Strictly confidential
IFLR - European Capital Markets Forum
Focus on Middle East secured
financing
London, 26 April 2012
Executive summary
We welcome the opportunity to present you with a summary of secured products
and how this could be applicable for middle east issuers
 During today’s conference, we would like to focus on:
– A review of the current status of the European ABS market with current benefits of the
secured funding instruments as well as what still concerns investors
– A summary of middle east secured transactions, with focus on their performance of
selected deals issued by receivables originated in the Emirates of Dubai
– Key structural features investors are focusing on when analysing esoteric ABS
– Q&A
1
Section 1
Review of the 2011 ABS market—some sign of comfort
and stability …
Key themes 2011
2011 has been an eventful year. Eurozone crisis and the resulting market turmoil
caused a general widening of spreads
1 Asset and issuer diversification
 2011 has seen a diversification in asset classes with RMBS market share shrinking. Investors look to short
dated assets such as auto loans or credit cards and more corporate styles credits such as infrastructure
securitisation
– shift has led to smaller RMBS originators structuring short dated “fast pay” tranches in order to manage extension risk
 The UK RMBS sector has also seen increased diversification of originators . A number of smaller building
societies accessed the market in the first half of the year, investors welcoming the diversification away from the
“usual suspects
2 Growing US$ demand for RMBS and ABS
 US$ demand for ABS and RMBS has been increasing throughout the year. During the second half the year
demand for US$ denominated bonds increased to account for 47.2% of total public issuance compared with
just 28.0% in the first half. This large shift has been primarily a result of:
– larger investor base in the United States for ABS products
– unattractive Euro basis swap led the largest UK issuers to avoid the Euro market if they could
– attractive relative value of UK prime RMBS for US$ investors who would be required to invest in BBB rated domestic ABS in
order to achieve similar returns
3 Retained funding
 European banks continue to structure and retain ABS as a source of collateral to obtain funding by way repo
and structured funding transaction
 Largest provider of financing remains ECB through its long term repo operations (“LTRO”)
– ECB announcement of a 3-year LTRO led to a flurry of new retained transactions, backed by SMEs and residential
mortgages, in order to be pledged to the facility and accessed the more “relaxed” eligibility criteria (single “A” for certain
assets)
3
European ABS market 2011 overview
The ABS market has seen a steady year with an increase in the proportion of
publically placed bonds
Key Facts for H1 2011
 In total: circa EUR346.1 billion ABS Issuance with EUR84.8 billion placed with investors
 RMBS, predominantly from the UK and the Netherlands, leads issuance
 Other asset classes such as car loans, infra/utility loans and credit cards increase their market shares
 Of public issuance 45% of issuance denominated in EUR, 25% in GBP and 28% in US$. Picture is split between
first and second half of the year with US$ accounting for 47.2% of issuance in H2
2011—Total public issuance €84.8bn
Retained
74.6%
Public
25.4%
Other
8.1%
Other
CMBS 2.1% 5.9%
Credit Cards 7.2%
Italy 2.7%
Spain 5.4%
Germany 9.2%
Netherlands
14.0%
Infra & Utility
10.1%
UK
60.7%
RMBS
57.8%
Auto
16.8%
2010—Total public issuance €86.3bn
Retained
77.3%
Public
22.7%
Other
Italy 3.1% 3.5%
Belgium 6.3%
Germany 8.6%
UK
49.5%
CMBS 3.7%
Other 2.4%
CLO 3.0%
Utility 3.3%
Credit Cards 3.3%
Infrastructure 3.9%
Auto 8.4%
Netherlands
29.0%
RMBS
72.1%
Source: Concept ABS, Bloomberg
4
2012—YTD ABS performance
4
Apr-12
Mar-12
Feb-12
Jan-12
Dec-11
Nov-11
Oct-11
Sep-11
Aug-11
Jul-11
Jun-11
May-11
Source: UBS
Country of origination: 2011 vs. 2012v YTD (€24.1bn)
90%
80%
70%
60%
50%
Netherlands Germany
Multi
2011
2012
Other
0.92%
2.70%
2.61%
0.00%
0%
2.05%
10%
0.00%
20%
6.73%
30%
9.20%
40%
UK
Source: UBS
Apr-11
-
Mar-11
2
8.61%

