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					Exploring the Securitisation
Markets in Europe
Dr. Markus Herrmann
Vice President
European Securitisation Research
+44 207 547 2748




                                   November 2002
    Exploring the European Securitisation Market

     Table of Contents

        Trends in the European Securitisation Market
        Sector Analysis and Trends
         –   Credit Card ABS

         –   Auto ABS

         –   MBS

         –   CMBS

         –   CDO

        Rating Trends
        Yield Analysis




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     Trends in the European Securitisation Market




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                Growth of The Global ABS Market
                $500.0


                $450.0


                $400.0


                $350.0


                $300.0
    Billion $




                $250.0


                $200.0


                $150.0


                $100.0


                 $50.0


                  $0.0
                              19


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                                 88


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                                                                                                                                                01
                                                                        Europe      US      Global
                   Source: Deutsche Bank Global Markets Research
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       Global ABS Issuance by Asset Class

                                              Europe                                                                   US
                                                2001                                                                  2001
                              Total issuance: US$129.3bn                                                   Total issuance: US$343.9 bn



                                                                                                            Other
                      ABS
                                                                                                            21%                          Home
                      25%                                                                        Manufac-
                                                                                                                                         Equity
                                                                                                  tured
                                                                                                                                          31%
                                                                   RMBS                          Housing
                                                                    40%                            2%
          Credit
                                                                                                 Student
          Cards
                                                                                                 Loans
           1%
                                                                                                   3%
            Auto
            4%
                                                                                                      Credit
               CMBS
                                                                                                      Cards
                12%
                                                                                                       20%                        Auto
                                           CDO
                                           18%                                                                                    23%



    Note: For European assets, includes transactions placed in the in the US (Public and 144A)


           Source: Deutsche Bank Global Markets Research


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           Growth of the European ABS Market
            In 2001 the European market set yet another new record in terms of issuance with over EUR 145
             bn, well over the EUR 92 bn in 2000.
            Supply in 2002 ytd (28-Oct) is EUR 105 bn, with consumer ABS again the dominant asset class.
             Strong growth sectors are include CMBS and auto ABS.


    European ABS/MBS Issuance (EUR bn)                                                      Monthly issuance Profile
                                                                                                                                2001    2002
    160     EUR bn
                          Other ABS   CDO   CMBS     RMBS                                    30

    140

                                                                                             25
    120


    100                                                                                      20


     80
                                                                                             15

     60
                                                                                             10
     40

                                                                                             5
     20


                                                                                             0
            1994      1995     1996     1997       1998     1999   2000   2001   2002 ytd         Jan   Feb   Mar   Apr   May     Jun   Jul    Aug   Sep   Oct   Nov   Dec



                   Source: Deutsche Bank Global Markets Research

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          European ABS Issuance by Asset Class

             RMBS continues to be the dominant asset class in Europe with an issuance share of more than
              40% consistently.
             Non-consumer related securitisations (CMBS and CDOs, namely) have experienced increases in
              their market shares in recent years.


          2000 European Issuance                                  2001 European Issuance                            YTD 2002 European Issuance
                       (EUR 92.0 billion)                                      (EUR 145.0 billion)                                   (EUR 105 billion)


                  Other ABS
                    14%                                                Other ABS
                                                                         25%                                              Other ABS 21%
                                                                                                                                                    RMBS 40%
              4%
                                                                                                            RMBS
    Credit Card
                Auto                                                                                         40%
                 3%                                RMBS                                                             Credit Card 4%
                                                                Credit Card
                                                   48%             1% Auto
                                                                                                                         Auto 5%
              CMBS                                                        4%
              15%
                                                                           CMBS
                                                                            12%                                               CMBS 13%
                                                                                                                                                 CDO 17%
                         CDO                                                                CDO
                         16%                                                                18%




              Note: “Other ABS” may include Project Finance and Future Flow transactions among other asset types;
              Source: Deutsche Bank Global Markets Research (as of 31/12/01 and 31/03/2002).

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     European ABS/MBS Issuance Breakdown

                                   2001                                                   2002ytd
                               (by country)                                              (by country)
                      Total issuance: EUR 145 bn                                Total issuance: EUR 105 bn



         France Austria GreeceIreland Sweden Other                          Others
           2%    2%       2%    1%      1%    1%                             18%
         Portugal
           3%
         Germany                                         UK
                                                              Netherlands                                     UK
           5%                                           38%
                                                                  6%                                         41%
          Spain
           6%
                                                                Germany
                                                                  7%
            Multi
            6%
                                                                       Spain
                                                                       10%
           Netherlands                                                                   Italy
              11%                         Italy
                                                                                         18%
                                          22%



        Source: Deutsche Bank Global Markets Research


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     Key European Securitisation Market Technicals
                                             Dominance of repeat issuers
                Supply                       Larger deal sizes, move towards greater cash flow certainty
                                             Seasonal supply patterns evident, H2 most active

                                             Continued expansion of investor base to incl real money accounts
                                             Increased presence of SIVs, bank conduits and CDO funds
      Demand & Liquidity
                                             Two-way flows particularly strong in AAA floaters and fixed sector
                                             Secondary liquidity remains sensitive to new issue activity


                                             Decoupling of ABS spreads from corporate pricing trends
          Pricing Trends                     Tiering between consumer vs non-consumer ABS across curve
                                             Consumer ABS spreads prove resilient, servicer tiering evident

                                             Consumer asset pools generally performing to expectations
             Credit
                                             CDOs and whole business ABS ratings underperform
          Fundamentals
                                             Seller linkage remains a relatively important ratings determinant



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      Sector Analysis




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      Credit Card ABS




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 European Credit Card ABS Market Overview

  –   The European credit card ABS market is concentrated in the UK. There
      has been sporadic issuance out of Italy and France.


   UK                             France               Italy         US
   MBNA                           Credit Lyonnais      Findomestic   Citibank
   HFC Bank                       Citibank             Diners Club   MBNA
   Capital One Bank               Compagnie Bancaire                 BankAmerica
   Royal Bank of                                                     Capital One
   Scotland                                                          Bank
   Barclays




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      Fundamentals of Credit Card ABS Market
          Market Technicals
               –    Significantly smaller market compared to US, dominated by the UK
               –    Generic structures - revolving pools with soft bullet securities
               –    Highly liquid „benchmark‟ asset class


          Credit Trends
               –    Pools performing as expected, with excess spread relatively generous
                         Europe shows stronger underlying credit trends relative to US

                                                    UK CC ABS            US CC ABS

                   Charge offs                       3-4%                    5-6%

                   Excess Spread                     8-10%                   7-8%

                   90+ Delinquencies                 1-2%                    2-3%


           –       Servicing varies - banks to monoline issuers



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         Rating Stresses - European Credit Card / Auto ABS

        Rating Agency Stress Scenario Example - Credit Card ABS
                                                       AAA           A             BBB
          Charge offs                               5x multiple   3x multiple   2.5x multiple
          Portfolio yield                           35% decline   25% decline   15% decline
          Monthly payment rate                      50% decline   35% decline   20% decline
          Uncapped FRN rate                         4% increase   3% increase
          Source:   FitchIBCA, S&P



        Rating Agency Stress Scenario Example - Auto ABS

                                                       AAA           A             BBB
          Charge offs                               5x multiple   3x multiple   2x multiple

          Portfolio yield                           20% decline   10% decline   5% decline

          Source:   FitchIBCA




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      Types of Credit Card Issuer Profiles

          Bank
           –   Bank sponsored credit card program. Typically part of the Visa/MasterCard
               program.
          Retail
           –   Generally a private label card program or a private points program.
          Monoline
           –   Speciality credit card originator, often times are bank subsidiary.




