im grupo banco popular empresas 3€¦ · im grupo banco popular empresas 3 collateral report data...

GLOBAL SECURITISATION AND

TRUST SERVICES

www.imtitulizacion.com

IM GRUPO BANCO POPULAR EMPRESAS 3

COLLATERAL REPORTJuly 2011

3. DELINQUENCIES

2. PREPAYMENT

5. GLOSSARY

4. FONDO'S ACCOUNTS

1. SUMMARY OF POOL CHARACTERISTICS

CONTENTS:

1.2. Distribution Charts & Tables

1.1. Pool Characteristics

IM Grupo Banco Popular EMPRESAS 3 Collateral Report

Data as of 31/07/2011

3

Largest Loan Outstanding 100.000.000 100.000.000 8.149.671 6.000.000

Avg. Loan Principal Outstanding 127.587 119.892 169.757 91.580

WA Seasoning (months) 17 44 38 37

% Over Principal Outstanding 100 % 3,12 % 2,42 %

WA Maturity (months) 98 108 103 65

Principal Outstanding not due 2.249.999.998 1.105.270.972 31.354.411 16.067.524

Initial (2) Total Portfolio (1) Arrears +90 (1) DefaultsPool Characteristics

Number of Loans 17.635 9.262 204 301

Principal Outstanding 2.249.999.998 1.110.437.289 34.630.384 27.565.576

Number of Obligors 15.460 8.680 190 288

10 Largest Obligors 15,25 % 22,52 % N.A. N.A.

25 Largest Obligors 22,90 % 31,11 % N.A. N.A.

Largest Obligor 4,44 % 9,01 % N.A. N.A.

% Over Initial Portfolio (2) % Over Total Portfolio (1) % Over Portfolio in Arrears + 90 (1)

% Over Defaulted Portfolio

Obligor Concentration:

Fixed 16,68 % 6,22 % 7,64 % 15,99 %

Floating 83,32 % 93,78 % 92,36 % 84,01 %

WA Interes Rate (%) 4,86 % 3,82 % 4,23 % 5,09 %

WA Margin for Floating Rate Loans (%) 1,33 % 1,46 % 1,47 % 1,64 %

Interest Rate

Other 38,30 % 35,35 % 16,75 % 34,56 %

Galicia 6,89 % 7,18 % 7,95 % 7,22 %

Castilla-La Mancha 2,28 % 1,59 % 0,42 % 22,46 %

Catalonia 15,68 % 14,92 % 2,45 % 5,78 %

Madrid 21,33 % 23,54 % 9,20 % 16,16 %

Andalusia 15,53 % 17,42 % 63,23 % 13,82 %

Borrower's Distribution

Other 67,85 % 63,05 % 28,02 % 53,27 %

Agricultural Production 3,19 % 3,64 % 11,64 % 1,44 %

Extraction Of Sand And Clay 0,21 % 0,18 % 0,00 % 7,36 %

General Real Estate Construction And Civil Engineering Work

9,69 % 7,41 % 34,50 % 32,78 %

Real Estate Activities On Its Own Behalf 12,02 % 15,72 % 25,84 % 5,11 %

Hotels 7,04 % 10,00 % 0,00 % 0,05 %

Distribution by Industry Sector

Other Guaranties 61,71 % 45,83 % 15,60 % 72,63 %

Mortgage Guaranties 38,29 % 54,17 % 84,40 % 27,37 %

Type of Guaranty

1. Summary of Pool Characteristics

Collateral Type: Credit rights derived from loans to Spanish companies and Self-employed.

(1) Excluding Defaults (2) Situation of Loans on the Closing Date.


