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I nternati onal M arkets

January 2001 - page 1
Introduction to ABS / MBS f or Investors
January 2001 January 2001 January 2001 January 2001
Bea von Gnei senau Bea von Gnei senau Bea von Gnei senau Bea von Gnei senau
Credi t Products - Head of European A BS T radi ng & I nvestments ( M EF 2) Credi t Products - Head of European A BS T radi ng & I nvestments ( M EF 2) Credi t Products - Head of European A BS T radi ng & I nvestments ( M EF 2) Credi t Products - Head of European A BS T radi ng & I nvestments ( M EF 2)
1 2 34 5
January 2001 - page 2
Introduction to ABS/MBS f or investors
Defi ni ti ons
A BS-classes
M ark et development i n Europe
Valuati on ( structure, pool, pri ci ng)
speci al terms
advantages for i nvestors
attracti ve i nvestment
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January 2001 - page 3
What are asset backed securities (ABS) ?
Securi ti es enti rely based on the performance of a pool of
assets
Back ed by pool, not by i ssuer ri sk
Usually i ndependent from the credi t ri sk of the assets owner
( ori gi nator or seller)
New approach to assessi ng credi t ri sk
Usi ng stati sti cal methods i nstead to analyse and predi ct
portfoli o performance
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January 2001 - page 4
How works Securitization?
Investors Investors Investors Investors
Sponsor/ Sponsor/ Sponsor/ Sponsor/
Originator Originator Originator Originator
Issue of
different
tranches
Special Purpose Special Purpose Special Purpose Special Purpose
Vehicle Vehicle Vehicle Vehicle
(SPV) (SPV) (SPV) (SPV)
Risk transfer
of asset pool
Through
True Sale,
Guarantee
or Credit Derivatives
AAA AAA AAA AAA
A A A A
BBB BBB BBB BBB
or CPs
Not rated Not rated Not rated Not rated
ABCP s ABCP s ABCP s ABCP s
or or or or
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January 2001 - page 5
revolvi ng i ssues
establi shed for a longer peri od
usually ori gi nators unk nown to i nvestors
pool basi cs avai lable
CP maturi ty between 7 and 270 days
no tranchi ng
short term rati ng, hi ghest
rati ngs achi eved A -1+/P1 or A -1/P1
pri vate placements
Asset Backed Commercial Paper Asset Backed Commercial Paper Asset Backed Commercial Paper Asset Backed Commercial Paper . Term Deals Term Deals Term Deals Term Deals
Securi ti zati on Securi ti zati on Securi ti zati on Securi ti zati on
one ti me i ssue
Pool exactly speci fi ed and all hi stori c
stati sti cs avai lable
maturi ty > 1 year, up to 30 years
publi cly placed transacti ons
rated by 1 or more rati ng agenci es
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January 2001 - page 6
Resi denti al MBS
Commercial MBS /
CRE
MBS
(Mortgage Backed
Securi ti es)
CLO
(Col lateral ized Loan
Obli gations)
Cashfl ow CBO's
market val ue CBO's
CBO
(Col lateral i zed Bond
Obl i gations)
CDO
(Col lateral ized Debt
Obl igati ons)
CARDS
(credit card recei vabl es)
consumer l oans
(HEL, auto l oans ...)
Lease receivabl es
Future Fl ow
Recei vabl es
Others
(i nfrastructure, project fi nance, taxes
non-performing l oans, royalties...)
