Interest Distribution - Bhw
Interest Distribution - Bhw
Interest Distribution - Bhw
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ON-GOING REPORTING ON THE MORTGAGE LOAN PORTFOLIO<br />
PROVIDE BLUE 2003 - 1 PLC<br />
Determination Date : 28.06.2006<br />
Reference Period : 01.03.2006 - 31.05.2006<br />
<strong>Interest</strong> Period on Notes : 07.04.2006 - 06.07.2006<br />
Fixed Euribor : 2,82400%<br />
The Bank Serivcer and Determination Agent The Issuer<br />
Deutsche Postbank AG BHW Bausparkasse AG PROVIDE BLUE 2003-1 PLC<br />
Freidrich-Ebert-Allee 114-126 Lubahnstraße 2 5 Harbourmaster Place / IFSC<br />
53113 Bonn 31789 Hameln / Germany Dublin 1 / Ireland<br />
Contact Person: Contact Person: Contact Person:<br />
Christel Bicknell Claire Lyons<br />
Telephone: Telephone: + 49 (0)5151 182489 Telephone: +353 1 6806016<br />
Facsimile: Faxsimile: + 49 (0) 5151 185069 Facsimile: +353 1 6806050<br />
E-Mail: E-Mail: CBicknell@bhw.de E-Mail: claire.lyons.mahon@db.com<br />
Corporate Administrator Principal Paying Agent The Trustee<br />
Deutsche International Corporate Services BHW Bank AG Deloitte & Touche GmbH<br />
5 Harbourmaster Place / IFSC Lubahnstraße 2 Schwannstraße 6<br />
Dublin 1 / Ireland 31789 Hameln / Germany 40476 Düsseldorf / Germany<br />
Contact Person: Contact Person: Contact Person:<br />
Claire Lyons Ralf Blume Ulrich Lotz<br />
Telephone: +353 1 6806016 Telephone: +49 (0)5151 183285 Telephone: +49 (0)211 87722375<br />
Facsimile: +353 1 6806050 Facsimile: +49 (0)5151 184971 Facsimile: +49 (0)211 87722441<br />
E-Mail: claire.lyons@db.com E-Mail: Rblume@bhw.de<br />
Rating:<br />
A-2 (Standard / Poor's for BHW Bausparkasse AG)<br />
E-Mail: ulotz@deloitte.de<br />
Program Sponsor Ratingagency Ratingagency<br />
Kreditanstalt für Wiederaufbau Fitch Ratings Ltd. Standard & Poor's Ratings Services<br />
Palmengartenstrasse 5-9 Eldon House, Eldon Street 20 Canada Square, Canary Wharf<br />
60325 Frankfurt am Main London EC2M 7UA / United Kingdom London E14 5LH<br />
Contact Person: Contact Person: Contact Person:<br />
Yvonne Ronecker Charlotte Eady Viktor Milev<br />
Telephone: +49 (0)69 7431 1831 Telephone: +44 (0)20 7417 3523 Telephone: +44 (0)20 7176 3569<br />
Facsimile: +49 (0)69 7431 4948 Facsimile: +44 (0)20 7417 6262 Facsimile: +44 (0)20 7176 3598<br />
E-Mail: yvonne.ronecker@kfw.de E-Mail: charlotte.eady@fitchratings.com E-Mail: viktor_milev@standardandpoors.com<br />
Rating:<br />
AAA / AAA / AAA (Fitch Ratings / Moody's / Standard & Poor's)<br />
1
Reference Pool Servicer: BHW<br />
Intermediary and Sponsor: Kreditanstalt für Wiederaufbau<br />
Initial Aggregate Balance 1.946.791.078,23<br />
Initial Aggregate Balances of the Building savings accounts 177.907.518,07 Beginning Number of Claims 34.802<br />
Initial Aggregate Principal Balance 1.768.883.560,16 Number of Claims paid in full Current Period -4.495<br />
Beginning Aggregate Principal Balance 1.307.028.094,04 Removals Current Period 0<br />
Aggregated Number of Claims paid in full /<br />
Removals<br />
Scheduled Principal received 115.431.029,51<br />