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         Key Trends in 2002
      Four deals (EUR 3.5 bn) in 2002 ytd vs 3                   Clearing spreads highlight benchmark
       deals in 2001                                               status of credit card ABS in Europe,
      US credit card companies dominate                           similar to the US market
       supply this year. Debut issue by Capital                   Pricing driven by technicals, more than
       One in 2002                                                 credit fundamentals
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                                                                            bp
                                                                                                         CARDS 2001-
            Capital One                                          27                                       B (Dec-01)
               21%
                                                                                                              M BNA
                                                                 25                                          CCM NT
                                                                                                           2002-1 (M ar-
                                                                 23                                          02, EUR)


                                                                 21
                                                          MBNA
                                                           56%
                                                                 19               Sherw ood
         HFC Bank                                                                Castle 2002-           CARDS 2002-
           23%                                                                    1 (Apr-02)             A (Jun-02)
                                                                 17


                                                                 15                                                            WAL
                                                                      1yr        3yr        5yr   7yr          9yr         11yr


          Source: Deutsche Bank Global Markets Research
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      Deal Example: Cards 2001-A
                Credit card securitisation from MBNA‟s UK Receivables Trust II
                Original Credit Enhancement
                 –   Class A: 12%
                 –   Class B: 7%
                 –   Class C: 5%
                 –   Excess spread
                Performance as of May-02:
                 –   Portfolio cash yield: 21.1%
                 –   3-month average excess spread: 8.47%
                 –   30-59 days delinquencies: 1.2% May / 1.3% 3m avg
                 –   60-89 days delinquencies: 0.79% May / 0.82% 3 m avg
                 –   90+ days delinquencies: 1.43% / 1.63% 3m avg
                 –   Charge-offs 4.24% / 4.39% 3m avg


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      Auto ABS




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        European Auto ABS Market Overview

             Issuance of auto receivable ABS                                                  Collateral domicile varies
              has increased recently, dominated
              by captives
                                                                                                          Portugal France Austria
                                                                                                            5%      3%     2%          UK
     10.0   EUR bn
                                                                                                      Spain                           18%
      9.0                                                                                              6%
      8.0
                                            2002 expected
                                                                                                   Belgium
      7.0                                                                            4
                                                                                                     6%
      6.0
      5.0                                                                                         France
      4.0                                                                                           6%
                                                                                                                                            Germany
      3.0
                                                                              5.4                   Japan                                    19%
                                                                                    5.0
      2.0                                                                                            8%
                                                                  2.7   2.9
      1.0
            0.9   0.7   0.3   0.4   0.3   0.0   1.2   0.4   0.6
      0.0                                                                                                     US                    Italy
                                                                                                             13%                    14%
            90    91    92    93    94    95    96    97    98    99    00    01    02ytd




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 Issuers in the European Auto ABS Market

  Austria                               Italy                  Spain
  Porsche Bank                          Fiat                   Peugeot (PSA
                                                               Finance)
  Belgium                               Portugal
  Banque Bruxelles Lambert              Banco Int. Funchal     Japan
  KBC Bank                              Sofincloc              Nissan Credit
                                        Tecnicredito           Orient Corp.
                                        Banco Mais             JGF
  France                                                       QUOQ
  SOCRAM                                Interbanca
  Peugeot
  Renault                               UK                     US
                                        Ford                   Ford
  Germany                               Chartered Trust        GMAC
  Volkswagen                            Paragon
  Fiat                                  Automotive Financial
  Ford                                  Services
  ABC Bank                              General Guarantee
                                        Finance




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      Auto Loans: Key Trends in 2002

       Six deals (EUR 3.8bn) 2002 ytd vs ten  Spreads have de-coupled from unsecured
        deals (EUR 4.8bn) in 2001               auto paper, and have trended tighter given
       Captives have come to dominate supply   strong market technicals
                                               One of the biggest out-performers in the
                                                European ABS market in 2001
                 Banco Mais
           SOCRAM                                                   300
                    3%                                                                          3 yr AAA Auto
             8%                                                     270                         Auto sw apped Index
      Orico                                                         240
      11%                                                 Peugeot   210
                                                           37%      180
                                                                    150
                                                                    120
     Fiat                                                           90
     20%                                                            60
                                                                    30
                                   Ford                              0
                                   21%                                    12/01   2/02   4/02    6/02           8/02   10/02

          Source: Deutsche Bank Global Markets Research
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      Fundamentals of Auto ABS Market
           Market Technicals
            –    Rapidly growing market but remains significantly smaller market compared to US
            –    Revolving periods of 2/3 years, followed by sequential pass through
            –    Very liquid asset class


           Credit Fundamentals
            –      Pool performance generally strong
                       Certain loan pools „underwater‟
                       Security may or may not be provided by vehicle


                                    Belgium         France      Germany       Italy    Portugal

            Loss                      na            0.2-0.4%      0%        0.1-0.2%     <1%
            90+ Delinquencies        1-2%            2-3% *      0.5-0.8%     1-2%      4-6%
                                                    *30+ days



        –       Servicing differs from banks to captives, different jurisdictions



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      Key Characteristics of European and US Auto Loans
                         UK                  Germany                France                 Italy               Belgium               Portugal           US
      Typical Car        Hire purchase       Conditional/qualifie   Conditional/qualifie   Consumer loan       Fixed rate            Long term rental   Installment sales
      Financing          contract. Annuity   d sale contract.       d sale contract.       contract, fixed     installment loans     or hire purchase   contract (fixed
      Contract           loans with down     Annuity loans with     Typical down           rate annuity        (level monthly pay)   contracts fixed    rate) with down
                         payment, and        down payment,          payment of 25%         payment, around     – leningen op         rate, fully        payment
                         with/without        and with/without       of car value,          15% down            afbetaling.           amoritising
                         balloon payment.    balloon payment.       depending on           payments
                                                                    various factors.       normally
      Typical Interest   9% -12%             6% -9%                 8% -10%                7% -10%             5% -7%                10% -12% (new      8% -12% excluding
      Rate* )                                                                                                                        cars), 12% -16%    “ subvention”
                                                                                                                                     (used cars)
      Avg. loan size    15,500 / 10,700      8,500 / 8,800          9,300 / 7,500          8,500 / 5,900       8,000 / 6,000         12,200 / 9,900     $25,000 / $10,000
      new / used (EUR)
      Prepayment        Possible at any      Possible at any        Possible at any        Possible at any     Possible at any       Possible at any    Possible at any
                        time, subject to     time, usually no       time, subject to       time, subject to    time, subject to      time, subject to   time.
                        penalty at           penalty                penalty if above       max 1% penalty      make-whole            make-whole
                        originator‟s                                certain threshold                          penalties
                        discretion
      Security for loan Yes (Car)            Yes (Car, salary,      Yes (Car)              No security over No security over         Yes (car)          Yes (car)
                                             additional                                    car, possible other vehicle, security
                                             guarantees)                                   guarantees          of salary in
                                                                                                               principle
      Cenrtralised       Yes                 Yes                    Yes                    Yes                 Yes                   Yes                Yes
      Credit Bureau
      Approx.            2 - 4 months        2 - 5 months           Up to 5 months         2 - 3 years         n.a.                  Up to 8 months     Up to 4 months
      Repossession                                                                                                                   (LTRs shorter)
      time
      Average            c 30% - 40%         c 50% – 70%            c 40 - 50% new         c 15 % - 20% new n.a.                     c 15% - 25% used c 40% - 60%
      Recovery Value                                                cars / c 35 - 45%      cars / c 10% -15%                         cars /c 20% - 40% prime auto loans
                                                                    for used cars.         used cars.                                new cars




