Cédulas Hipotecarias - CH - Spain

1 Who is the issuer? Universal credit institution
2 Does the bondholder have recourse to the issuer (in case of special issuer: recourse to the sponsor bank)? Direct
3 Who owns the cover assets? The issuer directly
4 Is the issuer the originator of the cover assets? Yes, partly (external origination possible)

External origination legally posible but very rare in practise

1 What type of assets may be included in the cover pool?
 
  Primary assets Substitution assets
Public sector assets Mortgage assets Other 1* Other 2* Other 3*  
Exposures to public sector entities x x
Exposures to credit institutions x
Residential mortgage loans x
Commercial mortgage loans x
Export finance loans x


Cédulas internacionalización (Others 1) are a sub-type of public sector CB distinguished by their purpose of financing initiatives related to the internaziolitation of entrepreneurs. They are CRR compliant.
2 What is the geographical scope of assets?
 
  Primary assets Substitution assets
Public sector assets Mortgage assets Other 1* Other 2* Other 3*  
Domestic x x x


Assets are mainly domestic but other localitions are possible provided fulfilling with art 129 CRR
3 Is there a maximum level for substitute assets in the statutory national framework? Yes, please specifiy

10%
4 Are there any reporting requirements for covered bond issuers to investors? Yes, by law and in line with art. 14 of EU Covered Bond Directive
5 What is the frequency of reporting to investors? Quarterly

1 What is the basis for property valuation Mortgage lending value
2 Is a regular update of the property value required? Yes, automated / indexed valuation sufficient

External appraisal only necesary whenever an important depreciation takes place.
3 What are the LTV limits (single asset based)? Please specify in %/n.a. Residential
Commercial

Residential 80%; Commercial 60%
4 Are loans in excess of LTV limits eligible for inclusion in the cover pool? Hard limit upon inclusion but soft limit accepted following inclusion

IV.1 Derivative contracts in the cover pool

1 Are derivative contracts eligible for the inclusion in the cover pool? Yes, exclusively for hedging purposes (by law)
2 Are there requirements for derivative contracts (e.g. eligibility criteria for hedging counterparties)? Yes, specified in law

Hedging counterparties must be creditit institution with specific credit quality mentioned in art. 129.1 c)CRR
3 Will derivative contracts remain in case of insolvency of the issuer? Yes
4 If derivatives are permitted in the cover pool, what is their ranking? Pari passu to covered bond holders

IV.2 Exposure to market risk

1 What is the primary method for the mitigation of market risk? Natural' matching (i.e. match funding, matching without the use of off-balance sheet instruments) and stress testing
2 Are there mitigating provisions for interest rate risk? Yes, by legislation/regulation

tests mandatory
3 Are there mitigating provisions for foreign exchange risk? Yes, by legislation/regulation

tests mandatory
4 Are there mitigating provisions for maturity mismatch risk? Yes, by legislation/regulation

tests mandatory
5 What type of coverage test is applied? Nominal cover
6 Are there stress scenarios applied? Yes, by law

IV.3 Liquidity risk

1 Is exposure to liquidity risk mitigated? Yes, by law
2 What liquidity risk mitigation requirements are in place (principal)? 180 days liquidity provisions
Maturity extension provisions
Stress testing requirements
3 What liquidity risk mitigation requirements are in place (interest)? 180 days liquidity provisions
Maturity extension provisions
Stress testing requirements
4 What is the consequence of not fixing a breach of liquidity risk mitigants? No new covered bond issuance
Administrative penalty

No new cover bond issuance normally will be adopted but this measure has not an explicit legal recognisition
5 If 180 days liquidity provisions are in place, what types of liquid assets are eligible LCR Level 1
LCR Level 2a
LCR Level 2b
Short term exposures to credit institutions (Credit Quality Step (CQS) 1)
Short term exposures to credit institutions (CQS 2)
Short term deposits to credit institutions (CQS 1)
Short term deposits to credit institutions (CQS 2)
Short term deposits to credit institutions (CQS 3)
6 If 180 days liquidity provisions are in place, the calculation of principal is based on: The (extended) legal final maturity date

IV.4. Maturity extension

1 Is maturity extension allowed by national law? Yes, but optional and subject to conditions
2 Is it possible to issue… Hard bullet
Soft bullet
3 Which trigger plays a role for maturity extension according to law - independent or alone or in combination? Issuer bankruptcy/resolution
Lack of liquidity; breach of liquidity rules
Other

Other: "No viability of the issuer according to the Recovery and resolution Directive and serious markets disturbances determined by the AUTORIDAD MACROPRUDENCIAL CONSEJO ESTABILIDAD FINANCIERA." The triggers work independently.
4 Does any competent authority need to give its okay (or non-opposition)? Yes

IV.5 Overcollateralisation

1 Is mandatory overcollateralisation required in the law ?

mortgage - 5% - Nominal

public sector - 5% - Nominal

V.1 Cover pool monitor (CPM)

1 Is there a cover pool monitor in addition to national competent authorities in the statutory law? Yes, by law and in line with Article 13 of EU Covered Bond Directive
2 Is the CPM separate from the issuing credit institution? No, internal CPM allowed in line with the provisions of Article 13(3) but independent

Yes, but external CPM also allowed. Two options.
3 Is the appointment, dismissal, eligibility criteria and the role of the CPM regulated by the national statutory law? Yes

Very extensive regulation: elegibility criteria, duration, incompatibilities, reporting obligations..

V.2 Banking supervision

1 Which are the national competent authorities designated to carry out covered bonds public supervision in the law?

Bank of Spain - Website

2 Is a special permission required for a covered bond programme according to national law? Others, please specify

permission for programme granted by competent authority
3 Is there a covered bond issuance limit in law or regulation? If yes, please specify No
4 Does the national statutory law provide for the appointment of a dedicated cover pool administrator in case of insolvency/resolution (transfer included acc. to BRRD [Bank Recovery and Resolution Directive])? Yes
5 Which is the typical frequency in the national statutory law of reporting from the covered bond issuers to the designated competent authorities? Quarterly

1 Does the national statutory law meet the requirements laid down in the EU Covered Bond Directive? Yes
2 Does the statutory law meet the requirements of Article 129 of CRR [Capital Requirement Regulation]? In this case, please specify the collateral types meeting the Art. 129 CRR. Yes

Mortgages and public sector assets.
3 Does the statutory law allow covered bonds out of the scope of Art 129 of CRR? In this case, please specify the collateral Yes

Open category.Only comply with art.6 CBD requirements.
4 Are listed covered bonds eligible in repo transactions with the national central bank? Yes

Any further comments/information?