement (the Valid Guarantee), and whenever (A) a firm of lawyers provides legal advice confirming that none of the payments made by such entity to Party A under the Swap Agreement is subject to tax related deductions or taxes, and this advice is notified to Moody’s; (B) the Guarantee determines that, if such deduction or tax exists, the payment made by such entity shall be increased in the amount necessary so that the net payment received by Party A is equal to the amount that Party A was due in the absence of such deduction or tax; or (C) if any payment derived from such Guarantee is net of deductions or tax withholdings, Party B will make an additional payment in such way that it is guaranteed that the net amount to be received by Party A from the Guarantor is equivalent to the total amount Party A would have received if such deduction or withholding did not take place.
Apt Guarantee shall mean an unconditional and irrevocable guarantee provided by a Guarantor (as principal Debtor) that can be directly executed by Party A, and that (I) establishes that if if is not possible to carry out the guaranteed obligation unless Party B effects certain actions, the Guarantor will make its utmost efforts to insure that Party B does carry them out; (II) (A) a firm of lawyers provides legal advise confirming that none of the payments made by the Guarantor to Party A under such guarantee is subject to tax related deductions or taxes, and this advice has been notified to Moody’s; (B) this guarantee establishes that, in the event that any such payments made by the guarantor of Party A are subject to deductions or taxes, the Guarantor will be obligated to pay such additional amount so that the final net amount ultimately received by Party A (free of any tax) is equal to the total amount that Party A should have received in the absence of such withholdings, or (C) in the event that any payment (of principal) under such guarantee is net of deductions and taxes, Party B shall make an additional payment to ensure that the net amount obtained by Party A from the Guarantor (free of any tax), that is, the sum of principal and additional payment, is equivalent to the total amount that Party A would have received if such deduction or tax had not taken place (assuming that in virtue of the guarantee the Guarantor may be required to make this additional payment); and (III) the Guarantor expressly and irrevocably waives any compensation right in virtue of such guarantee. Valid Replacement shall mean the entity that subrogates the contractual position of Party A in this Agreement or a replacement (if and when applicable): that (A) has a Second Level of Rating Required or (B) that the present and future obligations of Party A under this Agreement (or its replacement if and when applicable) are guaranteed by a Valid Guarantee provided by a Guarantor with Second Level of Rating Required.
Relevant Entities shall mean Party B and any Guarantor under an Apt Guarantee in relation to all the present and future obligations of Party B under such Agreement.
An entity will have First Level of Rating Required when (A) it holds a Moody’s short-term non-subordinated and unsecured debt rating of P-1 and the long-term rating for non-subordinated and unsecured debt is equal or higher than A2, and (B) when such entity does not hold a Moody’s rating for short-term non-subordinated and unsecured debt and the rating for long-term non-subordinated and unsecured debt is equal or higher than A1.
An entity will have Second Level of Rating Required when (A) it holds a Moody’s short-term non-subordinated and unsecured debt rating equal or higher than P-2 and the long-term rating for non-subordinated and unsecured
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debt is equal or higher than A3, and (B) when such entity does not hold a Moody’s rating for short-term non-subordinated and unsecured debt and the rating for long-term non-subordinated and unsecured debt is equal or higher than A3.
Party B will pay the costs, expenses and taxes derived from such actions.
Maturity of the Swap: The swap will be fully cancelled in the event that the Rating Agency does not confirm the provisional ratings of the Bonds prior to the opening of the Subscription Period or in the occurrence of a force mayeure event prior to the Subscription Date, in accordance with Art.1105 of the Civil Code.
The early cancellation of the Swap will not constitute a reason to liquidate the Fondo in advance or of its early maturity except in conjunction with other events and circumstances related to the financial estate of the Fondo generating a substantial or permanent unbalance of the financial equilibrium.
The maturity of the Swap will take place on the earliest of the following: (i) the Final Date or (ii) the extinction of the Fondo in accordance with 4.4.4 of the Registration Document.
3.5 Name, address and significant business activities of the originators of the securitised assets.
Banco Popular acts as Seller of the Mortgage Loans.
Its details are included in section 5.2 of the Registration Document.
Here follows the financial information of the Annual audited Accounts of Banco Popular on 31 December 2008 and 2009. This information has been elaborated in accordance with Bank of Spain Circular 4/2004.
ASSETS 31/12/2009 31/12/2008Cash and balances with central banks 3,748,699 1,859,577Financial assets held for trading 1,353,902 1,334,199Other financial liabilities at fair value 416,972 336,666Available for sale financial assets 11,030,058 3,760,410Loans and receivables 102,298,399 96,606,802 Deposits at credit entities 7,341,911 4,897,986 Credit to customers 94,956,488 93,452,619Held to maturity investments 2,266,524 34,854Hedging derivatives 1,469,702 992,626Non current assets held for sale 2,735,721 1,660,596Investments 56,148 32,151Insurance contracts linked to pensions 173,851 182,368Fronting assets 2,792 5,566Tangible assets 1,806,836 1,355,443Intangible assets 486,932 546,576Tax assets 708,531 827,306Other assets 735,081 840,911Total Assets 129,290,148 110,376,051
LIABILITIES 31/03/2009 31/03/2008Trading portfolio 1,195,636 1,729,742Other financial liabilities at fair value 104,172 134,520Financial Liabilities at amortised cost 116,448,911 98,957,138 Central banks' deposits 3,131,073 5,470,289 Deposits at credit entities 20,768,879 10,523,544 Customer deposits 59,577,792 51,494,503 Debits represented by tradable securities 30,333,821 31,468,802Hedging derivatives 597,357 414,217Insurance policy liabilities 1,073,484 931,865Provisions 476,824 474,463Tax liabilities 392,543 185,717Other liabilities 553,237 490,733Total Liabilities 120,842,164 103,318,395
EQUITYOwn funds 8,415,854 6,734,394 Capital, reserves and balance 7,849,529 5,989,597 Annual resulto 766,132 1,052,072 Announced and paid dividend -199,807 -307,275Valuation adjustments -15,649 30,770Minority interests 47,779 292,492Total Equity 8,447,984 7,057,656
Total Equity and Liabilities 129,290,148 110,376,051
Assimilated interest and income 5,059,068 6,289,255Assimilated interest and charges 2,236,515 3,753,994Interest margin 2,822,553 2,535,261Return on equity instruments 7,771 23,839Results from entities valued by share method 814 14,356Commissions (net) 763,444 864,548Financial transactions results (net) 356,168 74,484Exchange difference (net) 48,339 54,229Other operating income 286,043 250,380Other operating expenses 230,962 160,327Gross margin 4,054,170 3,656,770Administration expenses 1,188,456 1,215,770Amortisation 104,086 100,786Provisions (net) -13,478 29,515Losses resulting from the deterioration assets 1,752,394 998,162Result of the exploitation activity 1,022,712 1,312,537External net results of the exploitation activity 50,194 148,483Results before tax 1,072,906 1,461,020Tax on benefits 292,559 390,343Profit or loss from discontinued operations - 40,023Consolidated results for the year 780,347 1,110,700
CHARGEABLE EQUITY 31/12/2009 31/12/2008Total core capital 7,937,623 6,604,457Core capital (%) 8.57 7.17Total Equity Tier 1 8,456,579 7,475,671Ratio Tier 1 9.13 8.12Total Equity Tier 2 433,539 905,735BIS chargeable equity 8,890,118 8,381,406Equity surplus 1,484,165 1,011,082BIS Ratio (%) 9.60 9.10
ARREARS AND PROVISIONSRatio of defaults (%) 4.81 2.8Ratio of mortgage defaults (%) 3.47 1.83Ratio default cover (%) 50.27 73.03
* Data in thousands of Euros.