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      Deal Example: ALFA 1
        True sale of German auto receivables originated by Fiat Bank GmBH
        Original Credit Enhancement:
         –    Class A: 10% subordination of class M notes
         –    „Excess spread‟ from NPV of receivables
        Performance as of Apr-02:
         –    30-90 days delinquencies 0.26%
         –    90+ days delinquencies 0.03%
         –    Total delinquencies: 0.29% vs 6% early amortisation trigger
         –    No losses to-date vs 1.75% write-off trigger




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      Deal Example: BMORE 1
        True sale of Portuguese auto receivables originated by Technicrédito
        Original Credit Enhancement:
         –    Senior notes: 14% (subordination + reserve fund)
         –    Mezzanine: 9% (subordination + reserve fund)
         –    Subordinated notes: 4% reserve fund (2% initially growing to 4% from excess
              spread)

        Performance as of Apr-02:
         –    Cumulative defaults 0.64% vs 7.43% trigger
         –    Charge-offs (Jan-Apr-02) 0.47%
         –    Total delinquencies: 6.05% vs 10% trigger
         –    2 instalments delinquency: 2.79%
         –    3 instalments delinquency: 1.52%
         –    4-6 instalments delinquency: 1.74%%


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      Deal Example - COMP 2001-1A

        True sale of French auto receivables originated by PSA Finance
        Original Credit Enhancement:
         –    Senior notes: 7% (subordination + reserve fund)
         –    Subordinated notes: 2% reserve fund
         –    Excess spread (initially estimated 3.7%)

        Performance as of May-02:
         –    Loss ratio 0.156% vs 2.63% trigger
         –    Net loss ratio 0.121%
         –    Total delinquencies 2.74% vs 4% trigger
         –    Current weighted average coupon 9.53% vs 9.38% in Jun-01
         –    Current CPR 22.1%




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      MBS




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      European MBS Market Overview
      MBS continues to dominate the European securitisation market with new supply of €28
      billion from 8 separate European countries in 2002


                             YTD 2002 European Issuance                YTD 2002 RMBS Issuance
                                   (EUR 75.7 billion)                           (EUR 28.0 billion)

                                                                                     Sweden Portugal
                            Other ABS                                          France
                                                                                       1%     1%
                               23%                                               4%

                                                                      Spain
                                                          RMBS         19%
                                                           37%

                  Credit
                  cards                                          Germany                                UK
                   4%                                               2%                                 51%
                     Auto
                      6%                                             Italy
                                                                     11%

                            CMBS
                             11%
                                                    CDO                    Netherl's
                                                    15%                      15%




        Source: Deutsche Bank Global Markets Research
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 Overview: European MBS Securitisation Issuers
   Belgium                                     Ireland                   Netherlands
   Kredietbank                                 First National BS         ABN Amro NV
   Bacob                                       First Active              Aegon
   Fortis Bank                                 EBS Building society      Delta Lloyd
                                               Bank of Ireland           Achmea
   France                                                                ASR Bank
   Compagnie Bancaire                          UK
   Credit Agricole Indosuez                    Northern Rock             Spain
                                               Abbey National            BSCH /UCI
   Germany                                     TMC Tattenham             Bancaja
                                               City Mortgage             Caixa Cataluyna
   Deutsche Bank
                                               Kensington Group          La Caixa
   Rheinhyp
                                               Bradford & Bingley        BSCH
   DG Hypo
   LB Scheswig-Holstein                        First Active UK
   Nuernberger Hypothekenbank                  RFC                       Sweden
   HVB                                         Alliance & Leicester      SE Banken
   Eurohypo                                    HBOS                      Framtiden Group
                                               Bristol & West            SBAB
                                               Legal & General
   Italy
                                               Paragon Group             Portugal
   Banco del Salento
   Banca Intesa                                                          Banco Comercial Portugues
   Monte dei Pashi
                                               Finland                   Banco Nacional de Credito
                                               Housing Fund of Finland   Imobiliario
   Banca Popolare di Milano


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          European mortgage products
                    Product Type                                   Repayment Type                                    Maturity         Prepayment
     UK             Most mortgages are floating rate               Mainly Endowment products (i.e. linked to an      On average       On average 18 to 24%
                    products. Mortgage lenders also offer to       investment vehicle: ISA, PEP, Pension fund).      25 to 30 years   per annum
                    customers:                                     Other products available:
                    - Fixed rates (2, 5 years)                     - Interest Only mortgages (i.e. no principal                       High – mainly due to
                    - Floating rates (linked to the originator‟s     repayment until final maturity of the                            flexible mortgages and
                      standard variable rate or the Bank of          mortgage loan)                                                   important mortgage
                      England‟s base rate)                         - Repayment (annuity)                                              refinancing

     Netherlands    Fixed rate mortgages represent the             - Most Dutch Mortgages are linked to an           Mainly 30-40     In the last decade, CPRs
                    majority of the market. Typical residential      investment vehicle or savings accounts          years.           have ranged between
                    mortgage has a fixed rate resettable after     - Interest only products are (given the tax                        4% and 15% (generally
                    2, 5, 7 or 10 years                              incentive – interests paid on mortgages are     75 years         in a 7%-10% range)
                    65% of borrowers currently choose fixed          tax deductible)                                 interest only    Low CPR due to
                    rate periods that are between 5 and 10         - Very few annuity mortgages                      mortgages        stringent repayment
                    years or more                                                                                    also on offer    penalties
     Germany        Mostly fixed interest rates products – The     Borrowers repay their loans using either a full   On average
                    fixing period may vary from 1 to 15 years      repayment or interest-only scheme                 20 to 30 years   10 to 15% CPR
                    (commonly set at 10 years).

