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www.HL.com U.S. 800.788.5300 Europe +44.20.7839.3355 Hong Kong +852.3551.2300 Japan +81.3.4577.6000 Los Angeles New York Chicago San Francisco Minneapolis Washington, D.C. Dallas Atlanta London Paris Frankfurt Hong Kong Tokyo Beijing EMAC NL 2004-I Investor Meeting March 13, 2012 Confidential This presentation was prepared by CMIS Nederland B.V. In relation to a meeting for which it invited holders of Notes issued by the Issuer. The Issuer has not authorised the contents of the presentation nor was it involved in convening such meeting. Consequently, the Issuer does not necessarily share any of the opinions and/or statements made during such meeting and/or in such presentation and does not accept any responsibility for the contents thereof.
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Page 1: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

w w w . H L . c o m U . S . 8 0 0 . 7 8 8 . 5 3 0 0 E u r o p e + 4 4 . 2 0 . 7 8 3 9 . 3 3 5 5 H o n g K o n g + 8 5 2 . 3 5 5 1 . 2 3 0 0 J a p a n + 8 1 . 3 . 4 5 7 7 . 6 0 0 0

Los Angeles • New York • Chicago • San Francisco • Minneapol is • Washington, D.C. • Dal las • At lanta • London • Paris • Frankfurt • Hong Kong • Tokyo • Bei j ing

EMAC NL 2004-I Investor Meeting March 13, 2012

Confidential

This presentation was prepared by CMIS Nederland

B.V. In relation to a meeting for which it invited holders

of Notes issued by the Issuer. The Issuer has not

authorised the contents of the presentation nor was it

involved in convening such meeting. Consequently, the

Issuer does not necessarily share any of the opinions

and/or statements made during such meeting and/or in

such presentation and does not accept any

responsibility for the contents thereof.

Page 2: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Table of Contents

Page

Introduction 3

EMAC NL 2004-I Deal Performance 7

EMAC NL 2004-I Strategies

Promote Prepayments 10

Collateral Sale Program 16

Comparison of Strategies 20

Next Steps 22

EMAC 2004-I Investor

Meeting

1

Page 3: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Disclaimer EMAC 2004-I Investor

Meeting

2

This confidential presentation (the “Materials”) has been prepared by Houlihan Lokey (Europe) Limited (“Houlihan Lokey”) in its capacity as

financial adviser to CMIS Nederland (“CNBV”). These Materials are for discussion purposes only and are not authorised to be used for any

other purpose.

These Materials are confidential and solely for the information of EMAC 2004-I Noteholders. These Materials are confidential and may not

be photocopied, reproduced or distributed to any other person at any time. If any person receives this document in breach of these

restrictions then it should be immediately returned to Houlihan Lokey. Houlihan Lokey retains the right to request the return of this document

at any time.

IF YOU HAVE RECEIVED THESE MATERIALS IN ERROR, PLEASE RETURN THEM TO HOULIHAN LOKEY.

Houlihan Lokey has not independently verified any of the information contained herein. In preparation of these Materials, save where

expressly otherwise agreed in writing by Houlihan Lokey, reliance has been placed on the accuracy and completeness of all information on

which they are based. No person makes any representation, warranty or guarantee of any kind, express or implied, as to the accuracy,

completeness or reasonableness of the information contained herein or any other written or oral communication transmitted or made

available to any person. Houlihan Lokey and its respective affiliates and the directors, officers, partners, advisors and employees of each

such person expressly disclaim any and all liability based on or arising from, in whole or in part, such information or communication, or

errors therein or omissions therefrom, save as may otherwise expressly be agreed in writing by Houlihan Lokey.

These Materials are not intended, and should not be construed, to be investment advice of any kind recommending any course of action.

Furthermore, these Materials shall not be considered as tax or accounting advice nor do they form part of any offer for purchase, sale or

subscription of or solicitation or invitation of any offer to buy, sell or to subscribe for any securities or other financial instruments.

Except as otherwise noted, these Materials speak as of the date noted herein. The delivery of these Materials should not create any

implication that there has been no change in information on which these Materials are based since such date. No person undertakes any

obligation to update any of the information contained herein or to correct any errors which may become apparent. These Materials are

based on business, general economic, market and other conditions that reasonably could be evaluated by Houlihan Lokey as of the date

specified herein.

