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									E:\EETI_valuation30092009_website.doc -- Op: Hadrien -- 30/12/2009 12:44 AM -- page 1 of 91




                        Presentation to:


                        The Board of EETI
                        VALUATION OF THE INVESTMENT PORTFOLIO AT 30/09/2009
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            Disclaimer


                             This document has been prepared by Cartesia SAS ("Cartesia") for the Board of Directors of European
                             Equity Tranche Income Ltd ("EETI") in its capacity as Investment Advisor of EETI. This document has
                             been subsequently made public by the Board of Directors of EETI. Cartesia bears no liability in
                             conjunction with the disclosure of this document other than as contractually defined in the
                             investment advisory agreement with EETI.

                             The analysis and opinions contained in this document include assumptions and views proposed by
                             Cartesia and approved by the Board of Directors of EETI. Such analysis is based on third party
                             information and while its sources are believed to be reliable, the accuracy of such information
                             cannot be guaranteed.

                             The analysis and opinions contained in this document do not constitute investment advice nor a
                             solicitation to buy or sell any of the securities referred herein.




                        2
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             Table of Contents



                        1       EXECUTIVE SUMMARY

                        2       PASTOR INVESTMENTS
                                A. Overview of investments
                                B. Pastor 2
                                C. Pastor 3
                                D. Pastor 4
                                E. Pastor 5

                        3       LUSITANO INVESTMENTS
                                A. Overview of investments
                                B. Lusitano 3
                                C. Lusitano 4
                                D. Lusitano 5

                        4       SESTANTE INVESTMENTS
                                A. Overview of investments
                                B. Sestante 2
                                C. Sestante 3
                                D. Sestante 4

                        5       DUTCH BONDS (SHIELD & MEMPHIS 06-1)
                                A. Overview
                                B. Shield 1
                                C. Memphis 06-1

                        6       GERMAN BONDS (GEMS & SEMPER 2006)
                                A. Gems
                                B. Semper 06

                        Appendix




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          1             EXECUTIVE SUMMARY




                        4
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            Introduction



                        SCOPE OF THE VALUATION
                             Cartesia has performed a full collateral and valuation review of EETI’s portfolio. All transactions have
                             been re-modelled, except:

                             –     Minotaure - Cash flow estimates are included in the total cash figures overleaf but they are
                                   subject to further verifications; also, the pool data has not been received yet.

                             –     Ludgate – Pool data not received.

                             All important confidential information on the other transactions has been obtained, notably the pool
                             data of residuals and of second loss pieces.

                             –     Citrine transactions - We are however still awaiting access by BNY Mellon to the Citrine reports
                                   (Lusitano 4, Sestante 2 & 3). Assumptions have been made in respect of the outstanding
                                   amount of the Citrine notes in the models, but these figures need to be confirmed.

                             We also need to review the bilateral loan documentation with the securitisation funds of the Pastor
                             2, 3 and 4 to confirm (i) a minor waterfall point, as well as (ii) whether the wording of the call
                             mechanism is exactly the same as in Pastor 5 (for which the documentation is public).

                             The performance assumptions of Semper 06 needs to be verified by a visit to the originator.



                        ASSUMPTIONS

                             The set of assumptions for the Lusitano, Sestante and Pastor transactions have been established
                             with the benefit of recent visits to the originators.

                             For second loss pieces and residuals, cash flow for any given period are subject to variations
                             reflecting a level of detail that cannot be captured by any model.

                             –     For instance, if period defaults in Pastor 2 include 4 loans vs. 3 as anticipated in our model (an
                                   increase of approx. EUR 120k), reserve release and interest cash flow would be deferred until
                                   the next period.

                             –     Using long term forecast to gauge individual period cash flow exceeds the scope of the models;
                                   such analysis requires a more detailed review at each interest payment date.

                             The valuation date is 30/09/2009.

                             The 3M Euribor used in the models is the forward curve presented in Appendix.




                        5
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            European RMBS performance



                        CURRENT TREND
                             The financial crisis and recession have materially deteriorated transaction performance in Southern
                             Europe; these countries represent approx. two thirds of base case cash flow. Since 2007, arrears
                             between 3 months and 12 months (90-day+) have doubled in Spain, Portugal and Italy, with a
                             knock-on effect on defaults.

                             –      Prime 90-day+ arrears now average approx. 3.5% in Italy, 2% in Portugal and 1.25% in Spain.
                                    The dispersion is significant, with 0.5% arrears for the best transactions and 4%+ for the worst.

                             –      Note the deterioration in Spain started in late 2008, one year later than in Italy and Portugal.

                             –      In our experience, 90-day+ arrears provide a reliable order of magnitude of next year’s CDR.

                             In the Netherlands, traditionally a low arrears country, 90-day+arrears remain well below 0.50% but
                             some transactions have recorded steady increases in the past quarters. Note that at the last
                             recession in early 2000, arrears of Dutch transactions exceeded 0.50%.

                             Within the last year, CPRs have declined from approx. 10% to 6-8% across transactions in Spain and
                             Portugal. This evolution diverges from Italy, where average CPRs have doubled to 12-14% under
                             the effect of bank consolidation and the change in prepayment legislation.

                        Historical prime 90-day+ arrears of comparables                                                                                                                   Historical 12M average CPR of comparables

                            5.00%                                                                                                                                                           14.00%
                            4.50%                                                                                                                                                                                                  Italy
                                                                   Italy                                                      Spain                                                         12.00%                                 Spain
                            4.00%                                  Portugal                                                   Netherlands                                                                                          Portugal
                            3.50%                                                                                                                                                           10.00%
                            3.00%
                                                                                                                                                                                            8.00%
                            2.50%
                            2.00%                                                                                                                                                           6.00%
                            1.50%
                                                                                                                                                                                            4.00%
                            1.00%
                            0.50%                                                                                                                                                           2.00%
                            0.00%
                                                                                                                                                                                            0.00%
                                    Q2 2002
                                              Q4 2002
                                                        Q2 2003
                                                                  Q4 2003
                                                                            Q2 2004
                                                                                      Q4 2004
                                                                                                Q2 2005
                                                                                                          Q4 2005
                                                                                                                    Q2 2006
                                                                                                                              Q4 2006
                                                                                                                                        Q2 2007
                                                                                                                                                  Q4 2007
                                                                                                                                                            Q2 2008
                                                                                                                                                                      Q4 2008
                                                                                                                                                                                Q2 2009




                                                                                                                                                                                                     Q1 2002
                                                                                                                                                                                                               Q3 2002
                                                                                                                                                                                                                         Q1 2003
                                                                                                                                                                                                                                   Q3 2003
                                                                                                                                                                                                                                             Q1 2004
                                                                                                                                                                                                                                                       Q3 2004
                                                                                                                                                                                                                                                                 Q1 2005
                                                                                                                                                                                                                                                                           Q3 2005
                                                                                                                                                                                                                                                                                     Q1 2006
                                                                                                                                                                                                                                                                                               Q3 2006
                                                                                                                                                                                                                                                                                                         Q1 2007
                                                                                                                                                                                                                                                                                                                   Q3 2007
                                                                                                                                                                                                                                                                                                                             Q1 2008
                                                                                                                                                                                                                                                                                                                                       Q3 2008
                                                                                                                                                                                                                                                                                                                                                 Q1 2009
                                                                                                                                                                                                                                                                                                                                                           Q3 2009




                     Note        Spanish data includes 28 Bankinter, Cajamar and Bancaja RMBS. Portuguese data includes 10 RMBS issued by BPI,
                                 BCP and BES. Italian comps include 15 Northern Italian deals. Portfolio investments are excluded from this data. 90-
                                 day+ arrears are based on the ]3M-12M[ bucket, except in the Netherlands, where they include ]3M-6M] arrears.

                        OUTLOOK
                             The outlook of the transactions is dependent on the recovery in GDP and the subsequent pace of
                             decline in unemployment. At this point, with 0% growth and rising unemployment forecast in
                             Europe for 2010, it is difficult to believe in a trend reversal in arrears before late next year; however
                             a stabilisation of arrears & defaults appears likely for the better transactions in that timeframe.

                             Similarly, bank refinancing activity should remain subdued until the recovery is underway, keeping
                             CPRs close to their historical range of 6-8% in Portugal and Spain.

                             The evolution of CPR for the Sestante is more a function of deal specific events, notably the high
                             margin level of these loans as well as the targeting of the Sestante borrowers by brokers.




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            Portfolio performance



                             The review of the portfolio indicates that the performance and outlook of the investments fall into 3
                             categories, as in the table below.

                        Within expectations                                                  Below expectations                                                               Limited recovery potential
                             Minotaure                                                                 Pastor 3                                                                  Sestante 2 (Citrine)
                             Pastor 2                                                                  Pastor 4                                                                  Sestante 3 (Citrine)
                             Shield 1                                                                  Pastor 5                                                                  Sestante 4
                             Memphis 06                                                                Lusitano 3                                                                Lusitano 4 (Citrine)
                             Semper 06                                                                 Lusitano 5                                                                Gems
                                                                                                                                                                                 Ludgate


                             Transactions within expectations have deteriorated in 2009 but their arrears remain low compared
                             to peers and well within transaction excess spread or credit protection.

                             –     These transactions are expected to continue generating cash flow until their redemption, even
                                   assuming a deteriorating performance.

                             –     Cash flow could be lower in adverse cases, but the risk of future cash flow falling to 0 is remote.

                             Transactions below expectations comprise second loss pieces and un-levered residuals. Defaults in
                             these deals are running at a multiple of excess spread, creating a structural draw on the reserve
                             and, potentially, accruals on the principal repayment of the senior notes.

                             –     These transactions are therefore not generating any residual or second loss cash flow and they
                                   are not expected to do so until 2013 to 2016, when the foreclosure proceeds paid into the deals
                                   have cured principal accruals on the senior notes.

                             –     Also, cash flow of the residuals are very sensitive to changes in the recovery lag and the loss
                                   severity, in addition to CDR. These variables are difficult to accurately estimate.

                             Transactions with limited recovery potential. These transactions, such as the Sestante Citrine, are
                             partly or entirely impaired. Some are likely to generate cash flow but their outlook is uncertain and
                             they are partly driven by external events (change of servicer and call).

                                                   90-day+ arrears evolution of EETI investments

                                                      9.00%
                                                                                  S2                                   S3
                                                      8.00%
                                                                                  S4                                   P2
                                                      7.00%
                                                                                  P3                                   P4
                                                      6.00%                       P5                                   L3
                                                      5.00%                       L4                                   L5
                                                      4.00%                       Memphis                              Shield
                                                      3.00%
                                                      2.00%
                                                      1.00%
                                                      0.00%
                                                              Q3 2004

                                                                        Q1 2005

                                                                                   Q3 2005

                                                                                             Q1 2006

                                                                                                        Q3 2006

                                                                                                                  Q1 2007

                                                                                                                            Q3 2007

                                                                                                                                      Q1 2008

                                                                                                                                                Q3 2008

                                                                                                                                                          Q1 2009

                                                                                                                                                                    Q3 2009




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            Market conditions



                        MARKET ACTIVITY
                             Credit markets have significantly recovered over the past 3 months:

                             –     Leveraged loans are now valued at close to 90% of par vs. 60% in Q2 2009. New corporate
                                   bond issues have tightened considerably and BBB / BB issuers have been able to raise 7-year
                                   bonds at spreads around 600bps.

                             –     Recent Tier 1 capital issues of European banks at ~10% yield were largely oversubscribed;

                             –     Several funds are raising capital in anticipation of a further rally in credit markets.

                             In ABS, new issues have been sold to the market in recent weeks, including auto loans and a UK
                             master trust RMBS. Some activity has returned as well to the senior and mezzanine levels, pulling
                             AAA spreads to around 100bps.

                             In subordinated ABS/RMBS however, there is sporadic activity but prices are still at fire sale levels.



                        MARKET PRICING OF SUBORDINATED RMBS
                             The few data points on the market price or IRR for EETI’s assets reflect deeply distressed conditions
                             applied to forced sellers, but which are less relevant for an un-levered buy and hold investor like
                             EETI.

                             –     The Shield 1 Class F notes owned by EETI is quoted by brokers at 30-40% of par, a 50% IRR on
                                   our base case cash flow;

                             –     The price equals 12 months of interest on the notes although the cash flow stream even under
                                   stress conditions is manifestly much higher. The bond pays regular coupon and credit protection
                                   is adequate at this stage;

                             –     The implied cash flow multiple at this price is of 4.4x.

                             As EETI’s cash flow are so long and back-dated, multiples of initial investment appear a relevant
                             guide to evaluate IRRs.

                                                                                           Multiples of initial investment
                                                                                                                     Years
                                                                2           5          7          10          15         20
                                    Discount     5.0%        1.1x        1.3x       1.4x        1.6x        2.1x       2.7x
                                         rate    8.5%        1.2x        1.5x       1.8x        2.3x        3.4x       5.1x
                                                10.0%        1.2x        1.6x       1.9x        2.6x        4.2x       6.7x
                                                15.0%        1.3x        2.0x       2.7x        4.0x        8.1x      16.4x
                                                20.0%        1.4x        2.5x       3.6x        6.2x      15.4x       38.3x
                                                25.0%        1.6x        3.1x       4.8x        9.3x      28.4x       86.7x
                                                30.0%        1.7x        3.7x       6.3x       13.8x      51.2x      190.0x
                                                40.0%        2.0x        5.4x      10.5x       28.9x     155.6x      836.7x


                                        Note: Calculations assume the compounding of interest at the chosen rate.




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            Cash flow forecast



                             The forecast cash flow of the investments have been run factoring in a continuation of adverse
                             economic conditions until end 2010 or 2011, depending on the collateral country, followed by a
                             gradual improvement thereafter.

                             –       Assumptions for the Pastor, Lusitano and Sestante have been confirmed by recent visits to the
                                     originators.

                             On the basis of these assumptions, the expected cumulative cash flow of the portfolio is of EUR
                             82m.

                             The cash flow are both long-dated and back-ended: only 50% of cash flow would be received over
                             the first 6 years and the remaining 50% would be paid over another 6 years.

                             –       Until 2013, only the Dutch & German bonds, Minotaure and Pastor 2 would generate cash flow.
                                     None of the other deals would start paying before 2015-17, except Lusitano 3 (call in 2013).

                             –       Total cash flow in 2010 and 2011 is forecast at EUR 3.9m and 3.5m respectively.

                             The Pastor deals contribute close to 48% of total CF; the Dutch and German bonds are the second
                             contributor with 39%.




                        Cumulative forecast cash flow                                         Annual forecast cash flow

                            100,000                                                            17,500

                             80,000                                                            15,000
                                                                                               12,500
                             60,000
                                                                                               10,000
                             40,000
                                                                                                 7,500
                             20,000                                                              5,000
                                 -                                                               2,500
                                      Q1 2013
                                      Q1 2014
                                      Q1 2015



                                      Q1 2019
                                      Q1 2020
                                      Q1 2021



                                      Q1 2025
                                      Q1 2026
                                      Q1 2010
                                      Q1 2011
                                      Q1 2012



                                      Q1 2016
                                      Q1 2017
                                      Q1 2018



                                      Q1 2022
                                      Q1 2023
                                      Q1 2024


                                      Q1 2027




                                                                                                  -
                                                                                                            2018

                                                                                                            2020
                                                                                                            2021
                                                                                                            2022
                                                                                                            2023
                                                                                                            2024
                                                                                                            2025
                                                                                                            2026
                                                                                                            2010
                                                                                                            2011
                                                                                                            2012
                                                                                                            2013
                                                                                                            2014
                                                                                                            2015
                                                                                                            2016
                                                                                                            2017

                                                                                                            2019




                                                                                                            2027




                        Breakdown of cum. cash flow by investment                             Breakdown of NPV by investment (IRRs as overleaf)

                                              Mino        P2                                                Mino       P2
                                       Semp    6%        11%                                      Gems      8%
                                                                                                   4%                 13%
                                        13%                             All Pastor: 48.4%
                                                                        All Sesta:    0.0%                                  P3        All Pastor:      32.1%
                                                                 P3                              Semp
                                     Gems                       16%         All Lusi: 7.8%                                  9%        All Sesta:        0.0%
                                      5%                                                         17%                                      All Lusi:     9.3%
                                                                        All bonds: 38.2%                                    P4
                                                                              Mino:   5.6%                                  6%        All bonds :      50.9%
                                      Shld                                                                                       P5        Mino:        7.8%
                                      13%                                     Total 100.0%                                       4%
                                                                P4                                    Mem                                   Total     100.0%
                                                               12%                                    10%                    L3
                                         Mem                                                                           L5
                                                         P5
                                          8% L5 L3                                                             Shld    4%    5%
                                             4% 4%       8%                                                    20%




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            Portfolio valuation



                        RETAINED DISCOUNT RATES
                             In conjunction with Scribona, the following discount rates have been chosen to value the
                             investments.

                                 8.5% discount rate                  10.0% discount rate               15% discount rate            Write-off
                                    Minotaure                             Lusitano 3                       Pastor 3                    Sestante 2 (Citrine)
                                    Pastor 2                              Lusitano 5                       Pastor 4                    Sestante 3 (Citrine)
                                    Shield 1                              Gems                             Pastor 5                    Sestante 4
                                    Memphis 06                                                                                         Lusitano 4 (Citrine)
                                    Semper 06                                                                                          Ludgate



                        PORTFOLIO VALUATION
                             Based on the retained discount rates, the portfolio is valued at EUR 42,745k.

                             –      Dutch and German bonds account for 51% of portfolio value (38% of cash flow) and the Pastor
                                    deals for 32% (48% of cash flow).

                             –      Note that the final valuations will use the daily discounting applied in the accounting model,
                                    which should result in overall valuation differences of approx. 0.5%.


                             (EUR 000s)

                                 Portfolio valuation at 30/9/2009

                                                                              Valuation at 30/09/2009 & for ecast     CF Multiple               % Total
                                           Investments         Present value           Sum CF       Discount r ate      CF / NPV       % NAV      % CF
                                              Pastor 2                 5,602              8,683             8.5%             1.6x      13.1%     10.6%
                                              Pastor 3                 3,854            14,375             15.0%             3.7x       9.0%     17.5%
                                              Pastor 4                 2,586              9,810            15.0%             3.8x       6.1%     11.9%
                                              Pastor 5                 1,667              6,894            15.0%             4.1x       3.9%      8.4%
                                            Lusitano 3                 2,103              3,093            10.0%             1.5x       4.9%      3.8%
                                            Lusitano 4                    -                 -                 nm              nm        0.0%      0.0%
                                            Lusitano 5                 1,855              3,300            10.0%             1.8x       4.3%      4.0%
                                              Shield 1                 8,262            10,535              8.5%             1.3x      19.3%     12.8%
                                             Memphis                   4,438              6,329             8.5%             1.4x      10.4%      7.7%
                                               Semper                  7,387            10,649              8.5%             1.4x      17.3%     13.0%
                                                 Gems                  1,674              3,892            10.0%             2.3x       3.9%      4.7%
                                            Minotaure                  3,316              4,582             8.5%             1.4x       7.8%      5.6%
                                            Sestante 2                    -                 -                 nm              nm        0.0%      0.0%
                                            Sestante 3                    -                 -                 nm              nm        0.0%      0.0%
                                            Sestante 4                    -                 -                 nm              nm        0.0%      0.0%
                                              Ludgate                          0                0             nm              nm        0.0%      0.0%
                                                   Total              42,744            82,143             11.1%             1.9x     100.0%    100.0%


                                 Note:   Discount rate indicated in the Total line is the average discount rate weighted by the total cash flow of
                                         investments.




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            NPV at different discount rates



                               The first table below indicates for each transaction and for the entire portfolio the total cash flow
                               (0.0% discount rate) and the net present value (NPV) at different discount rates. The second table
                               indicates the implied cash flow multiple of each investment at a given discount rate.

                               –      The calculations include cash flow as of 1/10/2009.