     Italy          Two main types of mortgages for                Most mortgages are amortising                     20 years on
                    residential purposes in Italy:                                                                   average          10 to 15% CPR
                    - mutuo fondiario
                    - mutuo ipotecario
                    with floating rate linked to Euribor

     Spain          The most popular product on the Spanish        Mostly fully amortising mortgage products         20 to 25 years   Traditionally 8 to 10% -
                    market is variable-rate mortgage (mainly       (annuity)                                         on average       but will increase
                    based to 3-mths Euribor)                                                                                          following introduction of
                                                                                                                                      flexible mortgage
                                                                                                                                      products
     Portugal       Mainly floating rates mortgage based to 3-     Mostly fully amortising annuity loans             25 to 30 years   10 to 15% CPR
                    mths Euribor)



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      Fundamentals of MBS Market
           Market Technicals
            –    The „benchmark‟ European securitization sector with variety of assets and issuers
            –    Amortising OR revolving structures followed by sequential pass through / soft bullet
            –    Liquid asset class
           Credit Fundamentals
            –    Pool performance varies
                         Continent Europe vs UK - extent of default disincentives
                         Arrears management depends on foreclosure framework
                         Different real estate cycles in each market

                                     France    Germany    Ireland    Italy      Netherlands   Spain      UK Prime   UK Sub Prime

            90+ Delinquencies       0.2-0.5%   0.5-1.0%   2.0-4.0%   1.0-1.5%    0.1-0.7%     1.0-1.5%   0.5-1.0%    10-16%
            Prepayment Trend        7-12%      10 - 15%   5 - 15%    15 - 20%    10 - 20%     7 - 15%    20- 30%    25 - 40%


        –       Credit profile of structures may differ
                     Aspects of legal transfer
                     Yield maintenance provisions in „underwater‟ loans, pool insurance, etc

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         Rating Stresses - European MBS
        Rating Agency Stress Scenarios

              AAA-default probability by LTV                      Worst market value decline
                                                                    assumptions
           Country                  60%             80%   90%         AAA       A      BBB
                                    LTV             LTV   LTV
           Netherlands              6%              8%    9%           53%     43%     38%

           UK                       9%              14%   20%          48%     39%     35%

           Germany                  5%              8%    10%          45%     33%     29%

           Ireland                  8%              9%    21%          49%     40%     37%

           Spain                    7%              11%   16%          42%     31%     26%

           France                   8%              10%   13%          52%     42%     37%


          Source:   FitchIBCA, Moodys




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        Rating agencies’ criteria for rating European MBS
                    Foreclosure           Adjustment to Base Foreclosure      Market Value    Prepayment   Time to recovery
                    Frequency             Frequency depending on LTV          Decline         Rate
     UK RMBS        -    AAA: 12%         LTV> 100% - Base foreclosure        South MVD:      Low: 0.5%    18 months
                    -    BBB: 4%          multiplied by 3                     - AAA: 47%      High: 30%
                                          LTV represents loan to latest       - BBB: 30%
                                          valuation                           North MVD:
                                                                              - AAA: 25%
                                                                              - BBB: 16%
     Dutch          -    AAA: 15%         LTV= 100% - Base foreclosure        -   AAA: 40%    Low: 0.5%    12 months
     RMBS           -    BBB: 6%          multiplied by 5                     -   BBB: 28%    High: 20%
                                          LTV based on loan to indexed
                                          foreclosure value of the property
     German         -    AAA: 12%         LTV= 100% - Base foreclosure        Standard MVD:   Low: 0.5%    24 months
     RMBS           -    BBB: 4%          multiplied by 3                     -   AAA: 35%    High: 30%
                                          German banks use a material or      -   BBB: 22%
                                          return value method which is        Letting MVD:
                                          subsequently adjusted to obtain     -   AAA: 45%
                                          “lendable” valuation                -   BBB: 32%
     Italian        -    AAA: 15%         LTV>100% - Base foreclosure         -   AAA: 35%    Low: 0.5%    Average of 4 years in
     RMBS           -    BBB: 6%          multiplied by 5                     -   BBB: 22%    High: 20%    the North, 5 years in
                                          LTV is loan to original valuation                                the center and 8 to
                                                                                                           10 years in the South
     Spanish        -    AAA: 12%         LTV>100% - Base foreclosure         -   AAA: 37%    Low: 0.5%    30 months
     RMBS           -    BBB: 4%          multiplied by 5                     -   BBB: 22%    High: 24%


     Portuguese     -    AAA: 15%         LTV>100% - Base foreclosure         -   AAA: 40%    Low: 0.5%    36 months
     RMBS           -    BBB: 6%          multiplied by 5                     -   BBB: 25%    High: 24%
                  Source: Standard and Poor’s
                                                                                                                          33
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       Exploring the European Securitisation Market


          Key Trends in 2002

       Remains biggest sector in the                                         Pricing varies by issuer familiarity,
        European securitization market                                         collateral, bond profile and technicals
       32 deals (EUR 24.5 bn) 2002 ytd vs                                    Significant differentials for non-prime
        EUR 24.1 bn in 2001 ytd (69 deals total                                collateral and synthetic structures
        in 2001)

                                          Non-                          40           3 yr AAA Prime RMBS
                  Reverse Multi-Family
                              2%       performing
                 mortgages                                                           7 yr AAA Prime RMBS
                                       mortgages
                    2%
          Subprime                         1%                                        Collateralized sw apped Index
                                                                        30
         mortgages
             3%
        Non-
     conforming                                                         20
     mortgages
        13%

                                                                        10


                                                                        0
                                                            Prime
                                                          residential            12/01              3/02             7/02   10/02
                                                          mortgages
                                                             79%
          Source: Deutsche Bank Global Markets Research
                                                                                                                            34
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     Exploring the European Securitisation Market



      Deal Example: Holmes Financing 2
        True sale of prime UK residential mortgages originated by Abbey
         National (Master Trust)
        Original Credit Enhancement:
         –    Class A notes: 8.43% (subordination + reserve fund)
         –    Class B notes: 4.93% (subordination + reserve fund)
         –    Class C notes: 0.28% reserve fund

        Performance as of Jun-02:
         –    0.01% of portfolio loans in possession
         –    90+ days delinquencies: 0.38%
         –    Total delinquencies: 2.07%
         –    Reserve fund: 1.52%
         –    3-quarters average excess spread: 0.559%
         –    Annualised CPR: 38.5%



                                                                           35
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     Exploring the European Securitisation Market



      Deal Example: Originated Mortgage Loans 7

        True sale of sub-prime UK residential mortgages originated by
         igroup (formerly Ocwen)
        Original Credit Enhancement:
         –    Class A notes: 14.6% (excluding excess spread)
         –    Class B notes: 5.6% (excluding excess spread)
         –    Class C notes: 2.6% reserve fund
        Performance as of Jun-02:
         –    52.2% of Class A notes repaid
         –    Cumulative losses at 0.11%
         –    Total delinquencies 25.5%, thereof 90+ days delinquencies 14.5%
         –    Reserve fund: 2.6%
         –    Prepayments have averaged 48% CPR in past year



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      Deal Example: STReAM I
        True sale of Dutch residential mortgages originated by ABP
        Original Credit Enhancement:
         –    Class A notes: 3.6% subordination / 3.87% currently
         –    Class B notes: 0.8% subordination / 0.86% currently
         –    Class C notes: excess spread

        Performance as of May-02:
         –    Class A1 started amortisation, all other tranches fully outstanding
         –    No realised losses to-date
         –    90+ days delinquencies: 0.06%
         –    Total delinquencies: 1.07%