Page 4: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Introduction

Page 5: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Overview of Servicer

Origin & History of Servicer:

CMIS Nederland BV, “CNBV” (originally GMAC RFC Nederland BV) was established in 2000

From 2000 till 2008 the business focus was origination and servicing of mortgage loans

Since 2010 the governance structure changed:

Ally Bank (formerly GMAC LLC in the US) sold CNBV to a new shareholder, a financial

investor

CNBV is a stand alone operating company

Currently €6BN of residential mortgage loans under management

Introduction

4

2000

2011

CNBV

(original trade name: GMAC

Hypotheken)

2004

Special servicing in-house

2005

Mid- and back office activities

in-house

2010

Sale by Ally Bank (formerly

GMAC in the United States)

Services Approx €6 Billion of Mortgage Loans

Page 6: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Upcoming Put Dates Introduction

5

Cumulative EMAC Put Values by Year Deal Put Date

E-MAC 2004-I 26/04/2011

E-MAC 2008-I 26/04/2011

E-MAC 2008-IV 25/10/2011

E-MAC 2004-II 25/01/2012

E-MAC 2005-I 25/07/2012

E-MAC 2008-II* 25/10/2012

E-MAC 2005-III 25/01/2013

E-MAC 2006-II 25/07/2013

E-MAC 2006-III 25/10/2013

E-MAC 2007-I 25/01/2014

E-MAC 2005 NHG-II 25/04/2014

E-MAC 2007-IV 27/10/2014

E-MAC 2007-III 27/07/2015

E-MAC 2006 NHG-I 25/07/2018

E-MAC 2007 NHG-II 25/07/2019

E-MAC 2007 NHG-V 25/10/2019

* For all classes other than the A1 Notes, the A1 put date was July 26, 2010.

Source: www.emacinvestors.com

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

EU

R B

illion

s

Put Amount From €500 Million in 2012 to Nearly €5 Billion in 2014

Page 7: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Recent Analyst Coverage (RBS) Introduction

6

Highlights of RBS EMAC Program Coverage (8 February, 2012):

RBS notes that divergent views of the litigation risk have lead to different voting outcomes by the 2004-1 and 2008-1

EMACs, potentially impacting all Dutch EMAC deals.

Within the 2004-1 structure, different classes have different legal rights and interests as reflected in their voting.

This adds to the legal uncertainty for all classes unless an agreement is reached

Notably:

Different legal views exist on the interpretation of the MPT provider obligations

Resolution of legal outcomes is likely many years away

RBS’s key point is that even with a result favoring the note holders

MPT provider’s limited assets provide little benefit when weighed against the EUR 6bn of Noteholders

Noteholders may also unintentionally impair their positions, by causing the MPT provider, also the Servicer, to file

for insolvency and ultimately be replaced, increasing servicing costs and hinder servicing performance

In conclusion, maximising Noteholder value is not litigation

Legal Action With Uncertain Outcome Will Take 7 to 10 Years

Page 8: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

EMAC NL 2004-I Deal Performance

Page 9: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Collateral Performance EMAC NL 2004-I Deal

Performance

8

-

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1 7 13 19 25 31 37 43 49 55 61 67 73 79

Delinquency

60

+ %

of

CB

Months Since Closing

1997-2004 2005 2006 2007 2008 Index

Moody’s Dutch RMBS – 60+ Arrears by Issuer 3 Moody’s Dutch RMBS – 60+ Arrears by Vintage 3

* 60+ days delinquencies

1. Source: Bloomberg

2. Source: EMAC Investor Reports

3. Source: Moody’s Dutch Prime and NHG RMBS report dated Feb. 23, 2012.

EMAC 2004-1 Arrears 2 European Arrears by Country 1

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11

% o

f C

urr

ent

Bala

nce

31 - 60 days 61 - 90 days 91-120 days 120+ days Total Arrears

-

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2005.12 2006.12 2007.12 2008.12 2009.12 2010.12 2011.12

Delinquency

60

+ %

of

CB

Arena (Delta Lloyd) Dolphin (Fortis/ABN AMRO) Candide (Bank of Scotland)

Eleven Cities (Friesland Bank) E-MAC NL Hermes (SNS Bank)