BANCO POPULAR ESPAÑOL, S.A. (*)
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3.6 Return and/or repayment of the securities related to other assets that are not assets of the issuer.
Not applicable.
3.7 Administrator, calculation agent or equivalent.
3.7.1 Management, servicing and representation of the Fondo and the holders of the securities.
“InterMoney Titulización, SGFT, S.A.” has arranged IM BANCO POPULAR MBS 2, Fondo de Titulización de Activos, as Sociedad Gestora entitled to such effect, and as a consequence, to administrate and legally represent it, under cover of Real Decreto 926/1998.
The Sociedad Gestora, as third party manager, will represent and defend the interests of the Bondholders and other creditors of the Fondo. As a consequence, the Sociedad Gestora will subordinate its actions to this defence and always in accordance with current legislation.
The Bondholders and other creditors of the Fondo will have no action against the Sociedad Gestora except when it is in breach of its duties or the Deed of Incorporation, this Prospectus and current legislation.
Specifically, some of the roles and duties of the Sociedad Gestora are:
(i) To manage the Fondo in such a way that its estate is nil at any given time.
(ii) To carry out the accounting of the Fondo, duly separating it from the Sociedad Gestora’s own accounting and carry out the tax obligations or of any other legal nature that must be carried out by the Fondo.
(iii) To make sure that the amounts received by the Fondo correspond with those due, following the agreements from which those amounts originate either from Mortgage Loans, the Financial Swap, the Treasury Account, the Principal Account or any other amount opened in the name of the Fondo. If necessary, it will carry out all judicial and extra-judicial actions necessary to protect the rights of the Fondo and the Bondholders.
(iv) To carry out the inherent rights associated with the ownership of the Mortgage Loans purchased by the Fondo.
(v) To apply the income of the Fondo to pay its obligations, in accordance with the Deed of Incorporation and this Prospectus.
(vi) To extend or modify contracts subscribed on behalf of the Fondo in order to manage it in the terms set out in the Deed of Incorporation, this Prospectus and current legislation.
(vii) To substitute each participant, following the terms established in the Deed of Incorporation and this Prospectus, if in accordance with current legislation, once the necessary authorisations have been obtained and, if necessary, the Rating Agency is notified and the rating assigned to the Bonds is not affected. In particular, in the event that the Seller is in breach of its obligations as Mortgage Loan Servicer, the Sociedad Gestora will undertake the necessary
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measures to ensure the adequate management of the Mortgage Loans.
(viii) To give the due instructions in relation with the Treasury Account and the Principal Account.
(ix) To give the Financial Agent instructions in relation to payments due to the Bondholders and, if applicable, to the remaining entities that should carry out any payment.
(x) To determine and carry out payments for principal and interest from the Subordinated Loans for First Period Interest and the Reserve Fund.
(xi) To designate and substitute, if necessary, the Auditor of the Fondo, with the prior authorisations of the CNMV, if appropriate.
(xii) To prepare and forward the information reasonably requested by the CNMV or other supervisory body.
(xiii) To prepare and forward the information reasonably requested by the Rating Agency. Specifically, and in the month following each Payment Date, the Sociedad Gestora will provide information regarding the situation of the Fondo and the Mortgage Loans, with the content and form agreed between them, and to the address provided by the Rating Agency. It will also provide such information when reasonably required to do so and, in any case, when there are changes in the conditions of the Fondo, the agreements signed through the Sociedad Gestora and in interested parties.
(xiv) To adopt all appropriate decisions towards the liquidation of the Fondo, including the decision of its Early Liquidation.
(xv) To determine the interest rate applicable to each Series of Bonds on each Interest Accrual Period.
(xvi) To make all calculations generated by the Financial Swap Agreement.
The Sociedad Gestora will also be able to extend or modify the contracts subscribed in the name of the Fondo and replace each of the participants and, if necessary, arrange additional contracts if in accordance with current legislation and when there are no circumstances that prevent it. In any event these actions will require prior notification to the CNMV or its authorisation or that of other appropriate institution if applicable and the Rating Agency and they will not affect the ratings assigned to the Bonds.
The Sociedad Gestora will have all the necessary documentation and data available to the public, as is established in the Deed of Incorporation and this Prospectus.
The Sociedad Gestora is in charge of the management and representation of other Fondos, as established by Real Decreto 926/1998. The Fondo will pay the Sociedad Gestora an initial commission for duties rendered, that has been included in the expenses stated in section 6 of the Securities Note, and, in accordance with the Priority Order of Payments, on each Payment Date, a periodical commission accrued daily from the incorporation of the Fondo until its extinction, and which will be cleared and paid past due and on each Payment Date.
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The Sociedad Gestora is empowered to subcontract or delegate in third parties of recognised capacity the undertaking of any of the services, in accordance with current legislation and when the rating of the Bonds are not affected and the subcontractor or delegate has waived its right to claim against the Fondo and to extinguish such contracts and/or delegations. In any event, this subcontracting or delegation will not increase the costs and expenses of the Fondo. Notwithstanding any subcontract or delegation, the Sociedad Gestora will not be exonerated or liberated from any of its responsibilities.
The Sociedad Gestora will notify the CNMV of any subcontracting and, if applicable, will request prior authorisation. The replacement of the Sociedad Gestora will be regulated the procedure set out by Art.18 and Art.19 of Real Decreto 926/1998 that follow and in accordance with subsequent regulations that may be established.
In the event of its waiver,
(i) The Sociedad Gestora may waive its duties in all or some of the funds it manages when deemed appropriate and will voluntarily request replacement through a written request to the CNMV that will include the designation of the replacement company. This request will include the request from the new Sociedad Gestora declaring its intention to accept such function and requesting the pertinent authorisation.
(ii) The waiver of the Sociedad Gestora and its replacement must be approved by the CNMV and must comply with the following:
a. The new management company will receive the accounting and IT files from the Sociedad Gestora replaced. Reception will be understood as complete when the new management company can fully carry out its new duties and so notifies the CNMV.
b. The securities issued from the funds managed by the Sociedad Gestora replaced have been valued by a rating agency, and the ratings assigned to securities by the Rating Agency will not be lowered as a result.