6
14.00%

8
Feb-11

10
80.00%

12
Jan-11

While issuance YTD is below expected volumes (some
€24.1bn) heading to a full year number of apx €72.3bn (some
14% below 2011), we have seen a diverse number of
transactions getting executed in the ABS market
The UK has been the dominant market with a series of GBP
denominated auto loans and auto leases as well as the more
traditional UK RMBS transactions
In addition to that, the market has registered fewer Dutch
securitisations than expected (some 8.61%), mostly
privately placed: an exception to this trend, has been the 144A
proposed transaction for Aegon intending to distribute the first
$ Dutch RMBS in the US$ market since 2007
A rare Swiss asset securitisation (CHF denominated) was
issued in March 2012 by GE Money Bank:
Furthermore, a series of infrastructure secured transactions
have been executed in 2012, switching the traditional bank
loan market (typical funding tool for greenfield and brownfield)
to the bond market, where insurances and pension funds have
expressed their intention to further increase their appetite:
YTD some €7bn have been issued in this field
While there have not been any Southern European ABS
transactions placed in 2012 yet ( in 2011 we had an handful
number of Italian and Spanish deals), a selected number of
investors have expressed their interest in evaluating ABS
investments into short dated paper (e.g. auto loan/leases)
even in the more “distressed” countries), with no or li limited
tale/extension risk
60.70%

Volumes of public and privately placed European ABS
(bn)
A review of 2012 YTD—April 2012
Italy
Source: UBS
5
ABS secondary market
 Fixed rate markets spread
moved wider over the course of
the year in line with general
credit markets as a result of the
Eurozone crisis
750
600
Discount Margin (bps)
 Auto loans performed best with
little movement as demand for
short dated collateral remaining
high
Floating Rate ABS Spreads
450
300
150
0
Apr-11
Jul-11
UK AAA RMBS
NTL AAA RMBS
Oct-11
ITA AAA RMBS
Jan-12
EU Autos (3yr)
Apr-12
UK £ AAA CMBS
Source: UBS Delta 2011-2
ABS Fixed rate market
GBP Corporate, Real Estate & WBS
300
ASW (bps)
 ABS was relatively stable
through 2011 however spreads
widened in H2 following the
moves seen earlier in the year
in other markets
250
200
150
100
Apr-11
Jul-11
iBoxx GBP Housing Associations
iBoxx GBP Utilities
Oct-11
Jan-12
Apr-12
iBoxx GBP Industrial Goods & Services
iBoxx GBP Whole Business Securitized
Source: UBS Delta 2011-2
6
Section 2
What about covered bonds?
Review of 2011 covered bond supply
Some € [310]bn were placed in 2011 with a rating of AAA 95%, and a AA rating 5%
issued
Global Covered Bond volumes
European FIG funding overview
300
Subordinated
3.0%
250
Asset backed
12.0%
200
Government
guarantee
0.5%
150
Covered bonds
46.0%
100
50
Senior
unsecured
38.5%
0
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Source: Dealogic; all currencies
Source: Bond Radar; public benchmarks
Euro supply overview in 2011
(by deal nationality)
Euro supply overview in 2011
(by maturity)
Switzerland
Austria 1.8%
Denmark
1.7%
1.8%
Belgium
2.3%
Norway
4.5% Netherlands
6.0%
Sweden
UK
8.0%
11.0%
Germany
11.0%
Source: UBS Syndicate
Finland
1.5%
New Zealand
0.9%
4 years
6%
France
24.0%
Italy
13.0%
Spain
12.0%
7 years
8%
12 years
5%
5 years
35%
2 years
7%
3 years
17%
10 years
22%
Source: UBS Syndicate
8
Section 3
State of play ME capital markets
GCC secondary market update
Market conditions remain volatile, but recent new issues have been well received
GCC sovereign CDS performance

Market sentiment towards the Middle East has continued to improve in the early part
of 2012, despite ongoing concerns around political instability in Iran and Syria.
Investor confidence has been bolstered by the progress of regional corporate
restructurings and the strong performance of recent new issues