ABS
(specific
asset classes)
ABS ABS ABS ABS
( term deal s ) ( term deal s ) ( term deal s ) ( term deal s )
ABS classes
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January 2001 - page 7
Market development in Europe in 2000
source: Fi tch I BCA
0
10
20
30
40
50
60
70
80
90
100
1997 1998 1999 '2000
b
n

U
S
D
ABS CBO/CLO CMBS/CRE MBS NPL Sonstige
38,0 bn
69,6 bn
161 trades
41,0 bn
62 trades
85 trades
127 trades
87,3 bn
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January 2001 - page 8
European market breakdown 2000
Source: Fi tch I BCA , i ssues 01/00 - 12/00
ABS
16,6%
CMBS
7,0%
MBS
44,1%
NPL
2,2%
Others
8,2%
CBO/CLO
21,8%
Italy
9%
Iberia
8%
UK
44%
Ireland
3%
Multi
5%
France
4%
Switzer-
land
1%
Germany
7%
Scandi-
navia
3%
Benelux
16%
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January 2001 - page 9
Valuation
Understandi ng the transacti on appeal and moti vati on Understandi ng the transacti on appeal and moti vati on Understandi ng the transacti on appeal and moti vati on Understandi ng the transacti on appeal and moti vati on
Structure A nalysi s Structure A nalysi s Structure A nalysi s Structure A nalysi s
- form of transfer
- form of credi t enhancement
- form of cashflow allocati on ( waterfall. . . )
- form of transformati on of cashflows ( i nterest rate or currency swaps )
- who else i s i nvolved
Pool A nalysi s ( of the underlyi ng Pool A nalysi s ( of the underlyi ng Pool A nalysi s ( of the underlyi ng Pool A nalysi s ( of the underlyi ng assets assets assets assets) )) )
Bank Bank Bank Bank regulati ons regulati ons regulati ons regulati ons and capi tal and capi tal and capi tal and capi tal treatment treatment treatment treatment
Relati ve Value A nalysi s ( Pri ci ng) Relati ve Value A nalysi s ( Pri ci ng) Relati ve Value A nalysi s ( Pri ci ng) Relati ve Value A nalysi s ( Pri ci ng)
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January 2001 - page 10
Structure
What to look for: What to look for: What to look for: What to look for:
How the credi t ri sk of the assets i s separated from the credi t ri sk of thei r seller
( bank ruptcy remoteness)
How the asset cash flows are matched wi th the bond cash flows
Why the transacti on mak es economi c sense
( capi tal reli ef, fundi ng, ri sk transfer)
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January 2001 - page 11
Structure
M aj or Parti ci pants M aj or Parti ci pants M aj or Parti ci pants M aj or Parti ci pants
Investors Investors Investors Investors
Sponsor/ Sponsor/ Sponsor/ Sponsor/
Originator Originator Originator Originator
Bond-
issue of
Special Purpose Special Purpose Special Purpose Special Purpose
Vehicle Vehicle Vehicle Vehicle
(SPV) (SPV) (SPV) (SPV)
Risktransfer
of the asset pool
Rating Agency Rating Agency Rating Agency Rating Agency Credit Enhancement Credit Enhancement Credit Enhancement Credit Enhancement
Servicer Servicer Servicer Servicer Trustee Trustee Trustee Trustee
By true sale,
guarantee or
credit-derivatives
AAA AAA AAA AAA
A A A A
BBB BBB BBB BBB
different
tranches
Not rated Not rated Not rated Not rated
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January 2001 - page 12
Structure analysis - key parties
Ori gi nator Ori gi nator Ori gi nator Ori gi nator / Sponsor / Sponsor / Sponsor / Sponsor
- -- - Enti ty ( Corporate, bank , publi c i ssuers)
- have fundi ng needs
- own assets, whi ch can be used as collateral for A BS/M BS fundi ng
I ssuer I ssuer I ssuer I ssuer of A BS/M BS of A BS/M BS of A BS/M BS of A BS/M BS
Speci al Purpose Vehi cle ( SPV) , speci fi cally created for the purpose of the
securi ti sati on, very often located i n Channel I slands or I reland
Outsi de Outsi de Outsi de Outsi de Credi t Credi t Credi t Credi t Enhancer Enhancer Enhancer Enhancer
Enti ty provi di ng credi t enhancement through guarantee, i nsurance, reserve fund
etc.