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     Exploring the European Securitisation Market



      Deal Example: Haus 1998-1
        True sale of German residential mortgages originated by Deutsche Bank
        Original Credit Enhancement:
         –    Class A notes: 9% subordination
         –    Class B-1 notes: 5% subordination
         –    Class B-2 notes: 2% subordination

        Performance as of Jun-02:
         –    58% of pool outstanding, class A1: 55%
         –    Realised losses: less than 0.01%
         –    Total foreclosures: 0.59% of curr. outstanding
         –    42+ days delinquencies: 1.58%
         –    Total delinquencies: 1.94%




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     Exploring the European Securitisation Market



      Deal Example: Haus 2000-2
        Synthetic securitisation of German residential mortgages originated by
         Deutsche Bank
        Original Credit Enhancement:
         –    Class B notes: 2% subordination
         –    Class C notes: 1.15% subordination
         –    Class D notes: 0.75% subordination
         –    Class E notes: interest subparticipation
        Performance as of Apr-02:
         –    88% of pool outstanding, all notes issued fully outstanding
         –    No realised losses to-date
         –    EUR 121,3 mn was available in current period for interest income vs EUR 21.7 mn
              class E outstanding
         –    Total foreclosures: 0.14% of curr. outstanding
         –    42+ days delinquencies: 0.47%
         –    Total delinquencies: 0.93%
                                                                                                39
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     Exploring the European Securitisation Market



      Deal Example: Palazzo 1 A2
        True sale of Italian residential and commercial mortgages originated
         by Italfondario SpA
        Original Credit Enhancement:
         –    Class A notes: 9.9% subordination
         –    Class B notes: 4.5% subordination
         –    Class C notes: 2.5% subordination

        Performance as of Feb-02:
         –    Amortisation to 80% in redemption fund (18mth principal lock-out period)
         –    No realised losses to-date
         –    90+ days delinquencies: 0.11%




                                                                                         40
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      CMBS




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      European CMBS Market Overview
                                                                                                                    Traditional CMBS Issuance
                                                                                          30

                                                                                                                                                       25.8
          Types of CMBS in Europe                                                        25


           –    Traditional CMBS                                                                                                        19.1




                                                                       Volume in EUR bn
                                                                                          20


                   Relies on payment profile of underlying                               15                                    CMBS
                    mortgages for bond repayments                                                                                57%
                                                                                          10
                   Issued as both single borrower & portfolio                                                               7.2
                                                                                                              5.3
                    deals with multiple borrowers                                         5
                                                                                               1.1
           –    Commercial property related                                               0
                                                                                               1998           1999           2000       2001           2002E
                   Sale-and-leaseback based structures
                                                                                                     Whole Business
                   Whole business-like structures, where                                             Real Estate
                    property value plays an integral role but debt                                        17%
                    service is met by business operating income




                                                                                                                                    Traditional CMBS
                                                          Source: Deutsche Bank (Global Markets Research)                                  83%




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      Types of European CMBS
         „Traditional‟ Multi-Borrower, Multi-Asset CMBS
          –    European deal typically originated by banks with commercial lending businesses
          –    Conduit - origination for the purpose of securitisation. This type of CMBS dominates the US
               CMBS market
         Single Borrower, Operating Based CMBS
          –    Securitisations of operating revenues where underlying properties provides security. Debt
               service rely heavily on the underlying businesses, hence more operating risk.
          –    Issuers tend to be dominated by pubs & hotel industry but leisure sector is growing.
         Single Borrower, Multi-Asset CMBS
          –    Securitisations of multi-tenanted properties (offices, retail malls, etc) - eg., trophy assets
         Single-Borrower, Single-Asset CMBS
          –    Securitisations of lease income from single tenant




                                                                                                                43
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Exploring the European Securitisation Market



 European CMBS Issuers

  Finland                              Netherlands                 UK
  Housing Fund of                      Waarbourgfonds              Annington Homes
  Finland                              Dutch Housing Association   British Land
                                       Westfaelische Hyp           Canary Wharf
  France                               Fortis Bank                 UCB Healthcare
  Compagnie Vauban                     Vesteda                     Really Useful Theatres
  La Defense                                                       Anglo Irish Bank
  Prologis                             Sweden                      Bristol & West
  UIC-Sofal                            SBAB                        British Telecom
  MSDW                                 Framtiden                   Charterhouse
                                                                   MSDW
                                                                   Northern Rock
  Germany
                                                                   ProLogis
  Deutsche Bank
                                                                   HSBC
  Rheinhyp
  Aareal (Depfa) Bank
  Eurohypo
  Westdeutsche
  Immobilienbank




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     Exploring the European Securitisation Market


      Fundamentals of CMBS Market
          Market Technicals
           –   Ill-defined, and less homogenous compared to US market
           –   Dominated by UK - conduit / bank product or long dated real estate securitisations
           –   Static, amortising structures mostly (bullets for synthetic CMBS)
           –   Not very liquid asset class
          Credit Fundamentals (Conduit / Bank CMBS)
           –   Pool performance remains solid
                      Obligor and industry diversification

                      Commercial real estate markets remain benign

                      Better seasoned than US pools, but greater balloon risk typically

                      Loan interest rate risk hedged at outset or through droplock clauses

                      Portfolio liquidity hedged by external facilities

           –   Servicing adequate
                      Bank-client relationships an important consideration


                                                                                                45
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     Exploring the European Securitisation Market



      Rating Stresses - CMBS
                                                                                                  Stressed cap rate
      LTV ranges (%) AAA                 AA         A       BBB     BBB-    BB       B            applied to NCF:
      Multifam ily           40-50       50-60      55-65   60-70   65-75   70-80    75-85        9.5% - 10.5%
      Hotels                 25-40       35-45      40-55   50-65   55-67.5 60-70    67.5-75 10.5% - 14.0%
      Industrial             35-50       45-60      50-65   55-70   60-72.5 65-75    75-80        10.0% - 11.25%
      Office                 30-45       40-55      45-60   50-67.5 55-72.5 60-75    70-75        9%-12%
      Source: Standard and Poor's




     DSCR ranges          AAA             AA            A           BBB       BBB-           BB            B
     Multifam ily         1.65x-2.05x 1.55x-1.95x 1.40x-1.80x 1.30x-1.70x 1.25x-1.50x 1.20x-1.45x 1.15x-1.35x
     Hotels               1.90x-3.30x 1.80x-2.80x 1.65x-2.40x 1.55x-2.10x 1.50x-1.95x 1.40x-1.75x 1.35x-1.55x
     Industrial           1.75x-2.15x 1.65x-2.05x 1.50x-1.90x 1.40x-1.80x 1.35x-1.60x 1.30x-1.50x 1.20x-1.40x
     Office               1.85x-2.60x 1.70x-2.30x 1.60x-2.10x 1.50x-1.90x 1.45x-1.75x 1.40x-1.60x 1.25x-1.45x
     Source: Standard and Poor's




                                                                                                                   46
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     Exploring the European Securitisation Market