In comparison to other developing markets such as Asia and Latin America, new
issuance from the GCC remained relatively light for most of 2011, picking up
significantly only towards the end of the year and the start of this year. Transactions
are being priced mainly by more established issuers (e.g. the top-rated banks) and
sovereign/quasi-sovereign entities. Recent Sukuk issues have also performed very
strongly, due to the continued scarcity of the asset class

Demand for regional assets, not only in USD but also in CHF, EUR and GBP, has
remained robust, as evidenced by the heavily oversubscribed orderbooks on most
transactions. We expect appetite to remain strong for new issues, given the relatively
light pipeline forecast
700
600
(bps)
500
400
300
200
100
0
Aug-09
Dec-09
Apr-10 Aug-10
Abu Dhabi
Qatar
Dec-10
Apr-11 Aug-11
Bahrain
Saudi Arabia
Dec-11
Apr-12
Dubai
Recent GCC new issue performance
Secondary performance of recent issues
Spread vs. swaps (bp)
475
425
375
325
275
225
175
Nov-11
Dec-11
EIB Jan-17
IPIC Mar-17
TAQA Mar-17
Jan-12
Feb-12
FGB Jan-17
IPIC Mar-41
TAQA Dec-21
Source: UBS, as of 18-Apr-2012
Mar-12
MAF Feb-17
IPIC Mar-22
Apr-12
Issue Date Issuer
Rating Size (mm) Maturity Launch sprd Current sprd
27-Oct-11
27-Oct-11
27-Oct-11
02-Nov-11
11-Nov-11
16-Nov-11
22-Nov-11
29-Nov-11
29-Nov-11
29-Nov-11
05-Dec-11
05-Dec-11
10-Jan-12
12-Jan-12
12-Jan-12
31-Jan-12
07-Feb-12
14-Feb-12
07-Mar-12
19-Mar-12
21-Mar-12
27-Mar-12
27-Mar-12
28-Mar-12
Aa3 / AA
Aa3 / AA
Aa3 / AA
A1
A1 / ABBB
A2/A+
Aa2 / AA
Aa2 / AA
Aa2 / AA
A3 / A
A3 / A
A3 / A+
Baa1 / A
A2 / A+
BBB
A1/A+
Aa3/A+
A2/AAa3/A+
A3/A+
A1/AAA1/AAA1/A
IPIC
IPIC
IPIC
Union National Bank
ADCB
Bahrain
ADIB
State of Qatar
State of Qatar
State of Qatar
TAQA
TAQA
Emirates Islamic Bank
Tamweel
First Gulf Bank
Majid Al Futtaim
Dolphin Energy
Qatar National Bank
Doha Bank
NBAD
Emirates NBD
Saudi Electricity Co.
Saudi Electricity Co.
Com. Bank of Qatar
US$1,500
US$,1500
US$750
US$400
US$500
US$750
US$500
US$2,000
US$2,000
US$1,000
US$750
US$750
US$500
US$300
US$500
US$400
US$1,300
US$1,000
US$500
US$750
US$1,000
US$500
US$1,250
US$500
Mar-17
Mar-22
Mar-41
Nov-16
Nov-16
Nov-18
Nov-16
Jan-17
Jan-22
Jan-42
Mar-17
Dec-21
Jan-17
Jan-17
Jan-17
Feb-17
Dec-21
Feb-17
Mar-17
Mar-17
Mar-17
Apr-17
Apr-22
Apr-17
MS+236
MS+332
MS+374
MS+288
MS+275
MS+450
MS+245
MS+185
MS+250
MS+330
MS+300
MS+395
MS+350
MS+400
MS+288
MS+482
MS+342
MS+236
MS+262.5
MS+190
MS+337.5
MS+140
MS+195
MS+235
Z+217
Z+296
Z+368
Z+254
Z+232
Z+344
Z+235
Z+143
Z+184
Z+239
Z+229
Z+285
Z+326
Z+396
Z+256
Z+373
Z+275
Z+211
Z+406
Z+213
Z+362
Z+132
Z+205
Z+213
10
Section 4
Global performance of the ABS market
Rating agencies downgrade matrix: European credit cards and
cars
The below tables includes WR (withdrawn rating as well): 100% of the transactions
(inclusive of WR) have been confirmed at Aaa by Moody’s