(iii) Under no circumstance will the Sociedad Gestora waive the exercise of its functions before the completion of the requisites and formalities necessary for the replacement to fully assume its functions.
(iv) All expenses resulting from the replacement will be paid by the Sociedad Gestora and not by the Fondo;
(v) The replacement will be published, in the following 15-days, in two national newspapers and in the bulletin of the organised secondary market where the Bonds are traded. The Sociedad Gestora will notify the replacement to the Rating Agency.
In the event of its forced replacement,
(i) In the event that the Sociedad Gestora is declared bankrupt it shall designate a replacement in accordance with the previous paragraphs.
(ii) If 4 months have elapsed from the date of the event described in (i) above no replacement is found, the Fondo will be liquidated in advance and the Bonds amortised;
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The Sociedad Gestora undertakes to grant all the public and private documents necessary for the replacement in accordance with the above paragraphs. The replacing Sociedad Gestora will be subject to the rights and obligations related to the Deed of Incorporation and in this Prospectus. Furthermore, the Sociedad Gestora will forward the new Sociedad Gestora all the documents and accounting and computing registers of the Fondo it holds.
3.7.2 Custody, servicing and management of the securitised assets.
In accordance with the obligation established in section 2.b) of Art.2 of Real Decreto 926/1998, the Seller will maintain the custody, management and payment collections of the Mortgage Loans until their full maturity. The Seller agrees to carry out all necessary actions to fulfil this mandate. The following sections include the obligations accepted by the Servicer of the Mortgage Loans. Despite these, the obligations of the Seller will extend to all others that even if not detailed in these sections are enforceable in the due diligence operation of such mandate. The Seller, as Servicer of the Mortgage Loan, will carry out any necessary or convenient action in relation to this role and will enjoy full powers to do so.
The mandate in favour of the Servicer for the collection duties will be, in accordance with current legislation, revoked when the Sociedad Gestora is aware of the breach of the Servicer’s obligations set out in the Deed of Incorporation and the Prospectus or the occurrence of events that, in the opinion of the Sociedad Gestora, derive in damages or risk to the financial structure of the Fondo or the rights and interests of the Bondholders. The Sociedad Gestora will, if approved by current legislation, (i) replace the Seller as Mortgage Loan Servicer or (ii) urge the Seller to subcontract or delegate such obligations to a person that, in the opinion of the Sociedad Gestora, has the adequate technical capacity to carry them out. The ratings assigned to the Bonds will not be affected by this action and the Rating Agency will be notified. The Sociedad Gestora will take into consideration the candidates suggested by the Seller. The Seller will be forced to carry out such subcontracting or delegation.
The Servicer will pay all direct or indirect taxes, withholdings or expenses derived, incurred or subject to or that it has to apply to the custody and servicing of the Mortgage Loans, despite its rights to their reimbursement by the Debtors or the Fondo, if such expenses are recovered.
As payment for the custody, administration and payment collection of the Mortgage Loans, the Servicer will receive a daily remuneration of 0.05% on each Payment Date of the annual Outstanding Principal Balance of the Non Defaulted Mortgage Loans on the previous Payment Date. This commission will be understood gross, including any direct or indirect tax or withholding it might be subject to. The Fondo will pay this commission, in accordance with the Priority Order of Payments.
3.7.2.1 General undertakings of the Seller as Servicer.
In general, the Servicer will undertake with the Sociedad Gestora to carry out the following in relation to the Mortgage Loans it administers:
(i) Undertake any actions necessary to guarantee the success of the Mortgage Loans judicially or extra-judicially.
(ii) Undertake any actions necessary to maintain or execute the guarantees and obligations generated by the Mortgage Loans.
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(iii) Take into consideration the rights of the Bondholders in its relation with the Debtors and when carrying out any action generated by the undertaking of the services set out in the Deed of Incorporation and in this Prospectus.
(iv) Comply with all the requests from the Sociedad Gestora in accordance with the Deed of Incorporation and in this Prospectus.
(v) Carry out all necessary actions to maintain in full vigour licenses, approvals and authorisations that might be necessary or convenient in relation with the undertaking of its duties.
(vi) Have available all the equipment and personnel necessary to carry out all its obligations.
The Servicer will not be responsible for the debts of the Sociedad Gestora or the Fondo in respect of the Bonds, or of any obligation of the Debtor related to any Mortgage Loan.
Specifically, the Servicer will not be responsible for any loss, responsibility, claim or expense experienced or incurred by the Sociedad Gestora or the Fondo as a result of the Seller’s actions as Servicer, except when such losses, responsibilities, claims or expenses are the result of its negligence or the breach of its obligations. In this case the Servicer will compensate the Fondo or the Sociedad Gestora for the damages and losses suffered (and justified) as a result of such negligence.
In any event, the Fondo, through the Sociedad Gestora will be entitled to all necessary actions against the Seller as a result of its breach of its obligations generated by the contracts it has subscribed with the Sociedad Gestora.
3.7.2.2 Servicing of the Mortgage Loans.
The Servicer will employ the same amount of time and attention and will execute the same level of care and diligence in their servicing as it would dedicate to such Mortgage Loans sold and, in any event, will carry out such services in accordance with the banking practices currently applied by a credit entity.
The Servicer is authorised to modify the criteria of the Mortgage Loan servicing included in the corresponding Annex 6 of the Deed (and summarised in section 2.2.7 of the Additional Building Block) whenever legally possible and whenever such modifications do not damage the Mortgage Loan management and the Sociedad Gestora is notified and the rating of the Bonds assigned by the Rating Agency is not lowered. Specifically, the Servicer will, among others, carry out the following:
(i) To maintain all the deeds, contracts, documents and files related to the Mortgage Loans it administers and of any accessory right and related documents under safe custody, and to not relinquish their custody or control unless following written authorisation from the Sociedad Gestora, on behalf of the Fondo, unless (i) it is in favour of the subcontractor or delegate appointed in accordance with this section and current regulation, or (ii) it is to allow the Servicer to initiate their foreclosure proceedings.
(ii) In accordance with section 3.4.5 of the Additional Building Block, the Seller will continue to collect the amounts due from the Mortgage Loans or any accessory right therein and will carry out its best efforts to guarantee that all the payments due from the Debtors are
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collected, in accordance with the terms and conditions of their agreements, on the appropriate dates. The Servicer will carry out any action necessary to guarantee the success of the Mortgage Loans.
Notwithstanding, if the Sociedad Gestora considers it necessary to better defend the rights of the Bondholders may notify the sale of the Mortgage Loans to the Debtors and request the collection to be paid directly into the Treasury Account or into the account established in sections 3.4.4.1 and 3.4.5 of this Additional Building Block.
In the event of arrears The Servicer will apply the same diligence and recovery procedures for the amounts owed and not paid from the Mortgage Loans that it applies for the remaining credit assets of its portfolio.