-4.495<br />
Unscheduled Principal received / Prepayments 7.781.786,13 Added Loans * + 78<br />
thereof Removals 0,00 Ending Number of Fixed Rate Loans 30.385<br />
Liquidation Proceeds 0,00 * in case loan was splitted<br />
Total Principal available for <strong>Distribution</strong> and CPR<br />
Current Period Realized Losses<br />
43,38%<br />
23.540,57<br />
123.212.815,64<br />
Delinquency Status<br />
Cumulative Realized Loss 218.018,85 Number of Claims Protected Amount Overdue Payments<br />
Current Period Unjustified Losses/Late Recoveries 0,00 0 months in arrears 29.402 1.140.559.106,46 n.a.<br />
Current Period Reinstatement of the Note Principal Amounts 0,00 0,01 - 0,99 months in arrears 196 8.899.688,79 29.665,22<br />
Net Principal Repayment and CPR 123.236.356,21 1 - 1,99 months in Arrears 155 7.022.284,41 62.288,06<br />
Ending Aggregate Principal Amount 1.183.791.737,83 2 - 2,99 months in Arrears 86 3.216.989,17 52.177,84<br />
Cumulative Realized Loss 218.018,85 3 - 3,99 months in Arrears 78 4.214.259,68 99.784,64<br />
CPR 43,38% 4 - 4,99 months in Arrears 41 2.121.816,28 65.156,65<br />
Outstanding Threshold Amount<br />
5 - 5,99 months in Arrears<br />
6 - 11,99 months in Arrears<br />
38<br />
106<br />
1.157.937,66<br />
4.065.872,11<br />
44.880,10<br />
257.863,04<br />
Initial Balance 1,12% 19.811.495,87 12+ months in Arrears 106 4.516.596,86 576.576,74<br />
Threshold Amount (Beginning Balance) 1,50% 19.617.017,59 Delinquencies (greater 3 months) 369 16.076.482,59 1.044.261,17<br />
Current Period Realized Losses 23.540,57 Terminated 0 0,00 0,00<br />
Threshold Amount Ending Balance) 1,66% 19.593.477,02 Subtotal 369 16.076.482,59 1.044.261,17<br />
Remittance Realised Loss<br />
Bankruptcy 179 8.017.186,41 238.833,14<br />
Number and Protected Amount of Loans 7 394.559,59 Total 548 24.093.669,00 1.283.094,31<br />
Foreclosure Proceeds 626.165,75<br />
Prior ranking loans (eventually not in this portfolio) 467.495,90<br />
Defaulted Reference Loan Claim<br />
Loss on Prior Ranking Loans (not in this Protfolio) 17.870,89<br />
Realised Loss 218.018,85 Number of Claims Protected Amount Overdue Payments<br />
Pool-factor: 0,71784084 Current Period Defaulted Reference Claims 81 2.627.844,59 117.970,95<br />
A+ Reduction Factor: 0,000152796 Cumulative Defaulted Reference Claim 561 23.002.430,25 1.012.208,56<br />
Determination Date: 28.06.2006<br />
Payment Date: 07.07.2006<br />
3 Month EURIBOR: 2,8240%<br />
Servicer: BHW Bausparkasse AG<br />
Reporting Date 22.06.2006<br />
Remittance Information<br />
Currency: EUR<br />
Remittance <strong>Distribution</strong> Data Reference Pool Information<br />
Fixed Rate Loans (Festhypotheken)<br />
thereof normal performing again* 120 9.982.558,00<br />
* Loans with months in arrears below 3 and no bankruptcy flag<br />
2
Credit Linked Notes Provide Blue 2003-1 PLC<br />
Statement to CLN Noteholders<br />
Class<br />
Beginning<br />
Certificate Balance<br />
Number of<br />
Notes<br />
<strong>Interest</strong> <strong>Distribution</strong><br />
Currency: EURO<br />
Spread over<br />