         (EUR 000s)


         Valuation case – NPV as of 30/9/2009 and cash flow multiples

                                                                                                                                                               NPV at different discount rates
          discount rate         P2        P3       P4       P5        L3        L4      L5          S2            S3            S4   Mem       Shld    Gems       Semp        Mino         Total
             0.0%          8,683      14,375    9,810    6,894    3,093     -        3,300      -             -             -        6,329   10,535    3,892     10,649      4,582       82,143

             8.5%          5,592       6,651    4,433    2,959    2,187     -        1,982      -             -             -        4,419    8,191    1,873      7,387      3,316       48,988

            10.0%          5,235       5,843    3,894    2,577    2,063     -        1,819      -             -             -        4,166    7,855    1,683      6,958      3,156       45,248
            15.0%          4,293       3,844    2,580    1,663    1,708     -        1,378      -             -             -        3,454    6,868    1,228      5,754      2,715       35,485

            20.0%          3,629       2,576    1,760    1,108    1,425     -        1,056      -             -             -        2,902    6,050     942       4,825      2,379       28,653

            25.0%          3,149       1,756    1,234     759     1,198     -         818       -             -             -        2,469    5,366     752       4,098      2,117       23,715
            30.0%          2,791       1,216     885      533     1,014     -         640       -             -             -        2,124    4,790     620       3,522      1,907       20,042


                                                                                                                                                                          Multiples of cash flow

                                P2        P3       P4       P5        L3        L4      L5          S2            S3            S4    Mem      Shld    Gems       Semp        Mino         Total

             0.0%              1.0x      1.0x    1.0x      1.0x     1.0x        --    1.0x --            --            --             1.0x      1.0x    1.0x        1.0x       1.0x         1.0x
             8.5%              1.6x      2.2x    2.2x      2.3x     1.4x        --    1.7x --            --            --             1.4x      1.3x    2.1x        1.4x       1.4x         1.7x
            10.0%              1.7x      2.5x    2.5x      2.7x     1.5x        --    1.8x --            --            --             1.5x      1.3x    2.3x        1.5x       1.5x         1.8x
            15.0%              2.0x      3.7x    3.8x      4.1x     1.8x        --    2.4x --            --            --             1.8x      1.5x    3.2x        1.9x       1.7x         2.3x
            20.0%              2.4x      5.6x    5.6x      6.2x     2.2x        --    3.1x --            --            --             2.2x      1.7x    4.1x        2.2x       1.9x         2.9x
            25.0%              2.8x      8.2x    8.0x      9.1x     2.6x        --    4.0x --            --            --             2.6x      2.0x    5.2x        2.6x       2.2x         3.5x

            30.0%              3.1x     11.8x   11.1x    12.9x      3.0x        --    5.2x --            --            --             3.0x      2.2x    6.3x        3.0x       2.4x         4.1x


            Note:      Results in the table above differ marginally from those presented in the valuation table on the preceding page and in the
                       chapters overleaf due to different day count and receipt of cash flow conventions.




                          11
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            Period CF



          Period cash flow
                               P2         P3      P4       P5     L3         L4       L5       S2       S3       S4    Mem     Shld   Gems     Semp     Mino    Total
                            8,683     14,375   9,810    6,894 3,093      -        3,300    -        -        -        6,329 10,535    3,892   10,649   4,582   82,143

               Qters    #        P2       P3      P4        P5      L3       L4      L5        S2       S3       S4    Mem     Shld   Gems     Semp    Mino     Total     p.a.    Cum
          Q3   2009     1
          Q4   2009     2     132         -      -        -         -    -          -      -        -        -           87     159     21      146     176       721     721       721
          Q1   2010     3      36         -      -        -         -    -          -      -        -        -           88     162     22      152     174       633             1,354
          Q2   2010     4     995         -      -        -         -    -          -      -        -        -           87     160     21      150     168     1,581             2,935
          Q3   2010     5     244         -      -        -         -    -          -      -        -        -           88     162     23      153     162       831             3,767
          Q4   2010     6     244         -      -        -        -     -          -      -        -        -           91     168     26      158     160       848   3,894     4,614
          Q1   2011     7     240         -      -        -        -     -          -      -        -        -           95     174     30      163     152       855             5,469
          Q2   2011     8     184         -      -        -         -    -          -      -        -        -           98     181     35      169     175       842             6,311
          Q3   2011     9     230         -      -        -         -    -          -      -        -        -          101     187     38      174     169       899             7,210
          Q4   2011    10     228         -      -        -         -    -          -      -        -        -          104     193     42      178     161       906   3,501     8,116
          Q1   2012    11     225         -      -        -        -     -          -      -        -        -          106     197     44      181     160       912             9,028
          Q2   2012    12     176         -      -        -        -     -          -      -        -        -          107     198     45      182     151       859             9,887
          Q3   2012    13      25         -      -        -         -    -          -      -        -        -          107     797     46      184     149     1,308            11,195
          Q4   2012    14      26         -      -        -         -    -          -      -        -        -          109   3,667     48      187     143     4,180   7,259    15,375
          Q1   2013    15      28         -      -        -         -    -          -      -        -        -          111   1,985     50      190     136     2,499            17,874
          Q2   2013    16      29         -      -        -        -     -          -      -        -        -          113   1,053     53      193     135     1,575            19,449
          Q3   2013    17      30         -      -        -         -    -          -      -        -        -          114     548     54      195     127     1,068            20,517
          Q4   2013    18      31         -      -        -      3,093   -          -      -        -        -          115     274     55      197     125     3,890   9,033    24,407
          Q1   2014    19      31         -      -        -              -          -      -        -        -          116     137     56      198     119       657            25,065
          Q2   2014    20      31         -      -        -              -          -      -        -        -          116     134     57      199     113       650            25,714
          Q3   2014    21      32         -      -        -              -          -      -        -        -          117             58      200     111       518            26,232
          Q4   2014    22      33         -      -        -                         -      -        -        -        2,786             59      201     103     3,182   5,007    29,414
          Q1   2015    23      33         -      -        -                         -      -        -        -        1,473             59    6,902     101     8,568            37,983
          Q2   2015    24      33         -      149      -                         -      -        -        -                          60               96       338            38,321
          Q3   2015    25      34         -      748      -                         -      -        -        -                          61               90       934            39,254
          Q4   2015    26      34         -      702      183                     3,300    -        -        -                          61               89     4,370   14,210   43,624
          Q1   2016    27      34         -      617      285                              -        -        -                          62               83     1,080            44,704
          Q2   2016    28      35         -        95     266                              -        -        -                          62               81       539            45,243
          Q3   2016    29      35         -        96     257                              -        -        -                          63               77       528            45,771
          Q4   2016    30      36         -        97     249                              -        -        -                          63               72       517   2,664    46,288
          Q1   2017    31      35         -        96     241                              -        -        -                          64               71       508            46,795
          Q2   2017    32      35        413       95     233                              -        -        -                          64               65       906            47,701
          Q3   2017    33      36        528       98     227                              -        -        -                          64               64     1,017            48,718
          Q4   2017    34      36        494       98     220                              -        -        -                          64               60       973   3,404    49,691
          Q1   2018    35   5,036        466       97       88                             -        -        -                          65               56     5,808            55,500
          Q2   2018    36                443       96       66                             -        -        -                          64               56       725            56,225
          Q3   2018    37                425       99       68                             -        -        -                          62               50       704            56,929
          Q4   2018    38                414       99       68                             -        -        -                          61               50       691   7,929    57,620
          Q1   2019    39                403       98       67                             -        -        -                          60               46       674            58,294
          Q2   2019    40             10,790       98       66                             -        -        -                          58               41    11,054            69,348
          Q3   2019    41                        100        68                             -        -        -                          57               40       266            69,614
          Q4   2019    42                        101        68                                      -        -                          56               35       259   12,253   69,874
          Q1   2020    43                        100        67                                               -                          55               33       256            70,129
          Q2   2020    44                        101        67                                               -                          54               30       252            70,381
          Q3   2020    45                        102        68                                               -                          52               27       250            70,631
          Q4   2020    46                        103        68                                                                          51               26       248   1,006    70,879
          Q1   2021    47                        102        67                                                                          50               24       244            71,123
          Q2   2021    48                      5,621        66                                                                          49               24     5,761            76,884
          Q3   2021    49                                   68                                                                          48               24       139            77,023
          Q4   2021    50                                   68                                                                          47                        115   6,259    77,138
          Q1   2022    51                                   67                                                                          45                        113            77,251
          Q2   2022    52                               3,566                                                                           44                      3,610            80,861
          Q3   2022    53                                                                                                               43                         43            80,904
          Q4   2022    54                                                                                                               42                         42   3,808    80,946
          Q1   2023    55                                                                                                               41                         41            80,987
          Q2   2023    56                                                                                                               39                         39            81,026
          Q3   2023    57                                                                                                               38                         38            81,065
          Q4   2023    58                                                                                                               37                         37     156    81,102
          Q1   2024    59                                                                                                               36                         36            81,138
          Q2   2024    60                                                                                                               35                         35            81,173
          Q3   2024    61                                                                                                               34                         34            81,206
          Q4   2024    62                                                                                                               33                         33     137    81,239
          Q1   2025    63                                                                                                               32                         32            81,271
          Q2   2025    64                                                                                                               31                         31            81,301
          Q3   2025    65                                                                                                               29                         29            81,331
          Q4   2025    66                                                                                                               28                         28     120    81,359
          Q1   2026    67                                                                                                               27                         27            81,387
          Q2   2026    68                                                                                                               27                         27            81,413
          Q3   2026    69                                                                                                               26                         26            81,439
          Q4   2026    70                                                                                                               25                         25     104    81,463
          Q1   2027    71                                                                                                              680                        680     680    82,143




                            12
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          2             PASTOR INVESTMENTS




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          A.            Overview of investments




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            Summary fact sheet




                         EETI                             Pastor 2: 100% of the subordinated loan at EUR 3M + 0.35% p.a. (par value: EUR
                         Investments:                               5,520k)
                                                          Pastor 3: 100% of the subordinated loan at EUR 3M + 2.50% p.a. (par value: EUR
                                                                    9,000k)
                                                          Pastor 4: 100% of the subordinated loan at EUR 3M + 2.50% p.a. (par value: EUR
                                                                    5,520k)
                                                          Pastor 5: 33.3% of the Class D Notes at EUR 3M + 4.50% p.a. (par value:
                                                                    3,500k)

                         Position:                        Second-loss position with the residual held by Banco Pastor.
                                                          Unpaid interest accrue and remain a liability of the securitisation fund until
                                                          termination.
                         Spread:                     Swap with Banco Pastor guarantees a spread after notes margin and fees of:
                                                          Pastor 2:            0.40% p.a. (vs. current CDR of 0.33%)
                                                          Pastor 3:            0.40% p.a. (vs. current CDR of 4.3%)
                                                          Pastor 4:            0.40% p.a. (vs. current CDR of 2.9%)
                                                          Pastor 5:            0.60% p.a. (no current defaults as defined as arrears > 18m and not
                                                                               >12m)

                         Principal CF                     90-day+ arrears as a driver of CDR / defaults
                         drivers:
                                                          Recovery lag
                                                          Treatment of reserve at call (see below)
                                                          Loss severity


                         Clean-up call:              Clean-up once the collateral has reached 10% of its initial amount.

                         Treatment of                     The purchase agreements of the subordinated loans of Pastor 2, 3 & 4 provide, in
                         reserve and                      our understanding, the same protection at call than that afforded to the Class D
                         sub loan:                        notes in Pastor 5 (where the subordinated loan is structured as a listed note.
                                                          At call, assuming the reserve is not drawn, the subordinated loans & Class D would
                                                          receive the reserve amount and accrued interest.
                                                          If however the reserve is drawn, the Fondo would solicit bids from banks for the
                                                          tail portfolio, hoping to achieve a price above par. Any premium would be paid to
                                                          the loans / Class D up to the full amount of their outstanding par value (including
                                                          accrued interest).




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            Profiles and performance of investments




                        Key characteristics                                                                            Collateral performance

                                                                             P2           P3         P4          P5                                 90-day + Arrears (%CB)
                                               Issuer                                                  Banco Pastor                                         Months since issue
                                               Rating                                SP: A- / A-2 --- downgr.: 11/08
                                                                                                                        5.0%
                                          Issue date                    06/2004     06/2005     06/2006    06/2007
                                       M since issue                        58           46           33         21     4.0%
                                     Issue size (OB)         EURm        1,000        1,000         920         711
                                    Current size (CB)        EURm          415          472         576         551     3.0%
                                                              % OB         42%          47%         63%         78%
                                                                                                                        2.0%
                                              Count                      5,843        4,749       5,096       3,971
                                       Avge balance           EURk         171          211         181         179     1.0%
                                    % Non-residential                                                           14%
                                                                                                                        0.0%
                          Guaranteed spread (swap) % Perf. CB             0.40%       0.40%      0.40%       0.60%




                                                                                                                               M0

                                                                                                                                         M12

                                                                                                                                                     M24

                                                                                                                                                              M36

                                                                                                                                                                          M48

                                                                                                                                                                                        M60
                                  CPR: Since issue                        11.9%       13.9%      11.0%        6.8%
                                           Last Q                          6.8%        6.3%       5.4%        6.6%                             P2                           P3
                                       Arrears 3-12M          % CB         0.4%        3.8%       3.3%        2.3%                             P4                           P5

                                           Avge CDR           % CB        0.11%       1.20%      1.40%            --                      Cumulative defaults (% OB)
                                         Last Q CDR           % CB        0.33%       4.31%      2.90%       1.12%
                                       Defaults Cum.         EURm            2.9        22.1       20.0         4.5
                                                                                                                                                            Months since issue
                                                              % OB        0.29%       2.21%      2.18%       0.64%       2.50%
                                                                                                                                               P2
                                    LTV       At issue                      61%         67%        64%         65%
                                                                                                                                               P3
                                               Last Q                       48%         58%        59%         61%       2.00%
                                                                                                                                               P4
                           LTV buckets          <70%                        62%         67%        50%         62%
                                                                                                                                               P5
                             (at issue)      [70-80%                        38%         33%        50%         32%       1.50%
                                             [80-90%                                                            6%
                                                 [90%                                                           0%       1.00%
                                Vintage       <=2002                        61%
                              (at issue)         2003                       40%          8%                     0%       0.50%
                                                 2004                                   92%         9%          1%
                                                 2005                                              91%          8%       0.00%
                                                 2006                                                          90%
                                                                                                                                    M0

                                                                                                                                           M12

                                                                                                                                                      M24

                                                                                                                                                              M36

                                                                                                                                                                          M48

                                                                                                                                                                                      M60
                                Region         Madrid                       28%         16%        19%         19%
                              (at issue)    Catalunya                       26%         36%        23%         24%
                                             Valencia                        5%          9%        11%          8%
                                                                                                                                                    6M trailing average CPR
                                            Andalusia                        7%          7%         9%         13%                                          Months since issue
                                               Galicia                      13%         13%        15%         14%
                                                                                                                        25.0%
                                               Others                       20%         18%        24%         22%
                                                                                                                        20.0%
                        Notes:       90-day+ arrears excludes loans with arrears >12 months.
                                     Defaults refer to loans with arrears >12 months, including for Pastor 5            15.0%
                                     although defaults in this transaction are defined as loans with arrears
                                                                                                                        10.0%
                                     >18 months.
                                     Guaranteed swap spread applies to the collateral balance less arrears.              5.0%
                                     The indicated spread is after notes margin and fees.
                                                                                                                         0.0%
                                                                                                                                M0

                                                                                                                                         M10

                                                                                                                                                    M20

                                                                                                                                                            M30

                                                                                                                                                                    M40

                                                                                                                                                                                M50

                                                                                                                                                                                            M60




                                                                                                                                               P2                           P3
                                                                                                                                               P4                           P5




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            Profiles and performance of investments



                             The graphs below compare (i) the historical ]3-12[ months arrears as a percentage of current
                             collateral balance (% CB) and (ii) the 12-month trailing average CPR rates of a cross-section of
                             Spanish RMBS, including 32 transactions:

                             –     14 Bankinter RMBS, including conservative, branch-originated loans;

                             –     14 Bancaja and Cajamar transactions issued since 2005, including collateral originated more
                                   aggressively, reflecting the banks’ drive for asset growth;

                             –     The 4 Pastor RMBS held by EETI.

                             The charts clearly highlights the difference between (i) the boom-year loans extended by banks in
                             search for growth (Pastor 3, 4 & 5, Bancaja, Cajamar), and (ii) the prudently underwritten pools of
                             traditional lenders (Bankinter, Pastor 2).

                             –     90-day+ arrears in the former category run at 1.0% to 4.0%, compared with a range of 0.25% -
                                   0.55% for the more conservatively originated mortgages;

                             –     Similarly, the rise in CPR over the 2006 – 08 period was essentially affecting loans with looser
                                   underwriting criteria and presumably a higher margin.

                             Note that 90-day+ arrears of the Pastor 3 & 4 and the Bancaja & Cajamar series have stabilised or
                             modestly declined since Q2 2009. This trend is understood to partly reflect the decrease in Euribor.




         Comparables – 90-day+ arrears (% CB)                                                  Comparables – 12M average CPR

            5.0%                                                                                25.0%
                             P2                                                                               P2

            4.5%             P3                                                                 22.5%         P3

            4.0%             P4                                                                 20.0%         P4

                             P5                                                                               P5
            3.5%                                                                                17.5%
                             Bankinter issued                                                                 Bankinter issued
            3.0%             bef. 2005                                                          15.0%         bef. 2005
                             Bankinter issued                                                                 Bankinter issued
                             aft. 2005                                                                        aft. 2005
            2.5%                                                                                12.5%
                             Bancaja                                                                          Bancaja

            2.0%             Cajamar                                                            10.0%         Cajamar

            1.5%                                                                                 7.5%


            1.0%                                                                                 5.0%


            0.5%                                                                                 2.5%


            0.0%                                                                                 0.0%
                  Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2                                                    Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2
                 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009                              1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009



                        Note:        90-day + arrears excludes loans with arrears greater than 1 year.




                        17
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            Summary of main valuation assumptions



                        Key inputs                  Valuation case

                        Trend                            Current trend continuation until Q4 2011
                                                         Improvement from Q1 2012 onwards
                        90-day+                          Pastor 2 - Increase to 0.50% and stable afterwards.
                        arrears                          Pastor 3 & 4 – Stable until Q4 2012 and decline to 2.5% thereafter
                                                         Pastor 5 – Increase to 3.5% until Q4 2011; decline to 2.5% thereafter
                        CDR                              Pastor 2 - 80% conversion from 90-day+ to default with 12-month lag
                                                         Pastor 3 & 4 – 100% conversion declining to 90% by Q4 2012. Thereafter,
                                                         decline to 80% by 1% per quarter
                                                         Pastor 5: 80% (reflecting different default definition of > 18m and not >12m)


                        Loss severity                    Until Q4 2011: 20-25% (a)
                                                         Thereafter: Wind-down to 0% over 6Q as MVD declines (b)
                                                         Note that the loss severity includes a provision for the accrued interest and
                                                         foreclosure cost as well as for the maintenance and other cost on the
                                                         foreclosed properties.
                        Lag                              Recovery 2 years from default


                        CPR                              Flat from last Q until Q4 2011
                                                         Thereafter, increase by 0.15% per quarter

                        Call                             Clean-up call


                        (a) Loss severity of top 50% LTV bucket assuming 40% market value decline (MVD)
                        (b) Loss severity of top 50% LTV bucket assuming with an MVD declining by 10% every year in the base
                               case and 5% every year in the low case.




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          B.            Pastor 2




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            Pastor 2 – Valuation and CF summary



                             Following the valuation case detailed overleaf, the investment is forecast to generate total cash
                             flow of EUR 8.7m, until clean-up call expected in 2018.

                             –     The investment shows only a moderate sensitivity to variations in assumptions owing to the
                                   following factors: (i) its second loss position, (ii) the accrual of unpaid interest, which remain a
                                   liability of the fund and (iii) the strong forecast performance of the deal until clean-up call.

                             Applying the retained discount rate of 8.5% leads to a valuation for 100% of the subordinated loan
                             of EUR 5,602k.



                        (EUR 000s)



                        Valuation case CF & NPV                                                Period cash flow
                                                 Total CF & valuation summary                                               Forecast Sub Loan CF
                                           discount rate    Value at 30/09/2009                                      IPD      Q              CF
                                                   0.0%                       8,683                               09/2009      1             86
                                                   8.5%                       5,602                               12/2009      2            132
                                                  10.0%                       5,245                               03/2010      3             36
                                                  15.0%                       4,306                               06/2010      4            995
                                                  20.0%                       3,644                               09/2010      5            244
                                                                                                                  12/2010      6            244
                                                                                                                  03/2011      7            240
                                                                                                                  06/2011      8            184
                                                                                                                  09/2011      9            230
                                                                                                                  12/2011     10            228
                                                                                                                  03/2012     11            225
                                                                                                                  06/2012     12            176
                                                                                                                  09/2012     13             25
                                                                                                                  12/2012     14             26
                                                                                                                  03/2013     15             28
                                                                                                                  06/2013     16             29
                                                                                                                  09/2013     17             30
                                                                                                                  12/2013     18             31
                                                                                                                  03/2014     19             31
                                                                                                                  06/2014     20             31
                                                                                                                  09/2014     21             32
                                                                                                                  12/2014     22             33
                                                                                                                  03/2015     23             33
                                                                                                                  06/2015     24             33
                                                                                                                  09/2015     25             34
                                                                                                                  12/2015     26             34
                                                                                                                  03/2016     27             34
                                                                                                                  06/2016     28             35
                                                                                                                  09/2016     29             35
                                                                                                                  12/2016     30             36
                                                                                                                  03/2017     31             35
                                                                                                                  06/2017     32             35
                                                                                                                  09/2017     33             36
                                                                                                                  12/2017     34             36
                                                                                                                  03/2018     35          5,036




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            Pastor 2 – Performance overview



           (EUR 000s unless otherwise indicated)

            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                             Quarterly defaults                          6M average CPR

              1.000%               Forecast                             600                    Forecast             20.0%                 Forecast
                                                                        500
              0.750%                                                                                                15.0%
                                                                        400
              0.500%                                                    300                                         10.0%

                                                                        200
              0.250%                                                                                                  5.0%
                                                                        100
                                              90d+          CDR
              0.000%                                                     -                                            0.0%




                                                                                                                             Q 3 2004
                                                                                                                             Q 3 2005




                                                                                                                             Q 3 2013
                                                                                                                             Q 3 2014
                                                                                                                             Q3 2006
                                                                                                                             Q3 2007




                                                                                                                             Q3 2015
                                                                                                                             Q3 2016
                                                                                                                             Q3 2008
                                                                                                                             Q3 2009
                                                                                                                             Q3 2010
                                                                                                                             Q3 2011
                                                                                                                             Q3 2012




                                                                                                                             Q3 2017
                       Q3 2004
                       Q3 2005
                       Q3 2006
                       Q3 2007
                       Q3 2008
                       Q3 2009
                       Q3 2010
                       Q3 2011
                       Q3 2012
                       Q3 2013
                       Q3 2014
                       Q3 2015
                       Q3 2016
                       Q3 2017




                                                                              Q3 2004
                                                                              Q3 2005
                                                                              Q3 2006
                                                                              Q3 2007
                                                                              Q3 2008
                                                                              Q3 2009
                                                                              Q3 2010
                                                                              Q3 2011
                                                                              Q3 2012
                                                                              Q3 2013
                                                                              Q3 2014
                                                                              Q3 2015
                                                                              Q3 2016
                                                                              Q3 2017
                                                                                      Defaults                                               Senior & sub. accruals
                                                                                                                                      Occurrence         Avge Amount
                                                                   Amount               % OB
                                                                                                                Reserve draws                   3x                   0
                                               Existing             2,819               0.28%
                                                                                                                Senior accruals                 0x                   0
                                                 Future            10,328               1.03%
                                                                                                            EoP senior shortfall                                     0
                                                  Total            13,147               1.31%             EoP sub loan shortfall                                     0
                                            Average cdr                                 0.36%
                                                                                                          Note: EoP shortfalls include principal and interest.
                                                                                                                                                    Duration & WAL
                                                                                       Losses                                            Notes MoD                 2.8
                                                                   Amount               % OB                                             Notes WAL                 4.9
                                                Existing                                0.00%                                Sub loan MoD at 8.5%                  4.7
                                                  Future              467               0.05%
                                                    Total             467               0.05%                                                                Life CPR
                                                                                                                                      since 09/2009              7.9%
                                  Effective severity                                     3.6%




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            Pastor 2 – Sensitivity analysis



                             Given the second loss position and the accrual of unpaid interest, total cash flow exhibit only
                             modest variations in response to changes in individual assumptions.