In the event of the breach of the Debtor’s payment obligations, the Servicer will carry out the necessary actions described in the Servicing Agreement and will adopt all the measures it would ordinarily adopt with the mortgage loans of its own portfolio and in accordance with good banking practice provided they do not affect the management of the Fondo and the rating assigned to the Bonds by the Rating Agency. These include all judicial actions that the Seller considers necessary to recover and collect the amounts owed by the Debtors.
The Servicer will advance the necessary expenses for such actions despite the right to be reimbursed by the Fondo.
The Seller accounts Doubtful Assets in strict accordance with the rules established in Circular 6/2008 of the Bank of Spain so that risks that are doubtful because of the arrears of the customer are made automatically and risks that are doubtful because of other reasons are subject to a manual process.
Grupo Banco Popular has an office dedicated to the management of arrears and the recovery of damaged to manage arrears and recover damaged assets at each one of the Territorial Offices and Affiliated Banks, together with another one at central level. The main objective of these units is to recover the balances that have been labelled in arrears in the shortest possible time and under the best conditions possible.
The Center for Analysis and Claim of Defaults (CARI in the Spanish original) is responsible for the management of arrears, analyses the risks in an irregular situation and establishes, in accordance with individual analysis of the specific circumstances of each customer or transaction, the most efficient recovery strategies. Further, it coordinates with the Group’s branches the most appropriate actions to normalise the situation.
Firstly, it makes use of extra-judicial or friendly approaches through the direct mediation with the Debtors (over the phone, post or personal contact) or arranging the services of prestigious debt recovery companies. If it is necessary to claim via the courts, the following process is followed:
Depending on the type of transaction, an internal or external claim manager is assigned. A claim is set in motion and irrespective of whether the procedures are carried out by an internal or external lawyer, the managers will continuously monitor the positive or negative judicial resolutions.
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Final judicial resolutions made by the lawyers will eventually derive in a recovery of the investment or good in the case of a negative resolution (a loss for the Entity).
For an adequate arrear management and damaged asset recovery, the Group has an internal IT application that is part of the process, and allows for a timely and precise monitoring of the evolution of all risks in arrears and, specifically, of the judicial procedures set in motion to reclaim the credit.
Legal actions The Servicer and the Sociedad Gestora will carry out all necessary actions against the Debtors that are in breach of the payment obligations that derive from the Mortgage Loans. This action must follow the legal foreclosure proceedings established by Art.517 and following in the Ley de Enjuiciamiento Civil (Civil Suit Act). If such is not possible, the Servicer and the Sociedad Gestora will urge the initiation of the judicial or extra-judicial processes that are appropriate.
Specifically, the Servicer undertakes to:
(i) Carry out any judicial or extra-judicial action in the name of the Fondo against the Debtor, in its own name or that of the Sociedad Gestora, as legal representative of the Fondo.
(ii) Carry out any necessary or convenient act to expedite such actions.
Further, the Sociedad Gestora, as manager of the Fondo, as holder of the Mortgage Loans, will take part, with the same rights as the Servicer, in the judicial or extra-judicial procedure the latter has initiated to claim the amounts due to the Fondo.
To this effect and in accordance with Art.581.2 and Art.686.2 of Ley de Enjuiciamiento Civil (Civil Suit Act), and in the event that the Sociedad Gestora, as a result of the Deed grants a wide and sufficient power as is required by Law to Banco Popular so that it may, acting through any of its entitled representatives, in the name and in representation of the Sociedad Gestora as legal representative of the Fondo, reclaim through any judicial or extra-judicial means the Debtor’s payment of its debt and to initiate legal action required as Servicer. This power may be extended or modified through another deed in the event that it is necessary.
In any event, and in respect of the Mortgage Loans, the Sociedad Gestora, in the name of the Fondo, will be responsible for carrying out all the powers listed in Art.31 of Real Decreto 716/2009. To this effect, the Servicer, in relation to the Mortgage Loans, empowers the Sociedad Gestora to claim, on behalf of the Fondo, the payment from the mortgage Debtor, despite other powers due to the Fondo in virtue of such article.
Further, the Servicer will, in general, initiate the claim (legal establishment of claim, foreclosure procedure or any other) if, during a period of 6-months, a Debtor in breach of its payment obligations does not re-start payments to the Servicer and the latter, with the agreement of the Sociedad Gestora, does not reach a payment agreement that is satisfactory to the interests of the Fondo. In any event the Servicer will immediately proceed to initiate the claim if the Sociedad Gestora, having analysed the circumstances of the case, considers it necessary.
If 6-months have elapsed since the oldest default and the Debtor has not re-started payment or restructured the loan, and if the Servicer has not -without sufficient justification- initiated the claim, the Sociedad Gestora, on behalf of
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the Fondo, may urge the Servicer to initiate the judicial or extra-judicial claim, and if there is no justified reason for the absence of such action, it may initiate the claim itself, despite the responsibilities derived for the Servicer in this situation.
In the event that the Servicer’s procedure is suspended without due justification, the Sociedad Gestora, on behalf of the Fondo, may continue such action provided it is in agreement with current legislation. Specifically, in the case of the Mortgage Transfer Certificates, the Sociedad Gestora (in representation of the Fondo) may, in its case, subrogate itself to the former’s position and continue the legal process.
In any event, the Sociedad Gestora will be entitled, in the terms established by current legislation, to request the allocation, as payment for its credit, of the goods, furniture or properties and auctioned goods, in any of the procedures initiated to comply with the Mortgage Loans.
Once such procedures have been initiated, the Servicer must protect the interest of the Fondo and carry out the actions that least damage it within said procedure.
The Servicer undertakes to periodically notify extra-judicial payment claims made to the Debtors. Equally, it will make monthly notifications of significant developments or by request from the Sociedad Gestora of the situation of the judicial or extra-judicial procedures initiated against the Debtors (placing the claim, situation of the foreclosure, legal payment request, the Debtor’s opposition, the initiation of the urgency claim and the conclusion of the procedure), together with any other circumstance that affects the collection of the amounts due and pending payment from the Mortgage Loans. Further, the Servicer will provide the Sociedad Gestora will all the documentation it requests in relation with such Mortgage Loans and, in particular, the documentation necessary to initiate or continue, in its case, the judicial or extra-judicial claims by the Sociedad Gestora.
Specifically, the Servicer undertakes to notify the Sociedad Gestora the places, dates and conditions of the property, furniture or goods auctions, and rights, within the 5-days that follow the notification of the verdict to arrange the auction so that the Sociedad Gestora can adopt the necessary measures and instruct the Servicer on procedure with sufficient time.
The Servicer will agree to attend the auctions in which it will follow the instructions received from the Sociedad Gestora, bidding or requesting the allocation of the good in favour of the Fondo. In the absence of such instructions the Servicer will act, in accordance with each specific case, in accordance with the same procedures it would adopt for the remaining mortgage loans of its portfolio and always guarding the interests of the Fondo.
In the event that properties are allocated to the Fondo, the Sociedad Gestora will sell them in the shortest possible time and under market conditions.