Servi cer Servi cer Servi cer Servi cer
- -- - Enti ty, whi ch collects and di stri butes the cash flows from the assets, look s after
deli nquent loans, remi nds borrowers of the mi ssi ng payments
- i n Europe very often = ori gi nator
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January 2001 - page 13
Structure analysis - key parties
Li qui di ty Li qui di ty Li qui di ty Li qui di ty Provi der Provi der Provi der Provi der
Enti ty whi ch balances the ti mi ng mi smatchi ng between the collected cashflows
from the pool and the cashflows to be di stri buted under the structured bonds
Rati ng Rati ng Rati ng Rati ng A genci es A genci es A genci es A genci es
- - - - determi ne the credi t strenght of an A BS
- si ze the credi t enhancement to achi eve desi red rati ng
T rustee T rustee T rustee T rustee
controls and check s cashflows
Structurer Structurer Structurer Structurer
structures the i ssue i n close cooperati on wi th the ori gi nator
Underwri ter Underwri ter Underwri ter Underwri ter
tak es the i ssue and places i t i n the mark et
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January 2001 - page 14
Structure
Depends on the type of collateral Depends on the type of collateral Depends on the type of collateral Depends on the type of collateral
Ri sk T ransfer ( page 15) Ri sk T ransfer ( page 15) Ri sk T ransfer ( page 15) Ri sk T ransfer ( page 15)
T rue Sale
Credi t Deri vati ves
Guarantees
Pass through/Pay through, Sequenti al Pay Pass through/Pay through, Sequenti al Pay Pass through/Pay through, Sequenti al Pay Pass through/Pay through, Sequenti al Pay
Form of SPV Form of SPV Form of SPV Form of SPV ( corporate, chari ty, trust)
Credi t Credi t Credi t Credi t Enhancement Enhancement Enhancement Enhancement - - - - protecti on agai nst losses
i nsi de structure i nsi de structure i nsi de structure i nsi de structure / / / / often through ori gi nator often through ori gi nator often through ori gi nator often through ori gi nator
Seni or-subordi nated structure ( page 16)
Reserve account ( Cash account)
Overcollaterali zati on
Excess spread
corporate guarantee
outsi de structure outsi de structure outsi de structure outsi de structure / / / / through through through through external external external external counterpart counterpart counterpart counterpart
I nsurance ( Wrap through monoli ne i nsurer ) , guarantee, li qui di ty-reserve
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January 2001 - page 15
Struktur - Risk transf er
Originator
true true true true sale sale sale sale
syntheti c syntheti c syntheti c syntheti c ri sk transfer ri sk transfer ri sk transfer ri sk transfer: :: :
( credi t deri vati ves / guarantee)
Pool of Assets
Originator
ABS Issuer (SPV)
ABS Issuer (SPV)
Portfoli ori sk
A ssets
Pool of Assets
proceeds
funded funded funded funded
Protecti on
unfunded unfunded unfunded unfunded
Collateral
Proceeds
of i ssue
Bond Issue
Proceeds of i ssue are
i nvested i n Hi gh Quali ty Collateral
Bond Issue
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January 2001 - page 16
Structure Analysis
Hypotheti c Hypotheti c Hypotheti c Hypotheti c Payments Waterfall i n Subordi nati on Structures Payments Waterfall i n Subordi nati on Structures Payments Waterfall i n Subordi nati on Structures Payments Waterfall i n Subordi nati on Structures
Cash Flows of
the Collateral
Fees
AAA
Coupon
AAA
Principal
A
Coupon
A
Principal
BBB
Coupon
BBB
Principal
Equity
= > = > = > = > Losses hi t lowest Losses hi t lowest Losses hi t lowest Losses hi t lowest tranche tranche tranche tranche fi rst fi rst fi rst fi rst
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January 2001 - page 17
Structure analysis
T argets T argets T argets T argets and and and and advantages advantages advantages advantages of the of the of the of the ori gi nator ori gi nator ori gi nator ori gi nator
- Regulatory capi tal release
- di versi fi cati on of fundi ng sources, alternati ve to classi c loan and entry to the
i nternati onal capi tal mark et
- Securi ti zati on wi ll free capi tal for new busi ness
- M ark etpri ci ng of loan portfoli o
- portfoli o management
- Possi bi li ty of true credi t ri sk transfer of i lli qui d assets
- release of credi t li nes
- no correlati on between performance of the ori gi nators and ri sk of the assets
- I mprovi ng own rati ngs by separati ng deli nquent assets
- I mprovi ng of balance sheet fi gures ( acti ve balance sheet management ) , more
effi ci ent use of capi tal, i ncrease of Return on Equi ty
- better pri ci ng ( through hi gher rati ng)
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January 2001 - page 18
Important terms
Cash- Cash- Cash- Cash-Flow Structures Flow Structures Flow Structures Flow Structures
hard bullet CLO/CBO
soft bullet Credi t Cards, ( M BS)
amorti zi ng, wi th prepayments M BS, consumer loans, HEL
sequenti als M BS, consumer loans, HEL
Fak tor Fak tor Fak tor Fak tor
shows the actual outstandi ng pri nci pal of a tranche and how much has been prepayed unti l now
e. g. factor 0, 963456 means 96, 34% pri nci pal outstandi ng and 3, 65 bei ng prepayed.
