IFLR - European Capital Markets Forum

London, 26 April 2012

Strictly confidential

Focus on Middle East secured financing

2

Executive summaryWe welcome the opportunity to present you with a summary of secured products and how this could be applicable for middle east issuers During today’s conference, we would like to focus on:

– A review of the current status of the European ABS market with current benefits of the secured funding instruments as well as what still concerns investors

– A summary of middle east secured transactions, with focus on their performance of selected deals issued by receivables originated in the Emirates of Dubai

– Key structural features investors are focusing on when analysing esoteric ABS

– Q&A

Section 1

Review of the 2011 ABS market—some sign of comfort and stability …

4

Key themes 20112011 has been an eventful year. Eurozone crisis and the resulting market turmoil caused a general widening of spreads

2011 has seen a diversification in asset classes with RMBS market share shrinking. Investors look to short dated assets such as auto loans or credit cards and more corporate styles credits such as infrastructure securitisation– shift has led to smaller RMBS originators structuring short dated “fast pay” tranches in order to manage

extension risk

The UK RMBS sector has also seen increased diversification of originators . A number of smaller building societies accessed the market in the first half of the year, investors welcoming the diversification away from the “usual suspects

US$ demand for ABS and RMBS has been increasing throughout the year. During the second half the year demand for US$ denominated bonds increased to account for 47.2% of total public issuance compared with just 28.0% in the first half. This large shift has been primarily a result of:– larger investor base in the United States for ABS products– unattractive Euro basis swap led the largest UK issuers to avoid the Euro market if they could– attractive relative value of UK prime RMBS for US$ investors who would be required to invest in BBB rated

domestic ABS in order to achieve similar returns

European banks continue to structure and retain ABS as a source of collateral to obtain funding by way repo and structured funding transaction

Largest provider of financing remains ECB through its long term repo operations (“LTRO”)– ECB announcement of a 3-year LTRO led to a flurry of new retained transactions, backed by SMEs and

residential mortgages, in order to be pledged to the facility and accessed the more “relaxed” eligibility criteria (single “A” for certain assets)

1 Asset and issuer diversification

2 Growing US$ demand for RMBS and ABS

3 Retained funding

5

In total: circa EUR346.1 billion ABS Issuance with EUR84.8 billion placed with investors RMBS, predominantly from the UK and the Netherlands, leads issuance Other asset classes such as car loans, infra/utility loans and credit cards increase their market

shares Of public issuance 45% of issuance denominated in EUR, 25% in GBP and 28% in US$. Picture is

split between first and second half of the year with US$ accounting for 47.2% of issuance in H2

European ABS market 2011 overviewThe ABS market has seen a steady year with an increase in the proportion of publically placed bondsKey Facts for H1 2011

2010—Total public issuance €86.3bn

2011—Total public issuance €84.8bn

Source: Concept ABS, Bloomberg

Retained74.6%

Public25.4%

Netherlands 14.0%

Germany 9.2%

UK 60.7%

Spain 5.4%

Italy 2.7%

Other8.1%

CMBS 2.1%Credit Cards 7.2%

Infra & Utility10.1%

Auto16.8%

RMBS57.8%

Other5.9%

Public22.7%

Retained77.3%

UK49.5%

Netherlands29.0%

Germany 8.6%

Belgium 6.3%Italy 3.1%

Other3.5%

RMBS72.1%Auto 8.4%

Infrastructure 3.9%Credit Cards 3.3%

Utility 3.3%CLO 3.0%

CMBS 3.7%Other 2.4%

6

2012—YTD ABS performanceA review of 2012 YTD—April 2012

While issuance YTD is below expected volumes (some €24.1bn) heading to a full year number of apx €72.3bn (some 14% below 2011), we have seen a diverse number of transactions getting executed in the ABS market

The UK has been the dominant market with a series of GBP denominated auto loans and auto leases as well as the more traditional UK RMBS transactions

In addition to that, the market has registered fewer Dutch securitisations than expected (some 8.61%), mostly privately placed: an exception to this trend, has been the 144A proposed transaction for Aegon intending to distribute the first $ Dutch RMBS in the US$ market since 2007