3 Month Euribor<br />
Coupon<br />
Current Accrued <strong>Interest</strong><br />
per Note<br />
A+ 179.460,21 25 0,33% 3,1540% 57,23<br />
A 46.300.000,00 463 0,33% 3,1540% 797,26<br />
B 36.100.000,00 361 0,55% 3,3740% 852,87<br />
C 16.700.000,00 167 0,70% 3,5240% 890,79<br />
D 13.800.000,00 138 1,60% 4,4240% 1118,29<br />
Totals 113.079.460,21<br />
Triggers:<br />
1) Time Call: 07.10.2009<br />
2) Clean up call: Reduction of Aggregate Principal Balance to less than 10% of the Initial Principal Balance, currently<br />
3) Occurance of an Regulatory Event<br />
4) Occurance of a Tax Event<br />
5) Termination of the Bankswap<br />
6) Non-compliance of Servicer<br />
Determination Date: 28.06.2006<br />
Current <strong>Interest</strong> Accrual Period<br />
Payment Date: 07.07.2006 Beginning Ending<br />
3 Month EURIBOR: 2,82400% 07.04.2006 06.07.2006<br />
Number of days (act): 91<br />
Servicer: BHW Bausparkasse AG<br />
Reporting Date: 22.06.2006<br />
3
Total <strong>Interest</strong><br />
<strong>Distribution</strong><br />
1.430,75<br />
369.131,38<br />
307.886,07<br />
148.761,93<br />
154.324,02<br />
981.534,15<br />
73,89%<br />
3
Credit Linked Notes Provide Blue 2003-1 PLC<br />
Statement to CLN Noteholders<br />
Class<br />
Principal Balance<br />
before<br />
<strong>Distribution</strong><br />
Current Net<br />
<strong>Interest</strong> Rate<br />
Principal<br />
<strong>Distribution</strong><br />
<strong>Interest</strong><br />
<strong>Distribution</strong><br />
Unpaid<br />
<strong>Interest</strong><br />
Total<br />
<strong>Distribution</strong><br />
Principal<br />
Loss<br />
Principal<br />
Balance after<br />
<strong>Distribution</strong><br />
WKN ISIN<br />
A+ 250.000,00 179.460,21 3,154% 18.826,38 1.430,75 0,00 20.257,13 0,00 160.633,83 691 025 DE0006910250<br />
A 46.300.000,00 46.300.000,00 3,154% 0,00 369.131,38 0,00 369.131,38 0,00 46.300.000,00 691 026 DE0006910268<br />
B 36.100.000,00 36.100.000,00 3,374% 0,00 307.886,07 0,00 307.886,07 0,00 36.100.000,00 691 027 DE0006910276<br />
C 16.700.000,00 16.700.000,00 3,524% 0,00 148.761,93 0,00 148.761,93 0,00 16.700.000,00 691 028 DE0006910284<br />
D 13.800.000,00 13.800.000,00 4,424% 0,00 154.324,02 0,00 154.324,02 0,00 13.800.000,00 691 029 DE0006910292<br />
Totals CLN 113.150.000,00 113.079.460,21 18.826,38 981.534,15 1.000.360,53 0,00 113.060.633,83<br />
Class<br />
Original Face<br />
Value<br />
Principal<br />
Balance before<br />
<strong>Distribution</strong><br />
Principal<br />
<strong>Distribution</strong><br />
<strong>Interest</strong><br />
<strong>Distribution</strong><br />
Total<br />
<strong>Distribution</strong><br />
Principal Loss<br />
Principal<br />
Balance after<br />
<strong>Distribution</strong><br />
S+P<br />
Original Current<br />
Legal<br />
Maturity<br />
A+ 7.178,41 753,0552 57,2300 810,2852 0,00 6.425,3548 AAA AAA AAA AAA 07.01.45<br />
A 100.000,00 0,0000 797,2600 797,2600 0,00 100.000,0000 AAA AAA AAA AAA 07.01.45<br />
B 100.000,00 0,0000 852,8700 852,8700 0,00 100.000,0000 AA AA AA AA 07.01.45<br />