Data as of 31/07/2011

4

[2005] 824 288 4 3 90.649.827 55.997.910 254.404 102.912 4,03 % 5,04 % 0,73 % 0,37 %

[2008] 7.421 4.361 100 134 1.001.845.491 426.282.584 12.114.828 12.013.640 44,53 % 38,39 % 34,98 % 43,58 %

[2007] 1.651 1.171 18 19 372.260.868 229.828.655 10.436.280 7.972.180 16,54 % 20,70 % 30,14 % 28,92 %

[2006] 1.589 609 9 7 231.808.304 180.375.723 820.396 129.582 10,30 % 16,24 % 2,37 % 0,47 %

[2009] 5.374 2.501 71 137 513.164.525 191.911.074 10.881.895 7.244.473 22,81 % 17,28 % 31,42 % 26,28 %

[ <2005] 776 332 2 1 40.270.983 26.041.342 122.581 102.788 1,79 % 2,35 % 0,35 % 0,37 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

Year of Origination Number Of Loans Balance (€) Balance (%)

of the Loans Initial Current Arrears +90

Default Initial Current Arrears +90 Default Initial Current Arrears +90

Default

Year of Origination of the Loans

Distribution Charts

(Distribution of each category)


Data as of 31/07/2011

5

[25.000 - 50.000] 2.996 1.156 29 57 103.614.840 41.001.628 1.020.911 2.062.497 4,61 % 3,69 % 2,95 % 7,48 %

[200.000 - 500.000] 1.213 619 17 27 359.264.822 185.275.081 5.598.760 7.734.229 15,97 % 16,68 % 16,17 % 28,06 %

[100.000 - 200.000] 1.748 1.007 21 24 245.241.806 143.577.938 2.764.557 3.340.778 10,90 % 12,93 % 7,98 % 12,12 %

[50.000 - 100.000] 2.267 1.045 21 34 157.045.875 75.621.866 1.640.123 2.431.746 6,98 % 6,81 % 4,74 % 8,82 %

[ >500.000] 620 283 10 7 1.282.522.039 615.405.025 22.569.834 10.275.809 57,00 % 55,42 % 65,17 % 37,28 %

[ <25.000] 8.791 5.152 106 152 102.310.617 49.555.750 1.036.199 1.720.517 4,55 % 4,46 % 2,99 % 6,24 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

Outstanding Number Of Loans Balance (€) Balance (%)

Balance Initial Current Arrears +90


Default

Outstanding Balance



Data as of 31/07/2011

6

Top 10 343.041.854 250.037.433 15,25 % 22,52 %

Top 15 421.218.788 291.486.904 18,72 % 26,25 %

Top 20 471.003.049 322.601.413 20,93 % 29,05 %

Top 25 515.283.896 345.407.827 22,90 % 31,11 %

Top 5 229.260.607 197.387.004 10,19 % 17,78 %

Top 1 100.000.000 100.000.000 4,44 % 9,01 %

Number Balance (€) Balance (%)

of obligors Initial Current Initial Current

Obligor Concentration



Data as of 31/07/2011

7

MIBH 31 24 0 0 31.266.002 27.161.122 0 0 1,39 % 2,45 % 0,00 % 0,00 %

EUR3 113 28 0 3 183.921.633 112.270.843 0 6.507.698 8,17 % 10,11 % 0,00 % 23,61 %

EUR12 1.203 791 6 18 168.322.874 89.953.189 1.021.162 1.555.044 7,48 % 8,10 % 2,95 % 5,64 %

IRPHCE 3.903 2.260 84 103 181.045.437 100.601.049 3.542.146 4.223.652 8,05 % 9,06 % 10,23 % 15,32 %

OTHER 1.583 11 0 0 100.051.263 1.490.437 0 0 4,45 % 0,13 % 0,00 % 0,00 %

EUR6 143 1.049 5 5 158.096.669 111.807.555 239.350 418.093 7,03 % 10,07 % 0,69 % 1,52 %

EURH 4.631 3.159 67 90 1.052.079.836 598.139.099 27.183.279 10.453.991 46,76 % 53,87 % 78,50 % 37,92 %

FIXED 6.028 1.940 42 82 375.216.283 69.013.996 2.644.447 4.407.097 16,68 % 6,22 % 7,64 % 15,99 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

Number Of Loans Balance (€) Balance (%)