                             Most notably, the subordinated loan cash flow are insensitive to variations in lag (+/- 4Q) and
                             severity (+/-10%) as the resulting cash flow differences are entirely absorbed by the residual.

                             Note that an increase in CPR would improve the NPV, as the final reserve amount would be
                             recouped earlier, but reduce total cash flow, as interest on the instrument would be paid over a
                             shorter time.


                        (EUR 000s)


                                Valuation case sensitivity
                                                                                     Valuation case
                                                      Total CF:                                8,683
                                               Value at 8.5% irr                               5,602
                                              Value at 10.0% irr                               5,245
                                              Value at 15.0% irr                               4,306
                                              Value at 20.0% irr                               3,644

                                                                      Sensitivity of valuation case
                                                           CPR:             -5%                 +5%
                                                       Total CF:          9,106                8,418
                                                     % change                5%                  -3%
                                               Value at 8.5% irr          5,226                5,903
                                              Value at 10.0% irr          4,820                5,590
                                              Value at 15.0% irr          3,803                4,731
                                                          CDR:            to 0%                +0.5%
                                                       Total CF:          8,586                8,226
                                                     % change               -1%                  -5%
                                               Value at 8.5% irr          5,524                4,843
                                              Value at 10.0% irr          5,170                4,444
                                              Value at 15.0% irr          4,240                3,385
                                                      Severity:            -10%                +10%
                                                       Total CF:          8,681                8,683
                                                     % change                0%                   0%
                                               Value at 8.5% irr          5,615                5,602
                                              Value at 10.0% irr          5,260                5,245
                                              Value at 15.0% irr          4,328                4,305
                                                           Lag:              -4Q                 +4Q
                                                       Total CF:          8,721                8,560
                                                     % change                0%                  -1%
                                               Value at 8.5% irr          5,638                5,492
                                              Value at 10.0% irr          5,281                5,137
                                              Value at 15.0% irr          4,340                4,205
                                                       EUR3M:                                  +3.0%
                                                       Total CF:                               9,508
                                                     % change
                                               Value at 8.5% irr                               4,601
                                              Value at 10.0% irr                               3,888
                                              Value at 15.0% irr                               3,377


                        Note:     Sensitivity analysis is based on a parallel shift in a given assumption, with other parameters equal. In the case of
                                  the CDR sensitivity, the CDR is applied as a straight line input and not as a vector as in the valuation case. This
                                  generates a marginal difference in CF.


                        22
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          C.            Pastor 3




                        23
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            Pastor 3 – Valuation and CF summary



                             At this point, the transaction reserve is almost depleted and the transaction is expected to
                             accumulate unpaid PDLs for the foreseeable future, as defaults significantly exceed excess spread.

                             The valuation case foresees the recovery of the transaction starting in 2012; this would provide
                             enough excess cash flow to replenish principal draws on the notes 2 years before call.

                             The reserve would be almost entirely replenished at call; a nominal premium would need to be paid
                             by the originator to make the subordinated loan whole. Our assumption is that this premium would
                             be largely covered by the outlook of the tail portfolio.

                             On that basis, total cash flow amount to EUR 14.4m. Applying a discount rate of 15%, 100% of
                             subordinated loan is valued at EUR 3,854k.

                             (EUR 000s)

                          Valuation case CF & NPV                                              Period cash flow

                                                                 TOTAL CF & VALUATION                                                      SUB LOAN CF
                                                                        Value at 30/09/2009           IPD    Q    Deal CF   Call premium       Cum CF
                           discount rate            Deal CF     Call premium       Cum CF          09/2009   1         0                            0
                                   0.0%              13,454              921          14,375       12/2009   2         0                            0
                                   8.5%                6,244             417           6,661       03/2010   3         0                            0
                                  10.0%                5,489             364                       06/2010   4         0                            0
                                                                                       5,853
                                                                                                   09/2010   5         0                            0
                                  15.0%                3,617             236           3,854
                                                                                                   12/2010   6         0                            0
                                  20.0%                2,428             156           2,585
                                                                                                   03/2011   7         0                            0
                                                                                                   06/2011   8         0                            0
                                                                                                   09/2011    9        0                            0
                                                                                                   12/2011   10        0                            0
                                                                                                   03/2012   11        0                            0
                                                                                                   06/2012   12        0                            0
                                                                                                   09/2012   13        0                            0
                                                                                                   12/2012   14        0                            0
                                                                                                   03/2013   15        0                            0
                                                                                                   06/2013   16        0                            0
                                                                                                   09/2013   17        0                            0
                                                                                                   12/2013   18        0                            0
                                                                                                   03/2014   19        0                            0
                                                                                                   06/2014   20        0                            0
                                                                                                   09/2014   21        0                            0
                                                                                                   12/2014   22        0                            0
                                                                                                   03/2015   23        0                            0
                                                                                                   06/2015   24        0                            0
                                                                                                   09/2015   25        0                            0
                                                                                                   12/2015   26        0                            0
                                                                                                   03/2016   27        0                            0
                                                                                                   06/2016   28        0                            0
                                                                                                   09/2016   29        0                            0
                                                                                                   12/2016   30        0                            0
                                                                                                   03/2017   31        0                            0
                                                                                                   06/2017   32      413                          413
                                                                                                   09/2017   33      528                          528
                                                                                                   12/2017   34      494                          494
                                                                                                   03/2018   35      466                          466
                                                                                                   06/2018   36      443                          443
                                                                                                   09/2018   37      425                          425
                                                                                                   12/2018   38      414                          414
                                                                                                   03/2019   39       403                          403
                                                                                                   06/2019   40     9,869           921         10,790




                        24
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            Pastor 3 – Performance overview



            (EUR 000s unless otherwise indicated)

            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                            Quarterly defaults                                       6M average CPR

              5.00%                  Forecast                           6,000                    Forecast                       25.0%                 Forecast

              4.00%                                                     5,000                                                   20.0%
                                                                        4,000                                                   15.0%
              3.00%
                                                                        3,000
                                                                                                                                10.0%
              2.00%                                                     2,000
                                                                                                                                 5.0%
              1.00%                                                     1,000
                                           90d+           CDR
                                                                            -                                                    0.0%
              0.00%




                                                                                                                                        Q3 2005
                                                                                                                                        Q3 2006
                                                                                                                                        Q3 2007
                                                                                                                                        Q3 2008
                                                                                                                                        Q3 2009
                                                                                                                                        Q3 2010
                                                                                                                                        Q3 2011
                                                                                                                                        Q3 2012
                                                                                                                                        Q3 2013
                                                                                                                                        Q3 2014
                                                                                                                                        Q3 2015
                                                                                                                                        Q3 2016
                                                                                                                                        Q3 2017
                                                                                                                                        Q3 2018
                                                                                Q3 2005
                                                                                Q3 2006
                                                                                Q3 2007
                                                                                Q3 2008
                                                                                Q3 2009
                                                                                Q3 2010
                                                                                Q3 2011
                                                                                Q3 2012
                                                                                Q3 2013
                                                                                Q3 2014
                                                                                Q3 2015
                                                                                Q3 2016
                                                                                Q3 2017
                                                                                Q3 2018
                      Q3 2005
                      Q3 2006
                      Q3 2007
                      Q3 2008
                      Q3 2009
                      Q3 2010
                      Q3 2011
                      Q3 2012
                      Q3 2013
                      Q3 2014
                      Q3 2015
                      Q3 2016
                      Q3 2017
                      Q3 2018




                                                                                                                                   Senior & sub. Accr uals (before call premium )
                                                                                      Defaults
                                                                                                                                                    Occurrence      Avge Amount
                                                                  Amount                % OB
                                                                                                                           Reserve draws                     40x          (5,401)
                                             Existing             20,062                2.01%
                                                                                                                          Senior accruals                    20x          (9,486)
                                               Future             94,731                9.47%
                                                                                                                      EoP senior shortfall                                     0
                                                Total            114,793               11.48%                       EoP sub loan shortfall                                  (921)
                                          Average cdr                                   2.93%
                                                                                                            Note: EoP s hortfalls include principal and interest.
                                                                                       Losses
                                                                  Amount                % OB                                                                            Life CPR
                                               Existing                                 0.00%                                             since 09/2009                     7.1%
                                                Future              7,062               0.71%                                                                    Duration & WAL
                                                 Total              7,062               0.71%                                               Notes MoD                         3.2
                                     Effective severity                                  6.5%                                               Notes WAL                         5.4
                                                                                                                                   Subloan MoD at 8.5%                        8.9




                        25
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            Pastor 3 – Sensitivity analysis



                             Sensitivity analysis does not include any call premium (EUR 921k in valuation case).

                             Valuation case cash flow show a downside sensitivity of 60% to deteriorations in lag (+4Q) and of
                             approx. 20% to changes in CDR (+0.50%), lag (+4Q) and CDR (+0.5%).

                             –     Note that an increase in CPR decreases total cash flow but increases NPV at higher discount
                                   rates, as the reserve would be received earlier.


                             (EUR 000s)


                                 Valuation case sensitivity
                                                                           Valuation case
                                              Total CF:                            13,454
                                        Value at 8.5% irr                           6,244
                                       Value at 10.0% irr                           5,489
                                       Value at 15.0% irr                           3,617
                                       Value at 20.0% irr                           2,428

                                                  Sensitivity to changes in parameter s
                                                   CPR:            -5%            +5%
                                                Total CF:       17,182             11,124
                                               % change           28%                -17%
                                       Value at 10.0% irr         5,665              5,348
                                       Value at 15.0% irr         3,399              3,801
                                       Value at 20.0% irr         2,092              2,741
                                                   CDR:           -0.5%              +0.5%
                                                Total CF:       15,347             10,294
                                               % change           14%                -23%
                                       Value at 10.0% irr         6,319              4,170
                                       Value at 15.0% irr         4,190              2,736
                                       Value at 20.0% irr         2,832              1,828
                                                Severity:          -10%              +10%
                                                Total CF:       15,183               5,020
                                               % change           13%                 -63%
                                       Value at 10.0% irr         6,725              1,985
                                       Value at 15.0% irr         4,633              1,288
                                       Value at 20.0% irr         3,258                851
                                                     Lag:           -4Q                +4Q
                                                Total CF:       14,843             10,648
                                               % change           10%                -21%
                                       Value at 10.0% irr         6,330              4,219
                                       Value at 15.0% irr         4,274              2,739
                                       Value at 20.0% irr         2,943              1,812


                        Note:      Sensitivity analysis is based on a parallel shift in a given assumption, with other parameters equal. In the case of
                                   the CDR sensitivity, the CDR is applied as a straight line input and not as a vector as in the valuation case. This
                                   generates a marginal difference in CF.




                        26
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          D.            Pastor 4




                        27
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            Pastor 4 – Valuation and CF summary



                             As for the Pastor 3, the reserve in this transaction is almost depleted and the deal is expected to
                             accrue PDLs for several years. However, valuation case assumptions allow for the full recovery of
                             the transaction and the repayment of all accruals before clean-up call.

                             –     On that basis, the subordinated loan would start receiving cash flow in 2015 and would be fully
                                   repaid at call. Total cash flow are forecast at EUR 9.8m.

                             Applying a discount rate of 15%, 100% of the subordinated loan is valued at EUR 2,586k.



                        (EUR 000s)

                         Valuation case CF & NPV                                      Period cash flow (truncated from 2011 to 2013)
                                                TOTAL CF & VALUATION                                                     SUB LOAN CF
                                                        Value at 30/09/2009                                        IPD    Q            CF
                                           discount rate                                                       09/2009    1            0
                                                   0.0%                9,810                                   12/2009    2            0
                                                   8.5%                4,439                                   03/2010    3            0
                                                  10.0%                3,900                                   06/2010    4            0
                                                  15.0%                2,586                                   09/2010    5            0
                                                  20.0%                1,766                                   12/2010    6            0
                                                                                                               03/2011    7            0
                                                                                                               06/2011    8            0
                                                                                                               09/2011    9            0
                                                                                                               09/2013   17            0
                                                                                                               12/2013   18            0
                                                                                                               03/2014   19            0
                                                                                                               06/2014   20            0
                                                                                                               09/2014   21            0
                                                                                                               12/2014   22            0
                                                                                                               03/2015   23          0
                                                                                                               06/2015   24        149
                                                                                                               09/2015   25        748
                                                                                                               12/2015   26        702
                                                                                                               03/2016   27        617
                                                                                                               06/2016   28         95
                                                                                                               09/2016   29            96
                                                                                                               12/2016   30            97
                                                                                                               03/2017   31            96
                                                                                                               06/2017   32            95
                                                                                                               09/2017   33            98
                                                                                                               12/2017   34            98
                                                                                                               03/2018   35            97
                                                                                                               06/2018   36         96
                                                                                                               09/2018   37         99
                                                                                                               12/2018   38         99
                                                                                                               03/2019   39         98
                                                                                                               06/2019   40         98
                                                                                                               09/2019   41        100
                                                                                                               12/2019   42        101
                                                                                                               03/2020   43        100
                                                                                                               06/2020   44        101
                                                                                                               09/2020   45        102
                                                                                                               12/2020   46        103
                                                                                                               03/2021   47        102
                                                                                                               06/2021   48      5,621



                        28
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            Pastor 4 – Performance overview



                        (EUR 000s unless otherwise indicated)


            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                            Quarterly defaults                                     6M average CPR
              5.00%               Forecast                              5,000                  Forecast                      20.0%              Forecast
              4.50%                                                     4,500
              4.00%                                                     4,000                                                15.0%
              3.50%                                                     3,500
              3.00%                                                     3,000
              2.50%                                                     2,500                                                10.0%
              2.00%                                                     2,000
              1.50%                                                     1,500                                                  5.0%
              1.00%                                                     1,000
                                             90d+       CDR               500
              0.50%
              0.00%                                                       -                                                    0.0%




                                                                                                                                      Q3 2006
                                                                                                                                      Q3 2007
                                                                                                                                      Q3 2008
                                                                                                                                      Q3 2009
                                                                                                                                      Q3 2010
                                                                                                                                      Q3 2011
                                                                                                                                      Q3 2012
                                                                                                                                      Q3 2013
                                                                                                                                      Q3 2014
                                                                                                                                      Q3 2015
                                                                                                                                      Q3 2016
                                                                                                                                      Q3 2017
                                                                                                                                      Q3 2018
                                                                                Q3 2006
                                                                                Q3 2007
                                                                                Q3 2008
                                                                                Q3 2009
                                                                                Q3 2010
                                                                                Q3 2011
                                                                                Q3 2012
                                                                                Q3 2013
                                                                                Q3 2014
                                                                                Q3 2015
                                                                                Q3 2016
                                                                                Q3 2017
                                                                                Q3 2018
                      Q3 2006
                      Q3 2007
                      Q3 2008
                      Q3 2009
                      Q3 2010
                      Q3 2011
                      Q3 2012
                      Q3 2013
                      Q3 2014
                      Q3 2015
                      Q3 2016
                      Q3 2017
                      Q3 2018




                                                                                      Defaults                                 Senior & sub. Accruals (before call premium)
                                                                                                                                                 Occurrence    Avge Amount
                                                                  Amount                % OB
                                                                                                                          Reserve draws                   27x        (4,041)
                                                Existing          18,581                2.02%
                                                                                                                          Senior accruals                 17x        (9,539)
                                                  Future         101,981               11.08%
                                                                                                                     EoP senior shortfall                                  0
                                                   Total         120,562               13.10%                      EoP sub loan shortfall                                  0
                                             Average cdr                                2.40%
                                                                                                          Note: EoP shortfalls include principal and interest.

                                                                                       Losses
                                                                  Amount                % OB                                                                      Life CPR
                                                Existing                                0.00%                                   since 09/2009                         7.3%
                                                 Future             9,148               0.99%                                                              Duration & WAL
                                                  Total             9,148               0.99%                                   Notes MoD                               3.8
                                      Effective severity                                 7.8%                                   Notes WAL                               6.0
                                                                                                                                 Subloan MoD at 8.5%                    9.0




                        29
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            Pastor 4 – Sensitivity analysis



                             Limited sensitivity of cash flow to variations in assumptions as the investment is forecast to recover
                             in the coming years.

                             –     Note that an increase in CPR decreases total cash flow but increases NPV rates, as the reserve
                                   would be received earlier.




                              (EUR 000s)


                                 Valuation case sensitivity
                                                                                     Valuation case
                                                        Total CF:                              9,810
                                                  Value at 8.5% irr                            4,439
                                                 Value at 10.0% irr                            3,900
                                                 Value at 15.0% irr                            2,586
                                                 Value at 20.0% irr                            1,766

                                                                      Sensitivity of valuation case
                                                              CPR:            -5%               +5%
                                                          Total CF:       11,164               8,802
                                                         % change           14%                 -10%
                                                 Value at 10.0% irr         3,685              4,093
                                                 Value at 15.0% irr         2,282              2,888
                                                 Value at 20.0% irr         1,475              2,080
                                                              CDR:          -0.5%              +0.5%
                                                          Total CF:         9,810              9,606
                                                         % change             0%                 -2%
                                                 Value at 10.0% irr         4,004              3,705
                                                 Value at 15.0% irr         2,704              2,393
                                                 Value at 20.0% irr         1,887              1,582
                                                          Severity:          -10%              +10%
                                                          Total CF:         9,810              9,810
                                                         % change             0%                  0%
                                                 Value at 10.0% irr         4,041              3,530
                                                 Value at 15.0% irr         2,748              2,202
                                                 Value at 20.0% irr         1,933              1,405
                                                               Lag:            -4Q              +4Q
                                                          Total CF:         9,810              9,810
                                                         % change             0%                  0%
                                                 Value at 10.0% irr         4,085              3,713
                                                 Value at 15.0% irr         2,801              2,385
                                                 Value at 20.0% irr         1,990              1,571




                        Note:      Sensitivity analysis is based on a parallel shift in a given assumption, with other parameters equal. In the case of
                                   the CDR sensitivity, the CDR is applied as a straight line input and not as a vector as in the valuation case. This
                                   generates a marginal difference in CF.




                        30
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          E.            Pastor 5




                        31
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            Pastor 5 – Valuation and CF summary



                             The transaction has experienced almost no defaults to date as it is recent and defaults are defined
                             as arrears over 18 months and not 12 months as in the other Pastor. Current 90-day+ arrears trend
                             indicate however that substantial defaults will be incurred in the next few quarters, triggering
                             recurring reserve draws.

                             Valuation case assumptions allow for the full recovery of the transaction and the repayment of all
                             accruals before clean-up call. On that basis the notes would start receiving cash flow in 2015 and
                             would be fully repaid at call.

                             –     Total cash flow amount to EUR 6.9m for EETI’s 33.3% share of the notes.

                             33.3% of the subordinated loan is valued at EUR 1,667k.