      Key Trends in 2002
       Third largest sector in European                                    Conduit or bank CMBS spreads have
        securitization market                                                rallied given improving technicals and
       EUR 8.4 bn (14 deals) in 2002 ytd vs                                 better market definition
        EUR 8.7 bn in 2001 ytd                                              Significant pick up vs generic MBS

                                                                      50
                                                                                bp

                       Warehouses                                                                      ELOC 8 (Nov-
                          6%                                          45
        Housing                                                                                            01)
      Associations                                                                      Telereal
         15%                                               Office                      Securitisa-
                                                          Buildings                  tion (Dec-01)
                                                                      40
                                                            35%
                                                                                               M onument
                                                                                               No. 1 (Sep-
                                                                      35                           00)
                                                                                             ELOC 9 (M ay-
           Pubs                                                                                  02)
           19%
                                                                      30             M onument
                                                                                     No. 2 (M ay-
                                                                                         02)
                                         Portfolio
                                                                      25
                                          CMBS
                                           25%                             yr        2yr       4yr     6yr    8yr     10yr   12yr WAL

          Source: Deutsche Bank Global Markets Research
                                                                                                                                47
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     Exploring the European Securitisation Market



      Deal Example: Eurohypo 2001-1
        Synthetic securitisation of UK commercial mortgages originated
         by Eurohypo
        Original Credit Enhancement:
         –    Class A notes: 15.5% subordination
         –    Class B notes: 11.0% subordination
         –    Class C notes: 6.7% subordination
         –    Class D notes: 2.6% subordination
         –    All tranches benefit from interest subparticipation

        Performance as of Mar-02:
         –    Pool in replenishment period
         –    No realised losses to-date
         –    No defaults or arrears to-date




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      CDOs




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              European CDO Market Overview
               European CDOs traditionally dominated by balance sheet deals
               Currently, 25-40% of European new issues are arbitrage driven
               European ABS-CDO managers lack track record of US counterparts
               We estimate there are 22 cash-flow CDO managers either active or planning to access the
                securitisation markets

      European CDO Issuance (EUR bn)                                                              CDO Types Issuance Shares (%)
                                                                                                   100%
     30                  Arbitrage CDO   Balance Sheet CDO   Balance Sheet CLO
          EUR bn                                                                                    90%
                                                                                 26.2
     25                                                       23.5                                  80%

                                                                                                    70%
     20
                                                                                                    60%

                                                                                                    50%
     15                                   12.8
                                                                                         11.3       40%
     10                                                                                             30%
                   6.7
                                                                                                    20%
     5
                                                                                                    10%

                                                                                                    0%
               1998                      1999                 2000               2001   H1 2002           1998   1999   2000   2001   H1 2002

                         Source: Deutsche Bank Global Markets Research

                                                                                                                                                50
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Exploring the European Securitisation Market



 European CDO Issuers

Belgium                         Germany                Italy                    Spain
KBC Bank                        Deutsche Bank          Iccrea Banca             Banco Santander
                                DWS                    Banca Lombarda           BBVA
                                HVB                    Banca Pop. di Spoleto    Bancaja
France                          IKB                    Intesa BCI               Caixa Cataluyna
AXA
                                BW Bank                Banca delle Marche       Banco Espanol de
Natexis
                                DG Bank                Banca 121                Credito
Credit Lyonnais
                                Dresdner Bank          Banca Antoniniana Pop.   Banco de Sabadell
BNP Paribas
                                                       Veneto                   CAM
Societe de
                                Netherlands            Banca Agric. Mantovana   Credito Official
Development
                                ABN Amro NV            Banca die Roma           Credito Local
Regional
                                Robeco IAM             Banca di Salento
                                Intermediate Capital   Meliorbanca              Sweden
UK                                                     UniCredito               AB Spintab
Abbey National                                         FONSPA
ECS                             Portugal               BCI
Prudential M&G                  BCP                                             Switzerland
FSA                             BES                                             UBS
RBC
HSBC
BoS
Citibank
Fuji Bank
                                                                                                    51
     Exploring the European Securitisation Market


      Fundamentals of CDO Market
          Market Technicals
           –   Second largest asset class in Europe, dominated by bank balance sheet trades
           –   Widespread application of synthetic technology - asset types differ
           –   Static OR replenishing structures followed by sequential pass through / soft bullet
           –   Relatively liquid asset class
          Credit Fundamentals
           –   Corporate credits under pressure
                   Underlying rating changes vs actual default experience, actual vs expected recoveries
           –   Pool performance generally bearish
                   Exposure to US or high grade market has proved particularly susceptible
                   Static pool deals underperform
           –   Managed CDOs vs bank balance sheet CDOs
                   Managed CDOs fare better, but difficult to analyse European manager performance
                   Certain bank CDOs appear immune from deterioration in rated credits
           –   Synthetic structures
                   Credit event and loss definitions affects investor exposure
                                                                                                            52
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         Rating Stresses - CDOs
         CDO Assumed Default Rates Given Collateral Credit Quality
                                 Bonds       AAA       A         BBB            BB
          Collateral
          AAA                                 1.3%     0.8%      0.5%           0.0%
          AA                                  2.3%     1.2%      0.9%           0.6%
          A                                   5.0%     1.6%      1.3%           1.0%
          BBB                                14.0%     10.0%     5.0%           4.0%
          BB                                 54.3%     27.9%     21.6%          20.0%

        Recovery Assumptions Given Debt Type
                                                     Immediate   24 Month Lag
          Senior secured bank loans                   60%           80%
          Senior unsecured debt                       40%           65%
          Subordinated debt                           20%           25%
          Emerging market sovereign                   20%           20%
          Source:   FitchIBCA

        Default Probability X Loss Severity = Expected Loss
                                                                                        53
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       Exploring the European Securitisation Market


          Key Trends in 2002

       Remains second biggest sector in the                                 Spreads across credit curve have widened
        European securitization market                                        due to sector credit deterioration
       EUR 11.7 bn (28 deals ) 2002 ytd vs EUR                              Significant differentials for synthetic and
        10.0 bn in 2001 ytd                                                   structured finance backed transactions


                  Balance                                              80               3 yr AAA True Sale CDO
                 Sheet CBO
                                                                                        3 yr Lev. Synthetic CDO
                    11%                                                                 7 yr AAA M anaged CDO
                                                                                        A All Corporates sw apped Index
                                                                       60


                                                                       40
     Arbitrage
       CDO
       30%                                                  Balance
                                                           Sheet CLO   20
                                                             59%


                                                                       0
                                                                                12/01              3/02                   7/02   10/02


           Source: Deutsche Bank Global Markets Research
                                                                                                                                 54
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              Exploring the European Securitisation Market


                   The Impact of Synthetics
                   Since 2000, an increasing share of European CDO transactions came in a synthetic format,
                   whereas the impact of synthetics on the RMBS market so far is negligible

                                    CDOs 2001/ 2002:                                                                                   MBS 2001/ 2002:
                               Synthetic versus Conventional                                                                     Synthetic versus Conventional