Reference Rate Initial Current Arrears +90


Default

Reference Rate

MIBH 2,98 % 2,98 % 0,00 % 0,74 % 0,73 % 0,00 %

EUR3 3,32 % 3,77 % 0,00 % 1,14 % 2,55 % 0,00 %

EUR12 4,80 % 3,74 % 4,17 % 1,17 % 1,15 % 1,26 %

IRPHCE 6,76 % 4,84 % 5,08 % 1,27 % 1,28 % 1,50 %

OTHER 3,14 % 3,85 % 0,00 % 3,90 % 0,42 % 0,00 %

EUR6 2,93 % 2,60 % 1,96 % 0,74 % 2,29 % 4,18 %

EURH 5,27 % 3,88 % 3,99 % 1,26 % 1,21 % 1,45 %

FIXED 5,02 % 4,24 % 5,69 % - - -

Total 4,86 % 3,82 % 4,23 % 1,33 % 1,46 % 1,47 %

Reference WA Interes Rate (%) WA Margin for Floating Rate Loans (%)

Interest Rate Initial Current Arrears +90 Initial Current Arrears +90

Outstanding Balance %


Data as of 31/07/2011

8

[ 6,5 - 7 ] 2.036 453 15 20 248.975.689 6.819.128 610.730 634.965 11,07 % 0,61 % 1,76 % 2,30 %

[ 4 - 4,5 ] 927 894 15 13 218.510.040 142.705.886 3.496.337 2.184.016 9,71 % 12,85 % 10,10 % 7,92 %

[ 5 - 5,5 ] 2.138 2.962 88 115 268.365.401 189.412.835 8.618.054 15.753.607 11,93 % 17,06 % 24,89 % 57,15 %

[ 6 - 6,5 ] 1.366 516 17 24 237.355.374 12.268.668 303.600 590.146 10,55 % 1,10 % 0,88 % 2,14 %

[ 5,5 - 6 ] 1.268 596 21 32 159.519.681 19.530.084 1.212.026 1.272.348 7,09 % 1,76 % 3,50 % 4,62 %

[ >7 ] 4.950 349 13 61 239.721.735 4.649.757 287.104 2.381.109 10,65 % 0,42 % 0,83 % 8,64 %

[ 4,5 - 5 ] 1.411 993 14 19 208.004.014 105.764.401 1.202.044 3.191.338 9,24 % 9,52 % 3,47 % 11,58 %

[ <3 ] 2.274 1.221 7 7 328.863.508 230.728.068 238.951 753.808 14,62 % 20,78 % 0,69 % 2,73 %

[ 3,5 - 4 ] 577 688 8 7 112.091.819 249.778.181 14.322.626 592.972 4,98 % 22,49 % 41,36 % 2,15 %

[ 3 - 3,5 ] 688 590 6 3 228.592.737 148.780.282 4.338.912 211.267 10,16 % 13,40 % 12,53 % 0,77 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %


Interest Rate Initial Current Arrears +90


Default

Interest Rate



Data as of 31/07/2011

9

[20 - 25] 286 254 6 7 47.739.649 39.771.040 820.045 908.503 2,12 % 3,58 % 2,37 % 3,30 %

[15 - 20] 421 346 3 3 176.889.567 86.519.319 408.803 277.264 7,86 % 7,79 % 1,18 % 1,01 %

[ <10] 15.409 7.602 162 273 1.487.024.226 613.235.993 14.431.363 21.391.571 66,09 % 55,22 % 41,67 % 77,60 %

[10 - 15] 1.044 717 27 13 464.383.402 322.095.932 17.342.868 3.916.395 20,64 % 29,01 % 50,08 % 14,21 %

[25 - 35] 475 343 6 5 73.963.153 48.815.005 1.627.306 1.071.843 3,29 % 4,40 % 4,70 % 3,89 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

W.A. Number Of Loans Balance (€) Balance (%)

Maturity (Years) Initial Current Arrears +90


Default

W.A. Maturity (Years)



