performance summary of ikb balance sheet securitisations€¦ · the presentation is proprietary...

Performance summary of IKB balance sheet securitisations

June 2012

2Disclaimer

This document has been prepared for presentational purposes and the information in this presentation (both oral and written) (the “Presentation”) is indicative and is provided for information and discussion purposes only. The Presentation has been prepared by IKB Deutsche Industriebank AG, Düsseldorf (“IKB”) for IKB’s use only within the Federal Republic of Germany (“Germany”), Belgium and the United Kingdom (“UK”). IKB or any of its officers or directors will not accept or assume any responsibility for any distribution or delivery outside Germany, Belgium and UK. Neither this Presentation nor any copy of it may be taken, transmitted or distributed, directly or indirectly, in or into any other country by any recipient and this restriction specifically includes Japan, Canada and the United States of America, its territories or possessions and U.S. persons (as defined in Regulation S under the United States Securities Act) except pursuant to an exemption therefrom. Neither this Presentation nor any copy hereof may be distributed in any other jurisdictions where its distribution may be restricted by law and persons into whose possession this Presentation comes should inform themselves about, and observe, any such restrictions. Distribution of this Presentation in the United States, Canada, Japan or any such other jurisdictions may constitute a violation of United States, Canadian or Japanese securities laws, or the law of any such other jurisdictions.

The Presentation is not an offer, or a solicitation to offer, to invest, or to procure an investment in, assets of whatever kind, or to issue or sell or procure the issuance or sale of such assets. This document is exempt from the general restriction on the communication of invitations or inducements to enter into investment activity and therefore its contents have not been approved by an authorised person as would otherwise be required by section 21 of the Financial Services and Markets Act 2000. This document is directed exclusively to market counterparties and intermediate customers as defined in FSA rules or to persons who are authorised persons or investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. No other persons should receive any information in this document. It is a condition of your attending this Presentation that you fall within, and you warrant and undertake to IKB that (i) you fall within one of the categories of persons described above, (ii) you have read, agree to and will comply with the terms of this disclaimer and (iii) you will conduct your own analyses or other verification of the data set out in the Presentation.

The information contained herein does not purport to be complete. No representation or warranty, express or implied, is made by IKB or any of its officers or directors as to the accuracy or completeness of such information, and nothing contained in this Presentation is, or shall be relied upon as, a promise or representation or advice by IKB or any of its officers or employees.

IKB does not provide any investment services or ancillary services according to the Directive 2004/39/EC of the European Parliament. Any investment decision you take is in reliance on your own analysis and judgment and/or that of your advisors and not in reliance on us. This Presentation must not be viewed as research and its contents do not constitute advice, including investment advice. The information contained in the Presentation is for background purposes only and is subject to material updating, completion, revision, amendment and verification. Various factors could cause actual future results, performance or events to differ materially from those described in these statements, including as a result of changes in (among other things) general economic conditions, the conditions of the financial markets in Germany, in Western Europe and in the United States, the performance of the IKB’s core markets and changes in laws and regulations. Opinions expressed herein are subject to change without notice and may differ from, or be contrary to, the opinions expressed herein. Therefore, prior to entering into any transaction, you should determine, without reliance on IKB, the economic risks or merits, as well as the legal, tax and accounting characteristics and consequences of the transaction and that your are able to assume these risks. You may use the information in this Presentation for discussion purposes only and not make an offer to sell or issue or a solicitation of an offer to buy or issue assets. The Presentation is proprietary information of IKB, some of which is also confidential and should not be copied, distributed or passed on, directly or indirectly, to any other persons. The Presentation and any further confidential information made available to you are being supplied to you solely for your information and may not be reproduced, forwarded to any other person or published, in whole or in part, for any other purpose.

This document does not disclose all the risks and other significant issues relating to any investment to which this document may relate. By accepting the Presentation and/or attending this Presentation you agree to be bound by the above provisions. To the maximum extent permitted by law, IKB (and any of its officers and employees) does not accept any responsibility for or makes any representation, express or implied, or gives any warranty with respect to the use, the accuracy, correctness or completeness of the information provided during the Presentation and in any written material distributed during the Presentation and does not accept any liability, including, without limitation, any liability arising from fault or negligence, for any loss arising from the use of this Presentation or its contents or otherwise arising in connection with it. Additionally, IKB will not update such information, in particular any forward-looking statements, or correct any inaccuracies contained herein.