C 100.000,00 0,0000 890,7900 890,7900 0,00 100.000,0000 A A A A 07.01.45<br />
D 100.000,00 0,0000 1.118,2900 1.118,2900 0,00 100.000,0000 BBB BBB BBB BBB 07.01.45<br />
Determination Date: 28.06.2006<br />
Payment Date: 07.07.2006<br />
3 Month EURIBOR: 2,82400%<br />
Servicer: BHW Bausparkasse AG<br />
Reporting Date<br />
22.06.2006<br />
Amounts per Unit (10.000 / 100.000)<br />
<strong>Distribution</strong> Summary<br />
Currency: EUR<br />
Rating of the Notes<br />
Fitch<br />
Original Current<br />
4
Credit Linked Notes Provide Blue 2003-1 PLC<br />
Statement to CLN Noteholders<br />
Class<br />
Original Face<br />
Value<br />
Beginning<br />
Percentage<br />
Beginning<br />
Certificate<br />
Balance<br />
Principal<br />
Received<br />
Unscheduled<br />
Principal<br />
Received<br />
Liquidation<br />
Proceeds<br />
Total Principal<br />
<strong>Interest</strong><br />
Subparticipation<br />
Unjustified<br />
Loss<br />
Allocation<br />
Realized<br />
Loss<br />
Ending<br />
Certificate<br />
Balance<br />
Ending<br />
Percentage<br />
Senior Swap 1.635.922.064,29 89,85% 1.174.331.616,24 115.413.392,15 7.780.597,11 0,00 123.193.989,26 - 0,00 0,00 1.051.137.626,98 88,79%<br />
A+ 250.000,00 0,01% 179.460,21 17.637,36 1.189,02 0,00 18.826,38 - 0,00 0,00 160.633,83 0,01%<br />
A 46.300.000,00 3,54% 46.300.000,00 0,00 0,00 0,00 0,00 - 0,00 0,00 46.300.000,00 3,91%<br />
B 36.100.000,00 2,76% 36.100.000,00 0,00 0,00 0,00 0,00 - 0,00 0,00 36.100.000,00 3,05%<br />
C 16.700.000,00 1,28% 16.700.000,00 0,00 0,00 0,00 0,00 - 0,00 0,00 16.700.000,00 1,41%<br />
D 13.800.000,00 1,06% 13.800.000,00 0,00 0,00 0,00 0,00 - 0,00 0,00 13.800.000,00 1,17%<br />
Junior Swap 19.811.495,87 1,50% 19.617.017,59 0,00 0,00 0,00 0,00 0,00 0,00 23.540,57 19.593.477,02 1,66%<br />
Totals 1.768.883.560,16 100% 1.307.028.094,04 115.431.029,51 7.781.786,13 0,00 123.212.815,64 0,00 0,00 23.540,57 1.183.791.737,83 100%<br />
Class<br />
Credit Enhancement<br />
(based on Ending Certificate Balance)<br />
Original<br />
Percentage<br />
Beginning<br />
Percentage<br />
Ending<br />
Percentage<br />
A+ 7,50% 10,14% 11,20%<br />
A 4,88% 6,60% 7,29%<br />
B 2,84% 3,84% 4,24%<br />
C 1,90% 2,56% 2,83%<br />
D 1,12% 1,50% 1,66%<br />
Determination Date: 28.06.2006<br />
Payment Date: 07.07.2006<br />
3 Month EURIBOR: 2,82400%<br />
Servicer: BHW Bausparkasse AG<br />
Reporting Date 22.06.2006<br />
Principal Reduction<br />
Currency: EUR<br />
5
Balance Bucket (€)<br />
Aggregated Percent of<br />
Securitized Total<br />
Balance Securitized<br />
(Protected Amount) Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total Number<br />
of Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
< 10.000 39.287.216,45 € 3,32% 6.100 20,08% 30,85% 14,89%<br />
>= 10.000 < 20.000 83.385.896,69 € 7,04% 5.619 18,49% 32,66% 16,77%<br />
>= 20.000 < 30.000 110.483.856,96 € 9,33% 4.425 14,56% 33,10% 18,12%<br />
>= 30.000 < 40.000 106.949.563,26 € 9,03% 3.065 10,09% 34,99% 19,12%<br />
>= 40.000 < 50.000 125.043.433,79 € 10,56% 2.771 9,12% 37,49% 21,10%<br />
>= 50.000 < 60.000 109.451.264,01 € 9,25% 2.000 6,58% 41,09% 23,01%<br />
