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 Section 5 Q&A DISCLAIMER By accepting this document, the recipient agrees to be bound by the following obligations and limitations. 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