3

Transaction Performance

- Overview IKB Securitisation Transactions

- Performance Summary

- Running Transactions

4





5Securitisation History

ECB Repo

Cash CLO

Real Estate Financing Private Equity

FORCE 2005-1€ 370 million

FORCE 2006-1€ 216 million

Corporate Financing Structured Financing

IKB Credit Linked Notes2000-1

US-$ 534 million

Bacchus 2006-1€ 400 million


Bacchus US 2006-1€ 353 million

Synthetic CLO (economic risk transfer)



€ 3.583 millionIncl. Repl.:

€ 2.500 millionStart-Vol.:

PROMISE-I 2000-1



PROMISE-I 2002-1


€ 750 millionVol.:

PROMISE-I Mob. 2005-1


€ 1.800 millionVol.:



€ 2.400 millionVol.:


Static Pool





SEAS 2005-1



STABILITY CMBS 2007-1Bacchus 2008-2

€ 453.5 million

Sigismund CBO 2008-1€ 452 million

Synthetic CLO (regulat.)

6





7

• PROMISE-I Mobility 2005-1

- Cumulative Credit Events at 2.36% of Total Pool Volume*

- Cumulative Realised Losses at 0.35% of Total Pool Volume*

• PROMISE-I / IKB Mobility 2005-2







- Cumulative Credit Events at 2,35% of Total Pool Volume*


• STABILITY CMBS 2007-1


- First loss allocation of 0,07% of Total Pool Volume is expected in July 2012

Performance Summary

* Total Pool Volume exclusive non complying Reference Claims (Removals) / as of last investor report

8Performance Summary

• Currently the Cumulative Credit Events of PROMISE-I Mobility 2005-1, PROMISE-I / IKB Mobility 2005-2

and PROMISE-I Mobility 2006-1 are above the original expectations of Fitch

• The Cumulative Credit Events of PROMISE-I Mobility 2008-1 are slightly above expectations based on

S&P default rates

• Current Loss expectations for existing Credit Events are covered for all PROMISE-I Mobility transactions

by the first loss pieces

9





PROMISE-I Mobility 2005-1




STABILITY CMBS 2007-1

PROMISE-I Mobility 2005-1 : Performance Overview

1)

1) as of April 2012

10

0

100

200

300

400

500

600

700

800

03/05 04/06 04/07 04/08 04/09 04/10 04/11 04/12 04/13

€m

ln

Pool Volume PROMISE-I Mobility 2005-1

Plan Pool Volumen Pool Volume current amortisation

66,73 28,60

38,13 14,47

5,7017,96

0,0

10,0

20,0

30,0

40,0

50,0

60,0

70,0

80,0

Initial ReferencePool-Volume ofDefaulted Ref.

Claims

Repaymentsbefore

occurence ofCredit Event

Defaulted Ref.Claims as perCredit Event

Date

Repaymentssince occurenceof Credit Event

Realised LossesCurrent Volumeof DefaultedRef. Claims

€m

ln

Credit Events PROMISE-I Mobility 2005-1

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

03/05 03/06 03/07 03/08 03/09 03/10 03/11 03/12


CEs Limit

0

1

2

3

4

5

6

7

8

9

1003/05 12/05 09/06 06/07 03/08 12/08 09/09 06/10 03/11 12/11

0%

5%

10%

15%

20%

25%

30%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

WA

RF

Risk Factor Migration PROMISE-I Mobility 2005-1

initial 07/11 10/11 01/12

11

PROMISE-I Mobility 2005-1: Credit Events


• current total Volume: € 14.8 million with 24 Obligors and 36 Claims,

• 16 Obligors are secured by mortgage, 3 Obligors are secured by machinery equipment, 4 Obligors are secured by others (2 by

guarantee) and 1 Obligor is unsecured

• a Loss of € 3.1 million was the result of one Debtor secured by shares based on a fraud with more than € 200 mln of debt

affected being held by the german banking industry

PROMISE-I Mobility 2005-1:Cumulative Defaults

• The transaction is above the original default expectation of Fitch.