Storm (Obvion/Rabo)

-0.50%

0.50%

1.50%

2.50%

3.50%

Delinquency (90+ Days) Cumulative Defaults

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Delinquency (90+ Days) Cumulative Defaults

-0.50%

0.50%

1.50%

2.50%

3.50%

Delinquency (90+ Days) Cumulative Defaults

Page 10: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

CPR of EMAC’s EMAC NL 2004-I Deal

Performance

9

CPR Rates for the EMAC are amongst the highest for comparable deals

EMAC 2004-I Collateral Quarterly CPR and Collateral for all Dutch non-NHG EMACs 2

CPR Since Inception Comparison 1

* Calculated per Bloomberg figures

1. Source: Bloomberg

2. Source: EMAC Investor Reports

-

100

200

300

400

500

600

700

800

2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3

EU

R in

Million

s Collateral Balance

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

-

1.0

2.0

3.0

4.0

5.0

6.0

Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12

Eu

ro in

Billion

s

Collateral CPR

6.9%7.7%

11.3% 11.4%12.1% 12.2%

12.9% 12.9%

0.0%

4.0%

8.0%

12.0%

16.0%

STORM 2005 CIT11 2* EMAC 2004-II HERMES 8* EMAC 2004-I Dutch XII DMPL III ARENA 2004-II

Page 11: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

EMAC NL 2004-I Strategies

Promote Prepayments

Page 12: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Dutch Housing Market and CPR Considerations Promote Prepayments

11

Property market Deteriorating:

House prices continue to decline

Time to sell a property increased to more than 1.5 years

Increase of 40% of auctions (2011 vs 2010)

CBS - Housing Prices Index

Source: CBS

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

200,000

210,000

220,000

230,000

240,000

250,000

260,000

270,000

2004 Jan 2005 Jan 2006 Jan 2007 Jan 2008 Jan 2009 Jan 2010 Jan 2011 Jan 2012 Jan

Average House Price (in Euros) HPA % yoy

Mortgage market

Tighter underwriting criteria since August 2011

2012 Production Expectation 40 billion vs 120 billion in 2008

Low rate environment but high mortgage rates (margin increase)

Market CPR Bound to Go Down

Page 13: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

EMAC NL 2004-I Resets in Upcoming Years Promote Prepayments

12 Source: EMAC 2004-I January 25, 2012 Investor Report

Outstanding Notes Assuming Loans Move Away at Reset

-

50

100

150

200

250

300

Current 2012 2013 2014 2015 2016 2017 2018 2019 2020+

Mil

lions

2004-1 Will Have Resets on ≈ 50% of Portfolio by 2014

Page 14: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Reset Rates versus Market Promote Prepayments

13

Reset Rates

Pricing currently at high end of the market

Short term rates relatively high

Add-on set at origination per product / risk category

Comparable Rates

Source: www.hypotheekrente.nl (rates of 40 lenders in Dutch market)

Standard 125% LTFV Standard NHG

Page 15: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Active Approach Towards Borrowers Promote Prepayments

14

Partial prepayments from savings / capital insurance policies

Borrowers could be actively approached to go from interest-only to annuity at reset

Borrowers could be actively approached to use savings for repayment:

The portfolio has approx. 18% of Investment or Life policies backing the loans

Savings independent of the mortgage loans

Refinancing with other FI’s

Actively approach borrowers to refinance to other FI’s

Provide borrower details to other FI

Borrower approval required for providing their information to other party

Appetite other FI’s in Dutch market would have to be investigated

Active lenders are Rabo, ABN AMRO, Obvion, Aegon, Delta Lloyd, ING, and SNS

Active Approach May Shorten Average Life Significantly

Page 16: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Discount Refinancing Promote Prepayments

15

Experience

In the past three years CNBV has conducted a number of successful refinancing programs on whole loan portfolio clients

Latest program offered up to a 3% discount to borrowers to their outstanding loan amount if they successfully refinanced their loans

Latest program achieved a 15% borrower participation rate over a 4-5 months period

E- MAC 2004-I Potential Strategy

CNBV would actively approach borrower to manage a Discount Refinancing Strategy to the borrowers

Subject to Noteholder approval on:

Discount

Swap breakage cost

Allocation across all Classes of Notes

Minimal Discount May Get up to 15% Success Rate

Page 17: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

EMAC NL 2004-I Strategies

Collateral Sale Program

Page 18: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Sale Efforts Collateral Sale

Program

17

Since inception, solicitation of indications of interest to purchase the mortgage pool has been conducted by CNBV through its Financial

Advisor, Houlihan Lokey

Houlihan Lokey approached a Diverse Group of Market Participants for Sale Opportunities

Parties have been revisited to re-gauge their interest for the mortgage loan pools and hedge positions owned by E-MAC 2004-I. In

addition to these 32 parties, Houlihan Lokey contacted 16 new parties, including banks and funds located in the Middle East and Asia, to

expand the universe of potential bidders even further.

Indicative pricing of 70% to 90% of par, excluding the unwind cost of the Hedging Agreements, which approximates 8.1% of the collateral

value at present

Inception to January 2012

Type of Institution Parties Approached Indications of

Interest

Range of

Indications of

Interest (% of par)

excluding swap

cost

Banks 29 2 80-90

Hedge Funds 13 2 70-82

Insurance 3 0 N/A

Pension Funds 3 0 N/A

Total 48 4 70-90

Overview of Bid Process on Collateral Sale of E-MAC NL 2004-I

Diversified Global and Local Investors Bid Collateral Significantly Below Par

Page 19: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Scenario Analysis of Different Recovery Splits Collateral Sale

Program

18

Recovery Overview:

Swap termination cost is 8.1% of the collateral value, due to the inability of timing the optimal unwind

Noteholder sale commitment is expected to spark interest and more competitive bidding

Collateral is eligible for LTRO which may improve bidding in a sales process

E-MAC NL 2004-I B.V.

Portfolio per January 25, 2012

Collateral balance 289,762,974

Swap Cost to Noteholders 23,500,000

Gross Price of 85.0%, net price 78.3% Compromise Gross Price of 90.0%, net price 83.3% Compromise

Class Original Current Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario

A 763,000,000 263,104,781 86.2% 74.5% 78.6% 77.2% 77.9% 91.7% 80.1% 84.1% 82.1% 83.1%

B 17,500,000 12,749,571 0.0% 100.0% 75.0% 77.2% 76.1% 0.0% 100.0% 75.0% 82.1% 78.6%

C 12,000,000 8,692,889 0.0% 100.0% 65.0% 77.2% 71.1% 0.0% 100.0% 65.0% 82.1% 73.6%

D 7,500,000 5,215,734 0.0% 100.0% 55.0% 77.2% 66.1% 0.0% 100.0% 55.0% 82.1% 68.6%

E 4,000,000 4,000,000 0.0% 100.0% 50.0% 77.2% 63.6% 0.0% 100.0% 50.0% 82.1% 66.1%

Total 804,000,000 293,762,974

Repaid Including Repaid Principal Compromise Including Repaid Principal Compromise

Class Principal Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario

A 499,895,219 95.2% 91.2% 92.6% 92.1% 92.4% 97.1% 93.1% 94.5% 93.8% 94.2%

B 4,750,429 27.1% 100.0% 81.8% 83.4% 82.6% 27.1% 100.0% 81.8% 87.0% 84.4%

C 3,307,112 27.6% 100.0% 74.6% 83.5% 79.1% 27.6% 100.0% 74.6% 87.1% 80.9%

D 2,284,267 30.5% 100.0% 68.7% 84.1% 76.4% 30.5% 100.0% 68.7% 87.6% 78.1%

E - 0.0% 100.0% 50.0% 77.2% 63.6% 0.0% 100.0% 50.0% 82.1% 66.1%

Total 510,237,026

Scenario 1 - Pay 100% to Class A Noteholders

Scenario 2 - Pay 100% to Subordinated Noteholders and remaining proceeds to Class A

Scenario 3 - Pay 75%, 65%, 55%, 50% to each respective subordinated class of notes

Scenario 4- Liquidate collateral and allocate recovery pari pasu

Page 20: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Scenario Analysis of Different Recovery Splits Collateral Sale