Data as of 31/07/2011

10

Other Guaranties 15.146 7.147 150 260 1.388.390.486 508.966.649 5.401.733 20.019.758 61,71 % 45,83 % 15,60 % 72,63 %

Mortgage Guaranties 2.489 2.115 54 41 861.609.512 601.470.640 29.228.651 7.545.818 38,29 % 54,17 % 84,40 % 27,37 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

Type of Number Of Loans Balance (€) Balance (%)

Guaranty Initial Current Arrears +90


Default

Type of Guaranty


Data as of 31/07/2011

11

Extremadura 280 155 3 5 20.106.685 9.325.839 260.694 218.233 0,89 % 0,84 % 0,75 % 0,79 %

Galicia 2.131 1.267 26 24 154.970.889 79.735.910 2.754.319 1.991.400 6,89 % 7,18 % 7,95 % 7,22 %

Ceuta 3 1 0 0 253.452 54.246 0 0 0,01 % 0,00 % 0,00 % 0,00 %

Castilla-Leon 2.566 1.173 16 24 234.170.569 117.101.477 1.601.077 3.201.364 10,41 % 10,55 % 4,62 % 11,61 %

Valencia 1.376 692 22 27 122.460.542 47.864.255 1.162.914 2.067.988 5,44 % 4,31 % 3,36 % 7,50 %

Murcia 411 175 4 10 63.059.464 17.457.583 489.612 899.693 2,80 % 1,57 % 1,41 % 3,26 %

Navarre 356 198 5 4 51.587.087 22.306.852 589.006 319.534 2,29 % 2,01 % 1,70 % 1,16 %

Melilla 7 1 0 0 1.196.123 8.368 0 0 0,05 % 0,00 % 0,00 % 0,00 %

La Rioja 170 96 2 0 15.005.032 8.116.383 18.401 0 0,67 % 0,73 % 0,05 % 0,00 %

Madrid 1.702 956 41 50 479.912.660 261.362.326 3.184.712 4.454.291 21,33 % 23,54 % 9,20 % 16,16 %

Aragon 291 155 6 7 63.685.947 48.594.912 1.396.296 429.715 2,83 % 4,38 % 4,03 % 1,56 %

Asturias 232 132 2 5 31.605.797 18.964.516 100.802 527.267 1,40 % 1,71 % 0,29 % 1,91 %

Andalusia 3.422 1.887 39 60 349.404.156 193.466.280 21.897.366 3.809.135 15,53 % 17,42 % 63,23 % 13,82 %

Catalonia 2.426 1.209 27 49 352.726.429 165.643.948 846.840 1.593.265 15,68 % 14,92 % 2,45 % 5,78 %

Unknown 21 12 0 0 11.873.412 9.549.505 0 0 0,53 % 0,86 % 0,00 % 0,00 %

Cantabria 129 69 1 5 6.469.459 2.296.863 171 78.765 0,29 % 0,21 % 0,00 % 0,29 %

Castilla-La Mancha 597 315 4 11 51.298.862 17.666.775 146.334 6.191.681 2,28 % 1,59 % 0,42 % 22,46 %

Canary Islands 457 191 2 8 40.366.845 22.529.247 101.990 1.153.682 1,79 % 2,03 % 0,29 % 4,19 %

Balearic Islands 491 265 2 5 45.031.494 27.603.733 25.749 235.292 2,00 % 2,49 % 0,07 % 0,85 %

Basque Country 567 313 2 7 154.815.092 40.788.272 54.100 394.273 6,88 % 3,67 % 0,16 % 1,43 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %


Initial Current Arrears +90


Default



Data as of 31/07/2011

12




Data as of 31/07/2011

13

Ceuta 1 0 0 0 139.570 0 0 0 0,02 % 0,00 % 0,00 % 0,00 %

Extremadura 40 35 2 1 16.755.633 6.160.512 227.825 26.472 1,94 % 1,02 % 0,78 % 0,35 %