The Seller, in the event of mortgage foreclosure, and when in the Property Register preferential mortgages are inscribed but that have been cancelled, will carry out all necessary actions to establish the concord between the Registry and the legal reality outside of the Registry. If the documentation is available, it will effected in accordance with Art.40.4 of the Mortgage Act and for others, in accordance with Art.209 of such Act.
Among the roles of the Servicer is the instruction to manage such sale. Specifically, the Servicer undertakes to collect all the necessary documents for the sale and forward it to the Sociedad Gestora (among others, legal
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documents and the sale agreement) and coordinate the sale of the right or good with the notary agreed. Additionally, in relation to the properties allocated to the Fondo as a result of the foreclosure of the guarantees linked to the Mortgage Loans or any other procedure the Servicer undertakes to: (i) find an estate agency and use it to carry out all the necessary actions in order to sell the property (in the case that the Servicer does not have its own real estate department); and (ii) carry out all the necessary procedures with the Property Register and judicial bodies in relation to the sale of the property.
The Servicer will enjoy a pre-emption right to purchase the goods or rights awarded to the Fondo in the 10 Business Days following the date in which the Sociedad Gestora notifies the intention to sell the said good. This right implies that the Seller may purchase the goods under the same conditions they where offered to the Sociedad Gestora.
3.7.2.3 Mortgage Loan modifications.
The Servicer will be authorised from the Date of the Incorporation to allow subrogations in the contracts of the Mortgage Loans whenever the rating assigned by the Rating Agency to the Bonds is not affected, it does not damage the payments of the Fondo and the Sociedad Gestora is notified. These subrogations will take place only when the characteristics of the new debtor are similar and that they conform with the criteria of the corresponding Annex of the Deed of Incorporation, and summarised in section 2.2.7 of this Additional Building Block, and whenever the expenses generated by these modifications are fully paid by the Debtor or New Debtor. Equally, the Servicer may agree modifications of interest and final maturity of the Mortgage Loans with the Debtors whenever the compromises of the Seller are in full vigour, in accordance with this section.
Interest Rate modifications The Servicer will make sure when renegotiating the interest rate that the new conditions reflect market interest rates and are not different from those the Seller itself is applying in the renegotiation or the granting of its variable or fixed interest rate Mortgage Loans. In the event that the counterparty of the swap is no longer Banco Popular, as is established in section 3.4.7.2 of this Additional Building Block, the Servicer’s capacity to modify the interest rate will be cancelled. In the event that Banco Popular resumes its position as counterparty of the interest swap, this capacity will be reactivated.
Modifications to the final maturity and the amortisation system In accordance with the Deed of Incorporation, the Seller may modify the final maturity date of the Mortgage Loans when the following conditions are met:
(i) That the new maturity date of the Mortgage Loans is no later than 36 months prior to the Final Date.
(ii) That the sum of the Outstanding Principal Balance of the novated Mortgage Loans on the Date of Incorporation that push back their final maturity will not exceed 10% of the Outstanding Principal Balance of the Mortgage Loans on the Date of Incorporation.
(iii) That the periodicity of the principal payments is not altered, despite the adjustments to the amortisation tables initially agreed and that might originate as a result of any of the authorised novations.
(iv) That in no case will the Servicer decide, without the mediation of the Debtor, to modify the term of maturity of the Mortgage Loan. The
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Servicer will always act in the best interests of the Fondo when carrying out such modification.
(v) That Seller or the Debtor will pay the expenses generated by the modification of the Mortgage Loan, never by the Fondo.
Other novations The Servicer may agree with the Debtor of the Mortgage Loans in arrears below 3 months, any modifications that are in agreement with its current procedures and that are being carried out with other debtors and financing transactions of similar characteristics to those derived from the Mortgage Loans sold to theFondo. In any event, the above paragraph will be applicable.
The Servicer may agree delays in the amortisation of principal with the Debtor of the Mortgage Loans that will not exceed 18 months.
The total amount of the sume of the Outstanding Principal Balance of the Mortgage Loans on the Date of Incorporation that include novations will not exceed 10% of the Outstanding Principal Balance of the Mortgage Loans on the Date of Incorporation.
The Sociedad Gestora, on behalf of the Fondo, will at any time during the life of the Fondo cancel or suspend this capacity to modify the term to maturity of the Mortgage Loans if such action negatively affects the interests of the Fondo and the Bondholders and could affect the rating assigned to the Bonds by the Rating Agency.
The modification of a Mortgage Loan will not affect its adjustment to the representations of the Seller in the Deed of Incorporation.
In the event of these modifications of the interest rate of the Mortgage Loans or their maturity, the Servicer will immediately notify the Sociedad Gestora of the new conditions.
The modifications to the Mortgage Loans will be included in the detailed report the Seller forwards to the Sociedad Gestora in the first 5 Business Days of each month, in accordance with section 3.4.5 of the Additional Building Block.
3.7.2.4 Replacement of the Mortgage Loan Servicer.
In the event that the Sociedad Gestora is aware of the Servicer’s breach of the obligations assumed as such (or the entity which replaces it) or of the occurrence of events that, in the opinion of the Sociedad Gestora, derive in damages or risk to the financial structure of the Fondo or the rights and interests of the Bondholders, it will, if approved by current legislation, (i) replace the Servicer of the Mortgage Loans; or (ii) urge the Servicer to subcontract or delegate such obligations to a person that, in the opinion of the Sociedad Gestora, has the adequate technical capacity to carry them out. The Sociedad Gestora will take into consideration the candidates suggested by the Seller and the Guarantor. The Servicer and the Guarantor must carry out such subcontracting or delegation.
If the unsubordinated and unsecured long-term debt rating of the Servicer is lower than Baa3 (Moody’s), or that such rating is suspended, undertake to find a backup servicer in the following 60 Business Days to carry out the functions included in the Management Agreement for the Mortgage Loans managed by the Servicer. In the event that following such period no backup servicer is found, the Rating Agency will be notified. The backup servicer exclusively
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undertakes to carry out the functions of the Servicer in the event of its replacement.
Furthermore, if a corporate, legal or judicial decision is approved to liquidate or dissolve the Seller, or the Bank of Spain intervenes it (or the entity which replaces it as servicer of the Mortgage Loans), or the Seller enters into any bankrupt procedure or if a third party claim is admitted, the Sociedad Gestora, if approved by current legislation may replace the Servicer of the Mortgage Loans.
The new Servicer will be designated by the Sociedad Gestora once all the relevant authorities have been consulted, the rating assigned by the Rating Agency to the Bonds is not affected and the Rating Agency is notified. The Sociedad Gestora may agree with the new Servicer the amount to be received on behalf of the Fondo. The Fondo will pay the commissions to the institutions undertaking the functions of Servicer.
If approved by current legislation, the Seller may request its substitution in its role as Servicer. The Sociedad Gestora will authorise it whenever the Seller has found another institution to replace it, there is no cost to the Fondo and the rating assigned by the Rating Agency to the Bonds is not affected. The Rating Agency will be notified of the substitution.