• The „Credit Events without restructuring over Scheduled Maturity Date“

are slightly above the original default expectation of Fitch

• The Realised Losses of 0.76% (€ 5.7 million) are below the original

expected Losses of Fitch with 1.64% (€ 12.30 million).

12

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

03/05 03/06 03/07 03/08 03/09 03/10 03/11 03/12 03/13 03/14

Performance PROMISE-I Mobility 2005-1

First Loss Piece

Fitch Expected Losses

Realised Losses

0,0%

1,0%

2,0%

3,0%

4,0%

5,0%

6,0%

03/05 03/06 03/07 03/08 03/09 03/10 03/11 03/12


Fitch Expected Defaults

Credit Events ohne Std. über TLZ-Ende

Credit Events

Overdue Reference Claims

13

PROMISE-I Mobility 2005-1: Outlook

• For the remaining Credit Events in work out of 14.8 million € we currently expect Losses of approximately 6.3

million €.

• For the current reporting period we expect the last Credit Events of 3.24 million € with expected losses of

approximately 1.29 million €.

• This would lead to a Recovery Rate so far of 68 % (inclusive completed work outs).

• Current Loss expectation is covered by the first loss piece.

• The transaction has reached the Scheduled Maturity in May 2012.

• Only the redemption of the E- and F-Note has been deferred.

• The remaining Overdue Reference Claims (Credit Events and delinquent Loans) will pass the work out

process until the legal Maturity in May 2014.

• For all outstanding Credit Events in May 2014 two independent experts appointed by the trustee will

determine final Loss Allocation.

14


1)

1) as of April 2012

0

200

400

600

800

1.000

1.200

1.400

1.600

1.800

2.000

11/05 01/07 01/08 01/09 01/10 01/11 01/12 01/13 01/14 01/15

€m

lnPool Volume PROMISE-I Mobility 2005-2


0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

3,5%

11/05 11/06 11/07 11/08 11/09 11/10 11/11 11/12


CEs Limit

169,00 62,56

106,43 4,54 48,45

7,2055,32

0,0

20,0

40,0

60,0

80,0

100,0

120,0

140,0

160,0

180,0


Claims

Repaymentsbefore



Date

Cum. AIVolume

Repaymentssince occurenceof Credit Event

(incl. AI)

RealisedLosses

Current Volumeof DefaultedRef. Claims

(incl. AI)

€m

ln


0

1

2

3

4

5

6

7

8

9

1011/05 08/06 05/07 02/08 11/08 08/09 05/10 02/11 11/11

0%

5%

10%

15%

20%

25%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

WA

RF


initial 07/11 10/11 01/12

15



• current total Volume: € 55.9 million with 34 Obligors, 93 claims,

• 31 Obligors are secured by mortgage, 1 Obligor is secured by machinery equipment and 2 Obligors are secured by others (1 by guarantee)

16

PROMISE-I / IKB Mobility 2005-2:Cumulative Defaults

• The Realised Losses of 0.40% (€ 7.2 million) are below the original

expected Losses of Fitch with 2.00% (€ 36.0 million).


0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

11/05 11/06 11/07 11/08 11/09 11/10 11/11 11/12 11/13 11/14


First Loss Piece

Fitch Expected Losses

Realised Losses

0,0%

1,0%

2,0%

3,0%

4,0%

5,0%

6,0%

7,0%

11/05 11/06 11/07 11/08 11/09 11/10 11/11 11/12



Credit Events ohne Std. über TLZ-Ende

Credit Events

17

PROMISE-I Mobility 2005-2 / IKB Mobility 2005-2 : Outlook

• For the remaining Credit Events in work out of 55.9 million € (inclusive Accrued Interest) we currently expect

Losses of approximately 28.3 million €.

• For the current reporting period we expect 1.4 million € new Credit Events.

• For these new Credit Events we expect no losses.


• Current Loss expectation for existing Credit Events is covered by the first loss piece.

18

• Scheduled Maturity: February 2013

• The Portfoliovolume is expected to fall below 180.0 million € in the second half of this year..