Valencia 120 96 5 2 38.548.485 19.874.818 914.093 403.900 4,47 % 3,30 % 3,13 % 5,35 %

Catalonia 121 105 3 1 67.284.895 52.464.629 297.016 228.838 7,81 % 8,72 % 1,02 % 3,03 %

Galicia 348 288 5 6 79.088.583 53.804.619 986.795 1.654.388 9,18 % 8,95 % 3,38 % 21,92 %

Murcia 37 29 2 1 14.477.275 6.415.902 463.034 202.528 1,68 % 1,07 % 1,58 % 2,68 %

Navarre 51 43 1 0 19.690.434 13.835.589 527.118 0 2,29 % 2,30 % 1,80 % 0,00 %

La Rioja 23 18 0 0 7.298.791 2.981.593 0 0 0,85 % 0,50 % 0,00 % 0,00 %

Madrid 263 227 13 6 90.887.174 68.788.152 1.823.963 1.032.414 10,55 % 11,44 % 6,24 % 13,68 %

Castilla-La Mancha 111 94 2 2 39.553.741 22.059.781 4.843.270 201.138 4,59 % 3,67 % 16,57 % 2,67 %

Andalusia 789 680 16 12 224.146.356 162.942.665 16.784.285 1.670.346 26,01 % 27,09 % 57,42 % 22,14 %

Aragon 45 42 2 0 17.199.709 15.227.711 1.144.674 0 2,00 % 2,53 % 3,92 % 0,00 %

Castilla-Leon 251 220 2 3 69.744.377 51.398.138 1.200.879 306.228 8,09 % 8,55 % 4,11 % 4,06 %

Unknown 4 3 0 0 78.407.123 57.593.228 0 0 9,10 % 9,58 % 0,00 % 0,00 %

Asturias 29 24 0 1 19.116.074 15.617.731 0 430.000 2,22 % 2,60 % 0,00 % 5,70 %

Canary Islands 62 48 0 3 25.877.445 11.292.692 0 1.093.766 3,00 % 1,88 % 0,00 % 14,49 %

Cantabria 5 4 0 0 1.186.918 227.611 0 0 0,14 % 0,04 % 0,00 % 0,00 %

Balearic Islands 129 113 1 2 32.373.852 27.443.389 15.699 197.823 3,76 % 4,56 % 0,05 % 2,62 %

Basque Country 60 46 0 1 19.833.077 13.341.879 0 97.976 2,30 % 2,22 % 0,00 % 1,30 %

Total 2.489 2.115 54 41 861.609.512 601.470.640 29.228.651 7.545.818 100,00 % 100,00 % 100,00 % 100,00 %




Default

Guaranty's Distribution


Data as of 31/07/2011

14

Guaranty's Distribution



Data as of 31/07/2011

15

Building Finishing And Construction Work

328 187 6 11 23.654.880 15.898.974 838.283 607.723 1,05 % 1,43 % 2,42 % 2,20 %

Retail Sale Of Food, Beverage, And Tobacco In Specialized Establishment

241 156 2 5 18.841.599 10.596.617 546.821 183.112 0,84 % 0,95 % 1,58 % 0,66 %

Wholesale Of Foodstuffs, Beverages And Tobacco

296 147 5 6 37.065.375 16.915.480 90.755 679.188 1,65 % 1,52 % 0,26 % 2,46 %

Manufacture Of Pieces Of Concrete, Plaster And Cement

37 22 1 2 3.825.921 1.083.906 4.311 741.024 0,17 % 0,10 % 0,01 % 2,69 %

Building Installation And Construction Work

480 277 9 11 33.178.219 17.261.540 686.128 193.005 1,47 % 1,55 % 1,98 % 0,70 %

Plastic Products 91 39 0 6 35.583.582 10.384.888 0 860.590 1,58 % 0,94 % 0,00 % 3,12 %

Extraction Of Sand And Clay

18 9 0 3 4.643.359 2.037.811 0 2.028.532 0,21 % 0,18 % 0,00 % 7,36 %

Quarrying Of Stone 31 16 2 1 3.221.421 1.804.073 892.712 69.450 0,14 % 0,16 % 2,58 % 0,25 %