In any event of substitution, forced or voluntary, the Seller will forward all the information necessary to operate to the new Servicer and the latter will agree to facilitate to the Sociedad Gestora the same information that the Seller is obliged to forward in accordance with the Deed of Incorporation.
The replacement will be notified to the CNMV and the Rating Agency.
3.7.2.5 Subcontracting of the servicing duties of the Mortgage Loans.
The Seller or entity that replaces it is empowered to subcontract or delegate to third parties of recognised solvency and capacity, the undertaking of its services or to cancel such agreements, when it is acceptable under current law and (i) there is written authorisation from the Sociedad Gestora, (ii) it does not damage the rating assigned by the Rating Agency to the Bonds, and whenever (iii) the subcontractor or delegate has waived the right to claim any responsibility from the Fondo. In any event, this subcontracting or delegation will not incur in extra costs or expenses for the Fondo or the Sociedad Gestora. Notwithstanding any subcontract or delegation, the Servicer is not exonerated from any of the established responsibilities of the Deed of Incorporation. The subcontractors must comply with the rating levels requested by the Rating Agency for such role. The subcontracting will be notified to the CNMV by the Sociedad Gestora and will receive its prior authorisation, if legally required.
3.8 Name, address and brief description of any counterparty in swap, credit, liquidity or account operations.
Banco Popular will act as:
- Financial Agent and Provider of the Treasury Account and the Principal Account, in accordance with section 3.4.7.1, 3.4.4.1 and 3.4.4.2 of the Additional Building Block.
- Counterparty in the Financial Swap Agreement, in accordance with section 3.4.7.2 of the Additional Building Block.
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- Creditor of the Subordinated Loans, in accordance with sections 3.4.3.1, and 3.4.3.2 of this Additional Building Block.
Corporate data can be found in section 5.2 of the Additional Building Block.
4 REPORTING.
The Sociedad Gestora will publish the information related to the Fondo in the manner generally accepted by the market and which ensure its appropriate and timely dissemination, including the assets and liabilities of the Fondo described in this sections unless another method is set out legally or in this Prospectus.
The information set out in this section will be available on the web site of the Sociedad Gestora: www.imtitulizacion.com.
The Sociedad Gestora will make available to the public all the documentation and information required by the Deed of Incorporation and the Prospectus.
The publication of this information will not affect any other to which the Sociedad Gestora is obliged to, in the name and in representation of the Fondo. In any event, this information will comply with the requisites of the CNMV.
4.1 Notification of the amounts due from principal and interest to be paid to the Bondholders.
Payment of interest and amortisation of the Bonds will be published using channels generally accepted by the market that ensure appropriate and timely dissemination of the information.
Notification Dates of Payments by the Fondo to the Bondholders: the second Business Day immediately prior to each Payment Date.
4.2 Periodical information.
Notifications due to the Bondholders resulting from the above sections and to be made by the Sociedad Gestora on behalf of the Fondo will be carried out as follows:
• The Sociedad Gestora will issue a monthly report including the following information:
- The Outstanding Principal Balance of the Mortgage Loans.
- The prepayment rate of the Mortgage Loans.
- The default rate of the Mortgage Loans.
- The Outstanding Balance of the Mortgage Loans that have become Defaulted during the previous month.
- The accumulated Outstanding Balance since the start of the transaction of the Mortgage Loans that are Defaulted.
- The term to maturity of the Mortgage Loans.
- The average interest rate of the Mortgage Loans.
- The balances of the accounts opened in the name of the Fondo.
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• Every quarter and in the 7 Business Days following each Payment Date, and without prejudice to the abovementioned monthly information, the Sociedad Gestora will issue a report with the following information:
- The Outstanding Principal Balance of the Bonds of each Series before and after the corresponding payment of the Payment Date of the current month;
- The amortised Balance of the Bonds of each Series.
- The percentage of Bonds of each Series pending amortisation;
- The interest accrued by the Bond of each Series;
- If applicable, the principal balance not paid to the Bondholders due to the lack of funds;
- If applicable, amounts of interest that correspond to the Bonds of each Series accrued, due, and not paid in previous Payment Dates.
The Sociedad Gestora will issue a certificate with said information and will deposit a copy at the CNMV.
The Sociedad Gestora will present the CNMV with the annual audited accounts of the Fondo together with their audit reports in the 4 months following the end of the fiscal year of the Fondo that coincides with the calendar year.
The Board of Directors of the Sociedad Gestora has designated PriceWaterhouseCopers as auditors of the Fondo. The Board of Directors of the Sociedad Gestora will notify the CNMV of any change in the designation of the auditors.
The auditors will carry out revisions and authentications set out by current legislation and will certify, when necessary, the precision and accuracy of the accounts, and will verify the precision of the information contained in the Management Report.
4.3 Obligations to notify relevant facts.
The Sociedad Gestora, in representation of the Fondo, undertakes to immediately notify in writing the CNMV, the Rating Agency and the Bondholders (using any means that guarantees an adequate diffusion of the information, including the web site of the Sociedad Gestora) of the occurrence of any relevant fact, during the life of the Fondo, related to the Mortgage Loans, the Bonds, the Fondo or the Sociedad Gestora itself, which may affect the trading of the Bonds, and specifically, of the amount due to the Bond holders on each Payment Date, both for principal and interest, and in general, of any relevant changes in the assets or liabilities of the Fondo.
4.4 Notification to the Comisión Nacional del Mercado de Valores.
The Sociedad Gestora will notify the CNMV of the information, both periodical and extraordinary set out in previous sections and any other information that, with independence to the above, is required by the CNMV or current legislation.
4.5 Notification to the Rating Agency.
The Sociedad Gestora will supply the Rating Agency with the periodical information on the Fondo and the behaviour of the Mortgage Loans so that they may monitor the rating of the Bonds. It will also notify extraordinary information. It will equally supply this information when reasonably required to do so and, in any event, when
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there is a significant change to the conditions of the Fondo, in the contracts it has arranged or in interested parties.
Madrid, 5 March 2010.
InterMoney Titulización, S.G.F.T., S.A.
José Antonio Trujillo del Valle
CHAIRMAN
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DEFINITIONS
Additional Building Block
Additional module on the asset backed securities, outlined by of Annex 8 of Regulations CE/809/2004.
Amount Available of Principal
Amount defined in section 4.9.3 of the Securities Note as, on a particular Payment Date, the lesser of the Theoretical Amount for Principal and the Available Resources on the Payment Date, minus the amounts that correspond to the 1 through 4 entries of the Priority Order of Payments.
Auditor of the Fondo PriceWaterhouseCoopers.
Available Resources Resources available to the Fondo on each Payment Date in accordance with section 3.4.6 of the Additional Building Block.
Banco Popular Banco Popular Español, S.A.
Bankruptcy Act Ley 22/2002, de 9 de julio, Concursal.