>= 60.000 < 70.000 99.965.811,20 € 8,44% 1.542 5,07% 43,11% 24,05%<br />
>= 70.000 < 80.000 89.894.711,79 € 7,59% 1.205 3,97% 45,04% 20,83%<br />
>= 80.000 < 90.000 70.104.634,49 € 5,92% 827 2,72% 48,24% 23,19%<br />
>= 90.000 < 100.000 76.546.806,54 € 6,47% 810 2,67% 50,26% 22,94%<br />
>= 100.000 < 110.000 52.419.268,58 € 4,43% 501 1,65% 51,20% 23,35%<br />
>= 110.000 < 120.000 44.739.450,14 € 3,78% 390 1,28% 55,72% 24,88%<br />
>= 120.000 < 130.000 35.956.816,73 € 3,04% 289 0,95% 56,11% 23,51%<br />
>= 130.000 < 140.000 27.371.475,10 € 2,31% 203 0,67% 59,21% 14,31%<br />
>= 140.000 < 150.000 28.829.625,70 € 2,44% 200 0,66% 57,65% 17,58%<br />
>= 150.000 < 160.000 17.610.750,41 € 1,49% 114 0,38% 61,26% 26,35%<br />
>= 160.000 < 170.000 15.198.189,47 € 1,28% 92 0,30% 60,86% 14,09%<br />
>= 170.000 < 180.000 7.353.297,33 € 0,62% 42 0,14% 60,33% 16,69%<br />
>= 180.000 < 190.000 8.874.701,52 € 0,75% 48 0,16% 61,87% 18,73%<br />
>= 190.000 < 200.000 5.834.287,63 € 0,49% 30 0,10% 60,64% 13,16%<br />
>= 200.000 < 210.000 4.280.464,70 € 0,36% 21 0,07% 65,97% 18,94%<br />
>= 210.000 < 220.000 2.151.220,29 € 0,18% 10 0,03% 60,76% 19,79%<br />
>= 220.000 < 230.000 3.368.970,82 € 0,28% 15 0,05% 64,00% 6,71%<br />
>= 230.000 < 240.000 4.222.608,35 € 0,36% 18 0,06% 59,79% 16,63%<br />
>= 240.000 < 250.000 2.191.197,80 € 0,19% 9 0,03% 69,77%<br />
>= 250.000 < 260.000 1.019.093,31 € 0,09% 4 0,01% 56,81% 50,29%<br />
>= 260.000 < 270.000 1.055.802,76 € 0,09% 4 0,01% 67,40%<br />
>= 270.000 < 280.000 1.369.884,32 € 0,12% 5 0,02% 65,43%<br />
>= 280.000 < 290.000 851.531,07 € 0,07% 3 0,01% 72,43% 67,08%<br />
>= 290.000 < 300.000 1.472.974,71 € 0,12% 5 0,02% 61,83%<br />
>= 300.000 6.506.931,91 € 0,55% 18 0,06% 52,86% 7,07%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Outstanding Balance - 31.05.2006 -<br />
1.183.791.737,83 € 100% 30.385 100% 43,67% 20,56%<br />
Original weighted average current Outstanding Balance = 31.625,19 €<br />
Weighted average current Outstanding Balance = 38.959,74 €<br />
Maximum current Outstanding Balancet = 459.846,34 €<br />
Minimum current Outstanding Balance = 24,80 €<br />
BHW Bausparkasse AG 15.06.2006<br />
6
Region<br />
Aggregated<br />
Securitized Balance<br />
(Protected Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total Number<br />
of Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Schleswig Holstein 62.618.691,77 € 5,29% 1.841 6,06% 45,62%<br />
Hamburg 16.454.704,28 € 1,39% 412 1,36% 39,54%<br />
Niedersachsen 136.404.875,90 € 11,52% 4.120 13,56% 44,19%<br />
Bremen 8.178.212,48 € 0,69% 277 0,91% 41,03%<br />
Nordrhein-Westfalen 295.919.888,63 € 25,00% 7.752 25,51% 42,50%<br />
Hessen 104.296.039,84 € 8,81% 2.481 8,17% 41,05%<br />
Rheinland-Pfalz 67.156.958,07 € 5,67% 1.782 5,86% 42,28%<br />
Baden-Württemberg 118.154.590,56 € 9,98% 2.870 9,45% 42,82%<br />
Bayern 82.730.469,29 € 6,99% 2.041 6,72% 41,85%<br />
Saarland 13.116.011,74 € 1,11% 389 1,28% 41,40%<br />
Berlin 30.992.151,25 € 2,62% 611 2,01% 44,70%<br />
Brandenburg 72.831.604,14 € 6,15% 1.497 4,93% 47,10%<br />