Advertising 51 25 0 2 6.755.133 3.436.879 0 729.343 0,30 % 0,31 % 0,00 % 2,65 %

Sale Of Motor Vehicles 152 83 3 3 15.192.323 7.303.027 1.005.807 221.834 0,68 % 0,66 % 2,90 % 0,80 %

Preparation Of Construction Work

131 82 3 2 10.255.161 5.348.500 563.636 26.759 0,46 % 0,48 % 1,63 % 0,10 %

Commerce Intermediaries 485 218 9 12 36.723.105 21.764.813 451.004 1.122.933 1,63 % 1,96 % 1,30 % 4,07 %

Hotels 227 139 0 1 158.325.439 111.085.120 0 12.990 7,04 % 10,00 % 0,00 % 0,05 %

General Real Estate Construction And Civil Engineering Work

1.131 628 43 43 218.042.989 82.314.370 11.946.716 9.035.079 9,69 % 7,41 % 34,50 % 32,78 %

Real Estate Activities On Its Own Behalf

324 181 6 16 270.418.675 174.521.548 8.949.031 1.407.235 12,02 % 15,72 % 25,84 % 5,11 %

Other Food Production 151 81 2 0 56.069.764 19.152.828 175.032 0 2,49 % 1,72 % 0,51 % 0,00 %

Other 9.974 5.274 83 131 986.338.265 409.742.508 2.633.146 6.724.685 43,84 % 36,90 % 7,60 % 24,40 %

Agricultural Production 1.298 479 9 8 71.880.256 40.365.608 4.031.308 398.057 3,19 % 3,64 % 11,64 % 1,44 %

Sanitary Activities 236 165 1 0 38.094.852 27.386.068 38.920 0 1,69 % 2,47 % 0,11 % 0,00 %

Other Wholesale 278 76 5 4 46.127.731 26.317.066 335.918 566.378 2,05 % 2,37 % 0,97 % 2,05 %

Real Estate Renting On Its Own Behalf

140 85 2 2 50.510.566 32.301.811 430.809 21.568 2,24 % 2,91 % 1,24 % 0,08 %

Legal And Accounting Activities, Book-Keeping, Auditing, Fiscal Consultancy, Market Reserch And Opinion Poll Making; Business Managment Consultancy, Company Managment

360 227 4 7 56.985.247 37.770.275 517.294 934.235 2,53 % 3,40 % 1,49 % 3,39 %

Other Type Of Land Transport

1.175 666 9 25 68.266.135 35.643.578 492.752 1.001.856 3,03 % 3,21 % 1,42 % 3,63 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %


Industry Sector Initial Current Arrears +90


Default

Industry Sector


Data as of 31/07/2011

16



Data as of 31/07/2011

17

[ <40] 0 34 0 5 0 2.149.486 0 129.643 0,00 % 0,36 % 0,00 % 1,72 %

[60 - 80] 1.544 823 38 13 646.835.644 308.546.226 20.756.428 2.971.953 75,07 % 51,30 % 71,01 % 39,39 %

[40 - 60] 0 779 6 7 0 196.917.175 1.537.411 1.729.320 0,00 % 32,74 % 5,26 % 22,92 %

[ >80] 945 479 10 16 214.773.868 93.857.752 6.934.812 2.714.902 24,93 % 15,60 % 23,73 % 35,98 %

Total 2.489 2.115 54 41 861.609.512 601.470.640 29.228.651 7.545.818 100,00 % 100,00 % 100,00 % 100,00 %


W.A. LTV Initial Current Arrears +90


Default

W.A. LTV

WA LTV 103,24 % 76,11 % 205,44 % 76,90 %

W.A. LTV Initial Current Arrears +90 Default



Data as of 31/07/2011

18

Mediana empresa 951 346 8 25 505.766.852 200.747.583 12.455.189 5.255.304 22,48 % 18,08 % 35,97 % 19,06 %