Bond Issue or Issue Bond issue totalling 685,000,000 Euros comprised of 6,850 Bonds of 100,000 Euros each and grouped in Series A and B.
Bonds The A and B Series of Bonds.
Business Day Any day that is not (i) Saturday, (ii) Sunday, (iii) holiday in the city of Madrid, (iv) holiday according to the TARGET 2 calendar (Trans European Automated Real-Time Gross Settlement Express Transfer System).
CET Central European Time.
Closing Date Date in which the Bonds are to be disbursed, 16 March 2010.
CMOF Contrato Marco de Operaciones Financieras arranged
by the Asociación Española de Banca (AEB).
CNMV Comisión Nacional del Mercado de Valores.
Collection Adjustment Date
The 20th of every month (or the Business Day immediately prior), day in which the Sociedad Gestora will adjust the amounts effectively deposited in the Treasury Account by the Seller during the Collection Period, and that corresponds to the natural month prior to such date, with those amounts that should have been collected in accordance with the corresponding agreements for each Mortgage Loan. The first Collection Adjustment Date will be 20 April 2010.
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Collection Period Each of the calendar months from the Date of Incorporation and until the extinction of the Fondo. The first Collection Period will begin on the Date of Incorporation and will end on 31 March 2010.
Date of the Incorporation The date of the granting of the Deed of Incorporation, 10 March 2010.
Date of the Start of the Amortisation Period
Payment Date in which the balances of the Principal Account will be applied to the amortisation of the Bonds, in accordance with section 4.9.2 of the Securities Note. This date shall be 22 March 2011.
Debtors Individuals, debtors of the Seller’s Mortgage Loans.
Deed of Incorporation The Deed of Incorporation of the Fondo, the Seller’s issue and the subscription of the Mortgage Transfer Certificates by the Fondo, and the issue of the Bonds.
Defaulted Mortgage Loans
Mortgage Loans that (a) on a specific date remain unpaid for over 12 months, or (b) are classified as defaulted by the Sociedad Gestora because it is doubtful they will be fully paid.
Determination Date Date in which the Sociedad Gestora will calculate the Reference Interest Rate of the Bonds for each Interest Accrual Period. This date will coincide with the second Business Day prior to the Payment Date that marks the start of the corresponding Interest Accrual Period. Exceptionally, the Determination Date for the first Interest Accrual Period will be the second Business Day prior to the Closing Date.
Early Amortisation The amortisation of the Bonds on a date prior to the
Final Date under the Events for Early Liquidation of the Fondo, in accordance with the requisites established in section 4.4.3 of the Registration Document.
Early Liquidation Amortisation of the Bond issue on a date prior to the
Final Date as a result of the Early Liquidation Events of the Fondo, in accordance with section 4.4.3 of the Registration Document.
Early Liquidation Events Events described in section 4.4.3 of the Registration Document.
Early Maturity Events as a result of Circunstancias Objetivas Sobrevenidas
Circumstances described in Clause 10 of the CMOF.
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Eligible Portfolio The portfolio of Mortgage Loans audited on 3 February 2010, that the Seller has in its Balance and from which the Mortgage Loans sold to the Fondo will be extracted, in accordance with section 2.2 of the Additional Building Block.
EURIBOR Euro Interbank Offered Rate, the interbanking Euro deposit rate offered as the daily average of the quotations supplied for 15-maturity terms by a panel comprised of 57 banks, those most active in the Euro zone. The rate is quoted on the basis of the calendar days to maturity and a 360-day year, and is determined at 11 am (CET), with three decimals.
Final Date 22 September 2052, of the following Business Day.
Financial Agent Banco Popular or the entity that replaces it in the future. Entity that in accordance with the Financial Agency Agreement will open and maintain the Treasury Account, the Principal Account and is the payment agency of the Bonds.
Financial Agency Agreement
Agreement signed on the Date of Incorporation by the Sociedad Gestora, on behalf of the Fondo, and the Financial Agent regulating (i) the opening and maintenance of the Treasury Account; the opening and maintenance of the Principal Account; and (ii) the payment agency.
Fondo IM BANCO POPULAR MBS 2, Fondo de Titulización de Activos.
Funds Available of Principal
In accordance with section 4.9.3 of the Securities Note, the sum of the following amounts: the amount of the Available Amount of Principal on the corresponding Payment Date and rank (v) of the Priority Order of Payments and the Balance of the Principal Account exclusively on the Date of the Start of the Amortisation.
IBERCLEAR Sociedad de Gestión de los Sistemas de Registro, Compensación y Liquidación de Valores, S.A.
Initial Balance of the Bonds
Total amount of the issue of Bonds, 685,000,000 Euros.
Initial Balance of the Mortgage Loans
Outstanding Principal Balance Not Due of the Mortgage Loans on the Date of Incorporation.
Interest Accrual Period Existing days between every two consecutive Payment
Dates, including the first and excluding the last. The first Interest Accrual Period will begin on the Closing Date, included, and will end on the first Payment Date, excluded.
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Interest Swap Agreement
Agreement signed by the Sociedad Gestora, as Party A, on behalf of the Fondo and Banco Popular, as Party B, that includes a framework agreement, annex and confirmation arranged under a CMOF and that regulates the terms of the Interest Swap, in accordance with the rules set out in section 3.4.7.2 of the Additional Building Block.
IRR Internal Rate of Return as described in section 4.10 of
the Securities Note.
Issuer IM BANCO POPULAR MBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS.
Lead Manager Banco Popular
Ley 19/1992 Ley 19/1992, de 7 de julio, sobre Régimen de Sociedades y Fondos de Inversión Inmobiliaria y sobre Fondos de Titulización Hipotecaria y sus modificaciones.
Ley 2/1981 Ley 2/1981, de 25 de marzo, sobre la regulación del
mercado hipotecario.
Ley 3/1994 Ley 3/1994, de 14 de abril, por la que se adapta la legislación española en materia de Entidades de Crédito a la Segunda Directiva de Coordinación Bancaria.
Ley 41/2007 Ley 41/2007, de 7 de diciembre, por la que se modifica
la Ley 2/1981, de 25 de marzo, de Regulación del Mercado Hipotecario y otras normas del sistema hipotecario y financiero, de regulación de las hipotecas inversas y el seguro de dependencia y por la que se establece determinada norma tributaria.
Liquidation Date or Early Liquidation Date
Date in which the Sociedad Gestora will liquidate the Fondo on either the Final Date or as a result of any of the Early Liquidation Events listed in section 4.4.3 of the Registration Document.
Management and Subscription Agreement
Agreement signed on the Date of Incorporation by the Sociedad Gestora, on behalf of the Fondo and Banco Popular.
Management Commission
Remuneration paid to the Servicer as compensation for its custody, servicing and collection management of the Mortgage Loans.
Minimum Level of the Reserve Fund
On each Payment Date, the lesser of the following amounts: (i) 8% of the Initial Balance of the Bonds and (ii) 16% of the Outstanding Principal Balance of the Bonds, in accordance with section 3.4.2.2. of the Additional Building Block.