Europe ABS Cards
ENDING RATING
Tranche-level
rat ing act ions
START RATING
Aaa
Aaa
Aa
A
Baa
Ba
B
Caa
Ca/C
# Tranches
Aa
A
Baa
St art :
Ba
B
Caa
Ca/C
58.3%
4/14/11
WR # Tranches
41.7%
20.0%
40.0%
60.0%
25.0%
80.0%
60.0%
40.0%
75.0%
100.0%
14
8
6
2
3
2
0
0
End:
20
24
10
10
5
4
2
0
0
55
4/13/12
Wgt d
Not ch ?
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
Europe ABS Cars
Tranche-level
rat ing act ions
START RATING
ENDING RATING
Aaa
Aa
A
Baa
Ba
B
Caa
Ca/C
# Tranches
Aaa
Aa
46.7%
11.1%
55.0%
3.6%
A
64.3%
9.1%
Baa
St art :
Ba
10.0%
7.1%
45.5%
B
Caa
Ca/C
9.1%
33.3%
17
19
9
4
2
100.0%
0
2
End:
WR # Tranches
42.2%
35.0%
25.0%
36.4%
20.0%
66.7%
100.0%
80.0%
21
4/14/11
41
45
20
28
11
5
3
1
2
115
4/13/12
Wgt d
Not ch ?
-0.4
-0.8
-0.1
-0.4
0.0
0.0
0.0
0.0
-0.4
12
European RMBS performance
European RMBS performance discount the pressure on sovereign downgrades
Europe RMBS Prime
Tranche-level
rat ing act ions
START RATING
ENDING RATING
Aaa
Aa
A
Baa
Ba
B
Caa
Ca/C
# Tranches
Aaa
Aa
A
35.8%
48.1%
69.7%
0.3%
1.9%
7.7%
70.6%
1.1%
210
518
294
Baa
7.1%
10.3%
70.9%
St art :
Ba
1.5%
5.3%
6.5%
69.1%
258
138
B
2.5%
8.3%
7.9%
71.4%
83
Caa
1.4%
9.4%
16.1%
72.1%
57
Ca/C
0.7%
7.1%
20.9%
92.0%
94
4/14/11
End:
WR # Tranches
14.2%
13.9%
11.1%
11.9%
12.9%
5.4%
7.0%
8.0%
234
586
337
360
278
139
56
43
87
1,886
4/13/12
Wgt d
Not ch ?
-1.2
-0.9
-1.0
-0.9
-1.0
-0.9
-0.5
-0.1
-1.0
Europe RMBS Subprime/Non-Conforming
Tranche-level
rat ing act ions
START RATING
ENDING RATING
Aaa
Aa
A
Baa
Ba
B
Caa
Ca/C
# Tranches
Aaa
Aa
A
37.4%
37.4%
87.4%
6.0%
3.2%
4.3%
8.8%
88.1%
4.8%
Baa
2.5%
6.0%
82.5%
St art :
Ba
B
9.5%
79.5%
12.8%
83.9%
5.4%
188
83
62
Ca/C
37
31
7.7%
9.7%
86.5%
38
8.1%
95.2%
62
End:
WR # Tranches
20.9%
1.3%
6.5%
43
Caa
4/14/11
4.8%
29
115
159
67
63
39
31
37
62
573
4/13/12
Wgt d
Not ch ?
-1.2
-0.5
0.0
0.0
-0.8
0.2
0.2
0.0
-0.4
13
Performance drivers
Current macroeconomic pressure in the peripheral countries is affecting European
ABS transactions
– Unemployment levels—social security systems provides (temporary) relief for obligors
– “generosity” of schemes varies substantially within Europe
– Interest rates/types and level of indebtedness of obligors impacts affordability
– Germany, France, Italy sector quite resilient
– Spain, Greece and Portugal pools have shown greater deterioration in particular in
the unsecured space: in secured transactions often support from the originator
involves the bank to buy back some of the underlying NPLs
– Implementation of severe austerity measures
– Country risk—deteriorating environment (sovereign, banking sector) results in
increased probability of “worst case scenarios”
– credit enhancement & structural mitigants for operation risk
14
Section 4.A
Global performance of the ABS market
Focus on ME ABS transactions
Relevant secured transactions executed in ME in recent