Autónomo 9.390 4.975 79 125 447.763.105 244.829.276 2.997.767 10.247.254 19,90 % 22,05 % 8,66 % 37,17 %

Gran empresa 222 88 1 2 538.024.541 277.960.134 4.728.847 125.460 23,91 % 25,03 % 13,66 % 0,46 %

Pequeña empresa 3.450 1.769 57 80 511.867.460 260.526.441 10.811.951 7.979.947 22,75 % 23,46 % 31,22 % 28,95 %

Micro empresa 3.622 2.084 59 69 246.578.040 126.373.855 3.636.630 3.957.610 10,96 % 11,38 % 10,50 % 14,36 %

Total 17.635 9.262 204 301 2.249.999.998 1.110.437.289 34.630.384 27.565.576 100,00 % 100,00 % 100,00 % 100,00 %

Segment Number Of Loans Balance (€) Balance (%)



Default

Segment



Data as of 31/07/2011

19

2. Prepayment

201103 23,08 16,89 11,64 14,50 17,14

201102 22,41 11,82 7,88 15,95 16,62

201101 3,27 6,06 5,14 15,76 16,00

201106 4,15 6,63 12,24 11,64 16,39

201105 10,72 13,37 12,84 12,34 16,69

201104 4,59 17,46 12,09 13,60 16,82

201107 5,24 6,86 12,63 9,17 16,10

201008 7,39 17,02 21,66 18,56 18,68

201012 8,34 5,79 10,19 15,90 16,50

201009 1,85 13,79 15,90 17,60 17,84

201011 6,21 3,59 10,90 16,17 16,75

201010 2,55 4,03 13,85 16,17 17,11

Prepayment Rates (Last 12 Month)

Date Monthly Quarterly Semiannual Annual Life


Data as of 31/07/2011

20

3. Arrears and Defaults

201102 217 2,30 % 217 1,80% 1,02%

201101 201 2,13 % 201 1,61% 0,94%

201107 204 3,12 % 301 2,42% 1,23%

201103 228 3,10 % 231 1,94% 1,06%

201106 207 3,28 % 287 2,32% 1,19%

201105 220 3,48 % 275 2,25% 1,18%

201104 222 3,06 % 256 2,09% 1,12%

201008 220 2,69 % 74 0,33% 0,21%

201012 207 1,76 % 168 1,47% 0,87%

201009 220 1,82 % 101 0,91% 0,57%

201011 212 1,90 % 137 1,14% 0,69%

201010 211 1,78 % 121 1,05% 0,65%

Arrears and Defaults (Last 12 Month)

Date

Num. % Num. % Outstanding % Initial

>3 and <12 mth Defaults

Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Outstanding percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Initial percentage of defaults is calculated as Principal Outstanding of Defaults over total initial balance on the Closing Date.


Data as of 31/07/2011

21

4. Fondo's Accounts

Principal Account at Banco Popular 1.071.049.685,32

Treasury Account at Banco Popular 244.496.148,82

Fondo's Accounts


Data as of 31/07/2011

22

4. Glossary

WA interest rate: Average interest rate of the loans weighed by principal outstanding.

WA margin for floating rate loans: Average margin over the corresponding interest rate index of reference weighed by principal outstanding. Please note that several interest index may coexist in the same portfolio and margins may vary according to de index. (i.e. margin on loans indexed to Euribor is usually higher than margin of loans indexed to IRPH).

WA seasoning: Average seasoning of the loans weighed by principal outstanding and expressed in months.

WA remaining life: Average remaining maturity of the loans weighed by principal outstanding and expressed in months.

Regional concentration: Grouped by Comunidad Autónoma or Province.

LTV: Weighed average loan to value of loans with mortgage guaranty. Appraisal values, in general, correspond to the date of the loan origination and are not updated.

Industry concentration: Grouped by CNAE ( Clasificación Nacional de Actividades Económicas). Categories showed are the top categories of each portfolio. For more information on the clasification visit www.ine.es.