                              (EUR 000s)

                                 Valuation case CF & NPV                             Period CF (truncated from 2011 to 2015)
                                                 TOTAL CF & VALUATION                                            SUB LOAN CF
                                                                                                           IPD    Q    Deal CF
                                            discount rate           Deal CF                            09/2009    1            0
                                                   0.0%               6,894                            12/2009    2            0
                                                   8.5%               2,963                            03/2010    3            0
                                                  10.0%               2,581                            06/2010    4            0
                                                  15.0%               1,667                            09/2010    5            0
                                                  20.0%               1,111                            12/2010    6            0
                                                                                                       03/2011    7            0
                                                                                                       06/2011    8            0
                                                                                                       09/2011    9            0
                                                                                                       09/2015   25            0
                                                                                                       12/2015   26       183
                                                                                                       03/2016   27       285
                                                                                                       06/2016   28       266
                                                                                                       09/2016   29       257
                                                                                                       12/2016   30       249
                                                                                                       03/2017   31       241
                                                                                                       06/2017   32       233
                                                                                                       09/2017   33       227
                                                                                                       12/2017   34       220
                                                                                                       03/2018   35        88
                                                                                                       06/2018   36        66
                                                                                                       09/2018   37        68
                                                                                                       12/2018   38        68
                                                                                                       03/2019   39        67
                                                                                                       06/2019   40        66
                                                                                                       09/2019   41        68
                                                                                                       12/2019   42        68
                                                                                                       03/2020   43        67
                                                                                                       06/2020   44        67
                                                                                                       09/2020   45        68
                                                                                                       12/2020   46        68
                                                                                                       03/2021   47        67
                                                                                                       06/2021   48        66
                                                                                                       09/2021   49        68
                                                                                                       12/2021   50        68
                                                                                                       03/2022   51        67
                                                                                                       06/2022   52     3,566




                        32
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            Pastor 5 – Performance overview



           (EUR 000s unless otherwise indicated)
            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                                                                                                        Quarterly defaults                                                                                                                   6M average CPR

              5.00%                                       Forecast                                                                                 3,500                                              Forecast                                                                         15.0%                                               Forecast
              4.50%                                                                                                                                3,000
              4.00%                                                                      90d+                              CDR
              3.50%                                                                                                                                2,500                                                                                                                               10.0%
              3.00%                                                                                                                                2,000
              2.50%
                                                                                                                                                   1,500                                                                                                                                5.0%
              2.00%
              1.50%                                                                                                                                1,000
              1.00%                                                                                                                                                                                                                                                                     0.0%
                                                                                                                                                        500
              0.50%




                                                                                                                                                                                                                                                                                               Q3 2007
                                                                                                                                                                                                                                                                                                         Q3 2008
                                                                                                                                                                                                                                                                                                                   Q3 2009
                                                                                                                                                                                                                                                                                                                             Q3 2010
                                                                                                                                                                                                                                                                                                                                       Q3 2011
                                                                                                                                                                                                                                                                                                                                                 Q3 2012
                                                                                                                                                                                                                                                                                                                                                           Q3 2013
                                                                                                                                                                                                                                                                                                                                                                     Q3 2014
                                                                                                                                                                                                                                                                                                                                                                               Q3 2015
                                                                                                                                                                                                                                                                                                                                                                                         Q3 2016
                                                                                                                                                                                                                                                                                                                                                                                                   Q3 2017
                                                                                                                                                                                                                                                                                                                                                                                                             Q3 2018
              0.00%                                                                                                                                     -
                                                                                                                                                              Q3 2007
                                                                                                                                                                        Q3 2008
                                                                                                                                                                                  Q3 2009
                                                                                                                                                                                            Q3 2010
                                                                                                                                                                                                      Q3 2011
                                                                                                                                                                                                                Q3 2012
                                                                                                                                                                                                                          Q3 2013
                                                                                                                                                                                                                                    Q3 2014
                                                                                                                                                                                                                                              Q3 2015
                                                                                                                                                                                                                                                        Q3 2016
                                                                                                                                                                                                                                                                  Q3 2017
                                                                                                                                                                                                                                                                            Q3 2018
                      Q3 2007
                                Q3 2008
                                          Q3 2009
                                                    Q3 2010
                                                              Q3 2011
                                                                         Q3 2012
                                                                                   Q3 2013
                                                                                             Q3 2014
                                                                                                       Q3 2015
                                                                                                                 Q3 2016
                                                                                                                           Q3 2017
                                                                                                                                     Q3 2018




                                                                                                                                                                                  Defaults                                                                         Senior & sub. Accruals (before call premium)
                                                                                                                                                                                                                                                                                     Occurrence    Avge Amount
                                                                                                                                               Amount                               % OB
                                                                                                                                                                                                                                                              Reserve draws                   34x        (5,156)
                                                                                       Existing                                                   354                               0.05%
                                                                                                                                                                                                                                                              Senior accruals                 11x        (4,702)
                                                                                         Future                                                74,992                              10.71%
                                                                                                                                                                                                                                                         EoP senior shortfall                                  0
                                                                                          Total                                                75,346                              10.76%                                                              EoP sub loan shortfall                                  0
                                                                                    Average cdr                                                                                     2.08%
                                                                                                                                                                                                                                              Note: EoP shortfalls include principal and interest.

                                                                                                                                                                                   Losses
                                                                                                                                               Amount                               % OB                                                                                                                                                                                    Life CPR
                                                                                  Existing                                                                                          0.00%                                                                                                  since 09/2009                                                                        7.5%
                                                                                   Future                                                       2,549                               0.36%                                                                                                                                                                            Duration & WAL
                                                                                    Total                                                       2,549                               0.36%                                                                                                  Notes MoD                                                                              4.1
                                                                        Effective severity                                                                                           3.4%                                                                                                  Notes WAL                                                                              6.2
                                                                                                                                                                                                                                                                                          Subloan MoD at 8.5%                                                                     9.5




                                33
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            Pastor 5 – Sensitivity analysis



                             Limited downside sensitivity of base case cash flow as in the previous cases.


                             (EUR 000s)


                                Valuation case sensitivity
                                                                          Valuation case
                                               Total CF:                            6,894
                                       Value at 8.5% irr                            2,963
                                      Value at 10.0% irr                            2,581
                                      Value at 15.0% irr                            1,667
                                      Value at 20.0% irr                            1,111

                                                                          Valuation case
                                                   CPR:             -5%               +5%
                                               Total CF:         7,704              6,355
                                              % change            12%                 -8%
                                      Value at 10.0% irr         2,492              2,650
                                      Value at 15.0% irr         1,535              1,781
                                      Value at 20.0% irr           988              1,226
                                                   CDR:           -0.5%             +0.5%
                                               Total CF:         6,962              6,894
                                              % change             1%                  0%
                                      Value at 10.0% irr         2,676              2,536
                                      Value at 15.0% irr         1,766              1,619
                                      Value at 20.0% irr         1,209              1,065
                                               Severity:          -10%               +10%
                                               Total CF:         6,894              6,894
                                              % change             0%                  0%
                                      Value at 10.0% irr         2,638              2,454
                                      Value at 15.0% irr         1,728              1,536
                                      Value at 20.0% irr         1,170                989
                                                    Lag:            -4Q                +4Q
                                               Total CF:         6,894              6,894
                                              % change             0%                  0%
                                      Value at 10.0% irr         2,721              2,415
                                      Value at 15.0% irr         1,822              1,497
                                      Value at 20.0% irr         1,265                953


                        Note:        Sensitivity analysis is based on a parallel shift in a given assumption, with other parameters equal. In the case
                                     of the CDR sensitivity, the CDR is applied as a straight line input and not as a vector as in the valuation case .
                                     This generates a marginal difference in CF.




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          3             LUSITANO INVESTMENTS




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          A.            Overview of investments




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            Summary fact sheet


         EETI                            Lusitano 3:           24.1% of the Class E Notes (par value of EUR 2,600k)
         Investments:
                                         Lusitano 4:           40% of the Class B Notes of the Citrine repackaging. Citrine itself owns
                                                               87.1% of the Class E Notes of Lusitano 4 (par value of EUR 8,800k)
                                         Lusitano 5:           27.7% of the Class E Notes (par value of EUR 3,300k)
         Position:                       Lusitano 3 & 5: First loss position attached to BBB (originally) with full residual risks
                                         Lusitano 4:           First loss position with full residual risks junior to BB debt in Citrine vehicle
         Principal CF                    Recovery lag
         drivers:
                                         90-day+ arrears as a driver of CDR / defaults
                                         Loss severity
                                         Continued adequate compensation from BES for spread reductions
                                         CPR
         Pool spread:                Our calculations suggest BES’ quarterly compensation make the fund whole for the unauthorised
                                     reductions. The data below recaps our estimate of the effective spread after compensation vs.
                                     expected. Minor differences are likely to result from the adjustments required in the swap notional.
                                         Lusitano 3:           0.96% + 0.18% = 1.14% (expected 1.15%)
                                         Lusitano 4:           0.83% + 0.11% = 0.94% (expected 0.95%)
                                         Lusitano 5:           0.83% + 0.15% = 0.98% (expected 0.92%)
         Time call and               Time call
         clean-up call:              All transactions were sold on the basis of the exercise of a 9-year time call; the transactions include a
                                     step-up (x2 on notes margin) if the time call is not exercised. At this point, our assumption is that
                                     the time calls will be exercised as planned, at the dates below:
                                         Lusitano 3:           Q4 2013
                                         Lusitano 4:           Q4 2014
                                         Lusitano 5:           Q4 2015
                                     No time call
                                     If the time call is not exercised at the first call date above, it may be exercised at any subsequent
                                     payment date. Alternatively, the transaction would likely be called once the transaction reaches
                                     10% of the initial collateral amount (clean-up call) rather than at the maturity of the pool.
         Treatment of                    The documentation clearly indicates that all but not some notes would be redeemed at the
         reserve &                       exercise of the time or clean-up call at their then outstanding par value. With regard to the Class
         Class E notes:                  E notes, the par value is defined as the required reserve amount (initial less loss reserve).
         Call rationale              Economic rationale
         for BES:                    The primary rationale of the call is economic, broadly following the calculation summarised below:
                                         Present value of future cash flow of the portfolio at call (including recovery of defaults not
                                         foreclosed at call) less cost of funding of the bank, typically EUR 3M;
                                         Cost of the make-whole on the notes. The Lusitano transactions include the unusual feature that
                                         defaults are not deducted 1-for-1 from interest cash flow, but over a 3-4 year period. The
                                         amount of the pool is structurally lower than the notes; BES would pay that difference at call.
                                     Other considerations
                                         Reputation towards debt investors.
         Lusitano 4 /                    The Citrine structure includes a EUR 160k reserve for running cost of approx. EUR10k / quarter.
         Citrine risks:                  The documentation provides for the unwinding of the structure through the sale of underlying
                                         Class E notes if the reserve for cost falls below EUR 40k. It is very possible that no cash flow will
                                         be received in the coming years and that the cost reserve will reach the minimum level by 2012.
                                         It is important to monitor that point.

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            Collateral characteristics and performance



                        Key characteristics                                                                                Collateral performance

                                                                                        L3           L4           L5                              90-day + Arrears (%CB)
                                                       Issuer                                   Banco Espirito Santo                                     Quarters since issue
                                            Rating (SP/F/M)        A/A+/A1 -- Sep. 09 Moody's downgrade fr. Aa3                 3.50%
                                                   Issue date                   09/2004         09/2005       09/2006           3.00%
                                                                                                                                2.50%
                                               M since issue                          62            48            37
                                                                                                                                2.00%
                                             Issue size (OB)        EURm          1,200          1,210         1,400            1.50%
                                           Current size (CB)        EURm            685            778         1,026            1.00%
                                                      % OB                          57%            64%           73%            0.50%
                                                                                                                                0.00%
                                              Count at issue                   21,509          19,466        22,888
                                                                                                                                        1        5        9     13    17
                                               Avge balance          EURk      55,791          62,160        61,167
                                                                                                                                            Lusi 3                Lusi 4
                                                Issue spread          %CB         1.24%          1.07%         1.04%                        Lusi 5
                           Current spread ex-compensation             %CB         0.95%          0.81%         0.82%
                                                                                                                                            Cumulative defaults (% OB)
                           Current spread w. compensation             %CB         1.15%          0.95%         0.92%
                                                                                                                                                         Quarters since issue
                                 CPR             Since issue          %CB           7.7%          7.8%          7.6%
                                                                                                                                 3.50%
                                                      Last Q          %CB           5.7%          5.5%          6.0%
                                                                                                                                 3.00%
                               Arrears                 ]1-3M]         %CB           2.1%          1.6%          2.3%             2.50%
                                                                                                                                 2.00%
                                                       3-12M          %CB           2.5%          2.2%          3.1%
                                                                                                                                 1.50%
                              Defaults            Cumulated         EURm            34.9          34.4          32.7             1.00%
                                                       % OB                         2.9%          2.8%          2.3%             0.50%
                                                                                                                                 0.00%
                                                  Avge CDR            %CB         1.11%          1.42%         2.00%
                                                                                                                                            1     5        9     13    17
                                                 Last Q CDR           %CB         1.62%          0.98%         1.79%                            Lusi 3            Lusi 4
                                                                                                                                                Lusi 5
                                            WA LTV at issue                       73.1%          74.1%         72.4%
                                  LTV                 <=60%                         21%            19%           23%
                              buckets               ]60-70%]                        12%            12%           12%                             6M trailing average CPR
                             (at issue)             ]70-80%]                        20%            21%           21%                                     Quarters since issue
                                                    ]80-90%]                        43%            45%           41%
                                                                                                                                14.0%
                                                       >90%                           4%            3%            3%            12.0%
                              Vintage                <=2002                         47%            22%           18%            10.0%
                                                                                                                                 8.0%
                             (at issue)                 2003                        42%             9%            4%
                                                                                                                                 6.0%
                                                        2004                        11%            51%           10%
                                                                                                                                 4.0%
                                                        2005                            --         19%           47%             2.0%
                                                        2006                            --              --       21%             0.0%
                                                        2007                            --              --            --                1        5        9      13    17
                                                                                                                                            Lusi 3               Lusi 4
                               Region                 Lisbon                        43%            42%           41%                        Lusi 5
                             (at issue)                 Norte                       28%            30%           26%
                                                      Centro                        13%            15%           16%
                                                     Alentejo                         9%            8%            7%
                                                     Algarve                          3%            2%            4%
                                            Islands & others                          4%            3%            6%




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                   Comparables performance



                                              In terms of arrears, the Lusitano transactions (including the older Lusitano 1 & 2 and the more recent
                                              Lusitano 6) experience 90-day+ arrears in the region of 2-2.75% (3.7% for Lusitano 6).

                                              –      This is approx. 0.5% above the recent Magellan 3, 4 & 5 deals (BCP), which appear of
                                                     comparable or worse quality, and in line with the more seasoned Magellan 1 & 2.

                                              –      Unsurprisingly, the Douro transactions (BPI) experience substantially lower arrears, reflecting
                                                     their high underlying asset quality and strict adherence to transaction documentation.

                                              Arrears of the Lusitano deals have stabilised and in the case of Lusitano 3 & 4 have declined
                                              recently.

                                              –      The recent improvement reflects the decrease in Euribor in recent quarters (most loans are
                                                     indexed on EUR 6M & 12M).

                                              –      BES foresees a decline in delinquency over the coming 12-18 months, with a caveat for the
                                                     impact of the continued rise in unemployment expected until 2010.

                                              The CPR curves, similar to those in Spain, suggest a clear correlation between the peak of the credit
                                              bubble and the rise in prepayments in 2007-08. At this point, all transactions converge towards a
                                              CPR level of 6-8%, in line with historical averages.




Comparables – 90-day+ arrears (% CB)                                                                        Comparables – 12M average CPR
 4.0%                                                                                                        12.0%
 3.5%
                                                                                                             10.0%
 3.0%
 2.5%                                                                                                         8.0%

 2.0%                                                                                                         6.0%
 1.5%
                                                                                                              4.0%
 1.0%
 0.5%                                                                                                         2.0%

 0.0%                                                                                                         0.0%
         Q1 2002



                            Q1 2003



                                           Q1 2004



                                                       Q1 2005



                                                                  Q1 2006



                                                                            Q1 2007



                                                                                        Q1 2008



                                                                                                  Q1 2009




                                                                                                                     Q1 2002



                                                                                                                               Q1 2003



                                                                                                                                         Q1 2004



                                                                                                                                                   Q1 2005



                                                                                                                                                             Q1 2006



                                                                                                                                                                       Q1 2007



                                                                                                                                                                                  Q1 2008



                                                                                                                                                                                            Q1 2009




                   Lusi 1                                Lusi 2                       Lusi 3
                                                                                                                      Lusi 1                       Lusi 2                        Lusi 3
                   Lusi 4                                Lusi 5                       Lusi 6
                                                                                                                      Lusi 4                       Lusi 5                        Lusi 6
                   Douro 1, 2 & 3                        Magellan 1 & 2               Magellan 3, 4 & 5               Douro 1, 2 & 3               Magellan 1 & 2                Magellan 3, 4 & 5


 Note:             90-day + arrears excludes loans with arrears greater than 1 year.




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            Summary of main valuation assumptions



                        Key inputs                  Valuation case

                        Trend                            Current trend continuation until Q4 2010
                                                         Improvement from Q1 2011 onwards
                        90-day+                          Same as last Q until Q4 2010
                        arrears                          -0.15% per quarter thereafter until 1.50% of CB
                        CDR                              Until Q4 2011: 90% conversion of 90-day+ arrears with 12-month lag
                                                         Thereafter: declining to 80%
                        Loss severity                    Until Q4 2010: 5% loss severity = top 50% LTV with 20% MVD
                                                         Thereafter: 0%
                        Lag                              Recovery 4 years from default
                                                         Actual lag of 3 to 7 years according to BES
                        CPR                              Flat from last Q until Q4 2010
                                                         Thereafter, increase by 0.15% per quarter
                        Call                             Exercise of time call
                                                         Verification of economic interest where relevant


                        Missing information

                              We have reviewed the compensations paid by BES and they seem to broadly compensate the funds
                              for the unauthorised spread reductions. However, it would be preferable for BES to provide back-up
                              calculations as the notional of the swap is complex to calculate.

                              In that context, we have assumed that the excess spread of the pools correspond to the initial
                              amount less the reductions related to the Permitted Variations, which is very close to the actual
                              spread of last quarter.

                              Finally, with regard to Lusitano 4, we do not have the definite amount of the outstanding principal
                              and accrued interest of the Citrine Class A notes and have relied on own estimates.




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          B.            Lusitano 3




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            Lusitano 3 – Valuation and CF summary



                             The transactions is expected to experience severe reserve draws over the coming quarters but is
                             forecast to eventually generate enough cash flow to repay PDL accruals on the notes and replenish
                             the reserve.

                             The 24.1% of the Class E notes held by EETI are valued at EUR 2,103k based on a 10% discount rate.

                             –     Total cash flow are forecast at EUR 3,093k until call in 2013.




                        (EUR 000s)

                          Valuation case CF & NPV

                                              CF & VALUATION
                                             Value at 30/09/2009
                           discount rate                   Total
                                   0.0%        0            3,093
                                   8.5%         0           2,224
                                  10.0%         0           2,103
                                  15.0%         0           1,757
                                  20.0%         0           1,479


                                        Class E CF (EETI share)
                                     IPD       Q       Cum CF
                                 10/2009        1               0
                                 01/2010        2               0
                                 04/2010        3               0
                                 07/2010        4               0
                                 10/2010        5               0
                                 01/2011        6               0
                                 04/2011        7               0
                                 07/2011        8               0
                                 10/2011        9               0
                                 01/2012       10               0
                                 04/2012       11               0
                                 07/2012       12               0
                                 10/2012       13               0
                                 01/2013       14               0
                                 04/2013       15               0
                                 07/2013       16               0
                                 10/2013       17           3,093




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            Lusitano 3 – Performance overview



            (EUR 000s unless otherwise indicated)

            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                                                          Quarterly defaults                                                                      6M average CPR
             3.0%                             Forecast                       Time call                 5,000                             Forecast                       Time call           14.0%                            Forecast                       Time call
             2.5%                                                                                                                                                                           12.0%
                                                                                                       4,000
             2.0%
                                                                                                                                                                                            10.0%
                                                                                                       3,000                                                                                 8.0%
             1.5%
                                                                                                       2,000                                                                                 6.0%
             1.0%                                                                                                                                                                            4.0%
             0.5%                                                                                      1,000                                                                                 2.0%
             0.0%                                                                                        -                                                                                   0.0%




                                                                                                                                                                                                    405
                                                                                                                                                                                                          106
                                                                                                                                                                                                                1006
                                                                                                                                                                                                                       707
                                                                                                                                                                                                                             408
                                                                                                                                                                                                                                   109
                                                                                                                                                                                                                                         1009
                                                                                                                                                                                                                                                710
                                                                                                                                                                                                                                                      411
                                                                                                                                                                                                                                                            112
                                                                                                                                                                                                                                                                  1012
                                                                                                                                                                                                                                                                         713
                    405
                          106
                                 1006
                                        707
                                              408
                                                    109
                                                          1009
                                                                 710
                                                                       411
                                                                             112
                                                                                   1012
                                                                                          713




                                                                                                                405
                                                                                                                      106
                                                                                                                            1006
                                                                                                                                   707
                                                                                                                                         408
                                                                                                                                               109
                                                                                                                                                     1009
                                                                                                                                                            710
                                                                                                                                                                  411
                                                                                                                                                                        112
                                                                                                                                                                              1012
                                                                                                                                                                                     713
                                90-day+                                      CDR                               New defaults                                 12M av. New def
                                                                                                               PDL deductions




                                                                                                                            Defaults                                                 Senior accruals & Class E shortfall (ex. call premium)
                                                                                                 Amount                       % OB                                                                          Occurrence         Avge Amount
                                                               Existing                          35,147                       2.93%                                            Reserve draws                  16x                                                 (5,422)
                                                                 Future                          79,108                       6.59%                                            Senior accruals                 0x                                                       0
                                                                  Total                         114,256                       9.52%                           EoP senior shortfall & PDL delta                                                                    (4,458)
                                                            Average cdr                                                       1.87%                                      EoP reserve shortfall                                                                          0
                                                                                                                                                              Note: EoP shortfalls include principal and interest.
                                                                                                                             Losses
                                                                                                Amount                        % OB                                                                                                                           Life CPR
                                                                                                                                                                                                      since 10/2009                                              6.6%
                                                              Existing                                                        0.00%
                                                               Future                              -                          0.00%
                                                                                                                                                                                                                                                Duration & WAL
                                                                Total                              -                          0.00%
                                                                                                                                                                                                      Notes MoD                                             1.7
                                                    Effective severity                                                         0.0%
                                                                                                                                                                                                      Notes WAL                                             3.4
                                                                                                                                                                                                      Sub loan MoD                                          3.9




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            Lusitano 3 – Sensitivity analysis



                             As a pure residual, the transaction is sensitive to changes in many factors despite the near call date.