years
A limited number of ABS securities have been executed across the ME region
 Since 2003 few secured transactions have been rated from the region for a total of €3.9bn of secured
certificates issued
 A total of 12 ABS deals have been rated above investment grade
 The highest proportion of deals have been executed with receivables from the Emirates of Dubai
54.8% with the residual certificates issued from Saudi Arabia
and Qatar
 Relevant receivables securitised have been i) lease receivables (42.6%) and ii) trade receivables
(18.6%)
– Next three pages present i) a list of the relevant deals as well as ii) two deal summary of ME secured transactions
Distribution by location of the receivables
Trade
receivables
18.4%
Auto
receivables
4.3%
Commercial
mortgages
8.1%
Residential
mortgages
11.3%
Property
lease
receivables
15.2%
Distribution by location of the receivables
Oman
18.4%
United Arab
Emirates
54.8%
Lease
receivables
42.6%
Qatar
17.5%
Saudi Arabia
9.2%
16
List of ABS transactions executed in the region
Summary of secured transactions executed in the middle east
Set t lem ent
Dat e
Issuer
Originat or
06-Aug-10
Emirat es NBD Aut o Finance Lt d
Emirat es NBD PJSC
28-Aug-08
28-Aug-08
28-Aug-08
13-M ar-08
16-Jan-08
26-Jul-07
26-Jul-07
26-Jul-07
26-Jul-07
25-Jul-07
25-Jul-07
25-Jul-07
25-Jul-07
07-Nov-06
07-Nov-06
07-Nov-06
07-Nov-06
07-Nov-06
07-Nov-06
07-Nov-06
07-Nov-06
07-Jul-06
17-M ay-05
17-M ay-05
09-Oct -03
12-Aug-03
Deal Type
Asset -Backed
Securit y
Sun Finance Lt d
Sorouh Real Est at e Co
Asset -Backed
Securit y
Sun Finance Lt d
Sorouh Real Est at e Co
Asset -Backed
Securit y
Sun Finance Lt d
Sorouh Real Est at e Co
Asset -Backed
Securit y
Salam Bounian Development
Salam Bounian Development
Asset -Backed
Co Sukuk Lt d
Co P.S.C.
Securit y
Nakheel Development 2 Lt d
Nakheel World
Asset -Backed
Securit y
UAE CM BS Vehicle No 1 Lt d
Arabian Real Est at e Invest ment M ort gageTrust - AREIT No 1
Backed Securit y
UAE CM BS Vehicle No 1 Lt d
Arabian Real Est at e Invest ment M ort gageTrust - AREIT No 1
Backed Securit y
UAE CM BS Vehicle No 1 Lt d
Arabian Real Est at e Invest ment M ort gageTrust - AREIT No 1
Backed Securit y
UAE CM BS Vehicle No 1 Lt d
Arabian Real Est at e Invest ment M ort gageTrust - AREIT No 1
Backed Securit y
Tamw eel Resident ial ABS CI
Tamw eel PJSC
M ort gage1 Lt d
Backed Securit y
Tamw eel Resident ial ABS CI
Tamw eel PJSC
M ort gage1 Lt d
Backed Securit y
Tamw eel Resident ial ABS CI
Tamw eel PJSC
M ort gage1 Lt d
Backed Securit y
Tamw eel Resident ial ABS CI
Tamw eel PJSC
M ort gage1 Lt d
Backed Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
Blue Cit y Invest ment s 1 Lt d
Al Saw adi Invest ment &
Asset -Backed
Tourism Co LLC - ASIT
Securit y
KSA M BS 1 Int ernat ional Sukuk Kingdom Inst allment Co LLC
M ort gageCo Lt d
Backed Securit y