A rare Swiss asset securitisation (CHF denominated) was issued in March 2012 by GE Money Bank:

Furthermore, a series of infrastructure secured transactions have been executed in 2012, switching the traditional bank loan market (typical funding tool for greenfield and brownfield) to the bond market, where insurances and pension funds have expressed their intention to further increase their appetite: YTD some €7bn have been issued in this field

While there have not been any Southern European ABS transactions placed in 2012 yet ( in 2011 we had an handful number of Italian and Spanish deals), a selected number of investors have expressed their interest in evaluating ABS investments into short dated paper (e.g. auto loan/leases) even in the more “distressed” countries), with no or li limited tale/extension risk

Volumes of public and privately placed European ABS

Source: UBS

Source: UBS

Country of origination: 2011 vs. 2012v YTD (€24.1bn)

Source: UBS

-

2

4

6

8

10

12

Jan

-11

Feb

-11

Mar-

11

Ap

r-1

1

May-1

1

Jun

-11

Jul-

11

Au

g-1

1

Sep

-11

Oct

-11

Nov-1

1

Dec-

11

Jan

-12

Feb

-12

Mar-

12

Ap

r-1

2

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

60

.70

%

14

.00

%

9.2

0%

0.0

0%

0.0

0%

2.7

0%

80

.00

%

8.6

1%

6.7

3%

2.0

5%

2.6

1%

0.9

2%

UK NetherlandsGermany Multi Other Italy2011 2012

(bn

)

7

ABS Fixed rate market

ABS secondary market

ABS was relatively stable through 2011 however spreads widened in H2 following the moves seen earlier in the year in other markets

Auto loans performed best with little movement as demand for short dated collateral remaining high

Fixed rate markets spread moved wider over the course of the year in line with general credit markets as a result of the Eurozone crisis

Source: UBS Delta 2011-2

Source: UBS Delta 2011-2

Floating Rate ABS Spreads

UK AAA RMBS NTL AAA RMBS ITA AAA RMBS EU Autos (3yr) UK £ AAA CMBS

750

Apr-11 Jul-11 Oct-11 Jan-12 Apr-12Dis

cou

nt

Marg

in (

bp

s)0

150

300

450

600

GBP Corporate, Real Estate & WBS

iBoxx GBP Housing Associations iBoxx GBP Industrial Goods & Services

iBoxx GBP Utilities iBoxx GBP Whole Business Securitized

AS

W (

bp

s)

100

150

200

250

300

Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

Section 2

What about covered bonds?

9

Review of 2011 covered bond supplySome € [310]bn were placed in 2011 with a rating of AAA 95%, and a AA rating 5% issuedGlobal Covered Bond volumes European FIG funding overview

Source: Dealogic; all currencies Source: Bond Radar; public benchmarks

Source: UBS Syndicate

Euro supply overview in 2011(by deal nationality)

Euro supply overview in 2011(by maturity)

Source: UBS Syndicate

Senior unsecured

38.5%

Covered bonds46.0%

Asset backed12.0%

Subordinated3.0%

Government guarantee

0.5%

Sweden8.0%

Netherlands6.0%

France24.0%

Italy13.0%

Spain12.0%

Germany11.0%

UK11.0%

Norway4.5%

Belgium2.3%

Austria1.8%

Switzerland1.8%

Denmark1.7%

Finland1.5%

New Zealand0.9%

2 years 7%

5 years35%

10 years22%

3 years17%

7 years8%

4 years6%

12 years5%

0

50

100

150

200

250

300

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Section 3

State of play ME capital markets

1111

GCC secondary market update

GCC sovereign CDS performance

Market sentiment towards the Middle East has continued to improve in the early part of 2012, despite ongoing concerns around political instability in Iran and Syria. Investor confidence has been bolstered by the progress of regional corporate restructurings and the strong performance of recent new issues

In comparison to other developing markets such as Asia and Latin America, new issuance from the GCC remained relatively light for most of 2011, picking up significantly only towards the end of the year and the start of this year. Transactions are being priced mainly by more established issuers (e.g. the top-rated banks) and sovereign/quasi-sovereign entities. Recent Sukuk issues have also performed very strongly, due to the continued scarcity of the asset class