                          # Synthetic deals                             # Conventional deals                                             # Synthetic deals                        # Conventional deals
                                                                                                                                         Notes issued (EUR bn)                    Assets securitises (EUR bn)
              45          Notes issued (EUR bn)                         Assets securitises (EUR bn)                35
                                                                                                                                                                                                                32
                                                                 39.4                                                                                            31        30.8
              40                                                                                                                                                                                  30
                                                                                                                                                                                                         29
                                                                                                                   30
                                                                                                                                                                      27
              35                                                                                                            26
                                                                                                                   25
              30                                                                                   26.5
     EUR bn




                                                                                                          EUR bn
              25                                                                                                   20
                                                                                                                                          16.9
                                                                                       20                                         15.1
              20                                       17 16.2                                                     15
                                     13.1         14
              15          12                                                                11.4                   10
                                                                                  9
              10
                      6        6.4
                                                                                                                   5                                         3                              3
               5                                                                                                        2

               0                                                                                                   0
                          H1 2001                      H2 2001                        2002 YTD                              H1 2001                              H2 2001                          2002 YTD



                   Source: Deutsche Bank Global Markets Research




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      Balance Sheet CDOs - Portfolio Analysis
          Standard portfolio criteria include the following
           –   Minimum Moody‟s Diversity Score
           –   Maximum weighted average rating
           –   Maximum weighted average maturity
           –   Obligor and industry over concentration limits
           –   Percentage of term loans
           –   Percentage of secured loans
           –   Substitutions subject to additional criteria
          European balance sheet CDOs typically have the following portfolio
           characteristics
           –   Diversity score between 40 to 90
           –   Weighted average rating of Ba2 to Ba3
           –   Obligor and concentration limits of 1-2% (3% if investment grade name)
           –   Secured loans representing 15% - 30% portfolios


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      Deal Specific Analysis - Cast 2000-2
         Synthetic credit-linked securitisation of German SME loans
          originated by Deutsche Bank
         Original Credit Enhancement:
          –   Class A notes: 6.8% subordination
          –   Class B notes: 4.8% subordination
          –   Class C notes: 3.2% subordination
          –   All tranches benefit from interest subparticipation

         Performance as of Apr-02:
          –   Pool in replenishment period
          –   No replenishment in last period at discretion of sponsor
          –   No realised losses to-date
          –   0.44% defaulted loans




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      Deal Specific Analysis - Core 1999-2
        True sale of real estate secured loans to German corporates (SMEs mainly)
         originated by Deutsche Bank
        Original Credit Enhancement:
         –    Class A notes: 13.1% (subordination + reserve fund)
         –    Class M notes: 10.5% (subordination + reserve fund)
         –    Class B1 notes: 7.3% (subordination + reserve fund)
         –    Class B2 notes: 4.5% (subordination + reserve fund)
         –    Class B3 notes: 1.6% reserve fund initially, growing to 2.5%

        Performance as of Apr-02:
         –    Classes A1 to A4 paid down, classes A5a and A5b currently 44.2% of original
              outstanding, all other tranches fully outstanding
         –    All subordinated tranches upgraded by Moody‟s in May-01
                 Class M from Aa1 to Aaa, Class B1 from Aa3 to Aa2, Class B2a/2b from A3 to A2

         –    0.15% realised losses to-date
         –    Total delinquencies 1.73% vs.6.8% cash collateral
                                                                                                  58
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      Deal Specific Analysis - Melrose 2001-1 A1
        True sale securitisation of loans to UK mid-market corporates originated by
         Bank of Scotland
        Original Credit Enhancement:
         –    Class A notes: 14% (subordination + reserve fund)
         –    Class B notes: 11% (subordination + reserve fund)
         –    Class C notes: 8% (subordination + reserve fund)
         –    Class D notes: 4.5% (subordination + reserve fund)
         –    Class E notes: 1% reserve fund)

        Performance as of Dec-01:
         –    Deal is in replenishment period
         –    Moody‟s diversity score: 65 vs. 52 trigger
         –    Moody‟s weighted average rating factor: 1728 (Ba2/Ba3) vs 1925 trigger
         –    Weighted average margin: 1.55% vs 1.3% trigger


                                                                                       59
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      Deal Specific Analysis - Tagus Global 2
         True sale, static pool securitisation of Portuguese debt securities
         Original Credit Enhancement:
          –   Class A notes: 21.8% (subordination + reserve fund)
          –   Class B notes: 18.7% (subordination + reserve fund)
          –   Class C notes: 12.1% (subordination + reserve fund)
          –   Class D notes: 0.5% cash reserve
         Performance as Apr-01:
          –   Class A1 paid down to 65.2% of original, all other tranches fully outstanding
          –   No defaults or losses to-date




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      Deal Specific Analysis - Promise-I 2002-1
        Synthetic securitisation of German SME loans originated by IKB
         under KfW sponsored program
        Original Credit Enhancement:
         –    Class A notes: 8.3% subordination
         –    Class B notes: 6.7% subordination
         –    Class C notes: 5.4% subordination
         –    Class D notes: 4.0% subordination
         –    Class E notes: 3.7% subordination

        Performance as of May-02:
         –    All notes issued fully outstanding
         –    0.05% of portfolio to bankrupt companies
         –    0.13% 0-60 days delinquencies
         –    No 60+ days delinquencies


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      Rating Performance Analysis




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           Rating Activity in European ABS/MBS

             Non-consumer securitizations account for bulk of downgrade activity
                       CDOs dominate negative rating trends on account of fallen angels and Enron-like bankruptcies
                       Certain whole business securitizations and airline related ABS have underpeformed since September 2001

             Consumer ABS/MBS performance remains solid for most part, dominated by upgrades
             ABS significantly outperforms plain vanilla credit markets

     European ABS downgrades since Jan-01                               European ABS upgrades since Jan-01
     (163 Tranches)                                                     (81 Tranches)
     70                                                                  40      Consumer     CDO    Other Corporate   Public Sector
                                                                         35
     60
                 Consumer         CDO       Other                        30
     50                                     Corporate
                                                                         25
     40
                                                                         20
     30
                                                                         15
     20
                                                                         10
     10                                                                   5


           1Q 2001 2Q 2001 3Q 2001 4Q 2001 1Q 2002 2Q 2002                    1Q 2001 2Q 2001 3Q 2001 4Q 2001 1Q 2002 2Q 2002
              Source: Deutsche Bank Global Markets Research



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      Rating Transition Compared - European ABS vs Corp
     European Structured Finance Average One-Year Rating Transition Matrix (Rating at year end in %) 1998-2001

                             Aaa          Aa          A       Baa      Ba        B       Caa       Default
        Aaa                 99.63%      0.37%       0.00%    0.00%    0.00%    0.00%     0.00%      0.00%
        Aa                   1.87%     97.2%        0.93%    0.00%    0.00%    0.00%     0.00%      0.00%
        A                    0.57%      1.33%       96.77%   1.33%    0.00%    0.00%     0.00%      0.00%
        Baa                  0.00%      0.74%       1.48%    94.83%   1.85%    0.74%     0.37%      0.00%
        Ba                   0.00%      0.00%       0.00%    4.30%    92.47%   3.23%     0.00%      0.00%
        B                    0.00%      0.00%       0.00%    0.00%    0.00%    100.00%   0.00%      0.00%
        Caa-C                0.00%      0.00%       0.00%    0.00%    0.00%    0.00%     100.00%    0.00%