• An early amortisation of the Class F Notes by a 10% clean up call is only possible, if the cumulative sum of

the interest payments for the Class F Notes exceeds the aggregate realised losses and the aggregate

outstanding volume of Credit Events and delinquent claims (= Overdue Reference Claims: 57.0 million € as

of the last investor report) which would be allocated to the Class F Notes pursuant to the Loss Allocation

(37.8 million €); in total the original nominal amount of 45.0 million €

• The sum of the cumulative Class F interest payments will be roughly 39.0 million €.

• Hence a call of the Class F notes is unlikely.

• An early amortisation of the Mezzanine Notes by a 10% clean up call is only possible for all Classes at the

same time.

• As of the last pool report the Overdue Reference Claims exceeds the outstanding Class F-Note by 19.2

million €, so that an early amortisation for all Classes would not be possible, if the volume will not decline.

• A call of some Mezzanine Notes could be possible in the second half of 2012, but from the current

perspective not for all Classes.

PROMISE-I Mobility 2005-2: Clean up Call

19


1)

1) as of May 2012

0

500

1.000

1.500

2.000

2.500

11/06 11/07 11/08 11/09 11/10 11/11 11/12 11/13 11/14 11/15 11/16

€m



0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

11/06 11/07 11/08 11/09 11/10 11/11 11/12 11/13 11/14


CEs Limit

120,10 24,85

95,243,89 34,68

13,29

51,17

0,0

20,0

40,0

60,0

80,0

100,0

120,0

140,0

InitialReference

Pool-Volume ofDefaulted Ref.

Claims

Repaymentsbefore



Date

Cum. AIVolume

Repaymentssince


(incl. AI)

RealisedLosses

CurrentVolume of

Defaulted Ref.Claims (incl.

AI)

€m

ln


0

1

2

3

4

5

6

7

8

9

1011/06 08/07 05/08 02/09 11/09 08/10 05/11 02/12

0%

5%

10%

15%

20%

25%

30%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

WA

RF


initial 11/11 02/12 05/12

20



• current total Volume: € 51.2 million with 29 Obligors, 78 Claims,

• 23 Obligors are secured by mortgage, 3 Obligors are secured by machinery equipment and 2 Obligors are secured by others

(guarantee) and one Obligor is unsecured

21



• The „Credit Events without restructuring over scheduled maturity Date“

are also above the original default expectation of Fitch.

• The Realised Losses of 0.55 (€ 13.3 million) are below the original expected

Losses of Fitch with 1.14% (€ 27.4 million).

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

3,5%

4,0%

4,5%

11/06 11/07 11/08 11/09 11/10 11/11 11/12 11/13 11/14



Credit Events ohne Std.über TLZ-Ende

Credit Events

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

3,5%

4,0%

11/06 11/07 11/08 11/09 11/10 11/11 11/12 11/13


Fitch ExpectedLossesRealisedLosses

22

PROMISE-I Mobility 2006-1: Outlook

• For the remaining Credit Events in work out of 51.2 million € (inclusive Accrued Interests) we currently

expect Losses of approximately 30.4 million €.

• For the current Reporting Period we expect 5.0 million € new Credit Events.

• Even this new unsecured Credit Event will be restructured, we assume conservatively only marginal

Recoveries.



23PROMISE-I Mobility 2008-1 :

1) as of May 2012

1)

0

200

400

600

800

1.000

1.200

1.400

1.600

02/08 02/09 02/10 02/11 02/12 02/13 02/14 02/15 02/16 02/17 02/18

€m



0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

02/08 02/09 02/10 02/11 02/12 02/13 02/14 02/15 02/16 02/17 02/18


CEs Limit

44,01 8,70

35,311,40 13,10

6,90

16,71

0,0

5,0

10,0

15,0

20,0

25,0

30,0

35,0

40,0

45,0

50,0


Claims

Repaymentsbefore



Date

Cum. AI Volume Repaymentssince occurenceof Credit Event

(incl. AI)

Realised Losses Current Volumeof DefaultedRef. Claims

(incl. AI)

€m

ln


0

1

2

3

4

5

6

7

8

9

1002/08 11/08 08/09 05/10 02/11 11/11

0%

5%

10%

15%

20%

25%

30%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

WA

RF


initial 11/11 02/12 05/12

24

PROMISE-I Mobility 2008-1:Credit Events


• current total Volume: € 16.7 million with 10 Obligors, 16 Claims,

• all Obligors are secured by mortgage

25


• The transactions is slightly above the original default

expectation based on S&P default rates.