Demand for regional assets, not only in USD but also in CHF, EUR and GBP, has remained robust, as evidenced by the heavily oversubscribed orderbooks on most transactions. We expect appetite to remain strong for new issues, given the relatively light pipeline forecast

Market conditions remain volatile, but recent new issues have been well received

Recent GCC new issue performance

Source: UBS, as of 18-Apr-2012

Secondary performance of recent issues

175

225

275

325

375

425

475

Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12

Spre

ad v

s. s

wap

s (b

p)

EIB Jan-17 FGB Jan-17 MAF Feb-17IPIC Mar-17 IPIC Mar-41 IPIC Mar-22TAQA Mar-17 TAQA Dec-21

Issue Date Issuer Rating Size (mm) Maturity Launch sprd Current sprd27-Oct-11 IPIC Aa3 / AA US$1,500 Mar-17 MS+236 Z+21727-Oct-11 IPIC Aa3 / AA US$,1500 Mar-22 MS+332 Z+29627-Oct-11 IPIC Aa3 / AA US$750 Mar-41 MS+374 Z+36802-Nov-11 Union National Bank A1 US$400 Nov-16 MS+288 Z+25411-Nov-11 ADCB A1 / A- US$500 Nov-16 MS+275 Z+23216-Nov-11 Bahrain BBB US$750 Nov-18 MS+450 Z+34422-Nov-11 ADIB A2/A+ US$500 Nov-16 MS+245 Z+23529-Nov-11 State of Qatar Aa2 / AA US$2,000 Jan-17 MS+185 Z+14329-Nov-11 State of Qatar Aa2 / AA US$2,000 Jan-22 MS+250 Z+18429-Nov-11 State of Qatar Aa2 / AA US$1,000 Jan-42 MS+330 Z+23905-Dec-11 TAQA A3 / A US$750 Mar-17 MS+300 Z+22905-Dec-11 TAQA A3 / A US$750 Dec-21 MS+395 Z+28510-Jan-12 Emirates Islamic Bank A3 / A+ US$500 Jan-17 MS+350 Z+32612-Jan-12 Tamweel Baa1 / A US$300 Jan-17 MS+400 Z+39612-Jan-12 First Gulf Bank A2 / A+ US$500 Jan-17 MS+288 Z+25631-Jan-12 Majid Al Futtaim BBB US$400 Feb-17 MS+482 Z+37307-Feb-12 Dolphin Energy A1/A+ US$1,300 Dec-21 MS+342 Z+27514-Feb-12 Qatar National Bank Aa3/A+ US$1,000 Feb-17 MS+236 Z+21107-Mar-12 Doha Bank A2/A- US$500 Mar-17 MS+262.5 Z+40619-Mar-12 NBAD Aa3/A+ US$750 Mar-17 MS+190 Z+21321-Mar-12 Emirates NBD A3/A+ US$1,000 Mar-17 MS+337.5 Z+36227-Mar-12 Saudi Electricity Co. A1/AA- US$500 Apr-17 MS+140 Z+13227-Mar-12 Saudi Electricity Co. A1/AA- US$1,250 Apr-22 MS+195 Z+20528-Mar-12 Com. Bank of Qatar A1/A US$500 Apr-17 MS+235 Z+213

Section 4

Global performance of the ABS market

13

ENDING RATING Start: 4/14/11 End: 4/13/12

Aaa Aa A Baa Ba B Caa Ca/C WR # Tranches Wgtd

Notch ?

Aaa 58.3% 41.7% 24 0.0 Aa 80.0% 20.0% 10 0.0 A 60.0% 40.0% 10 0.0 Baa 40.0% 60.0% 5 0.0 Ba 75.0% 25.0% 4 0.0 B 100.0% 2 0.0 Caa 0 0.0 Tr

anch

e-le

vel

rati

ng a

ctio

ns

STA

RT

RA

TIN

G

Ca/C 0 0.0

# Tranches 14 8 6 2 3 2 0 0 20 55 0.0

ENDING RATING Start: 4/14/11 End: 4/13/12

Aaa Aa A Baa Ba B Caa Ca/C WR # Tranches Wgtd

Notch ?