Program

19

Scenario 4 – Price 85% Scenario 4 – Price 90%

Scenario 3 – Price 85% Scenario 3 – Price 90%

78.6% 75.0%65.0%

55.0% 50.0%

14.0%

6.8%

9.6%

13.7%

92.6%

81.8%

74.6%68.7%

50.0%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

A B C D E

84.1%75.0%

65.0%55.0% 50.0%

10.4%

6.8%

9.6%

13.7%

94.5%

81.8%

74.6%68.7%

50.0%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

A B C D E

77.2% 77.2% 77.2% 77.2% 77.2%

14.9%6.2% 6.3% 6.9%

92.1%

83.4% 83.5% 84.1%

77.2%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

A B C D E

82.1% 82.1% 82.1% 82.1% 82.1%

11.7%4.8% 4.9% 5.4%

93.8%

87.0% 87.1% 87.6%82.1%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

A B C D E

78.1% 80.0%70.0%

60.0%50.0%

14.4% 5.4%

8.3%

12.2%

92.4%

85.4%

78.3%72.2%

50.0%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

A B C D E

Recovery on Balance Outstanding Incremental Recovery Relative to Original Balance

Page 21: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Comparison of Strategies

Page 22: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Comparison and Consideration Comparison of

Strategies

21

Strategy Benefits Approval

Required

Execution

Speed

Expected

Repayment

Swap Termination

Cost

Weighted

Average Life

Other Considerations (Other than

execution costs)

Status Quo Full recovery expected None Very

Slow

100% None 9 years Risk of market deterioration borne

by investors

Active Borrower

Approach

Active approach at reset

dates

Yes Slow 92% – 98% Yes if prepayment

is outside of reset

date

Potentially

much lower

than 9 years

Can induce quality borrowers to

leave causing ratings agency

concern

Discount Re-

Financing

Relatively short execution

time in case of campaign

Super

Majority of

each

Noteholder

class

Medium 90% Yes Potentially

much lower

than 9 years

Can induce quality borrowers to

leave causing ratings agency

concern

Collateral Sale

(Full)

Quick process

Only solution to terminate

entire deal

Super

Majority of

each

Noteholder

class

Six

months

78% - 83% Yes Not

applicable

Decision to sell and LTRO may

increase bids

Collateral Sale

(Partial)

Individual Class A

Noteholders may elect to

sell pro-rata collateral and

to be paid out of proceeds

Note-

holders

electing to

sell

Six

months

78% – 83% Yes Not

applicable

Discount on sale of collateral 17-

22% to be borne by individual

Noteholders electing to sell

Collateral needs to be selected at

random in order to keep remaining

collateral at same quality levels

CNBV to Focus on Maximising Noteholder & Collateral Value Instead of Legal Proceedings

Page 23: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Next Steps

Page 24: EMAC 2004-I Investor Meeting · 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3 s Collateral Balance 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%- ... Partial prepayments

Next Steps Next Steps

23

Obtain super-majority approval all note classes

CNBV to sell collateral:

Noteholder agreement to a reserve/floor price level

Allocation of proceeds to Class A to E upon sale of portfolio

Timing of sale process

Approval of Noteholders electing to vote for a partial sale (if

applicable)

Approval for the Prepayment Strategies as outlined:

Setting reset rates appropriately in conformity with statutory

and regulatory requirements

Active borrower approach to partially prepay with savings

and/or with insurance policy proceeds

Active borrower approach to encourage prepayment with

other FI’s around reset

Discount refinancing

Two alternatives to quid pro quo

Precedent Solution: clarify documentation that put mechanism is a

best efforts obligation to which CNBV can only be held if the proceeds

of a sale, refinancing or re-securitisation are sufficient to pay for the

nominal bond amount and swap termination costs

Noteholders have the advantage that years of litigation are no

longer providing uncertainty. Even if court decides it is a hard

obligation, uncertainty remains whether such court also decides

CNBV has to pay (as it results in insolvency without there being

damages). See Security Trustee Report including appendices.

Substantial legal costs no longer need to be incurred (ultimately

paid by Noteholders)

Less uncertainty and costs is likely to result in higher bond values

and liquidity

In any event there is no money to honour the puts as long as there

are no prospects for a sale or refinancing of the portfolio/swap at

par

Individual Solution: Put legal action on hold for 5 years

Will also allow focus at maximising value for Noteholders

Other deals may hinder this focus at future put dates on other

transactions where precedent solution is likely to lead to similar

resolutions on other emac deals.


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