Emirat es Nat ional Securit izat ion
M ort gageCorp Trust
Backed Securit y
Ensec Home Finance Pool I Lt d
Emirat es Nat ional Securit izat ion M ort gageCorporat ion - EnSec
Backed Securit y
Qat ar Global Sukuk QSC
Asset -Backed
Securit y
Solidarit y Trust Services Lt d
Islamic Development Bank
Asset -Backed
Securit y
Collat eral Type
Aut o
receivables
Lease
receivables
Lease
receivables
Lease
receivables
Lease
receivables
Lease
receivables
Commercial
mort gages
Commercial
mort gages
Commercial
mort gages
Commercial
mort gages
Resident ial
mort gages
Resident ial
mort gages
Resident ial
mort gages
Resident ial
mort gages
Trade
receivables
Trade
receivables
Trade
receivables
Trade
receivables
Trade
receivables
Trade
receivables
Trade
receivables
Trade
receivables
Resident ial
mort gages
Resident ial
mort gages
Commercial
mort gages
Propert y lease
receivables
Lease
receivables
Fit ch
Rat ing
(Launch)
M oodys
Rat ing
(Launch)
Deal
Nat ionalit y
Tranche Value
Euro (Face)
Coupon
Currency
Code
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Qat ar
170,353,169
1-mt h Libor +180bp
JPY
Aa2
504,554,882
1-mt h Ot her +200bp
AED
Aa3
45,868,626
1-mt h Ot her +250bp
AED
183,474,503
1-mt h Ot her +350bp
AED
89,509,488
6-mt h Libor +190bp
USD
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Oman
505,101,525
5.5
USD
20,364,532
3-mt h Libor +50bp
USD
AA-
Aa3
9,348,842
3-mt h Libor +70bp
USD
A
9,058,956
3-mt h Libor +140bp
USD
6,884,806
3-mt h Libor +170bp
134,636,973
3-mt h Libor +35bp
11,660,330
S&P
Rat ing
(Launch)
Float
(Y/N)
Tranche Value
(local) (Face)
Y
19,000,000,000
A
Y
2,761,000,000
A3
BBB+
Y
251,000,000
Baa3
BBB-
Y
1,004,000,000
Y
137,500,000
N
750,000,000
Y
28,100,000
A3
Y
12,900,000
BBB
Baa1
Y
12,500,000
USD
Not rat ed
Baa3
Y
9,500,000
USD
AA
Aa2
Y
185,900,000
3-mt h Libor +120bp
USD
BBB+
Baa1
Y
16,100,000
7,459,714
3-mt h Libor +395bp
USD
BB
Ba3
Y
10,300,000
5,576,679
3-mt h Libor
USD
Not rat ed
Y
7,700,000
312,781,719
3-mt h Libor +160bp
USD
Y
399,000,000
Oman
0
3-mt h Libor +160bp
USD
Y
0
Oman
205,777,447
3-mt h Libor +380bp
USD
BBB-
Y
262,500,000
Oman
0
3-mt h Libor +380bp
USD
BBB-
Y
0
Oman
112,099,714
13.75
USD
BB
N
143,000,000
Oman
0
13.75
USD
BB
N
0
Oman
39,587,661
13.75
USD
BB
N
50,500,000
Oman
54,873,986
1
USD
BB
N
70,000,000
Saudi Arabia
14,098,849
6.55
USD
N
18,000,000
Unit ed Arab
Emirat es
Unit ed Arab
Emirat es
Qat ar
272,936,406
1-mt h Libor +20bp
USD
Aaa
AAA
Y
350,000,000
272,936,406
1-mt h Libor +20bp
USD
Aaa
AAA
Y
350,000,000
600,034,288
6-mt h Libor +40bp
USD
A+
Y
700,000,000
Saudi Arabia
349,604,510
3.625
USD
AAA
N
400,000,000
17
Tamweel Residential ABS 1—Transaction overview
Securitisation of an AED 775 million portfolio of first lien lease payments secured by residential real estate properties
rented to lessees within the Emirate of Dubai in the UAE
Transaction summary