Aaa 46.7% 11.1% 42.2% 45 -0.4 Aa 55.0% 10.0% 35.0% 20 -0.8 A 3.6% 64.3% 7.1% 25.0% 28 -0.1 Baa 9.1% 45.5% 9.1% 36.4% 11 -0.4 Ba 80.0% 20.0% 5 0.0 B 33.3% 66.7% 3 0.0 Caa 100.0% 1 0.0 Tr

anch

e-le

vel

rati

ng a

ctio

ns

STA

RT

RA

TIN

G

Ca/C 100.0% 2 0.0

# Tranches 21 17 19 9 4 2 0 2 41 115 -0.4

Rating agencies downgrade matrix: European credit cards and cars

Europe ABS Cards

Europe ABS Cars

The below tables includes WR (withdrawn rating as well): 100% of the transactions (inclusive of WR) have been confirmed at Aaa by Moody’s

14

ENDING RATING Start: 4/14/11 End: 4/13/12

Aaa Aa A Baa Ba B Caa Ca/C WR # Tranches Wgtd

Notch ?

Aaa 35.8% 48.1% 1.9% 14.2% 586 -1.2 Aa 69.7% 7.7% 7.1% 1.5% 13.9% 337 -0.9 A 0.3% 70.6% 10.3% 5.3% 2.5% 11.1% 360 -1.0 Baa 1.1% 70.9% 6.5% 8.3% 1.4% 11.9% 278 -0.9 Ba 69.1% 7.9% 9.4% 0.7% 12.9% 139 -1.0 B 71.4% 16.1% 7.1% 5.4% 56 -0.9 Caa 72.1% 20.9% 7.0% 43 -0.5 Tr

anch

e-le

vel

rati

ng a

ctio

ns

STA

RT

RA

TIN

G

Ca/C 92.0% 8.0% 87 -0.1

# Tranches 210 518 294 258 138 83 57 94 234 1,886 -1.0

ENDING RATING Start: 4/14/11 End: 4/13/12

Aaa Aa A Baa Ba B Caa Ca/C WR # Tranches Wgtd

Notch ?

Aaa 37.4% 37.4% 4.3% 20.9% 115 -1.2 Aa 87.4% 8.8% 2.5% 1.3% 159 -0.5 A 6.0% 88.1% 6.0% 67 0.0 Baa 3.2% 4.8% 82.5% 9.5% 63 0.0 Ba 79.5% 12.8% 7.7% 39 -0.8 B 6.5% 83.9% 9.7% 31 0.2 Caa 5.4% 86.5% 8.1% 37 0.2 Tr

anch

e-le

vel

rati

ng a

ctio

ns

STA

RT

RA

TIN

G

Ca/C 95.2% 4.8% 62 0.0

# Tranches 43 188 83 62 37 31 38 62 29 573 -0.4

European RMBS performance

Europe RMBS Prime

Europe RMBS Subprime/Non-Conforming

European RMBS performance discount the pressure on sovereign downgrades

15

Performance driversCurrent macroeconomic pressure in the peripheral countries is affecting European ABS transactions

– Unemployment levels—social security systems provides (temporary) relief for obligors

– “generosity” of schemes varies substantially within Europe

– Interest rates/types and level of indebtedness of obligors impacts affordability

– Germany, France, Italy sector quite resilient

– Spain, Greece and Portugal pools have shown greater deterioration in particular in the unsecured space: in secured transactions often support from the originator involves the bank to buy back some of the underlying NPLs

– Implementation of severe austerity measures

– Country risk—deteriorating environment (sovereign, banking sector) results in increased probability of “worst case scenarios”

– credit enhancement & structural mitigants for operation risk

Section 4.A

Global performance of the ABS market

Focus on ME ABS transactions

17

Relevant secured transactions executed in ME in recent yearsA limited number of ABS securities have been executed across the ME region Since 2003 few secured transactions have been rated from the region for a total of €3.9bn

of secured certificates issued

A total of 12 ABS deals have been rated above investment grade

The highest proportion of deals have been executed with receivables from the Emirates of Dubai 54.8% with the residual certificates issued from Saudi Arabia and Qatar

