Cedulas TDA I

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CÉDULAS TDA 2
EURO 2.000 MMNov 2003
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This document is supplied for information
purposes only. It may not be distributed to the
general public or used in connection with any
offer for subscription or sale of securities. It
has not been submitted to the Comisión Nacional
del Mercado de Valores for approval.
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Index

• The Transaction
• The Structure
• Transaction Overview
• Individual Cédulas
• Joint Cédulas
• Cash Collateral
• TdA SGFT
• Agent Bank
• The Underlying Assets
• Cédulas Issuers
• Mortgage Portfolio
• Issuance program
• APPENDIX
• I. Issuers Entities
• II. Spanish Mortgage Market
• III. Spanish Savings Banks Sector

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The Transaction
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The Transaction

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

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The Transaction
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The Transaction

• Cédulas TDA 2, F.T.A. same structure as Cédulas
  TDA 1, F.T.A. launched on June 2003.

• Cédulas TDA 1, F.T.A. deal subscribed over 140.

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The Structure
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The Structure
TRANSACTION OVERVIEW.
Cédulas TDA 2, F.T.A. has been specifically
constituted according to the laws of the Kingdom
of Spain with limited liability. The sole purpose
of the Fund is the acquisition of 11 Cédulas
Hipotecarias as collateral for the issuance of
the joint Cédulas.
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The Structure

• THE INDIVIDUAL CÉDULAS.
• The Cédulas issuers (11 Financial Entities) will
  issue 11 individual Cédulas.
• All individual Cédulas will have the same coupon
  rate, payment date and maturity.
• Individual Cédulas are senior secured bonds
  collateralised by the total mortgage portfolio of
  each of the Financial Entity.
• Payments will be made two working days prior to
  the joint Cédulas payments in order to avoid
  administrative cash flow mismatches.
• Coupon payment of the Individual Cédulas will be
  higher than the Joint Cédulas Excess spread to
  cover regular expenses.

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The Structure

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

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The Structure

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

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The Structure
CASH COLLATERAL
If Individual Cédula defaults
TdA will proceed to claim the amounts due
(recovery period)
Meantime, the Cash collateral will be used to
service interest payment
Will be used to pay interest due (if any) and for
the proportional amortization of the joints
Cédulas
Once recovery amount
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The Structure

• TdA, SGFTA
• Administers the Fund
• Fund representative
• Supervised by the CNMV and subject to the laws of
  the Kingdom of Spain.
• Obligation to protect the credit rights of the
  joint Cédula Bond holders acting as a Comisario
  del Sindicato de Bonistas (Spanish trustee).

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The Structure

• TdA SGFT
• TdA is a holding company whose shareholders are

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The Structure

• TdA SGFT

First Spanish transaction backed with Credit
Rights derived from Participative Loans
First prime residential mortgage transaction
including conforming loans (LTVlt80) and
non-conforming loans (LTVgt80)
First fund to issue a Interest Only (I.O.) Bond
in the Spanish market
Management Company of the Nuclear Moratorium Fund
Founded May 1992
First Trade receivables securitisation in Spain
2003
2001
2002
1992
1993
1996
2000
First Auto Loans transaction in the Spanish
Market
First multi-originator transaction in Europe
First SME s Loans transaction in the Spanish
Market
First private fund in Spain
Elected member of the Executive committee of the
European Securitisation Forum
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The Structure

• THE AGENT BANK
• Caja Madrid will be the payment and fiscal agent.
  
• Caja Madrid will hold the reserve fund and will
  guarantee a minimum return on it (Euribor -10
  bps).
• Caja Madrid will make all payments of the issue
  through the Spanish IBERCLEAR and its links with
  EUROCLEAR

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The Structure

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

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The Underlying Assets
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The Underlying assets
CÉDULAS ISSUERS
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The Underlying assets
CÉDULAS ISSUERS

• The 11 Financial Entities issuing the Cédulas
  Hipotecarias are widely diversified amongst all
  Spanish regions.