Type of guaranty: Mortgage guaranty/other guaranties.

Total portfolio: Outstanding loans (defaulted loans excluded).

Arrears +90: Loans in arrears more than 90 days, defaulted loans excluded. Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Obligor concentrations: Sum of principal outstanding of all de loans of the same debtor over total portfolio. Obligor concentration in arrears and defaults are calculated using loans of the same obligor that are in arrears or defaulted. Both conditions have to be met, so if a debtor has one loan paying regularly and another in default, only the defaulted loan will be taken into account to calculate the ratio.

Defaults: Definition may vary according to each Fondo, see prospectus for precise definition. In general, after a certain number of months in arrears plus those loans that, according to the originator/servicer, present reasonable doubts that they will be fully reimbursed. When the loans are classified as defaults, a write off mechanism is activated amortizing bonds in an amount equal to the defaulted loans. Proceeds from defaulted loans enter the payment waterfall but these loans, either partially or fully recovered, keep their default status for the life of the Fondo. Therefore, once a loan is classified as default, it keeps the same status until fully reimbursed, even if unpaid amounts are recovered and the loan pays regular instalments again. Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Balance: See principal outstanding.

Principal outstanding not due: Outstanding balance, excluding unpaid due principal amounts.

Principal outstanding: Outstanding balance of the loan, including unpaid due principal amounts.

Outstanding Balance: See principal outstanding.

Notes and Definitions


Data as of 31/07/2011

23

ISDA5: 5 years IRS.

CECA: Reference rate of the Confederacion Española de Cajas de Ahorro published by the Bank of Spain.

CLEUR100: 100% of the monthly EUR 12 average published by the Bank of Spain during the six month before of the date of review.

ISDA3: 3 years IRS.

IRPHC: Monthly average rate for mortgage loans over 3 years to purchase free housing from Cajas de Ahorros, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

IRPHCEta: Annualized monthly average rate for mortgage loans over three years to purchase free housing from Bancos, Cajas de Ahorros and Mortgage Lending Companies.

MUTUOA: Interest rate agreed between the parties involved in the mortgage loan contract.

For further information on interest rate indexes please visit Bank of Spain website

http://www.bde.es/tipos/tipose.htm

TMC: Monthly weighted average rate for consumer credits published by the Bank of Spain.

ICO(T): 6 months Euribor published by the Instituto de Crédito Oficial (ICO).

ICO_FIJO: Fixed, under the Instituto de Crédito Oficial (ICO) agreement.

EUR6: Interest rate for 6-months Euro deposit transactions.


EURH: Monthly EUR12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin,Mortgage Market Official Reference Rates.


Interest Rate Indexes

EUR1: Interest rate for 1-month Euro deposit transactions.

MIBH: Monthly MIB12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

IRPHCE: Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, Cajas de Ahorros and Mortgage Lending Companies, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

IRPHB: Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

MIB12: Madrid Interbank Offered Rate for 1-year deposit transactions.

MIB1: Madrid Interbank Offered Rate for 1-month deposit transactions.




Data as of 31/07/2011

24

….. and so on.

4 months: >90 – <=120 Days in Arrears


Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Loans are considered delinquent when they have any unpaid interest or principal amounts, since the day the payment was due, even if this means only one day in arrears.

Arrears and Defaults

Loans in arrears are grouped in monthly buckets as follows:


1 month: 0 – <=30 Days in Arrears

Where:

1-(1-(PPA / (PPA+OB))) ^ (1/days/365))

Life prepayment rate: Calculated using actual / 365 from Closing Date:

Days: number of days from Closing Date until the end of the current month.

OB: Outstanding balance not due at the end of the current month.

PPA: Cumulative prepaid amount since Closing Date.

OB: Outstanding balance not due at the end of the period.

Prepayment Rate: Prepayment rates are calculated using the following formula:

Formulas

(1-(1-(PPA)/(PPA+OB)))^(12/N))*100

PPA: Prepaid amount of the period.

N: number of months of the period.

Where:

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