Relevant receivables securitised have been i) lease receivables (42.6%) and ii) trade receivables (18.6%)– Next three pages present i) a list of the relevant deals as well as ii) two deal summary of ME secured transactions

Distribution by location of the receivables

Property lease

receivables15.2%

Residential mortgages

11.3%

Auto receivables

4.3% Commercial mortgages

8.1%

Lease receivables

42.6%

Trade receivables

18.4%

United Arab Emirates54.8%

Oman18.4%

Qatar17.5%

Saudi Arabia9.2%

Distribution by location of the receivables

18

List of ABS transactions executed in the regionSummary of secured transactions executed in the middle east

19

Tamweel Residential ABS 1—Transaction overview

Transaction summary In July 2007, Fitch and Moody’s assigned ratings to three

classes of notes issued by Tamweel Residential ABS CI (1) Ltd, an offshore SPV incorporated under the laws of Cayman Islands

The Sharia-compliant notes are backed by an AED 775 million (US$ 211 million equivalent) portfolio of lease contracts on properties located in Dubai, originated by Tamweel PJSC

At closing, the portfolio envisaged 78.7% WA OLTV, 73.1% WA CLTV, 7.7% WA profit rate, 19.5 months WA seasoning and 16.4 WA residual maturity, with 95% exposures granted to foreigners out of which 91% were currently living and working in Dubai

The structure envisages a combined return and principal priority of payments with a turbo structure which uses available excess spread to amortise the notes and a non-amortising cash reserve equal to 0.5% of the notes issuance has been funded since closing

Liquidity arrangements are put in place to meet AED denominated senior expenses and US$ denominated senior expenses and variable return

An exchange agreement covers the risk of shortfall caused by any fluctuation in the AED vs. US$ exchange rate

Structure

Tranching

Securitisation of an AED 775 million portfolio of first lien lease payments secured by residential real estate properties rented to lessees within the Emirate of Dubai in the UAE

Transaction performance Since closing, the transaction has performed well

– 90+ arrears are at 0.51% of current balance as of March 2012 and to date no losses have been recorded

– CPR has however fallen from the historic average of 23% to 0% since October 2011

Sale of assets and beneficial interests in the

properties

AED liquidity facility

US$ liquidity facility

US$ purchase price

Class A

Class D

Tamweel Residential ABS Cl (1)

LtdClass C

AED collections and sale of

properties and leases

Class BTamweel Properties

(1) Ltd

Tamweel PJSC

US$ purchase

price

Liquidity Facility

Notes:1 According to the assumptions described in the prospectus, out of which a CPR equal

to 17.5%2 Original ratings assigned by Fitch were AA and BBB+ for the Class A and B notes

which were downgraded in December 2009 to A and BBB, then upgraded in January 2011 to A+ and BBB+

20

Emirates NBD Auto Financing Limited—Transaction overview

Transaction summary

In August 2010, Moody’s assigned ratings to a note issued by Emirates NBD Auto Financing Ltd (“Repack”), a Jersey SPV incorporated under English Law

The notes are backed by an AED 1,018 million (US$ 277 million equivalent) portfolio of auto loan receivables located in the UAE originated by Emirates NBD Bank PJSC (“Emirates NBD”)

At closing, the portfolio envisaged 100% fixed loans to 81.2% private borrowers vs. 18.8% commercial, 87.7% new cars vs. 12.3% used cars, 100.0% auto loans, 27 months WA seasoning and 38 months WA remaining term. The portfolio has a 85.8% concentration in Dubai with the second largest concentration being 5.7% in Abu Dhabi

The receivables are sold to the Emirates NBD Auto Finance Ltd Special purpose vehicle (“APC”) which then issues a note which is entirely bought by the Japan Bank for International Cooperation (“JIBC”). JIBC then partially transfers the APC note to Repack which issues notes to investors

The repack note benefits from a principal guarantee from JBIC which mitigates the lack of credit enhancement on the note, additionally the transaction benefits from a balance guaranteed foreign exchange swap with Emirates NBD swapping fixed rate AED payments for floating JPY