Caja Laboral
Caixanova Banco Gallego
Caixa Catalunya Caixa Terrassa Caixa Tarragona
Caja España
Ibercaja
Caja Madrid
Caja Castilla la Mancha
Unicaja
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The Underlying assets

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

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The Underlying assets
THE MORTGAGE PORTFOLIO

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

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The Underlying assets

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

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The Underlying assets

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

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Appendix 1Issuers Entities
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Caixa dEstalvis de Catalunya
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caja Laboral Popular
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caixa dEstalvis de Terrassa
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caja España
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caixanova
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Unicaja
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caja Madrid
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
() Datos a 31 de diciembre de 2002
Mortgage Portfolio
Geographical distribution
(MM uros)
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Caja Castilla la Mancha
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
35
Ibercaja
Ranking Cajas by Total Assets
Rating
Balance (MM uros)
Main Ratios ()
Mortgage Portfolio
Geographical distribution
(MM uros)
36
Caixa dEstalvis de Tarragona
Ranking Cajas by Total Assets
Rating
Main Ratios ()
Balance (MM uros)
Mortgage Portfolio
Geographical distribution
(MM uros)
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Banco Gallego
Rating
Main Ratios ()
Balance (MM uros)
Mortgage Portfolio
Geographical distribution
(MM uros)
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Appendix 2Spanish Mortgage Market
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Spanish Mortgage Market
House prices have been increasing in the last
years to a level higher than the rest of the
consumer or investment goods.
Source INE
The number of built houses grows at a pace
higher than the population
Source INE
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Spanish Mortgage Market
Even with regular growth of mortgage volumes,
delinquency ratio is still in historically low
levels (0.629)
Source CECA e INE
Number of mortgages in constant growing without
relation to the interest rate
Source CECA e INE
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Appendix 3Spanish Savings Banks Sector
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Spanish Savings Banks Sector

• GENERAL FEATURES
• Savings Banks represent almost 50 of the
  Spanish financial system
• Manage 43,1 of the Assets.
• Market share in Loans of 48,1
• Market Share in Deposits of 49,4
• Majority of them are local entities specialized
  in retail banking , of the 47 existent Savings
  banks
• 21 are considered small, with less than 5 billion
  euros balance sheet.
• Of the rest, 6 have a balance sheets bigger than
  20 billion euros.
• They have no regulatory advantage, they are
  credit entities with freedom to expand and to
  compete with the rest of the entities of the
  Spanish Financial System.
• Special legal nature foundations of private
  nature, whose purpose is the accomplishment of
  enterprise performances under market criteria and
  reinvestment of a percentage of its benefits to
  Social welfare.
• They have no defined owners. Governing bodies
  are General Assembly, the Board of Directors and
  Control Committee. Groups represented are Local
  and regional governments, customers and employees.

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Spanish Savings Banks Sector

• SAVINGS BANKS vs BANKS
• Continuous growth of the loans market share.

• Specialization in the Retail sector, which is
  reflected in the market share of mortgages.
• Continuous improvement of Deliquency ratio
  (lower than Banking sector) currently at all time
  lows.

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Spanish Savings Banks Sector

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

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Spanish Savings Banks Sector

• Continuous growth in branch network.

• Branches with less staff and more technology
  allows for a higher productivity per employee.

• Development of a strategy of multichannel
  distribution that complements the branch network
  (Phone banking and Internet banking)

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Spanish Savings Banks Sector

• KEY INDICATORS
• Business Diversification increasing the relative
  weight of fee plus commission income as a
  percentage of Operating income.

• Excellent Asset quality
• Deliquency ratio with decreasing trend.
• Increases of the insolvency coverage ratios.
• Creation of the Provision of statistical cover
  of insolvencies of anti cyclical character.

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Spanish Savings Banks Sector

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

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