In July 2007, Fitch and Moody’s assigned ratings to three classes
of notes issued by Tamweel Residential ABS CI (1) Ltd,
an offshore SPV incorporated under the laws of Cayman Islands
The Sharia-compliant notes are backed by an AED 775 million
(US$ 211 million equivalent) portfolio of lease contracts on
properties located in Dubai, originated by Tamweel PJSC
At closing, the portfolio envisaged 78.7% WA OLTV,
73.1% WA CLTV, 7.7% WA profit rate, 19.5 months WA seasoning
and 16.4 WA residual maturity, with 95% exposures granted to
foreigners out of which 91% were currently living and working in
Dubai
The structure envisages a combined return and principal priority of
payments with a turbo structure which uses available excess
spread to amortise the notes and a non-amortising cash
reserve equal to 0.5% of the notes issuance has been funded
since closing
Liquidity arrangements are put in place to meet AED denominated
senior expenses and US$ denominated senior expenses and
variable return
An exchange agreement covers the risk of shortfall caused by any
fluctuation in the AED vs. US$ exchange rate
Transaction performance

Since closing, the transaction has performed well
– 90+ arrears are at 0.51% of current balance as of March 2012
and to date no losses have been recorded
– CPR has however fallen from the historic average of
23% to 0% since October 2011
Structure
Sale of assets and
beneficial interests
in the properties
Tamweel
Properties (1)
Ltd
AED collections
and sale of
properties and
leases
US$ purchase
price
Class A
Tamweel
Residential
ABS Cl (1)
Ltd
Class C
Class D
AED
liquidity
facility
US$
purchase
price
Class B
Tamweel
PJSC
US$
liquidity
facility
Liquidity
Facility
Tranching
Class
Original
ratings (M /F)
Current
ratings
(M / F)2
CE
(% )
Size
(US$m)
Reference
rate
Spread
(bps)
Expected
maturity1
WAL
(years)1
Aa2/A+
16
177.5
1m-Libor
35
Apr-15
2.83
Baa1/BBB+
8.7
15.3
1m-Libor
120
Apr-15
5.07
C
Aa2/AA
Baa1/BBB+
Ba3/BB-
Ba3/BBB-
4.0
9.9
1m-Libor
395
Apr-15
5.07
D
NR/NR
NR/NR
0.5
7.4
1m-Libor
1,000
A
B
Total
210.1
Notes:
1
According to the assumptions described in the prospectus, out of which a CPR equal to 17.5%
2
Original ratings assigned by Fitch were AA and BBB+ for the Class A and B notes which were
downgraded in December 2009 to A and BBB, then upgraded in January 2011 to A+ and BBB+
18
Emirates NBD Auto Financing Limited—Transaction
overview
Securitisation of a AED 1,018 million portfolio of auto loans to private and commercial borrowers in the UAE
Transaction summary