Structure

Repack note details

Securitisation of a AED 1,018 million portfolio of auto loans to private and commercial borrowers in the UAE

Transaction performance Since closing, the transaction has performed well

– 90+ arrears are at 0.21% of current balance as of April 2012 with 0.31% of cumulative defaults and 0.26% of cumulative losses

– CPR has also remained relatively stable between

10–13% since close

APC note interest and

principal

Receivables Purchase price

Fixed interest rate and AED

Cashflows

Floating interest rate and swapped JPY cashflows

APC note purchase

price

Partial transfer of APC note

APC note purchase

price

Repack note guarantee

Sale of repack notes

Repack note

proceeds

Emirates NBD

Swap Counterparty

APC (Jersey SPV)

JBIC as APC noteholder

Repack (Jersey SPV)

Investors

21

Selected performance of two ABS from the Emirates of Dubai

Delinquencies

Defaults & Losses

012345

Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Mar-10 Sep-10 Mar-11 Sep-11 Apr-12

%

Tamweel Total Delinquencies Tamweel 60+ Tamweel 90+Emirates NBD Total Delinquencies Emirates NBD 60+ Emirates NBD 90+

0.0

0.1

0.2

0.3

Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Mar-10 Sep-10 Mar-11 Sep-11 Apr-12

%

Tamweel Cum Defaults Tamweel Cum Losses

Emirates NBD Cum Defaults Emirates NBD Cum Losses

A solid performance, through the crisis from both residential and auto lease receivables

22

Secured funding transactions—key critical steps

In emerging market deals, rating agencies and investors put lot of attention on certain key economical and environmental issues. Below we indicate some risks and how to mitigate them

As the securitisation will involve claims related to a portfolio of loans, the originator will not lose its relationship with the securitised clients

Advancing: the Servicer could be in charge of advancing funds for the delinquent loans

Back up Servicer, or facilitator, are required at issue date with clear invocation periods

Servicing risk and back up servicing

The Servicer should not commingle the SPV payments with its own funds

Depending on the local laws, the funds the Servicer or bank was holding may become part of the bankruptcy estate and divided among unsecured creditors

This risk is mitigated by i) either notifying each debtor of the new settlement or ii) by transferring the collection within 24 hours

Commingling risks

Risk of devaluation or trading restriction are high: investors want to avoid Kazakhstan risk type (eg. BTA Hypotheken transaction): this risk mitigated by local ME ccy pegged to the USD

CCY risk could be mitigated either via a currency derivatives, such offshore swaps

This risk can be overall mitigated by the analysis of the historical data, especially if these incorporates high inflation periods and high interest rate

Liquidity and depth of the swap market

Exchange rate risk

Currency transfer and convertibility risk Political interference: it is essential to incorporate in the analysis the

economic and political factors relevant to these environment Risks such currency transfer and convertibility restrictions and volatile

macroeconomic factors

Sovereign risk

Loan by loan data needs to be available to investors in order to ensure transparency

Although not yet regulated in all of the region, CRD#2 and Art122A should be in any case applicable in order to ensure an alignment of interest between all stakeholders in the transaction

Portfolio transparency & alignment of interest

23

Transparency: why is so importantAcross the globe, an effort is pursued to ensure a proper disclosure is provided at issue date and during the life of the transaction

Why Investor Reporting Transparency in Euro ABS Transactions is so important:

– Lack of standardization in reported ABS performance data

– Transactions are not uniform (e.g. different country pools/structures/originators)

– Loan-level data not available for most transactions

– Additional costs for external data providers (e.g. surveillance data, cash-flow modelling, etc.)

– No uniform consumer credit quality classification (e.g. FICO score in the US)

– Originators/Banks do not disclose their cash flow models

Available Sources where data should be provided:

– Investor reports available in the sponsor bank web-site

– Rating agencies

– External data providers (ABSNet, ABSXchange,INTEX., etc.)

Recent Transparency Initiatives:

ECB and BOE have worked with industry participants to establish ABS investor reporting standards and loan level data reporting: domestic ME regulator should ensure a similar approach is followed

Section 5

Q&A

25

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