Mecklenburg-Vorpommern 29.691.864,05 € 2,51% 670 2,21% 48,75%<br />
Sachsen 57.092.027,02 € 4,82% 1.388 4,57% 45,51%<br />
Sachsen-Anhalt 50.178.715,55 € 4,24% 1.214 4,00% 50,45%<br />
Thüringen 33.617.163,30 € 2,84% 901 2,97% 43,84%<br />
unknown 4.357.769,96 € 0,37% 139 0,46% 41,57%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Region - 31.05.2006 -<br />
1.183.791.737,83 € 100% 30.385 100% 43,67%<br />
BHW Bausparkasse AG 15.06.2006<br />
7
Balance<br />
LTV<br />
Aggregated<br />
Securitized Balance<br />
(Protected Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
> < 5% 4.531.545,86 € 0,38% 770 2,53% 3,39% 12,97%<br />
>= 5% < 10% 25.979.132,86 € 2,19% 2.067 6,80% 7,38% 10,78%<br />
>= 10% < 15% 47.967.105,13 € 4,05% 2.318 7,63% 12,26% 14,19%<br />
>= 15% < 20% 67.129.516,38 € 5,67% 2.425 7,98% 17,22% 16,13%<br />
>= 20% < 25% 80.091.154,61 € 6,77% 2.451 8,07% 22,17% 17,08%<br />
>= 25% < 30% 92.738.832,03 € 7,83% 2.452 8,07% 27,21% 17,95%<br />
>= 30% < 35% 93.960.314,12 € 7,94% 2.258 7,43% 32,15% 19,31%<br />
>= 35% < 40% 106.564.973,09 € 9,00% 2.344 7,71% 37,18% 20,53%<br />
>= 40% < 45% 103.627.006,45 € 8,75% 2.208 7,27% 42,23% 19,97%<br />
>= 45% < 50% 105.744.206,50 € 8,93% 2.142 7,05% 47,27% 20,83%<br />
>= 50% < 55% 94.048.449,25 € 7,94% 1.872 6,16% 52,07% 20,47%<br />
>= 55% < 60% 68.675.179,97 € 5,80% 1.509 4,97% 57,26% 21,04%<br />
>= 60% < 65% 65.298.142,14 € 5,52% 1.385 4,56% 62,19% 25,46%<br />
>= 65% < 70% 64.223.274,07 € 5,43% 1.266 4,17% 67,20% 26,56%<br />
>= 70% < 75% 77.881.725,15 € 6,58% 1.303 4,29% 72,41% 28,86%<br />
>= 75% < 80% 68.180.694,83 € 5,76% 1.160 3,82% 76,68% 25,70%<br />
>= 80% < 85% 7.797.493,00 € 0,66% 157 0,52% 80,18% 17,91%<br />
>= 85% < 90% 76.673,64 € 0,01% 1 0,00% 88,13% 0,00%<br />
>= 90% < 95%<br />
>= 95%<br />
Brigde Collateral<br />
n.a. 1) 9.276.318,75 € 0,78% 297 0,98% 5,82%<br />
TOTAL<br />
Original weighted average LTV = 46,14%<br />
Weighted average current LTV = 43,67%<br />
Maximum current LTV = 88,13%<br />
Minimum current LTV = 1,00%<br />
1.183.791.737,83 € 100% 30.385 100% 43,67% 20,56%<br />
1) Loans secured by substitutional collateral or temporary collateral<br />
Pool <strong>Distribution</strong> by LTV - 31.05.2006 -<br />
BHW Bausparkasse AG 15.06.2006<br />
8
Balance<br />
<strong>Interest</strong> Rate<br />
Percent of<br />
Aggregated<br />
Total<br />
Securitized Balance<br />
Securitized<br />
(Protected Amount)<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
> = 4,25% = 4,50% = 4,75% = 5,00% = 5,25% = 5,50% = 5,75% = 6,00% = 6,25% = 6,50% = 6,75% = 7,00% = 7,25% = 7,50% = 7,75% 95.679,46 € 0,01% 5 0,02% 42,70% 67,64%<br />
TOTAL<br />
Original weighted average <strong>Interest</strong> Rate = 5,72%<br />
Weighted average current <strong>Interest</strong> Rate = 5,68%<br />
Maximum current <strong>Interest</strong> Rate = 7,88%<br />
Minimum current <strong>Interest</strong> Rate = 3,87%<br />
Pool <strong>Distribution</strong> by <strong>Interest</strong> Rate - 31.05.2006 -<br />
1.183.791.737,83 € 100% 30.385 100% 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