M aturi ty M aturi ty M aturi ty M aturi ty
WA L ( wei ghted average li fe) average maturi ty of the capi tal
( Endpayment + Prepayments, no i nterest)
Expected M aturi ty expected day of last capi tal repayment
Fi nal M aturi ty legal fi nal maturi ty, maxi mum possi ble maturi ty
T erms/ T erms/ T erms/ T erms/Fi ggures Fi ggures Fi ggures Fi ggures
LT V Loan to Value
DSCR ( Debt Servi ce Coverage rati o ) Cashflows bond compared to Cashflows of
the assets
seasoni ng age of the assets
WA RT wei ghted average remai ni ng term of the assets
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January 2001 - page 19
Pool analysis
T ype T ype T ype T ype of of of of Recei vables Recei vables Recei vables Recei vables
Every type of recei vable can theoreti cally be put i n an A BS
I nterest beari ng recei vables I nterest beari ng recei vables I nterest beari ng recei vables I nterest beari ng recei vables
- Consumer Loans Home Equi ty Loans ( HEL)
Credi t Cards ( CA RDS)
A utoloans / -leasi ngs ( CA RS)
- Balance Sheet Structures Collaterali zed Loan Obli gati ons ( CLO)
- M ortgage Loans M ortgaged Back ed Securi ti es ( RM BS,
CM BS)
- Proj ect Loans
Recei vables beari ng no i nterest Recei vables beari ng no i nterest Recei vables beari ng no i nterest Recei vables beari ng no i nterest
- Non performi ng loans M ortgaged Back ed Securi ti es,
Consumer Loans, Soci al Securi ty
Payments
- T rade recei vables Future Flow Recei vables
- li cence and patent fundi ng
A cti vely managed portfoli os A cti vely managed portfoli os A cti vely managed portfoli os A cti vely managed portfoli os ( CDO)
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January 2001 - page 20
Pool Analysis
Pooltype Pooltype Pooltype Pooltype
revolvi ng / stati c
amorti zi ng / bullet
homogen / heterogen
fi xed / floati ng
performi ng / non-performi ng
Stati sti cal Features Stati sti cal Features Stati sti cal Features Stati sti cal Features
Level of Di versi fi cati on
- accordi ng to regi on
- accordi ng to i ndustry
- accordi ng to number of loans
Collateral speci fi c benchmark s ( e. g. LT V, DSCR)
Hi stori cal portfoli o performance ( defaults and losses)
General economi c i nfluences on the assets General economi c i nfluences on the assets General economi c i nfluences on the assets General economi c i nfluences on the assets
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January 2001 - page 21
Rating
T hree i mportant T hree i mportant T hree i mportant T hree i mportant rati ng rati ng rati ng rati ng agenci es agenci es agenci es agenci es: :: :
S & P s
M oody s
Fi tch
T he rati ng T he rati ng T he rati ng T he rati ng process process process process
Ori gi nator and Pool ( stress tests)
Due Di li gence
Legal Structure
- bank cruptcy remoteness of SPV
- T rue Sale to SPV?
si ze the credi t enhancement to achi eve desi red rati ng
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January 2001 - page 22
Relative Value
USA
M ark et exi sts si nce the 80ti es
standardi zed structures from
establi shed vehi cles
hi gh li qudi ty ( mark et si ze comparable
to treasury mark et)
Posi ti ons are ei ther
-very short term
or
-buy and hold
the most i mportant collateral types are
mortgages and consumer credi ts ( credi t
card and HEL)
Europa
substanti al i ncrease i n i ssuance volume
si nce 1996
di fferences i n structure from deal to
deal ( a new twi st i n every
transacti on)
by and large a buy-and-hold mark et
so far mai n dri vi ng force has been the
securi ti zati on of bank portfoli os ( CLOs) ,
i nfluenced by ROE pressures aswell as
Resi denti al M ortgage Back ed Securi ti es
( RM BS)
HVB co-ordinates its trading activities f rom Munich and New York
1 2 34 5
January 2001 - page 23
Relative Value
ABS Preis
Credit Enhancement
More is not necessarily better
Volatility of the
underlying collateral
Rating
AAA isnt AAA
Yield on comparable
Bonds
Market Condition
Timing of the
Cash Flows
- Amortizing / Bullet ?