                             –      The most sensitive inputs are the CDR, recovery lag and severity.

                             Note that residual cash flow would be of EUR 16m if BES did not exercise the time call in 2013 and
                             let the transaction reach clean-up call.

                        (EUR 000s)


                                 Valuation case sensitivity
                                                                                               Valuation case
                                                                Total CF:                              3,093
                                                          Value at 8.5% irr                            2,224
                                                         Value at 10.0% irr                            2,103
                                                         Value at 15.0% irr                            1,757
                                                         Value at 20.0% irr                            1,479

                                                                              Sensitivity of valuation case
                                                                      CPR:            -5%               +5%
                                                                  Total CF:         2,831              3,348
                                                                 % change             -8%                 8%
                                                         Value at 10.0% irr         1,925              2,277
                                                         Value at 15.0% irr         1,608              1,903
                                                         Value at 20.0% irr         1,353              1,602
                                                                     CDR:           -0.5%              +0.5%
                                                                  Total CF:         5,475              1,174
                                                                 % change            77%                -62%
                                                         Value at 10.0% irr         3,939               798
                                                         Value at 15.0% irr         3,382               667
                                                         Value at 20.0% irr         2,925               561
                                                                  Severity:                            +10%
                                                                  Total CF:                            2,268
                                                                 % change                               -27%
                                                         Value at 10.0% irr                            1,542
                                                         Value at 15.0% irr                            1,288
                                                         Value at 20.0% irr                            1,085
                                                                       Lag:           -4Q                +4Q
                                                                  Total CF:         6,500              2,170
                                                                 % change           110%                -30%
                                                         Value at 10.0% irr         4,552              1,476
                                                         Value at 15.0% irr         3,856              1,233
                                                         Value at 20.0% irr         3,290              1,038
                                                                   Spread         -10bps             +10bps
                                                                  Total CF:         2,512              3,674
                                                                 % change           -19%                19%
                                                         Value at 10.0% irr         1,708              2,504
                                                         Value at 15.0% irr         1,427              2,094
                                                         Value at 20.0% irr         1,201              1,765
                                                                      Call:                           No call
                                                                  Total CF:                           16,006
                                                                 % change                              417%
                                                         Value at 10.0% irr                            7,599
                                                         Value at 15.0% irr                            5,614
                                                         Value at 20.0% irr                            4,276




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          C.            Lusitano 4




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            Lusitano 4 – Forecast CF and valuation



                             Our analysis indicates that the leveraged Citrine notes owned by EETI are likely not to receive any
                             cash flow in the future and should be treated as a total write-off.

                             In our analysis, the underlying Lusitano 4 Class E notes are expected to receive between half and all
                             of the reserve from deal cash flow at the exercise of the call in Q3 2014. However, even in the
                             more favourable outcome, cash flow are entirely absorbed in our calculations by the Citrine Class A
                             notes, senior to the Class B notes held by EETI.

                             –     The Citrine Class A notes currently amount to an estimated EUR 9.3m (incl. EUR 0.2m in accrued
                                   interest). In our forecast, as no cash flow would be paid until call, the liability of the Citrine
                                   Class A notes would rise to EUR 11.3m by the exercise of the call.

                             –     Note that this scenario assumes that the Citrine vehicle is not unwound prior to call due to the
                                   shortfall in the reserve amount, which could take place 2 years before call.



                                   (EUR 000s)

                                     CF & Valuation summary
                                                          TOTAL CF & VALUATION

                                        discount rate            Value at 30/09/2009
                                                0.0%                                   0
                                                8.5%                                   0
                                               10.0%                                   0
                                               15.0%                                   0
                                               20.0%                                   0


                                                                   Citr ine Class B CF         L4 CF to Citrine
                                                 IPD        Q                          0                4,945
                                             09/2009         1                         0                     0
                                             12/2009         2                         0                     0
                                             03/2010         3                         0                     0
                                             06/2010         4                         0                     0
                                             09/2010         5                         0                     0
                                             12/2010         6                         0                     0
                                             03/2011         7                         0                     0
                                             06/2011         8                         0                     0
                                             09/2011        9                          0                     0
                                             12/2011       10                          0                     0
                                             03/2012       11                          0                     0
                                             06/2012       12                          0                     0
                                             09/2012       13                          0                     0
                                             12/2012       14                          0                     0
                                             03/2013       15                          0                     0
                                             06/2013       16                          0                     0
                                             09/2013       17                          0                     0
                                             12/2013       18                          0                     0
                                             03/2014       19                          0                    0
                                             06/2014       20                          0                    0
                                             09/2014       21                          0                4,945

                                   Note:         Citrine owns 87.1% of the Class E notes of Lusitano 4.




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            Lusitano 4 – Base case performance overview




                           (EUR 000s unless otherwise indicated)

            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                                              Quarterly defaults                                                       6M average CPR

             3.0%                                  Forecast           Time call         7,000                                Forecast             Time call      14.0%                               Forecast             Time call
             2.5%                                                                       6,000                                                                    12.0%
                                                                                        5,000                                                                    10.0%
             2.0%
                                                                                        4,000                                                                     8.0%
             1.5%
                                                                                        3,000                                                                     6.0%
             1.0%                                                                                                                                                 4.0%
                                                                                        2,000
             0.5%                                                                       1,000                                                                     2.0%
             0.0%                                                                         -                                                                       0.0%
                    1205

                           1206

                                  1207

                                         1208

                                                 1209

                                                        1210

                                                               1211

                                                                      1212

                                                                             1213




                                                                                                                                                                         1205

                                                                                                                                                                                1206

                                                                                                                                                                                       1207

                                                                                                                                                                                              1208

                                                                                                                                                                                                     1209

                                                                                                                                                                                                            1210

                                                                                                                                                                                                                   1211

                                                                                                                                                                                                                           1212

                                                                                                                                                                                                                                  1213
                                                                                                1205

                                                                                                       1206

                                                                                                               1207

                                                                                                                      1208

                                                                                                                             1209

                                                                                                                                    1210

                                                                                                                                           1211

                                                                                                                                                  1212

                                                                                                                                                         1213
                                                                                                New defaults                         12M av. New def
                             90-day+                                  CDR
                                                                                                PDL deductions




                                                                                                          Defaults                                    Senior accruals & Class E shortfall (ex. call premium)
                                                                                                                                                                                  Occurrence     Avge Amount
                                                                                     Amount                 % OB
                                                           Existing                  32,560                 2.71%                                           Reserve draws                 21x         (6,439)
                                                                                                                                                           Senior accruals                  3x        (1,078)
                                                             Future                  83,337                 6.94%
                                                                                                                                           EoP senior shortfall & PDL delta                          (10,850)
                                                              Total                 115,897                 9.66%                                    EoP reserve shortfall                            (4,520)
                                                        Average cdr                                         1.61%
                                                                                                                                            Note: EoP shortfalls include principal and interest.

                                                                                                              Losses
                                                                                    Amount                     % OB
                                                          Existing                                             0.00%
                                                           Future                    1,042                     0.09%
                                                                                                                                                                                                                           Life CPR
                                                                                                                                                                            since 09/2009                                      6.7%
                                                            Total                    1,042                     0.09%
                                                Effective severity                                              0.9%
                                                                                                                                                                                                              Duration & WAL
                                                                                                                                                                            Notes MoD                                     3.1
                                                                                                                                                                            Notes WAL                                     4.0
                                                                                                                                                                            Residual MoD                                  5.0




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            Lusitano 4 – Sensitivity analysis


                        (EUR 000s)
                                                                                               Sensitivity analysis

                             An improvement in the recovery lag by 1 year would                                                        Valuation case
                                                                                                            Total CF:                               0
                             restore cash flow, including to the Citrine junior
                                                                                                      Value at 8.5% irr                             0
                             notes.                                                                  Value at 10.0% irr                             0
                                                                                                     Value at 15.0% irr                             0
                                                                                                     Value at 20.0% irr                             0

                                                                                                                          Sensitivity of valuation case
                                                                                                                 CPR:            -5%              +5%
                                                                                                              Total CF:           0                 0
                                                                                                            % change             0%                0%
                                                                                                     Value at 10.0% irr           0                 0
                                                                                                     Value at 15.0% irr           0                 0
                                                                                                     Value at 20.0% irr            0                0
                                                                                                                 CDR:          -0.5%            +0.5%
                                                                                                              Total CF:          699                0
                                                                                                            % change              nm               0%
                                                                                                     Value at 10.0% irr          449                0
                                                                                                     Value at 15.0% irr          366                0
                                                                                                     Value at 20.0% irr          302                0
                                                                                                             Severity:                           +10%
                                                                                                              Total CF:                             0
                                                                                                            % change                               0%
                                                                                                     Value at 10.0% irr                             0
                                                                                                     Value at 15.0% irr                             0
                                                                                                     Value at 20.0% irr                             0
                                                                                                                  Lag:           -4Q              +4Q
                                                                                                              Total CF:        2,048                0
                                                                                                            % change              nm               0%
                                                                                                     Value at 10.0% irr        1,285                0
                                                                                                     Value at 15.0% irr        1,034                0
                                                                                                     Value at 20.0% irr          840                0
                                                                                                               Spread         -10bps           +10bps
                                                                                                              Total CF:           0                 0
                                                                                                            % change             0%                0%
                                                                                                     Value at 10.0% irr           0                 0
                                                                                                     Value at 15.0% irr            0                0
                                                                                                     Value at 20.0% irr            0                0
                                                                                                                  Call:                        No call
                                                                                                              Total CF:                         6,789
                                                                                                            % change                               nm
                                                                                                     Value at 10.0% irr                         2,650
                                                                                                     Value at 15.0% irr                         1,728
                                                                                                     Value at 20.0% irr                         1,156




                                                                                               Note: Sensitivity analysis is based on parallel shifts
                                                                                                     in assumptions with other parameters equal.




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          D.            Lusitano 5




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            Lusitano 5 – Forecast CF and valuation



                             The transaction is expected to deplete the reserve and generate principal accruals on the notes that
                             cannot be entirely cured before call. At call, the Class E notes would recoup 75% of the reserve
                             through deal cash flow.

                             –     Given the favourable economics of the tail portfolio, our assumption is that the reserve shortfall
                                   would be covered as well at call, either through a make-whole from BES or a premium from an
                                   auction.

                             Total cash flow are forecast at EUR 3,300k. The 27.7% of the Class E notes owned by EETI are valued
                             at EUR 1,855k.




                              (EUR in 000s)

                                 Valuation case CF & NPV

                                                                                 TOTAL CF & VALUATION
                                                                                         Value at 30/09/2009
                                               discount rate            Deal CF Call premium            Total
                                                      0.0%      0         2,693            606         3,300
                                                      8.5%      0         1,645            370         2,015
                                                     10.0%      0         1,514            341         1,855
                                                     15.0%       0        1,157            261         1,418
                                                     20.0%       0          895            201         1,096


                                                                                                 Class E CF
                                                        IPD      Q           CF Call premium        Cum CF
                                                    10/2009     1              0                           0
                                                    01/2010     2              0                           0
                                                    04/2010     3              0                           0
                                                    07/2010     4              0                           0
                                                    10/2010     5              0                           0
                                                    01/2011     6              0                           0
                                                    04/2011     7              0                           0
                                                    07/2011     8              0                           0
                                                    10/2011     9              0                           0
                                                    01/2012    10              0                           0
                                                    04/2012    11              0                           0
                                                    07/2012    12              0                           0
                                                    10/2012    13              0                           0
                                                    01/2013    14              0                           0
                                                    04/2013    15              0                           0
                                                    07/2013    16              0                           0
                                                    10/2013    17              0                           0
                                                    01/2014    18              0                           0
                                                    04/2014    19              0                           0
                                                    07/2014    20              0                           0
                                                    10/2014    21              0                           0
                                                    01/2015    22              0                           0
                                                    04/2015    23              0                           0
                                                    07/2015    24             0                            0
                                                    10/2015    25         2,693            606         3,300




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            Lusitano 5 – Performance overview



            (EUR in 000s unless otherwise indicated)

            Valuation case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                                     Quarterly defaults                                                     6M average CPR

             3.5%                     Forecast                T ime call       10,000                        Forecas t                Time call        12.0%                     Forecast                Time call
             3.0%                                                                                                                                      10.0%
                                                                                 8,000
             2.5%                                                                                                                                       8.0%
             2.0%                                                                6,000
                                                                                                                                                        6.0%
             1.5%                                                                4,000                                                                  4.0%
             1.0%
                                                                                 2,000                                                                  2.0%
             0.5%
                                                                                                                                                        0.0%
             0.0%                                                                    -




                                                                                                                                                               107

                                                                                                                                                                     108

                                                                                                                                                                           109

                                                                                                                                                                                 110

                                                                                                                                                                                       111

                                                                                                                                                                                             112

                                                                                                                                                                                                   113

                                                                                                                                                                                                         114

                                                                                                                                                                                                               115
                    107

                          108

                                109

                                      110

                                            111

                                                  112

                                                        113

                                                              114

                                                                    115




                                                                                           107

                                                                                                 108
                                                                                                       109



                                                                                                                    111

                                                                                                                          112



                                                                                                                                      114
                                                                                                                                            115
                                                                                                              110




                                                                                                                                113
                           90-day+                            CDR                        New defaults                     12M av. New def
                                                                                         PDL deductions




                                                                                                 Defaults                                                                         Senior & sub. accruals
                                                                            Amount                 % OB                                                                    Occurrence         Avge Amount
                                                      Existing              35,005                 2.92%                                           Reserve draws                   24x              (8,533)
                                                                                                                                                   Senior ac cruals                13x              (6,951)
                                                       Future               91,967                 7.66%
                                                                                                                                               EoP senior short fall                               (12,537)
                                                         Total             126,972                10.58%                                      EoP reserve short fall                                (2,187)
                                                  Average cdr                                      2.01%
                                                                                                                                             Note: EoP s hortf alls include principal and interest.

                                                                                                   Losses                                                                                                 Life CPR
                                                                           Amount                   % OB                                                         since 10/2009                                7.0%
                                                  Existing                                          0.00%
                                                    Future                    526                   0.04%                                                                                      Duration & WAL
                                                      Total                   526                   0.04%                                                        Notes MoD                                 2.5
                                      Average severity                                               0.4%                                                        Notes WAL                                 4.5
                                                                                                                                                                 Sub loan MoD                              5.8




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            Lusitano 5 – Sensitivity analysis



                             Sensitivity analysis only includes deal cash flow and not a potential call premium. In the valuation
                             case, the call premium represents EUR 606k out of total cash flow of EUR 3,300k.


                        (EUR in 000s)


                               Valuation case sensitivity
                                                                                      Valuation case
                                                          Total CF:                             2,693
                                                   Value at 8.5% irr                            1,645
                                                  Value at 10.0% irr                            1,514
                                                  Value at 15.0% irr                            1,157
                                                  Value at 20.0% irr                             895

                                                                        Sensitivity of valuation case
                                                               CPR:            -5%               +5%
                                                           Total CF:         2,493              2,888
                                                          % change             -7%                 7%
                                                  Value at 10.0% irr         1,401              1,624
                                                  Value at 15.0% irr         1,071              1,241
                                                  Value at 20.0% irr           828                960
                                                               CDR:          -0.5%             +0.5%
                                                           Total CF:         4,954               163
                                                          % change            84%               -94%
                                                  Value at 10.0% irr         2,981                 92
                                                  Value at 15.0% irr         2,367                 70
                                                  Value at 20.0% irr         1,907                 54
                                                           Severity:          -10%              +10%
                                                           Total CF:         2,189              2,848
                                                          % change           -19%                  6%
                                                  Value at 10.0% irr         1,230              1,601
                                                  Value at 15.0% irr           940              1,224
                                                  Value at 20.0% irr           727                946
                                                                Lag:            -4Q              +4Q
                                                           Total CF:         7,695                 0
                                                         % change            186%              -100%
                                                  Value at 10.0% irr         4,602                  0
                                                  Value at 15.0% irr         3,625                  0
                                                  Value at 20.0% irr         2,886                  0
                                                            Spread         +10bps              -10bps
                                                           Total CF:         4,070              1,311
                                                         % change             51%                -51%
                                                  Value at 10.0% irr         2,297                737
                                                  Value at 15.0% irr         1,761                563
                                                  Value at 20.0% irr         1,366                436
                                                                Call:                          No call
                                                           Total CF:                           12,145
                                                         % change                               351%
                                                  Value at 10.0% irr                            4,933
                                                  Value at 15.0% irr                            3,337
                                                  Value at 20.0% irr                            2,327




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          4             SESTANTE INVESTMENTS




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          A.            Overview of investments




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            Summary fact sheet



         EETI                            Sestante 2:           40% of the Class C Notes of the Citrine repackaging. Citrine itself owns
         Investments:                                          100% of the Class D Notes of Sestante 2 (par value of EUR 6,253k)
                                         Sestante 3:           40% of the Class B Notes of the Citrine repackaging. Citrine itself owns
                                                               100% of the Class D Notes of Sestante 3 (par value of EUR 8,610k)
                                         Sestante 4:           45% of the Class D Notes (par value of EUR 6,200k)

         Position:                       Sestante 2 & 3: First loss position with full residual risks further leveraged in Citrine vehicle
                                         Sestante 4:           First loss position attached to BBB (originally) with full residual risks

         Senior excess               All Sestante transactions include a rated debt tranche (Class C2) solely repaid out of excess spread,
         spread                      which is senior to the Class D residual. The Citrine notes in Sestante 2 and 3 add a further layer of
         tranches:                   debt tranches repaid out of excess spread, senior to the EETI holding.
                                     For comparison purposes, the total amount of excess spread tranches senior to the ones owned by
                                     EETI is detailed below (data as of last payment date):
                                         Sestante 2:           Approx. 5.25% of CB (Class C2: 0.92% + Citrine: 4.33%)
                                         Sestante 3:           Approx. 6.6% of CB (Class C2: 3.8% + Citrine: 2.8%)
                                         Sestante 4:           Approx. 4.3% of CF (Class C2 only)

         Spread                          Excess spread of 1.50% p.a. guaranteed through a swap with Dresdner Bank in all Sestante deals
                                         CDR of the transactions is running in excess of 3%, explaining the high current reserve draws.

         Principal CF                    Recovery lag
         drivers:
                                         90-day+ arrears (itself a driver of CDR / defaults)
                                         Loss severity
                                         CPR
         Clean-up call:              The transaction would likely be called once the outstanding collateral reaches 10% of its initial
                                     amount. The Class E notes would receive the then outstanding reserve amount.


         Citrine risks:                  As with Lusitano 4, Sestante 2 and 3 are likely not to receive any cash flow in the foreseeable
                                         future, running the risk of depleting the reserve for the running cost of the vehicles. In our
                                         understanding, the depletion of that reserve would trigger the sale of the underlying Class E
                                         notes and the wind-down of the vehicle.

         Change of                       See overleaf
         servicer




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            Situation with Meliorbanca and the change in servicer



                        Inadequate servicing of the portfolio
                             Meliorbanca has been fully acquired by Banca Popolare dell’Emilia Romagna (BPER), a local savings
                             bank from the Rome region. BPER already had a stake in Meliorbanca and was back-up servicer of
                             some of the Sestante transactions.

                             As a consequence of this take-over, the capabilities of Meliorbanca have been substantially shrunk,
                             to the detriment of the servicing of the portfolio:

                             –     The focus of Meliorbanca is now corporate lending to SMEs and marginally, private banking;

                             –     BPER has no interest in Meliorbanca’s mortgage portfolios or borrowers and it does not want to
                                   act as the back-up servicer of the transactions;

                             –     The mortgage teams at Meliorbanca, including in servicing and recovery, have been cut in half
                                   at the time of a substantial rise in default. Also, with no direct customer relationship due to the
                                   dissolution of Systema (see below), there is little leverage or incentive for any party involved to
                                   avoid mortgages slipping from arrears into default.