In August 2010, Moody’s assigned ratings to a note issued by
Emirates NBD Auto Financing Ltd (“Repack”), a Jersey SPV
incorporated under English Law
The notes are backed by an AED 1,018 million (US$ 277 million
equivalent) portfolio of auto loan receivables located in the UAE
originated by Emirates NBD Bank PJSC (“Emirates NBD”)
At closing, the portfolio envisaged 100% fixed loans to
81.2% private borrowers vs. 18.8% commercial, 87.7% new cars
vs. 12.3% used cars, 100.0% auto loans, 27 months WA
seasoning and 38 months WA remaining term. The portfolio has a
85.8% concentration in Dubai with the second largest
concentration being 5.7% in Abu Dhabi
The receivables are sold to the Emirates NBD Auto Finance Ltd
Special purpose vehicle (“APC”) which then issues a note which
is entirely bought by the Japan Bank for International Cooperation
(“JIBC”). JIBC then partially transfers the APC note to Repack
which issues notes to investors
The repack note benefits from a principal guarantee from JBIC
which mitigates the lack of credit enhancement on the note,
additionally the transaction benefits from a balance guaranteed
foreign exchange swap with Emirates NBD swapping fixed rate
AED payments for floating JPY
Transaction performance

Since closing, the transaction has performed well
– 90+ arrears are at 0.21% of current balance as of April
2012 with 0.31% of cumulative defaults and 0.26% of
cumulative losses
– CPR has also remained relatively stable between
10–13% since close
Structure
Swap
Counterparty
Fixed interest
rate and AED
Cashflows
Floating interest rate and
swapped JPY cashflows
APC note interest
and principal
JBIC as APC
noteholder
APC (Jersey
SPV)
Repack
(Jersey SPV)
APC note
purchase
price
APC note
purchase
price
Receivables
Sale of
repack
notes
Partial transfer
of APC note
Investors
Repack note
proceeds
Repack note
guarantee
Purchase
price
Emirates NBD
Repack note details
Class
Original
ratings
(M )
Current
ratings (M )
CE
(% )
Size
(JPYm)
A
Aa2
Aa2
0.0
Total
Size
(USDm)
Reference
rate
Spread
(bps)
Expected
maturity
WAL
(years)
15,200
185.9
1m-¥Libor
100
Aug-15
4.1
15,200
185.9
19
Selected performance of two ABS from the Emirates of
Dubai
A solid performance, through the crisis from both residential and auto lease
receivables
%
Delinquencies
5
4
3
2
1
0
Aug-07
Feb-08
Aug-08
Tamweel Total Delinquencies
Emirates NBD Total Delinquencies
Feb-09
Aug-09
M ar-10
Tamweel 60+
Emirates NBD 60+
Sep-10
M ar-11
Sep-11
Apr-12
Tamweel 90+
Emirates NBD 90+
Defaults & Losses
0.3
%
0.2
0.1
0.0
Aug-07
Feb-08
Aug-08
Feb-09
Aug-09
Tamweel Cum Defaults
Emirates NBD Cum Defaults
M ar-10
Sep-10
M ar-11
Tamweel Cum Losses
Emirates NBD Cum Losses
Sep-11
Apr-12
20
Secured funding transactions—key critical steps
 In emerging market
deals, rating agencies
and investors put lot
of attention on certain
key economical and
environmental issues.
Below we indicate
some risks and how
to mitigate them
Sovereign risk
Exchange rate risk
Commingling risks
Servicing risk and
back up servicing
Portfolio transparency
& alignment of interest

Currency transfer and convertibility risk

Political interference: it is essential to incorporate in the analysis the economic
and political factors relevant to these environment

Risks such currency transfer and convertibility restrictions and volatile
macroeconomic factors

Risk of devaluation or trading restriction are high: investors want to avoid
Kazakhstan risk type (eg. BTA Hypotheken transaction): this risk mitigated by
local ME ccy pegged to the USD

CCY risk could be mitigated either via a currency derivatives, such offshore
swaps

This risk can be overall mitigated by the analysis of the historical data, especially
if these incorporates high inflation periods and high interest rate

Liquidity and depth of the swap market

The Servicer should not commingle the SPV payments with its own funds

Depending on the local laws, the funds the Servicer or bank was holding may
become part of the bankruptcy estate and divided among unsecured creditors

This risk is mitigated by i) either notifying each debtor of the new settlement or ii)
by transferring the collection within 24 hours

As the securitisation will involve claims related to a portfolio of loans, the
originator will not lose its relationship with the securitised clients

Advancing: the Servicer could be in charge of advancing funds for the delinquent
loans

Back up Servicer, or facilitator, are required at issue date with clear invocation
periods

Loan by loan data needs to be available to investors in order to ensure
transparency

Although not yet regulated in all of the region, CRD#2 and Art122A should be in
any case applicable in order to ensure an alignment of interest between all
21
stakeholders in the transaction
Transparency: why is so important
Across the globe, an effort is pursued to ensure a proper disclosure is provided at
issue date and during the life of the transaction
Why Investor Reporting Transparency in Euro ABS Transactions is so important:
– Lack of standardization in reported ABS performance data
– Transactions are not uniform (e.g. different country pools/structures/originators)
– Loan-level data not available for most transactions
– Additional costs for external data providers (e.g. surveillance data, cash-flow modelling,
etc.)
– No uniform consumer credit quality classification (e.g. FICO score in the US)
– Originators/Banks do not disclose their cash flow models
Available Sources where data should be provided:
– Investor reports available in the sponsor bank web-site
– Rating agencies
– External data providers (ABSNet, ABSXchange,INTEX., etc.)
Recent Transparency Initiatives:
ECB and BOE have worked with industry participants to establish ABS investor reporting
standards and loan level data reporting: domestic ME regulator should ensure a similar
approach is followed
22
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