• The realised losses of the transaction are far below the

volume of the first loss piece.

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

02/08 02/09 02/10 02/11 02/12 02/13 02/14 02/15 02/16 02/17 02/18


S&P expected Defaults Credit Events

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

02/08 02/09 02/10 02/11 02/12 02/13 02/14 02/15 02/16 02/17 02/18


realised Losses First Loss Piece

26

PROMISE-I Mobility 2008-1:Outlook

• For the remaining Credit Events in work out of 16.7 million € (inclusive Accrued Interest) we currently

expect Losses of approximately 5.2 million €.

• Currently we expect no further Credit Events in the following reporting period.



27STABILITY CMBS 2007-1 :

1)

1) as of April 2012

0,0

0,5

1,0

1,5

2,0

2,5

3,0

3,501/07 10/07 07/08 04/09 01/10 10/10 07/11 04/12

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

1,0 1,5 2,0 2,5 3,0 3,5 4,0 4,5 5,0

WA

RF

Risk Factor Migration STABILITY CMBS 2007-1 GmbH

initial 01/12 10/11 04/12

0

5

10

15

20

25

30

35

10/07 04/08 10/08 04/09 10/09 04/10 10/10 04/11 10/11 04/12

Delinquencies (Mio €) STABILITY CMBS 2007-1 GmbH

< 1 Mon. 1-3 Mon. >3 Mon. CEs

0,0%

0,2%

0,4%

0,6%

0,8%

1,0%

1,2%

1,4%

1,6%

1,8%

52%

54%

56%

58%

60%

62%

64%

66%

68%

70%

Initial 10/07 04/08 10/08 04/09 10/09 04/10 10/10 04/11 10/11 04/12

LTV & DSCR Distribution STABILITY CMBS 2007-1 GmbH

Weighted Average LTV Weighted Average Dscr

0

100

200

300

400

500

600

700

800

900

1.000

01/07 10/08 04/10 10/11 04/13 10/14 04/16 10/17 04/19

€m

ln

Pool Volume STABILITY CMBS 2007-1 GmbH


28STABILITY CMBS 2007-1:

AUSTRIA; 4,8%

GERMANY; 82,1%

GREAT BRITAIN; 3,2%

LUXEMBOURG; 4,5%

NETHERLANDS; 5,4%

SWITZERLAND; 0,0%

Property Distribution by Countries STABILITY CMBS 2007-1 GmbH

• Volume of 909 million € declines to 402 million €.

• Vacancy: 4.90 % (Top Ten: 3.90 %)

• Current total Credit Event Volume of 10.3 Mio. €

• For the current Reporting Period we expect 2.5 million € new Credit Events.

• Currently we expect a Recovery Rate in the area 70% - 80%.

• First Loss Allocation of 0,7 million € is expected for July 2012. Main reasons have been the increased CHF rate,

a decline of the the rental fee and a respective decline of the property value.


29Contact

Dr. Jörg Chittka

Head of Investor Relations

Phone: +49 211 8221-4349

E-mail: [email protected]

Timo Menzel

Head of Asset Sales and Securitisation

Phone: +49 211 8221-4875


Copyright:June 2012Published by: IKB Deutsche Industriebank AG, Wilhelm-Bötzkes-Straße 1, 40474 Düsseldorf, GermanyPublic limited company under German lawRegistered office: Düsseldorf, GermanyRegistered at the Düsseldorf District Court, Commercial Register no. HR B 1130Chairman of the Supervisory Board: Bruno ScherrerChairman of the Board of Managing Directors: Hans Jörg SchüttlerMembers of the Board of Managing Directors: Dr. Dieter Glüder, Claus Momburg, Dr. Michael H. Wiedmann

Ronny Stratmann

Head of CLO Management

Phone: +49 211 8221-4119


performance summary of ikb balance sheet securitisations€¦ · the presentation is proprietary...

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