                             Meliorbanca / BPER is organising a change in servicer, which would reduce operating cost for
                             Meliorbanca and hopefully improve the performance of the deal. However, recovery cost would be
                             substantially increased, possibly at the expense of interest / residual cash flow.

                             –     The current market rate for special servicing (recovery) is approx. 6-8% of all recovered
                                   amounts. In the transaction, Meliorbanca performs these services for 0.5%.

                             –     The cost of the change in back-up servicer is foreseen in the documentation. In our reading,
                                   these cost are borne by the swap with Dresdner / Commerzbank. This swap is a back-to-back
                                   swap with Meliorbanca (in place due to the low credit rating of BBB- of the bank).

                             –     But Meliorbanca is trying to obtain from the noteholders that these extra cost be borne by the
                                   transaction and not by them. It is, in our reading, a substantial deviation from the
                                   documentation.

                             EETI is reviewing the transaction documentation to evaluate potential actions.

                        Other events

                             Securitised transactions are not covered by the programmes introduced by the Italian government to
                             restructure NPL loans because the documentation of the deals do not allow substantial changes in
                             the terms of the underlying loans.

                             –     This increases both the default and the refinancing rates.

                             In addition, Systema, the broker network who originated this portfolio, has been dissolved to avoid
                             the consequences of the Lehman Brothers estate; Lehman Brothers owned 30% of Systema. The
                             founders have reformed under a new company called Avalon, with allegedly employees moving on
                             to other networks as well. This has 2 consequences:

                             –     The loss of relationship with borrowers;

                             –     Sustained refinancing activity as the brokers undoubtedly target the Sestante borrowers.

                             Finally, recent legislation allows lender substitution in the case of refinancing with another bank;
                             this mechanism effectively eliminates any remaining prepayment penalty (max. 0.5%) and
                             facilitates the process for borrowers.

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            Profile and performance of investments



                        Key characteristics                                                                        Collateral performance

                                                                                     S2            S3        S4                                 90-day + Arrears (%CB)

                                                       Issuer               Meliorbanca (100% owned by BPER)                                          Quarters since issue
                                                      Rating                                               BBB-      10.0%
                                                  Issue date                   12/2004         12/2005   12/2006
                                                                                                                      7.5%
                                               M since issue                        56             44        33
                                              Issue size (OB)      EURm            625            860       620       5.0%

                                            Current size (CB)      EURm            390            564       481       2.5%
                                                      % OB                         62%            66%       78%
                                                                                                                      0.0%
                                               Count at issue                  5,186           6,844     4,744
                                                                                                                                 -       4        8        12     16
                                               Avge balance         EURk         121            126       131
                                            Collateral spread       %CB          1.88%          1.90%     1.92%                  Ses 2             Ses 3          Ses 4

                                CPR              Since issue        %CB           8.6%          10.4%     11.3%
                                                                                                                                             Cumulative defaults (% OB)
                                                      Last Q        %CB          14.4%          17.5%     12.8%
                                                                                                                                                      Quarters since issue
                             Arrears                  ]1-3M]        %CB           2.0%           3.0%      3.4%
                                                      3-12M         %CB           6.7%           6.1%      8.6%      5.0%
                             Defaults             Cumulated        EURm           19.9           25.4      24.6      4.0%
                                                      % OB                        3.2%           3.0%      4.0%
                                                                                                                     3.0%
                                                  Avge CDR          %CB          1.20%          1.61%     2.81%
                                                                                                                     2.0%
                                                 Last Q CDR         %CB          1.36%          3.40%     3.27%
                                                                                                                     1.0%
                                                    WA LTV                       70.6%          69.2%     70.2%
                                                                                                                     0.0%
                                 LTV                  <=60%                        15%            19%       17%
                                                                                                                            -            4        8        12     16
                           (at issue)               ]60-70%]                       16%            18%       14%
                                                    ]70-80%]                       69%            64%       69%                 Ses 2             Ses 3           Ses 4
                                                       >80%                         0%             0%        0%
                             Vintage                 <=2002                         1%            19%                                           6M trailing average CPR
                           (at issue)                   2003                       20%             1%        0%
                                                                                                                                                      Quarters since issue
                                                        2004                       75%            30%        3%
                                                                                                                    25.0%
                                                        2005                        4%            47%       51%
                                                                                                                    20.0%
                                                        2006                                       2%       39%
                                                        2007                                                 7%     15.0%

                              Region                   North                       69%            65%       66%     10.0%
                           (at issue)                 Centre                       26%            24%       19%      5.0%
                                                       South                        6%            11%       16%
                                                                                                                     0.0%
                                                                                                                             -           4        8        12     16
                        Notes:          90-day+ arrears excludes loans with arrears greater than 12
                                        months. Defaults refer to loans with arrears greater than 12 months.                 Ses 2                Ses 3          Ses 4




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                  Comparables performance




                                         The graphs below compare the performance of the Sestante transactions with RMBS comprising
                                         predominantly Northern Italian collateral.

                                         The 90-day+ arrears graph clearly places the Sestante transactions among the lower tier of their
                                         peer group; yet several other comparables (including Berica 5) show similar or worse performance.

                                         –       Contrary to Spain and Portugal, the progression in arrears has not slowed down or reversed at
                                                 this stage.

                                         In terms of CPR, the Sestante series shifted from below average CPR to well above average after
                                         their high prepayment penalties were outlawed in Q2 2007. In our reading, the Sestante’s
                                         continued high CPR reflects its high average spread of 1.9% vs. Italian average of 1.1% - 1.4%, as
                                         well as deal specific events (see above).




Comparables – 90-day+ arrears (% CB)                                                                          Comparables – 12M average CPR

 14.00%                                                                                                        25.00%

 12.00%
                                                                                                               20.00%
 10.00%

                                                                                                               15.00%
 8.00%

 6.00%                                                                                                         10.00%

 4.00%
                                                                                                                5.00%
 2.00%

 0.00%                                                                                                          0.00%
                                                                                                                        Q1 01



                                                                                                                                        Q3 02



                                                                                                                                                        Q1 04

                                                                                                                                                                 Q4 04



                                                                                                                                                                                 Q2 06



                                                                                                                                                                                                 Q4 07
          Q1 01

                    Q4 01

                            Q3 02




                                                              Q3 05

                                                                      Q2 06

                                                                              Q1 07




                                                                                                                                Q4 01



                                                                                                                                                Q2 03




                                                                                                                                                                         Q3 05



                                                                                                                                                                                         Q1 07



                                                                                                                                                                                                         Q3 08

                                                                                                                                                                                                                 Q2 09
                                     Q2 03

                                             Q1 04

                                                      Q4 04




                                                                                      Q4 07

                                                                                              Q3 08

                                                                                                      Q2 09




              Sestante 2                             Sestante 3                       Ses tante 4                                                               Sestante 2
              Argo                                   Argo 2                           Berica                                                                    Sestante 3
              Berica RMBS 1                          Berica 2                         Berica 3                                                                  Sestante 4
              Berica 5 RMBS                          Berica 6 RMBS                    BPM
              BPM 2                                  Claris                           Claris 2007                                                               Berica (6 deals)
              Credica                                Lombarda                         Ses tante1                                                                Oth. Northern (15 deals)
              Voba
                                                                                                                                                                Sestante1


 Note:            90-day + arrears excludes loans with arrears greater than 1 year.




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            Summary of main valuation assumptions



                              The high case below attempts to model a situation where (i) a new servicer takes over the portfolio
                              and (ii) recovery cost are increased to 8% of the recovered amounts, effectively increasing loss
                              severity.

                             –     The high case is not meant to denote the most probable outcome.



                        Key inputs                  High case

                        Trend                            Current trend continuation until Q4 2011
                                                         Improvement from Q1 2012 onwards


                        90-day+                          Gradual improvement in delinquency from Q2 2010 once a new servicer is
                        arrears                          in place.


                        CDR                              65% conversion of 90-day+ arrears with 12-month lag


                        Loss severity                    Until Q4 2011: loss severity of top 50% LTV bucket assuming 30% market
                                                         value decline (MVD) + 10% for recovery and cost.
                                                         Thereafter: same with MVD declining by 10% every year
                        Lag                              Recovery 4 years from default
                                                         No recovery on existing defaults for 18 months.
                        CPR                              Decrease by 0.75% per quarter until 2011.
                                                         Thereafter rise by 0.2%.

                        Call                             Exercise of clean-up call



                        Missing information

                              With regard to Sestante 2 and 3, we do not have the definite amounts of the outstanding principal
                              and accrued interest of the Citrine senior notes and have relied on own estimates.




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          B.            Sestante 2




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            Sestante 2 – Valuation and CF summary



                             The investment is written-off given the uncertainties on servicing, associated cost as well as the
                             substantial added leverage in the Citrine structure.

                             Note that. in a high case deal cash flow would fully repay the senior Citrine notes, with some cash
                             flow left for the Citrine residual. These results are however highly sensitive to variations in lag, CDR
                             and severity.




                              (EUR 000s unless otherwise indicated)

                               High case CF & NPV

                                                 TOTAL CF & VALUATION

                                 discount rate            Value at 30/09/2009
                                         0.0%                          2,530
                                         8.5%                          1,226
                                        10.0%                          1,085
                                        20.0%                            501
                                        30.0%                            246


                                                             CITRINE S2 CF
                                           IPD        Q                2,530
                                      09/2009         1                     0
                                      12/2009         2                     0
                                      03/2010         3                     0
                                      06/2010         4                     0
                                      09/2010         5                     0
                                      12/2014        22                     0
                                      03/2015        23                     0
                                      06/2015        24                     0
                                      09/2015        25                     0
                                      12/2015        26                     0
                                      03/2016        27                     0
                                      06/2016        28                     0
                                      09/2016        29                     0
                                      12/2016        30                     0
                                      03/2017        31                     0
                                      06/2017        32                    0
                                      09/2017        33                    0
                                      12/2017        34                    0
                                      03/2018        35                  238
                                      06/2018        36                  605
                                      09/2018        37                1,687




                        61
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            Sestante 2 – High case performance overview



            (EUR in 000s unless otherwise indicated)

            High case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                            Quarterly defaults                             6M average CPR
              8.0%                     Forecast                         5,000                    Forecast             25.0%                     Forecast
              7.0%
              6.0%                                                      4,000                                         20.0%
              5.0%                                                      3,000                                         15.0%
              4.0%
              3.0%                                                      2,000                                         10.0%
              2.0%                                                                                                     5.0%
              1.0%                                                      1,000
              0.0%                                                          -                                          0.0%
                     Apr-05
                     Apr-06
                     Apr-07
                     Apr-08
                     Apr-09
                     Apr-10
                     Apr-11
                     Apr-12
                     Apr-13
                     Apr-14
                     Apr-15
                     Apr-16
                     Apr-17
                     Apr-18




                                                                                                                              Apr-05
                                                                                                                              Apr-06
                                                                                                                              Apr-07
                                                                                                                              Apr-08
                                                                                                                              Apr-09
                                                                                                                              Apr-10
                                                                                                                              Apr-11
                                                                                                                              Apr-12
                                                                                                                              Apr-13
                                                                                                                              Apr-14
                                                                                                                              Apr-15
                                                                                                                              Apr-16
                                                                                                                              Apr-17
                                                                                                                              Apr-18
                                                                                Apr-05
                                                                                Apr-06
                                                                                Apr-07
                                                                                Apr-08
                                                                                Apr-09
                                                                                Apr-10
                                                                                Apr-11
                                                                                Apr-12
                                                                                Apr-13
                                                                                Apr-14
                                                                                Apr-15
                                                                                Apr-16
                                                                                Apr-17
                                                                                Apr-18
                           90d+                     CDR



                                                                                       Default                                                 Senior & sub. accruals
                                                                                                                                        Occurrence         Avge Amount
                                                                  Amount                % OB
                                                                                                                  Reserve draws                 23x              (5,430)
                                               Existing           19,907                3.18%
                                                                                                                  Senior accruals               20x              (4,762)
                                                 Future           82,207               13.15%                EoP senior shortfall                                      0
                                                  Total          102,113               16.33%               EoP reserve shortfall                                      0
                                            Average cdr                                 3.61%               Note: EoP shortfalls include principal and interest.

                                                                                       Losses                                                                 Life CPR
                                                                  Amount                % OB                                   since 09/2009                    12.36%
                                              Existing                                  0.00%
                                                Future              3,752               0.60%                                                         Duration & WAL
                                                  Total             3,752               0.60%                                  Notes MoD                          2.8
                                  Average severity                                       3.7%                                  Notes WAL                          4.4
                                                                                                                               Residual MoD                       6.8




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            Sestante 2 – Sensitivity analysis



                             As a long-dated, leveraged residual, the Sestante 2 transaction presents a high degree of sensitivity
                             to all parameters.


                        (EUR in 000s unless otherwise indicated)


                        High case sensitivity
                                                                               Valuation case
                                                   Total CF:                             2,530
                                            Value at 8.5% irr                            1,226
                                           Value at 10.0% irr                            1,085
                                           Value at 20.0% irr                              501
                                           Value at 30.0% irr                              246

                                                                Sensitivity of valuation case
                                                        CPR:            -5%                +5%
                                                   Total CF:          3,606              1,894
                                                  % change             43%                -25%
                                            Value at 15% irr:         1,511                824
                                            Value at 20% irr:           683                385
                                            Value at 25% irr:           471                270
                                                       CDR:           -0.5%              +0.5%
                                                   Total CF:          3,265                 0
                                                  % change             29%              -100%
                                            Value at 15% irr:         1,394                 0
                                            Value at 20% irr:           641                 0
                                            Value at 25% irr:           446                 0
                                                   Severity:           -10%              +10%
                                                   Total CF:          3,829               466
                                                  % change             51%               -82%
                                            Value at 15% irr:         1,687               198
                                            Value at 20% irr:           799                91
                                            Value at 25% irr:           563                63
                                                       Lag:              -4Q              +4Q
                                                   Total CF:          3,879                 0
                                                  % change             53%              -100%
                                            Value at 15% irr:         1,741                 0
                                            Value at 20% irr:           840                 0
                                            Value at 25% irr:           597                 0




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          C.            Sestante 3




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            Sestante 3 – Valuation and CF summary



                             The investment is written-off given its forecast performance, uncertainties on servicing as well as
                             added leverage in the Citrine structure.

                             Even in a high case, factoring in the positive impact of the change in servicer on delinquency, deal
                             cash flow would not fully repay the senior Citrine notes. As a consequence, accrued principal and
                             interest on the Citrine notes would leave nothing for the Citrine residual.




                        (EUR 000s)

                             High case CF & NPV

                                                TOTAL CF & VALUATION

                                discount rate            Value at 30/09/2009
                                        0.0%                              0
                                        8.5%                              0
                                       10.0%                              0
                                       20.0%                              0
                                       25.0%                              0


                                                            CITRINE S3 CF
                                          IPD       Q                     0
                                     10/2009         1                    0
                                     01/2010         2                    0
                                     04/2010         3                    0
                                     07/2010         4                    0
                                     10/2010         5                    0
                                     01/2015       22                     0
                                     04/2015       23                     0
                                     07/2015       24                     0
                                     10/2015       25                     0
                                     01/2016       26                     0
                                     04/2016       27                     0
                                     07/2016       28                     0
                                     10/2016       29                     0
                                     01/2017       30                     0
                                     04/2017       31                     0
                                     07/2017       32                     0
                                     10/2017       33                     0
                                     01/2018       34                     0
                                     04/2018       35                     0
                                     07/2018       36                     0
                                     10/2018       37                     0




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            Sestante 3 – High case performance overview



                        (EUR 000s unless otherwise indicated)
                        Historical and forecast delinquency                                    Collateral and transaction performance

                                                                                                                                                        Defaults
                                               90-day+ arrears and CDR (% CB)                                                        Amount               % OB
                              7.0%                      Forecast                                                  Existing           25,417               2.95%
                              6.0%                                                                                  Future           79,921               9.29%
                              5.0%                                                                                   Total          105,338              12.24%
                              4.0%                                                                             Average cdr                                3.46%
                              3.0%
                              2.0%                                                                                                                        Losses
                              1.0%                                                                                                   Amount                % OB
                              0.0%                                                                                Existing                                 0.00%
                                                                                                                    Future             7,467               0.87%
                                     Apr-06
                                     Apr-07
                                     Apr-08
                                     Apr-09
                                     Apr-10
                                     Apr-11
                                     Apr-12
                                     Apr-13
                                     Apr-14
                                     Apr-15
                                     Apr-16
                                     Apr-17
                                     Apr-18
                                     Apr-19


                                                                                                                      Total            7,467               0.87%
                                                                                                      Average severity                                      7.1%

                                           90d+                       CDR                                                                Senior & sub. accruals
                                                                                                                                  Occurrence         Avge Amount
                                                                                                            Reserve draws                 23x              (7,866)
                                                                                                            Senior accruals               24x              (6,717)
                                                       Quarterly defaults in EURk                      EoP senior shortfall                                      0
                                                                                                      EoP reserve shortfall                                      0
                              6,000                      Forecast
                                                                                                      Note: EoP shortfalls include principal and interest.
                              5,000
                              4,000                                                                                                                     Life CPR
                              3,000                                                                                      since 10/2009                    13.16%
                              2,000
                                                                                                                                                Duration & WAL
                              1,000
                                                                                                                         Notes MoD                          2.8
                                -                                                                                        Notes WAL                          4.3
                                      Apr-06
                                      Apr-07
                                      Apr-08
                                      Apr-09
                                      Apr-10
                                      Apr-11
                                      Apr-12
                                      Apr-13
                                      Apr-14
                                      Apr-15
                                      Apr-16
                                      Apr-17
                                      Apr-18
                                      Apr-19




                                                                                                                         Residual MoD                       7.9




                                                                 6M average CPR
                              25.0%                   Forecast
                              20.0%
                              15.0%
                              10.0%
                               5.0%
                               0.0%
                                      Apr-06




                                      Apr-11




                                      Apr-16
                                      Apr-07
                                      Apr-08
                                      Apr-09
                                      Apr-10

                                      Apr-12
                                      Apr-13
                                      Apr-14
                                      Apr-15

                                      Apr-17
                                      Apr-18
                                      Apr-19




                        66
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          D.            Sestante 4




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            Sestante 4 – Valuation and CF summary



                             Sestante 4 is written-off given the uncertainties surrounding servicing and the outlook of the
                             transaction.

                             EETI holds the residual Class E notes directly, and not in a re-levered format unlike the Sestante 2
                             and 3. The residual is therefore forecast to receive some cash flow once foreclosure proceeds are
                             received and defaults decline.




                        (EUR 000s)

                          High case CF & NPV

                                             TOTAL CF & VALUATION

                             discount rate             Value at 09/2009
                                     0.0%                          3,620
                                     8.5%                          1,689
                                    10.0%                          1,485
                                    20.0%                            659
                                    25.0%                            450


                                                                  S4 CF
                                       IPD       Q                 3,620
                                  10/2009         1                    0
                                  01/2010         2                    0
                                  04/2010         3                    0
                                  07/2010         4                    0
                                  10/2010         5                    0
                                  01/2016       26                     0
                                  04/2016       27                     0
                                  07/2016       28                     0
                                  10/2016       29                     0
                                  01/2017       30                     0
                                  04/2017       31                     0
                                  07/2017       32                     0
                                  10/2017       33                     0
                                  01/2018       34                     0
                                  04/2018       35                     0
                                  07/2018       36                   415
                                  10/2018       37                   662
                                  01/2019       38                   594
                                  04/2019       39                 1,949




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            Sestante 4 – Performance summary



                                   (EUR in 000s unless otherwise indicated)

            HIgh case – Collateral and transaction performance

            90-day+ arrears and CDR (%CB)                                                                           Quarterly defaults                      6M average CPR
              9.0%                                                   Forecast                                         6,000              Forecast             25.0%            Forecast
              8.0%
              7.0%                                                                                                    5,000                                   20.0%
              6.0%                                                                                                    4,000
              5.0%                                                                                                                                            15.0%
              4.0%                                                                                                    3,000
                                                                                                                                                              10.0%
              3.0%                                                                                                    2,000
              2.0%                                                                                                                                             5.0%
              1.0%
                                                                                                                      1,000
              0.0%                                                                                                      -                                      0.0%




                                                                                                                                                                      Apr-07
                                                                                                                                                                      Apr-08
                                                                                                                                                                      Apr-09
                                                                                                                                                                      Apr-10
                                                                                                                                                                                 Apr-11
                                                                                                                                                                                 Apr-12
                                                                                                                                                                                 Apr-13
                                                                                                                                                                                 Apr-14
                                                                                                                                                                                              Apr-15
                                                                                                                                                                                              Apr-16
                                                                                                                                                                                              Apr-17
                                                                                                                                                                                                       Apr-18
                                                                                                                                                                                                       Apr-19
                     Apr-07
                              Apr-08
                                       Apr-09
                                       Apr-10
                                                Apr-11
                                                         Apr-12
                                                         Apr-13
                                                                  Apr-14
                                                                           Apr-15
                                                                           Apr-16
                                                                                    Apr-17
                                                                                             Apr-18
                                                                                                      Apr-19
                                                                                                      Apr-20




                                                                                                                              Apr-07
                                                                                                                              Apr-08
                                                                                                                              Apr-09
                                                                                                                              Apr-10
                                                                                                                              Apr-11
                                                                                                                              Apr-12
                                                                                                                              Apr-13
                                                                                                                              Apr-14
                                                                                                                              Apr-15
                                                                                                                              Apr-16
                                                                                                                              Apr-17
                                                                                                                              Apr-18
                                                                                                                              Apr-19
                                        90d+                                           CDR




                                                                                                                                 Defaults                                              Senior & sub. accruals
                                                                                                                                                                                Occurrence         Avge Amount
                                                                                                                 Amount            % OB
                                                                                                                                                          Reserve draws                 28x              (5,819)
                                                                              Existing                           24,576            3.96%
                                                                                                                                                          Senior accruals               29x             (19,312)
                                                                                Future                           87,021           14.04%             EoP senior shortfall                                      0
                                                                                 Total                          111,597           18.00%            EoP reserve shortfall                                      0
                                                                           Average cdr                                             4.35%            Note: EoP shortfalls include principal and interest.