Moody’s Moody’s Investor Service España, S.A.
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Mortgage Loan Mortgage guarantee loan agreement issued by the Seller to a Debtor under the terms described in the Additional Building Block, and that is part of the Eligible Portfolio and that may be participated through the corresponding Mortgage Transfer Certificate.
Mortgage Transfer Certificate
Each one of the mortgage transfer certificates issued by the Seller from the Mortgage Loans, subscribed by the Fondo and grouped in its assets at any given time.
Net Outstanding Principal Balance
In relation to a particular Series, on a Payment Date, the Outstanding Principal Balance of that Series prior to the amortisation due on said Payment Date, minus the amount accumulated on previous Payment Dates and deposited in the Principal Account as amortisation of the Bonds of the appropriate Series. By aggregate, the Net Outstanding Principal Balance of the Bonds shall be the Net Outstanding Principal Balance of each Series of the Bond Issue.
Outstanding Principal Balance Not Due of the Bonds
The amount of principal not paid and pending maturity on a particular date.
Outstanding Principal Balance Not Due of the Mortgage Loans
The amount of principal not paid and pending maturity on a particular date.
Outstanding Principal Balance of the Bonds
The sum of the principal pending reimbursement prior to the corresponding amortisation on a particular date.
Outstanding Principal Balance of the Non Defaulted Mortgage Loans
The sum of the matured principal not paid and the principal not matured of the Non Defaulted Mortgage Loan on that date.
Outstanding Principal Balance of the Mortgage Loans
The amount of principal not paid on a particular date.
Payment Date March, June, September and December 22nd of each year, or if such days are not Business Days, the following one. The first Payment Date shall be 22 June 2010.
Pricewaterhouse Coopers
PriceWaterhouseCoopers Auditores S.L.
Principal Interest Rate For each Series and for each Interest Accrual Period, the result of the sum of: (i) the Reference Interest Rate, common to all Series and rounded to the nearest one thousandth point; plus (ii) the margin applicable to each Series of Bonds.
Principal Shortfall The positive difference between the Theoretical Amount for Principal and the Amount Available of Principal.
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Principal Account The financial account opened at Banco Popular in the
name of the Fondo, by virtue of the Financial Agency Agreement, in which the Amount Available of Principal withheld in accordance with the Priority Order of Payments until the Date of the Start of the Amortisation will be deposited.
Priority Order of Payments
Order in which the Available Resources will be used to meet the payment obligations or withholding of the Fondo, described in section 3.4.6 of the Additional Building Block.
Provider of the Principal Account
Banco Popular or the entity that replaces it, in accordance with section 3.4.4.2 of the Additional Building Block.
Provider of the Treasury Account
Banco Popular or the entity that replaces it, in accordance with section 3.4.4.1 of the Additional Building Block.
Prospectus The Prospectus that includes the Registration Document, the Securities Note and the Additional Building Block, and the Definitions, regulated by Reglamento 809/2004.
Rating Agency Moody’s Investor Service España, S.A. or any other rating agency that may rate the Bonds issued by the Fondo in the future.
Real Decreto 716/2009 Real Decreto 716/2009 de 24 de abril por el que se
desarrollan determinados aspectos de la Ley 2/1981 de 25 de marzo, de regulación del Mercado hipotecario y otras normas del sistema hipotecario y financiero.
Real Decreto 926/1998 Real Decreto 926/1998 de 14 de mayo, por el que se regulan los fondos de titulización de activos y las sociedades gestoras de fondos de titulización y sus modificaciones.
Reference Interest Rate for the Bonds
The 3-month EURIBOR, in the terms set out in section 4.8 of the Securities Note.
Registration Document Document for the registration of asset backed securities, following the template included in Annex 7 of Regulations CE/809/22004.
Reglamento 809/2004 Reglamento (CE) nº 809/2004 de la Comisión, de 29 de abril de 2004, relativo a la aplicación de la Directiva 2003/71/CE del Parlamento Europeo y del Consejo en cuanto a la información contenida en los folletos, así como al formato, incorporación por referencia, publicación de dichos folletos y difusión de publicidad.
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Reserve for Extinction Expenses
Provision made by the Sociedad Gestora from the amounts obtained from the sale of the Fondo’s credit rights, to cover the expenses generated from the Early Liquidation of the Fondo.
Reserve Fund Fund arranged as protection against possible losses resulting from the Defaulted Mortgage Loans and in order to permit the payments the Fondo must make in accordance with the Priority Order of Payments of section 3.4.6 of the Additional Building Block.
Risk Factors Main risks linked to the Issue, the securities and the
assets backing the Issue.
Securities Market Act Ley 24/1988, de 28 de julio, del Mercado de Valores, en su redacción actual.
Securities Note Note on the securities with an individual value equal or higher than 50,000 Euros, described in Annex 13 of the Regulations CE/809/2004.
Seller Banco Popular, seller of the Mortgage Loans.
Series Series A and B, in accordance with section 4.1 of the Securities Note.
Servicer Entity in charge of the custody and servicing of the Mortgage Loans. In accordance with the Deed of Incorporation and until its replacement, the Seller will act as Servicer.
Sociedad Gestora (Management Company)
Intermoney Titulización, Sociedad Gestora de Fondos de Titulización, S.A.
Subordinated Loan for Initial Expenses
Loan granted by the Seller to the Fondo, in accordance with the Subordinated Loan for Initial Expenses Agreement, to be signed on the Date of Incorporation.
Subordinated Loan for Initial Expenses Agreement
Subordinated commercial loan agreement signed on the Date of Incorporation between the Sociedad Gestora, on behalf of the Fondo, and the Seller, with which the Sociedad Gestora will pay the initial expenses of the Bonds.
Subordinated Loan for the Reserve Fund
Loan granted by the Seller to the Fondo in accordance with the Subordinated Loan for Reserve Fund Agreement, to be signed on the Date of Incorporation.
Subordinated Loan for the Reserve Fund Agreement
Subordinated commercial loan agreement signed on the Date of Incorporation by the Sociedad Gestora, on behalf of the Fondo, and the Seller to establish the Reserve Fund.
Subscriber Banco Popular
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Subscription Date 15 March 2010, in accordance with section 4.13 of the Securities Note.
Theoretical Amount for Principal
Amount defined in section 4.9.4 of the Securities Note as, on a Payment Date, the positive result between (a) the sum of (i) the Outstanding Net Principal Balance of the Bonds; and (ii) the Outstanding Principal Balance of the Non Defaulted Mortgage Loans corresponding to the last day of the month prior to the current Payment Date.
Treasury Account Account in the name of the Fondo opened at Banco
Popular, in virtue of the Treasury Agreement, through which all income and payments of the Fondo will be made.
Variable Commission In accordance with section 3.4.6.7 of the Additional Building Block, the variable payment to which the Seller is entitled to receive from the Fondo, subject to the availability of resources in accordance with the Priority Order of Payments.