      European All Corporates Average One-Year Rating Transition Matrix (Rating at year end in %) 1985-2001
                           Aaa     Aa     A   Baa    Ba      B   Caa-C Default                        WR
        Aaa               86.34% 8.21% 0.19% 0.00% 0.00% 0.00% 0.01% 0.00%                           5.26%
        Aa                 0.76% 86.71% 9.13% 0.10% 0.00% 0.00% 0.00% 0.00%                          3.30%
        A                  0.00% 5.05% 84.80% 3.63% 0.10% 0.02% 0.00% 0.02%                          6.39%
        Baa                0.74% 0.25% 4.82% 78.83% 2.86% 1.16% 0.04% 0.00%                         11.31%
        Ba                 0.00% 0.00% 0.64% 10.52% 71.40% 9.29% 0.68% 0.25%                         7.22%
        B                  0.00% 0.00% 0.33% 1.03% 9.40% 65.52% 8.28% 3.29%                         12.17%
        Caa-C              0.00% 0.00% 0.00% 0.00% 0.00% 22.41% 48.58% 14.53%                       14.47%



      Source: Moody’s
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      Rating Transition - US ABS vs Corps
              All-Corporate Average One-Year Rating Transition Matrix (Rating at year end in %) 1986-2001

                             Aaa          Aa          A       Baa      Ba        B      Caa-C    Default     WR
        Aaa                 87.13%      8.67%       0.32%    0.00%    0.04%    0.00%    0.00%     0.00%      3.84%
        Aa                   1.03%     85.99%       8.41%    0.28%    0.08%    0.03%    0.00%     0.04%      4.15%
        A                    0.07%      2.21%       87.17%   5.38%    0.62%    0.21%    0.02%     0.01%      4.31%
        Baa                  0.05%      0.33%       5.18%    83.17%   4.70%    1.01%    0.07%     0.19%      5.30%
        Ba                   0.01%      0.03%       0.57%    5.16%    74.70%   8.35%    0.65%     1.42%      9.11%
        B                    0.01%      0.06%       0.22%    0.66%    5.60%    73.17%   4.08%     6.93%      9.27%
        Caa-C                0.00%      0.00%       0.00%    1.14%    1.77%    6.37%    56.72%   22.97%     11.03%

        U.S. Asset-Backed Security Average One-Year Rating Transition Matrix (Rating at year end in %) 1986-2001
                           Aaa     Aa     A   Baa    Ba     B   Caa     Ca      C   Default
        Aaa               99.72% 0.26% 0.01% 0.00% 0.00% 0.00% 0.01% 0.00% 0.00%    0.00%
        Aa                 1.95% 96.54% 1.36% 0.12% 0.00% 0.00% 0.00% 0.03% 0.00%   0.00%
        A                  0.58% 2.61% 95.66% 0.60% 0.44% 0.06% 0.02% 0.02% 0.00%   0.00%
        Baa                0.23% 0.23% 0.58% 92.38% 5.53% 0.74% 0.19% 0.13% 0.00%   0.00%
        Ba                 0.00% 0.10% 0.21% 5.92% 85.05% 5.19% 2.80% 0.42% 0.31%   0.00%
        B                  0.00% 0.00% 0.00% 0.00% 0.00% 84.26% 8.33% 4.01% 3.40%   0.00%
        Caa                0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 43.75% 28.13% 28.13% 0.00%
        Ca                 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% 0.00%  0.00%
        C                  0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% 0.00%


      Source: Moody’s
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      Yield Performance Analysis




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                                                                                                                                           Structured Product
                                                                                                                                                  CDOs
                                                                                                                                           Non-Performing
                                                                                                                                                MBS
                                                                                                                                           Bal Sheet CDO Lev
                                                                                                                                                 Synth
                                                                                                                                           Managed CDOs
                                               European ABS/MBS Spread Analysis




                                                                                                                                           SubPrime MBS
                                                                                                                                           Bal Sheet CDO
                                                                                                                                             True sale
                                                                                                                                           Trade Rec. ABS
                                                                                                                                           CMBS
Exploring the European Securitisation Market




                                                                                                                                           Alternative MBS




                                                                                                                                                                Source: Deutsche Bank Global Markets Research
                                                                                              BBB




                                                                                                                                           Prime MBS
                                                                                              A
                                                                                                                                           Auto
                                                                                              AAA
                                                                                  bps                                                      Credit Cards

                                                                                        350


                                                                                                    300


                                                                                                          250


                                                                                                                200


                                                                                                                      150


                                                                                                                            100


                                                                                                                                  50


                                                                                                                                       0




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      Rich/Cheap Matrix - AAA Structured Product
                                                                                                               Non-Consumer
      65       bp
                              Non Performing
      60                                                                                     Lev. Synth. Balance Sheet
                                                                                             CDOs
      55
                                                           Structured Products CDOs
                                                           Lev. Synth. Balance Sheet CDOs
                              Lev. Synth. Balance Sheet                                       Managed CDOs
      50                      CDOs                         Managed CDOs

      45


      40
                            True Sale Bal. Sheet CDO’s
                                                            CMBS
      35                    Trade Receivables


      30
                            Sub Prime
      25
                                                            MBS

      20                                                                                        Credit Cards
                              MBS
                                                            Credit Cards
                    Auto
      15
                             Credit Cards
                                                                                                                 Consumer

                        1 - 4 yr                            5 - 8 yr                        8+ yr WAL



           Source: Deutsche Bank Global Markets Research


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          Floating Rate ABS Spread History
          Indicative AAA Spreads vs Corporate (unsecured) Benchmarks



                     7 yr AAA Prime RMBS
     50                                                              80           3 yr AAA True Sale CDO
                     A Financials swapped Index
                     Collateralized swapped Index                                 3 yr Lev. Synthetic CDO
                     3 yr AAA Card                                                7 yr AAA Managed CDO
     40              3 yr AAA Auto                                                A All Corporates swapped Index
                                                                     60

     30
                                                                     40
     20

                                                                     20
     10


     0                                                               0
              12/01                 3/02              7/02   10/02        12/01              3/02                  7/02   10/02




      Source: Deutsche Bank Global Markets Research
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      Historical Spread Analysis for AAA ABS/MBS



                                                                                                                   Lev.
                                                                                                                   Synth.
                                                                        Sub       Non                              Balance
                                                         Credit         Prime     Performing            Managed    Sheet
                     MBS              Auto               Cards          Morgages Loans         CMBS     CDO        CDO
     2000 avg                    24                24              18          42           41       36       44           27
     2000 high                   26                26              20          45           48       40       48           28
     2000 low                    23                23              16          39           43       35       40           25
     2001 avg                    23                23              18          36           47       40       50           32
     2001 high                   25                25              21          40           50       42       55           36
     2001 low                    22                18              16          32           45       35       48           26
     Current                     19                19              17          27           65       40       55           65
     z-score                    0.1                 1             2.9         0.3          0.9      0.2        1          1.8




         Source: Deutsche Bank Global Markets Research


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