9
Prior Ranking<br />
Mortgages without prior<br />
ranking charges<br />
Mortgages subject prior<br />
ranking charges<br />
Aggregated<br />
Securitized Balance<br />
(Protected Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Prior Ranking<br />
Amont (EUR)<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
2.037.586,64 € 0,17% 27 0,09% 69,09% 33,87%<br />
1.172.477.832,44 € 99,04% 30.061 98,93% 1.097.763.091,50 € 43,63% 20,66%<br />
a.n. 9.276.318,75 € 0,78% 297 0,98%<br />
TOTAL<br />
1.183.791.737,83 € 100% 30.385 100% 1.097.763.091,50 € 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
Prior Ranking<br />
Mortgages without prior<br />
ranking charges<br />
Mortgages subject prior<br />
ranking charges<br />
Aggregated<br />
Securitized Balance<br />
(Protected Amount)<br />
Pool <strong>Distribution</strong> by Prior Ranking Charges - 31.05.2006 -<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Prior Ranking<br />
Amont (EUR)<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
745.759.434,56 € 63,00% 14.778 48,64% 40,83% 24,04%<br />
428.755.984,52 € 36,22% 15.310 50,39% 1.083.809.307,47 € 48,61% 14,84%<br />
a.n. 9.276.318,75 € 0,78% 297 0,98%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Prior Ranking Charges (as adjusted) - 31.05.2006 -<br />
1.183.791.737,83 € 100% 30.385 100% 1.083.809.307,47 € 43,67% 20,56%<br />
Prior ranking charges below 1% of the Property Value have been deducted to take account of, inter alia, rounding deviations.<br />
BHW Bausparkasse AG 15.06.2006<br />
10
Property Type<br />
Aggregated<br />
Securitized<br />
Balance<br />
(Protected<br />
Amount)<br />
Percent of Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted<br />
Average<br />
LTV<br />
Percentage<br />
East Germany<br />
Single Family House 800.317.406,19 67,61% 20.805 68,47% 43,43% 23,84%<br />
Two-Family House 150.316.926,19 12,70% 3.889 12,80% 40,44% 16,04%<br />
Multi-Family House 58.887.115,37 4,97% 1.117 3,68% 43,11% 22,62%<br />
Holiday Property 1.702.144,91 0,14% 42 0,14% 41,67% 19,04%<br />
Prefabricated House (Fertighaus) 2.926.034,79 0,25% 65 0,21% 46,16% 32,90%<br />
Apartment (Eigentumgswohnung 164.359.133,60 13,88% 4.318 14,21% 47,90% 8,23%<br />
Building land 36.339,52 0,00% 2 0,01% 61,36%<br />
Other Properties 1.241.529,09 0,10% 23 0,08% 46,79% 31,01%<br />
Unkown 4.005.108,17 0,34% 124 0,41%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Property Type - 31.05.2006 -<br />
1.183.791.737,83 100% 30.385 100% 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
11
Employment Status<br />
Aggregated<br />
Securitized<br />
Balance<br />
(Protected<br />
Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
Civil Servants 269.475.318,93 22,76% 7.558 24,87% 41,22% 9,36%<br />
Public Sector Employees 198.058.844,51 16,73% 5.137 16,91% 42,44% 20,10%<br />
Other Employees 465.569.354,43 39,33% 10.676 35,14% 45,88% 28,17%<br />
Self-Employed 59.370.607,30 5,02% 1.085 3,57% 45,42% 22,83%<br />
Other (Pensioners, Students, ...) 125.722.282,44 10,62% 4.294 14,13% 39,45% 11,28%<br />