                                                                                                                                  Losses                                                              Life CPR
                                                                                                                 Amount            % OB                                since 10/2009                    12.58%
                                                                Existing                                                           0.00%
                                                                  Future                                       6,983,917           1.13%                                                      Duration & WAL
                                                                    Total                                      6,983,917           1.13%                               Notes MoD                          2.8
                                                    Average severity                                                                6.3%                               Notes WAL                          4.6
                                                                                                                                                                       Residual MoD                       8.8




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            Sestante 4 – Sensitivity analysis



                             Adverse variations in assumptions are expected to substantially reduce or eliminate residual cash
                             flow.

                             The right hand table illustrates the sensitivity of the transaction to the CDR and severity
                             combinations (with other assumptions equal).




                        (EUR in 000s)


                          Valuation case sensitivity                                       Sensitivity to combinations of assumptions (for 100% of class)
                                                                  Valuation case                                                            CDR / Severity combinations
                                                                                                              Other assumptions
                                     Total CF:                              3,620
                                                                                               Life CPR: 12.64%    Lag:      16
                              Value at 5.0% irr                             1,689                    Call:  10%
                             Value at 15.0% irr                             1,485                                                                                  cdr
                             Value at 20.0% irr                               659                        8,973    0.00%    1.00%    2.00%   3.00%   4.00% 5.00% 6.00%
                             Value at 25.0% irr                               450               severity    0%   18,616   15,752   12,824   9,247   5,781 1,580     0
                                                                                                          5.0%   18,189   15,286   12,308   8,651   5,112   845     0
                                                                                                         10.0%   17,671   14,636   11,498   7,632   3,877     0     0
                                                   Sensitivity of valuation case                         15.0%   17,154   13,905   10,518   6,335   2,245     0     0
                                          CPR:            -5%                +5%                         20.0%   16,636   13,104    9,385   4,784     263     0     0
                                     Total CF:          8,269                  0                         25.0%   16,119   12,241    8,110   3,001       0     0     0
                                                                                                         30.0%   15,601   11,268    6,612     880       0     0     0
                                    % change            128%               -100%                         35.0%   15,082   10,290    5,087       0       0     0     0
                              Value at 15% irr:         3,001                  0                         40.0%   14,563    9,304    3,513       0       0     0     0
                              Value at 20% irr:         1,202                  0                         45.0%   14,044    8,314    1,755       0       0     0     0
                              Value at 25% irr:           785                   0                        50.0%   13,524    7,314        0       0       0     0     0
                                                                                                         55.0%   13,004    6,293        0       0       0     0     0
                                          CDR:          -0.5%              +0.5%                         60.0%   12,483    5,340        0       0       0     0     0
                                     Total CF:          4,061                  0
                                    % change             12%               -100%
                              Value at 15% irr:         1,684                  0
                              Value at 20% irr:           755                  0
                              Value at 25% irr:           518                   0
                                      Severity:          -10%               +10%
                                     Total CF:          6,822                  0
                                    % change             88%               -100%
                              Value at 15% irr:         2,935                  0
                              Value at 20% irr:         1,363                  0
                              Value at 25% irr:           952                   0
                                           Lag:           -4Q                 +4Q
                                     Total CF:          5,501                 470
                                    % change             52%                -87%
                              Value at 15% irr:         2,378                 189
                              Value at 20% irr:         1,109                  82
                              Value at 25% irr:           777                  56




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          5             DUTCH BONDS (SHIELD & MEMPHIS 06-1)




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          A.            Overview




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            Summary fact sheet




         EETI                            Shield 1:             13.3% of the Class F Notes @ EUR 3M + 7.00% (par value of EUR 8,000k)
         Investments:
                                         Memphis 06-1: 46.6% of the Class G Notes @ EUR 3M + 7.50% (par value of EUR 4,100k)

         Securitisation                  Synthetic RMBS – the transactions act like an insurance against losses on a mortgage pool; unlike
         structures:                     residuals, the only factor affecting principal and interest on the notes is the effective loss rate
                                         upon foreclosure on the pool.
                                         The pools are replenished on an ongoing basis so as to keep a constant insured balance.
                                         The mortgage amount insured is significant; EUR 22,000m in Shield and EUR 4,000m in Memphis.

         Position:                       Second loss position, protected by a first loss piece. Both notes are B-rated.
                                         Losses are deducted from principal once the first loss piece is consumed.

         Principal CF                    New defaults or credit events (90-day+ arrears)
         drivers:
                                         Loss severity

         First loss                      Shield 1: Current protection of 0.18% of OB (EUR 39m), contractually growing to 0.36% of OB
         reserve:                        (EUR 22m) until call.
                                         Memphis 06-1: Protection of 0.68% of OB (EUR 27m)

         Call:                       Calls are not optional in these transactions.
                                         First call date: the principal of the notes are repaid except for an amount equal to outstanding
                                         credit events.
                                         For up to 2 years, junior notes left outstanding are repaid as the inventory of credit events
                                         diminishes;
                                         Maturity: all notes repaid; losses on credit events not yet foreclosed are assessed by a third party.
                                         First call and maturity dates:
                                         –     Shield 1: Apr. 2012 / Apr. 2014

                                         –     Memphis: Apr. 2013 / Apr. 2015




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            Profiles and performance of investments



                        Shield & Memphis – Key characteristics                                                                                                                                                     Collateral performance

                                                                                                                     Units                                     Shield   Memphis 06-1                                                                                         90-day + Arrears (%CB)
                                                                             Issuer                                                                ABN Amro                     ING                                       0.70%
                                                                                                                                                                                                                          0.60%
                                                                            Rating
                                                                                                                                                                                                                          0.50%
                                                                  Issue date                                                                                 12/2005         02/2006                                      0.40%
                                                         M since issue                                                                                           46              44                                       0.30%
                                     First redemption date                                                                                                   04/2012         04/2013                                      0.20%
                                                                                                                                                                                                                          0.10%
                                             Final maturity date                                                                                             04/2014         04/2015
                                                                                                                                                                                                                          0.00%
                                             Issue amount (OB)                                                      EURm                                       4,016            469




                                                                                                                                                                                                                                          Apr-06



                                                                                                                                                                                                                                                                           Apr-07



                                                                                                                                                                                                                                                                                                            Apr-08



                                                                                                                                                                                                                                                                                                                                 Apr-09
                                                                                                                                                                                                                                                        Oct-06



                                                                                                                                                                                                                                                                                              Oct-07



                                                                                                                                                                                                                                                                                                                        Oct-08
                                      Current amount (CB)                                                           EURm                                       4,016            469
                                                                                                                    % OB                                       100%            100%
                                                                                                                                                                                                                                                             Shield                                         Memphis 06
                                                Current collateral                                                  EURm                                      22,000          4,000
                                                           Loan count                                                                                        148,250         18,321                                                     Outstanding credit events (% CB)
                                                         Avge balance                                               EURk                                         148            218
                                                                                                                                                                                                                         1.20%
                                         Total excess spread                                                        % OB                                       0.36%          0.77%                                      1.00%
                                                       Losses to date                                               % OB                                       0.07%          0.09%                                      0.80%
                              Remaining excess spread                                                               % OB                                       0.28%          0.68%                                      0.60%
                                              O/s Credit Events                                                     % CB                                       0.52%          1.09%                                      0.40%
                                                     New in Q                                           % CB                                                  0.20%           0.10%                                      0.20%
                                             Avge loss severity                                     % Loss CE                                                ~12.0%          ~16.0%                                      0.00%




                                                                                                                                                                                                                                        Apr-06

                                                                                                                                                                                                                                                      Oct-06

                                                                                                                                                                                                                                                                       Apr-07

                                                                                                                                                                                                                                                                                              Oct-07

                                                                                                                                                                                                                                                                                                            Apr-08

                                                                                                                                                                                                                                                                                                                        Oct-08

                                                                                                                                                                                                                                                                                                                                 Apr-09
                                                                        WA LTV                                                                                 89.3%         117.1%
                                LTV                                           <70%                                                                             25.3%                    -
                             Buckets                                  [70-80%[                                                                                 12.8%                    -                                                                    Shield                                         Memphis 06
                          (at issue)                              [80-100%[                                                                                    17.5%          19.7%
                                                                 [100-120%[                                                                                    22.1%          78.1%
                                                                                                                                                                                                                                                                  Cumulative losses (% OB)
                                                                 [120-130%]                                                                                    22.4%           2.2%                                      0.10%

                           Vintages                                         <=2000                                                                             45.5%           2.9%                                      0.08%
                           (at issue)                                            2001                                                                           7.3%           4.6%                                      0.06%
                                                                                 2002                                                                          11.3%           7.3%                                      0.04%
                                                                                 2003                                                                           8.8%          16.4%
                                                                                                                                                                                                                         0.02%
                                                                                 2004                                                                          11.3%          30.2%
                                                                                                                                                                                                                         0.00%
                                                                                 2005                                                                          15.9%          38.6%
                                                                                                                                                                                                                                         Apr-06



                                                                                                                                                                                                                                                                           Apr-07



                                                                                                                                                                                                                                                                                                            Apr-08



                                                                                                                                                                                                                                                                                                                                 Apr-09
                                                                                                                                                                                                                                                       Oct-06



                                                                                                                                                                                                                                                                                              Oct-07



                                                                                                                                                                                                                                                                                                                        Oct-08




                                                                                                                                                                                                                                                             Shield                                         Memphis 06



                        Comparables – 90-day+ (% CB)                                                                                                                       Comparables – Cumulative losses (% OB)
                           1.75%                                                                                                                                             0.25%

                           1.50%
                                                                                                                                                                             0.20%
                           1.25%

                           1.00%                                                                                                                                             0.15%

                           0.75%
                                                                                                                                                                             0.10%
                           0.50%
                                                                                                                                                                             0.05%
                           0.25%

                           0.00%                                                                                                                                             0.00%
                                   01-2002
                                             09-2002
                                                       05-2003
                                                                  01-2004
                                                                            09-2004
                                                                                      05-2005
                                                                                                01-2006
                                                                                                          09-2006
                                                                                                                     05-2007
                                                                                                                               01-2008
                                                                                                                                         09-2008
                                                                                                                                                   05-2009




                                                                                                                                                                                     01-2002
                                                                                                                                                                                               09-2002
                                                                                                                                                                                                         05-2003
                                                                                                                                                                                                                    01-2004
                                                                                                                                                                                                                              09-2004
                                                                                                                                                                                                                                        05-2005
                                                                                                                                                                                                                                                   01-2006
                                                                                                                                                                                                                                                                 09-2006
                                                                                                                                                                                                                                                                                    05-2007
                                                                                                                                                                                                                                                                                                  01-2008
                                                                                                                                                                                                                                                                                                             09-2008
                                                                                                                                                                                                                                                                                                                       05-2009




                                                             Fortis deals issued <2006 (13 deals)                                                                                                              Fortis -- Avge deals issued <2006
                                                             Fortis deals from 2006 (12 deals)
                                                                                                                                                                                                               Fortis -- Avge deals issued from 2006
                                                             Shield
                                                                                                                                                                                                               Shield
                                                             Memphis 06
                                                             Memphis 05                                                                                                                                        Memphis 06



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          B.            Shield 1




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            Shield 1 – Forecast CF and valuation



                             The valuation case assumes new credit events at the current rate as well as an increase in loss
                             severity from approx. 12% to 20%. Under these conditions, the level of protection would be
                             sufficient to absorb all losses.

                             –       Principal would be paid in full over the Q2 2012-14 period.

                             Total cash flow amount to EUR 10,535k. Valuation of the 13.3% of the Class F notes owned by EETI
                             is EUR 8,262k at an 8.5% discount rate.




                        (EUR m)

                          Valuation case CF & NPV

                                         NPV (w. accrued)
                                 disc. rate        13.3%
                                        0%        10.535
                                      8.5%          8.262
                                     10.0%          7.924
                                     20.0%          6.050
                                     25.0%          5.317




                        (EUR m unless otherwise indicated)

                          Valuation case forecast and performance

                                       NPV (w. accrued)                      Credit events (net of cured)                               Cum losses
                                      DM          13.3%                               EUR m         % OB                          EUR m      % OB
                                      0%            10.5                 Current         241       1.09%              Current        16      0.07%
                                    8.5%             7.6                Forecast         141       0.64%             Forecast        55      0.25%
                                  10.0%              7.3                   Cum           382       1.74%                Cum          70      0.32%
                                  20.0%              5.6
                                  25.0%              4.9                             Principal repayment              Severity              18.4%
                           Note: valuation date 30/09/09               Sum P rep     % Initital    P Loss
                                                                           60.0       100.0%          0.0

                                   IPDs        Nom BoP      Nom EoP         P Rep                EUR   Coupon   Interest           CF       P Loss
                             20/10/2009           60.0         60.0                            0.94%    7.00%       1.2           1.2          0.0
                             20/01/2010           60.0         60.0                            1.08%    7.00%       1.2           1.2          0.0
                             20/04/2010           60.0         60.0                            0.98%    7.00%       1.2           1.2          0.0
                             20/07/2010           60.0         60.0                            1.11%    7.00%       1.2           1.2          0.0
                             20/10/2010           60.0         60.0                            1.41%    7.00%       1.3           1.3          0.0
                             20/01/2011           60.0         60.0                            1.72%    7.00%       1.3           1.3          0.0
                             20/04/2011           60.0         60.0                            2.07%    7.00%       1.4           1.4          0.0
                             20/07/2011           60.0         60.0                            2.36%    7.00%       1.4           1.4          0.0
                             20/10/2011           60.0         60.0                            2.63%    7.00%       1.4           1.4          0.0
                             20/01/2012           60.0         60.0           -                2.83%    7.00%       1.5           1.5          0.0
                             20/04/2012            60.0         60.0           0.0             2.89%    7.00%       1.5           1.5          0.0
                             20/07/2012            60.0         55.5           4.5             2.99%    7.00%       1.5           6.0          0.0
                             20/10/2012            55.5         29.4          26.1             3.14%    7.00%       1.4          27.5          0.0
                             20/01/2013            29.4         15.3          14.1             3.33%    7.00%       0.8          14.9          0.0
                             20/04/2013            15.3          7.8           7.5             3.51%    7.00%       0.4           7.9          0.0
                             20/07/2013             7.8          3.9           3.9             3.64%    7.00%       0.2           4.1          0.0
                             20/10/2013             3.9          2.0           2.0             3.74%    7.00%       0.1           2.1          0.0
                             20/01/2014             2.0          1.0           1.0             3.80%    7.00%       0.1           1.0          0.0
                             20/04/2014             1.0          0.0           1.0             3.86%    7.00%       0.0           1.0          0.0




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            Shield 1 – Performance summary



                           Valuation case performance


                             Historical and                                                                         Forecast
                                   forecast       0.84%
                              evolution of                                                                            First redemption
                             Credit Events                                O/s CE % CB
                                                  0.63%                                                               date
                                                                          New CE % CB

                                                  0.42%


                                                  0.21%


                                                  0.00%
                                                           Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2
                                                          2006 2006 2007 2007 2008 2008 2009 2009 2010 2010 2011 2011 2012 2012 2013 2013 2014




                             Historical and                                                                         Forecast
                                   forecast       0.42%
                              evolution of                                  Cum losses % OB
                                losses and                                  Gross Loss Reserve
                                 gross loss
                                    reserve       0.21%
                               (threshold)



                                                  0.00%
                                                           Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2   Q4   Q2
                                                          2006 2006 2007 2007 2008 2008 2009 2009 2010 2010 2011 2011 2012 2012 2013 2013 2014




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          C.            Memphis 06-1




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            Memphis 2006 – Forecast CF and valuation



                             The valuation case foresees a rise in outstanding credit events from 1.09% of CB to 1.5% by the first
                             call date, with an increased loss severity from approx. 16% to 20%. Cumulative losses would reach
                             0.60% of OB to be deducted from an available protection of 0.76%.

                             –     Under the valuation case, principal would be paid in full over the Q2 2013-15 period.

                             Total cash flow in the valuation case amount to EUR 6,329k. The 46.6% of Class G notes held by EETI
                             are valued at EUR 4,438k with a discount rate of 8.5%.



                        (EUR m)

                          Valuation case CF & NPV
                                                   NPV w. accrued
                                           disc. rate       46.6%
                                              sum cf        6.329
                                                8.5%        4.438
                                              10.0%         4.179
                                              20.0%         2.856
                                              30.0%         2.024




                          Valuation case summary
                                          Value excl. accrued   Price & cf multiples                              NPV w. accrued                        Principal repayment
                            disc. rate       100%       46.6%       % par     CF x            disc. rate         100%      46.6%            Sum P rep   % Initital    P Loss
                           0% - sum cf       13.6       6.329        154%       1.0x             sum cf                    6.329                 8.8       100%          0.0
                                 8.5%         9.4       4.371        107%       1.4x               8.5%             9.5    4.438
                                10.0%          8.8      4.105        100%       1.5x              10.0%             9.0    4.179                               Cum losses
                                20.0%          5.9      2.757         67%       2.3x              20.0%             6.1    2.856                         EUR m      % OB
                                30.0%          4.1      1.921         47%       3.3x              30.0%             4.3    2.024              Current        4      0.09%
                                                                                           Note: valuation date 30/09/09                     Forecast       20      0.51%
                                                                                                                                                Cum         24      0.60%
                                                                                                                                             Severity               19.3%

                                   IPDs     Nom BoP      Nom EoP       P Rep             EUR Coupon     Interest            CF     P Loss
                             25/10/2009         8.8          8.8                       0.94% 7.50%          0.2           0.2         0.0
                             25/01/2010         8.8          8.8                       1.08% 7.50%          0.2           0.2         0.0
                             25/04/2010         8.8          8.8                       0.98% 7.50%          0.2           0.2         0.0
                             25/07/2010         8.8          8.8                       1.11% 7.50%          0.2           0.2         0.0
                             25/10/2010         8.8          8.8                       1.41% 7.50%          0.2           0.2         0.0
                             25/01/2011         8.8          8.8                       1.72% 7.50%          0.2           0.2         0.0
                             25/04/2011         8.8          8.8                       2.07% 7.50%          0.2           0.2         0.0
                             25/07/2011         8.8          8.8                       2.36% 7.50%          0.2           0.2         0.0
                             25/10/2011         8.8          8.8                       2.63% 7.50%          0.2           0.2         0.0
                             25/01/2012         8.8          8.8                       2.83% 7.50%          0.2           0.2         0.0
                             25/04/2012         8.8          8.8                       2.89% 7.50%          0.2           0.2         0.0
                             25/07/2012         8.8          8.8                       2.99% 7.50%          0.2           0.2         0.0
                             25/10/2012         8.8          8.8                       3.14% 7.50%          0.2           0.2         0.0
                             25/01/2013         8.8          8.8                       3.33% 7.50%          0.2           0.2         0.0
                             25/04/2013         8.8          8.8         -             3.51% 7.50%          0.2           0.2         0.0
                             25/07/2013         8.8          8.8         -             3.64% 7.50%          0.2           0.2         0.0
                             25/10/2013         8.8          8.8         -             3.74% 7.50%          0.2           0.2         0.0
                             25/01/2014         8.8          8.8         -             3.80% 7.50%          0.2           0.2         0.0
                             25/04/2014         8.8          8.8         -             3.86% 7.50%          0.2           0.2         0.0
                             25/07/2014         8.8          8.8         -             3.92% 7.50%          0.3           0.3         0.0
                             25/10/2014         8.8          3.1         5.7           3.99% 7.50%          0.3           6.0         0.0
                             25/01/2015         3.1          -           3.1           4.05% 7.50%          0.1           3.2         0.0
                             25/04/2015         -            -           -             4.11% 7.50%          -             -           0.0




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            Memphis 2006 – Performance summary



                     Valuation case performance

                                                                                                                       Forecast
                       Historical and
                                                      2.00%
                             forecast                                                                                                 First redemption
                        evolution of                  1.50%              O/S CE % CB                                                  date
                       Credit Events                                     New net CE % CB
                                                      1.00%

                                                      0.50%

                                                      0.00%

                                                     -0.50%
                                                               Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2
                                                              2006 2006 2007 2007 2008 2008 2009 2009 2010 2010 2011 2011 2012 2012 2013 2013 2014 2014 2015



                                                                                                                    Forecast
                       Historical and
                                                      1.00%
                             forecast                                                                                                     First
                        evolution of                                                                                                      redemption
                          losses and                  0.75%
                                                                          Cum losses % OB
                           gross loss
                                                                          Gross loss reserve (% OB)
                              reserve                 0.50%
                         (threshold)
                                                      0.25%


                                                      0.00%
                                                               Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2
                                                              2006 2006 2007 2007 2008 2008 2009 2009 2010 2010 2011 2011 2012 2012 2013 2013 2014 2014 2015




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          6             GERMAN BONDS (GEMS & SEMPER 2006)




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          A.            Gems




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            Profile and performance of Provide Gems



                        Key transaction characteristics                                            Collateral performance
                                                                  Units           Gems                                                                          Outstanding Credit Events (%CB)
                                                    Issuer                    Eurohypo                   30.0%
                                                    Rating                                                                                                                 Forecast
                                               Issue date                       04/2002                  25.0%
                                            M since issue                            91                  20.0%
                                            First call date                     03/2011
                                                                                                         15.0%
                                       Final maturity date                      12/2048
                                      Issue amount (OB)         EURm             1,052                   10.0%
                                     Current amount (CB)        EURm                389
                                                                                                         5.0%
                                                                 % OB              37%
                                         Current collateral     EURm                389                  0.0%




                                                                                                                      Sep-02
                                                                                                                                  Sep-04
                                                                                                                                              Sep-06
                                                                                                                                                         Sep-08
                                                                                                                                                                    Sep-10

                                                                                                                                                                               Sep-12
                                                                                                                                                                                          Sep-14
                                                                                                                                                                                                    Sep-16

                                                                                                                                                                                                              Sep-18
                                                                                                                                                                                                                       Sep-20
                                                                                                                                                                                                                                Sep-22
                                                                                                                                                                                                                                         Sep-24
                                                Loan count                      12,130
                                             Avge balance      EURk                32.1
                                            East Germany       % CB                34%
                                     Investment properties                         30%                                                                                        O/S CE % CB
                                    Protection outstanding    EURm                 39.9
                                 Losses to date (cum loss)    EURm                 24.3
                                                                                                                                  Cumulative losses and protection (% OB)
                                          Last year losses    EURm                   3.5
                                 Losses to date (cum loss)      %0B                2.4%                  120
                                         O/s Credit Events     % CB              14.5%                   100                                                                  Forecast
                                           New in last year    % CB                0.5%                      80
                                        Avge loss severity % Loss CE            ~87.0%                       60
                                                    WA LTV                       93.7%                       40
                                 LTV                  <70%                         1.9%                      20
                            Buckets                [70-80%[                      11.1%                   -
                          (at issue)             [80-100%[                       55.3%                   -20
                                               [100-120%[                        31.7%                   -40
                                               [120-130%]                          0.0%                  -60
                                                                                                                  Sep-02

                                                                                                                               Sep-04

                                                                                                                                           Sep-06

                                                                                                                                                       Sep-08

                                                                                                                                                                  Sep-10

                                                                                                                                                                             Sep-12

                                                                                                                                                                                        Sep-14

                                                                                                                                                                                                   Sep-16

                                                                                                                                                                                                             Sep-18

                                                                                                                                                                                                                       Sep-20

                                                                                                                                                                                                                                Sep-22

                                                                                                                                                                                                                                         Sep-24
                           Vintages                   <1990                        1.2%
                           (at issue)         [1990-1995[                          6.2%
                                              [1995-2000[                        61.1%
                                                  [2000-02]                      31.5%                                         Cum loss                                           Treshold & D+E notes




                                                     Downgrades

                                                     Successive downgrades since issue. Current Fitch ratings
                                                     indicated below

                                                                     Class          Initial    Current
                                                                     A+              AAA        AA+
                                                                     A               AAA        AA-
                                                                     B               AA         BBB-
                                                                     C                A          B-
                                                                     D               BBB         C
                                                                     E                BB         C




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            Gems – Fact sheet




                   EETI                            13.1% of the Class C Notes @ EUR 3M + 0.70% (par value of EUR 5,000k)
                   Investment:
                   Securitisation                  Synthetic RMBS – the transaction acts like an insurance against losses on an
                   structure:                      amortising mortgage pool; the only factor affecting principal and interest is the loss
                                                   rate on the pool.
                                                   Losses are deducted from principal once the first loss piece is consumed.


                   Position:                       Mezzanine position, protected by a first loss piece as well as two tranches of rated
                                                   notes. Class C notes, originally rated A, are now rated B-.


                   Principal CF                    New defaults or credit events (90-day+ arrears)
                   drivers:
                                                   Loss severity (historically 80-90%)

                   First loss                      First loss reserve of EUR 20m already entirely consumed by losses.
                   reserve:
                                                   Class D & E notes (total EUR 40m today) act as the first loss.

                   Call:
                                                   The first optional call date has lapsed although the deal had been sold on the
                                                   understanding of an exercise in 3/2009. The issuer can now either:

                                                   –     Call the deal at any quarter. In this case, outstanding credit events would still
                                                         be allowed to wind down and losses would be deducted from the most junior
                                                         notes (E, D and eventually C);

                                                   –     Not exercise the call until clean-up in approx. 2025 or await maturity. In this
                                                         case, losses would similarly be deducted from the notes; however, as the deal
                                                         would survive longer, more credit events and losses would be incurred.

                                                   Commerzbank / Eurohypo’s decision is essentially economic: the outlook of the
                                                   portfolio is poor and the financing of the RMBS is permanent and at a low cost.
                                                   Additionally, the German regulator would not allow the Gems loans to return on
                                                   Commerzbank’s balance sheet without substantial write-downs.

                                                   In that context, incentives for exercising the call appear slim.
                   Other events:
                                                   Commerzbank / Eurohypo is launching a tender offer for part of the Class A and B
                                                   notes. The offer is at a substantial discount to par. The offer does not concern the
                                                   Class C notes held by EETI.

                                                   This offer or its outcome do not change the outlook or mechanism of the transaction.




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            Gems – Forecast CF and valuation



                             Our central assumption is that the transaction will not be called before clean-up, as Commerzbank
                             has little incentive to do so.

                             Given the continued deterioration in performance of the pool, it is near certain that the current
                             credit protection (Class D & E) will be entirely absorbed by losses. With regard to the Class C notes
                             owned by EETI, our assumption is that they will loose 85% of principal.

                             Transaction cash flow essentially consist of an interest strip (EUR 3M + 0.70%) with a residual
                             principal amount (13% of principal) at clean-up.

                             –     Total cash flow amounts to EUR 3,892k.

                             –     Value of the 13.1% of the Class C notes held by EETI is EUR 1,674k.



                        (EUR m)

                          Valuation case CF & NPV
                                   NPV ex-accrued         Price & cf multiples                                    NPV w. accrued
                                     DM    13.16%         % par         CF x                      DM    % par   100%      13.16%
                             0% - sum cf    3.892            78%          1.0x                 sum cf     78%              3.892
                                   8.5%     1.859            37%          2.1x                  8.5%    37.4%    14.2      1.868
                                  10.0%     1.661            33%          2.3x                 10.0%    33.5%    12.7      1.674
                                  20.0%     0.883            18%          4.4x                 20.0%    18.2%     6.9      0.911
                                  30.0%     0.551            11%          7.1x                 30.0%    11.6%     4.4      0.582




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            Gems – Period CF


                        (EUR m unless otherwise indicated)

        Forecast period CF and NPV

           Price without accrued (% stake held by EETI)                                                                                                                                                                              Period CF (100% of class)
                                                                                                                               IPDs Nom EoP         P Rep                      EUR              Coupon                     Interest                               CF    P Loss
                 NPV ex-accrued                        Price & cf multiples                                                01/12/09    38.0           -                      1.00%               0.70%                      0.162                              0.162        0.0
                   DM    13.16%                        % par         CF x                                                  01/03/10    38.0           -                      1.08%               0.70%                      0.169                              0.169        0.0
           0% - sum cf    3.892                           78%          1.0x                                                01/06/10    38.0           -                      0.98%               0.70%                      0.159                              0.159        0.0
                                                                                                                           01/09/10    38.0           -                      1.11%               0.70%                      0.172                              0.172        0.0
                 8.5%     1.859                           37%          2.1x
                                                                                                                           01/12/10    38.0           -                      1.41%               0.70%                      0.201                              0.201        0.0
                10.0%     1.661                           33%          2.3x
                                                                                                                           01/03/11    38.0           -                      1.72%               0.70%                      0.230                              0.230        0.0
                20.0%     0.883                           18%          4.4x                                                01/06/11    38.0           -                      2.07%               0.70%                      0.263                              0.263        0.0
                30.0%     0.551                           11%          7.1x                                                01/03/17    38.0           -                      4.38%               0.70%                      0.483                              0.483        0.0
                                                                                                                           01/06/17    38.0           -                      4.41%               0.70%                      0.485                              0.485        0.0
                                                                                                                           01/09/17    38.0           -                      4.43%               0.70%                      0.487                              0.487        0.0
               Price with accrued (% stake held by EETI)                                                                   01/12/17    38.0           -                      4.45%               0.70%                      0.489                              0.489        0.0
                                                                                                                           01/03/18    37.3           -                      4.47%               0.70%                      0.491                              0.491      (0.7)
                                                                                                                           01/06/18    36.3           -                      4.48%               0.70%                      0.484                              0.484      (1.0)
                                                          NPV w. accrued
                                                                                                                           01/09/18    35.4           -                      4.50%               0.70%                      0.473                              0.473      (1.0)
                            DM                         % par      13.16%
                                                                                                                           01/12/18    34.4           -                      4.53%               0.70%                      0.463                              0.463      (0.9)
                         sum cf                          78%       3.892                                                   01/03/19    33.5           -                      4.56%               0.70%                      0.453                              0.453      (0.9)
                          8.5%                         37.4%       1.868                                                   01/06/19    32.6           -                      4.59%               0.70%                      0.443                              0.443      (0.9)
                         10.0%                         33.5%       1.674                                                   01/09/19    31.7           -                      4.62%               0.70%                      0.434                              0.434      (0.9)
                         20.0%                         18.2%       0.911                                                   01/12/19    30.9           -                      4.66%               0.70%                      0.425                              0.425      (0.9)
                         30.0%                         11.6%       0.582                                                   01/03/20    30.0           -                      4.69%               0.70%                      0.416                              0.416      (0.8)
                                                                                                                           01/06/20    29.2           -                      4.73%               0.70%                      0.408                              0.408      (0.8)
                                                                                                                           01/09/20    28.4           -                      4.76%               0.70%                      0.399                              0.399      (0.8)
                                                                                                                           01/12/20    27.6           -                      4.79%               0.70%                      0.390                              0.390      (0.8)
                          Class C principal (100% of class)                                                                01/03/21    26.8           -                      4.82%               0.70%                      0.381                              0.381      (0.8)
                                                                                                                           01/06/21    26.1           -                      4.85%               0.70%                      0.372                              0.372      (0.8)
                                                 Principal repayment                                                       01/09/21    25.3           -                      4.88%               0.70%                      0.364                              0.364      (0.7)
                          Sum P rep             % Initital     P Loss                                                      01/12/21    24.6           -                      4.90%               0.70%                      0.354                              0.354      (0.7)
                               5.0                  13%         (33.0)                                                     01/03/22    23.9           -                      4.91%               0.70%                      0.345                              0.345      (0.7)
                                                                                                                           01/06/22    23.2           -                      4.93%               0.70%                      0.336                              0.336      (0.7)
                                                                                                                           01/09/22    22.5           -                      4.94%               0.70%                      0.327                              0.327      (0.7)
                                                                                                                           01/12/22    21.9           -                      4.95%               0.70%                      0.318                              0.318      (0.7)
                                                                                                                           01/03/23    21.2           -                      4.95%               0.70%                      0.309                              0.309      (0.6)
                                                                                                                           01/06/23    20.6           -                      4.95%               0.70%                      0.300                              0.300      (0.6)
                                                                                                                           01/09/23    20.0           -                      4.95%               0.70%                      0.291                              0.291      (0.6)
                                                                                                                           01/12/23    19.4           -                      4.95%               0.70%                      0.283                              0.283      (0.6)
                                                                                                                           01/03/24    18.8           -                      4.94%               0.70%                      0.274                              0.274      (0.6)
                                                                                                                           01/06/24    18.3           -                      4.93%               0.70%                      0.265                              0.265      (0.6)
                                                                                                                           01/09/24    17.7           -                      4.92%               0.70%                      0.257                              0.257      (0.6)
                                                                                                                           01/12/24    17.2           -                      4.91%               0.70%                      0.248                              0.248      (0.5)
                                                                                                                           01/03/25    16.6           -                      4.89%               0.70%                      0.240                              0.240      (0.5)
                                                                                                                           01/06/25    16.1           -                      4.87%               0.70%                      0.232                              0.232      (0.5)
                                                                                                                           01/09/25    15.6           -                      4.85%               0.70%                      0.224                              0.224      (0.5)
                                                                                                                           01/12/25    15.2           -                      4.83%               0.70%                      0.216                              0.216      (0.5)
                                                                                                                           01/03/26    14.7           -                      4.81%               0.70%                      0.209                              0.209      (0.5)
                                                                                                                           01/06/26    14.2           -                      4.79%               0.70%                      0.201                              0.201      (0.5)
                                                                                                                           01/09/26    13.8           -                      4.76%               0.70%                      0.194                              0.194      (0.4)
                                                                                                                           01/12/26    13.4           -                      4.74%               0.70%                      0.187                              0.187      (0.4)
                                                                                                                           01/03/27     -             5.0                    4.71%               0.70%                      0.181                              5.167      (8.4)

       Note:     The blue line indicates a series cut of 23 quarters as interest CF are almost identical except for minor EUR 3M variations.

                          Outstanding credit events as % CB                                                                                       Cum. losses and class C credit protection
                             25.0%                                           Forecast                                                                100                                                 Forecast
                                                                                                                                                      80
                             20.0%
                                                                                                                                                      60
                             15.0%                                                                                                                    40
                             10.0%                                                                                                                    20
                                                                                                                                                     -
                              5.0%
                                                                                                                                                     -20
                              0.0%                                                                                                                   -40
                                     Sep-02
                                              Sep-04
                                                        Sep-06
                                                                 Sep-08
                                                                          Sep-10
                                                                                   Sep-12
                                                                                            Sep-14
                                                                                                     Sep-16
                                                                                                              Sep-18
                                                                                                                       Sep-20
                                                                                                                                Sep-22
                                                                                                                                         Sep-24




                                                                                                                                                           Sep-02
                                                                                                                                                                    Sep-04
                                                                                                                                                                              Sep-06
                                                                                                                                                                                       Sep-08
                                                                                                                                                                                                Sep-10
                                                                                                                                                                                                         Sep-12
                                                                                                                                                                                                                  Sep-14
                                                                                                                                                                                                                           Sep-16
                                                                                                                                                                                                                                    Sep-18
                                                                                                                                                                                                                                             Sep-20
                                                                                                                                                                                                                                                      Sep-22
                                                                                                                                                                                                                                                               Sep-24




                                                                                                                                                                      Cum loss                             Treshold & D+E notes




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          B.            Semper 06




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            Semper 06 – Fact sheet




                   EETI                            33.3% of the Class G Notes @ EUR 3M + 8.00% (par value of EUR 6,700k)
                   Investment:
                                                   The Class G notes are structured outside of Semper 06-1 as a credit-linked note with
                                                   Commmerzbank, replicating all terms and conditions of the transaction. These notes
                                                   are a re-tranching of the original first loss piece of EUR 25m
                   Securitisation                  Synthetic RMBS – The only factor affecting principal and interest is the loss rate upon
                   structure:                      foreclosure of defaulted loans in the pool.
                                                   Losses are deducted from principal once the first loss piece is consumed.


                   Position:                       Second loss position with a first loss of EUR 5m

                   Principal CF                    New defaults or credit events (90-day+ arrears)
                   drivers:
                                                   Loss severity

                   Call:                           The first optional call date is in Q1 2015. The notes would then be redeemed at
                                                   their par value less principal losses
                                                   As with Gems, Commerzbank has no obligation to exercise the call

                   Collateral:                     Unlike the other transactions, Semper is comprised of loans to multi-family housing
                                                   associations, private and municipal, in East Germany.
                                                   As such, the transaction includes higher concentrations than an RMBS, with the top
                                                   10 borrowers representing 36% of the balance at issue.
                                                   Historical losses of multi-family loans have been very low. The main risk however is
                                                   that a significant borrower defaults, triggering potentially substantial losses.




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            Semper 06 – Forecast CF and valuation



                             The transaction has performed very well to date, with no credit events outstanding and a more
                             rapid reduction in current balance than anticipated.

                             At this point, our central assumption is that the transaction will repay principal and interest at the
                             first optional call date.

                             –      We have no reason to believe that collateral performance will deteriorate or that the first loss
                                    amount will be fully absorbed. These assumptions will be confirmed at our next visit to the
                                    originator.

                             –      If the collateral performs as forecast, Commerzbank would in our opinion have a strong
                                    incentive to exercise the call in order to reduce the cost of protection.

                             Total cash flow for the 33.3% interest owned by EETI is EUR 10,649k; valuation of the bonds at a
                             10.0% discount rate is EUR 6,958k.


                             (EUR m unless otherwise indicated)
                              Forecast period CF and NPV

                                                          Price without accrued                Price with accrued         Class G principal (for 100%)

                                       NPV ex-accrued        Price & cf multiples                  NPV w. accrued                  Principal repayment
                                         DM     33.5%            % par     CF x                   DM        33.5%      Sum P rep   % Initital    P Loss
                                 0% - sum cf   10.649             159%       1.0x              sum cf      10.649          20.0       100%          0.0
                                       8.5%     7.387             110%       1.4x               8.5%        7.387
                                      10.0%     6.958             104%       1.5x              10.0%        6.958
                                      20.0%     4.825              72%       2.2x              20.0%        4.825
                                      30.0%     3.522              53%       3.0x              30.0%        3.522

                                                                                                                         Period CF (for 100% of class)
                                                           IPDs      Nom BoP         P Rep          EUR Coupon      Interest          CF        P Loss
                                                     30/12/2009         20.0                      0.71% 8.00%           0.4          0.4
                                                     30/03/2010         20.0                      1.08% 8.00%           0.5          0.5
                                                     30/06/2010         20.0                      0.98% 8.00%           0.4          0.4
                                                     30/09/2010         20.0                      1.11% 8.00%           0.5          0.5
                                                     30/12/2010         20.0                      1.41% 8.00%           0.5          0.5
                                                     30/03/2011         20.0                      1.72% 8.00%           0.5          0.5
                                                     30/06/2011         20.0                      2.07% 8.00%           0.5          0.5
                                                     30/09/2011         20.0                      2.36% 8.00%           0.5          0.5
                                                     30/12/2011         20.0                      2.63% 8.00%           0.5          0.5
                                                     30/03/2012         20.0                      2.83% 8.00%           0.5          0.5
                                                     30/06/2012         20.0                      2.89% 8.00%           0.5          0.5
                                                     30/09/2012         20.0                      2.99% 8.00%           0.5          0.5
                                                     30/12/2012         20.0                      3.14% 8.00%           0.6          0.6
                                                     30/03/2013         20.0                      3.33% 8.00%           0.6          0.6
                                                     30/06/2013         20.0                      3.51% 8.00%           0.6          0.6
                                                     30/09/2013         20.0                      3.64% 8.00%           0.6          0.6
                                                     30/12/2013         20.0                      3.74% 8.00%           0.6          0.6
                                                     30/03/2014         20.0                      3.80% 8.00%           0.6          0.6
                                                     30/06/2014         20.0                      3.86% 8.00%           0.6          0.6
                                                     30/09/2014         20.0                      3.92% 8.00%           0.6          0.6
                                                     30/12/2014         20.0                      3.99% 8.00%           0.6          0.6
                                                     30/03/2015         20.0          20.0        4.05% 8.00%           0.6         20.6




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            APPENDIX




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            Euribor 3M assumption



                             3-month Euribor, which drives most interest receipts and payments in the transactions, is assumed
                             to follow the current forward curve depicted below.



                        3-month Euribor forward
                           6.00%

                           5.00%

                           4.00%

                           3.00%

                           2.00%

                           1.00%

                           0.00%
                                   Sep-09

                                            Sep-10

                                                     Sep-11

                                                              Sep-12

                                                                       Sep-13

                                                                                Sep-14

                                                                                         Sep-15

                                                                                                  Sep-16

                                                                                                           Sep-17

                                                                                                                    Sep-18

                                                                                                                             Sep-19

                                                                                                                                      Sep-20

                                                                                                                                               Sep-21

                                                                                                                                                        Sep-22

                                                                                                                                                                 Sep-23

                                                                                                                                                                          Sep-24

                                                                                                                                                                                   Sep-25

                                                                                                                                                                                            Sep-26

                                                                                                                                                                                                     Sep-27

                                                                                                                                                                                                              Sep-28

                                                                                                                                                                                                                       Sep-29




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