unknown 65.595.330,22 5,54% 1.635 5,38% 48,27% 29,70%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Employment Status - 31.05.2006 -<br />
1.183.791.737,83 100% 30.385 100% 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
12
Occupation Status<br />
Aggregated<br />
Securitized<br />
Balance<br />
(Protected<br />
Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East<br />
Germany<br />
Owner Occupied 1.145.594.331,13 96,77% 29.439 96,89% 43,56% 20,53%<br />
Non-Owner Occupied 33.839.636,74 2,86% 807 2,66% 47,31% 24,40%<br />
unknown 4.357.769,96 0,37% 139 0,46% 41,57%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Occupation Status - 31.05.2006 -<br />
1.183.791.737,83 100% 30.385 100% 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
13
Amortisation Type<br />
Aggregated<br />
Securitized<br />
Balance<br />
(Protected<br />
Amount)<br />
Percent of<br />
Total<br />
Securitized<br />
Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of<br />
Total<br />
Number of<br />
Reference<br />
Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East<br />
Germany<br />
Bullet 654.326.615,47 55,27% 20.396 67,13% 45,11% 17,84%<br />
Annuity 529.465.122,36 44,73% 9.989 32,87% 41,89% 23,92%<br />
Amortising<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Amortisation Type - 31.05.2006 -<br />
1.183.791.737,83 100% 30.385 100% 43,67% 20,56%<br />
BHW Bausparkasse AG 15.06.2006<br />
14
Seasoning<br />
(in months)<br />
Aggregated Percent of<br />
Securitized Total<br />
Balance Securitized<br />
(Protected Amount) Balance<br />
Number of<br />
Reference<br />
Claims<br />
Percent of Total<br />
Number of<br />
Reference Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
>= 3 6 9 12 15 18 21 24 27 30 33 36 39 42 45 48 51 54 57 60 63 66 69 72 75 78 81 84 87 90 244.734.312,64 € 20,67% 5.152 16,96% 39,79% 20,82%<br />
TOTAL<br />
Pool <strong>Distribution</strong> by Seasoning - 31.05.2006 -<br />
1.183.791.737,83 € 100% 30.385 100% 43,67% 20,56%<br />
Original weighted average current Seasoning = 29,56<br />
Weighted average current Seasoning = 68,83<br />
Maximum current Seasoning = 170,50<br />
Minimum current Seasoning = 1,80<br />
BHW Bausparkasse AG 15.06.2006<br />
15
Next Reset Date<br />
(in months)<br />
Pool <strong>Distribution</strong> by Remaining Term to next Reset Date - 31.05.2006 -<br />
Aggregated<br />
Percent of Total<br />
Securitized Balance<br />
Securitized Balance<br />
(Protected Amount)<br />
Number of<br />
Reference Claims<br />
Percent of Total<br />
Number of<br />
Reference Claims<br />
Weighted Average<br />
LTV<br />
Percentage<br />
East Germany<br />
>= 48 51 54 57 60 63 66 69 72 75 78 81 84 87 90 93 96 99 102 105 108 111 114 117 120 123 126 129 132 135 138 141 144 147 150 153 156 159 1.225.383,29 € 0,10% 18 0,06% 48,30% 4,65%<br />
1.183.791.737,83 € 100% 30.385 100% 43,67% 100,00%<br />
Original weighted average current Term to Reset = 72,24<br />
Weighted average current Term to Reset = 52,49<br />
Maximum current Term to Reset = 241,00<br />
Minimum current Term to Reset = 0,03<br />
BHW Bausparkasse AG 15.06.2006<br />
16