- Maturity ?
Economic stability of
the Sponsor/Servicer
Investor Goals
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January 2001 - page 24
Relative Value
Rating Euribor Mid-Spreads R.W.
Jumbopfandbri efe 5y A A A -3/+3 10%
Pfandbri efe 5y A A A +2/+7 10%
Corporates A A A flat/+10* 100%
Corporates A A +25/+35* 100%
Corporates A +45/+55* 100%
* exceptions even wider or tighter
EU M BS ( 4-6y) A A A +25/+28 100%
EU M BS ( 4-6y) A +65/+75 100%
EU CLOs ( 5y) A A A +28/+32 100%
EU CLOs ( 3y) A +50/+70 100%
EU Consumer Loans ( 3y) A A A +26/+36 100%
EU Consumer Loans ( 3y) A +65/+85 100%
Recent issues
Fenni ca 5 ( RM BS) A A A ( 5y) , A ( 7y) +25/+65 100%
A i re Valley Fi n. No. 2 ( RM BS) A A A ( 5. 1y) , A a3( 8y) +32/+55 100%
ELOC 4 ( CM BS) A A A ( 5y) , A ( 5y) +40/+100 100%
Celti c 6 ( RM BS) A A A ( 4. 4y) , A ( 7y) +25. 5/+75 100%
DM PL 1 BV ( RM BS) A A A ( 5. 6y) , A ( 10y) +26/+75 50%
Car loan i nvest-1 A A A ( 3. 8y) , A 2( 3. 8y) +26/+65 100%
WrttHyp 2000-1 ( RM BS) A A A ( 5y) , A ( 5y) +26/+75 100%
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January 2001 - page 25
Relative Value
Euribor-
Spread
(3-5 years)
Asset class
MBS (AAA)
10
20
30
40
CLO
(A)
Corporates
(A)
50
MBS
(A)
Corporates
(AA)
-10
Corporates
(AAA)
60
ABS
(A)
ABS
(AAA)
70
80
90
Jumbos
Pfandbriefe
CLO (AAA)
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January 2001 - page 26
The Risks
Credi t ri sk
Li qui di ty ri sk
Servi cer Ri sk
Swapcounterparty ri sk
Garantor ri sk
legal ri sk
Soverei gn ri sk
Default ri sk of underlyi ng assets
Ri sk s Ri sk s Ri sk s Ri sk s, , , , not not not not measured measured measured measured by Rati ng by Rati ng by Rati ng by Rati ng A genci es A genci es A genci es A genci es: :: :
I nterest Rate and Currency ri sk
Prepayment ri sk
1 2 34 5
January 2001 - page 27
Why invest in ABS/MBS:
New M ark et
New A sset class
( sti ll) not as much mark et parti ci pants as i n establi shed mark ets
therefore less li qui di ty
li ttle volume i n sek undary mark et
buy-and-hold posi ti ons
more credi t analysi s / ti meconsumi ng
Hi gher Coupon / Spread as for comparable rated Corporate Bonds
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January 2001 - page 28
Inf ormation f or Investors
Prospectus Prospectus Prospectus Prospectus
before launch Red Herri ng / Offeri ng Ci rcular
after launch Black
Lead Lead Lead Lead M anager M anager M anager M anager
Presentati on, Road Show
Rati ng Reports Rati ng Reports Rati ng Reports Rati ng Reports
Presale reports before Launch
Fi nal rati ng report
I nternet I nternet I nternet I nternet ( some i ssues)
Bloomberg Bloomberg Bloomberg Bloomberg
1 2 34 5
January 2001 - page 29
Inf ormation f or Investors
Bloomberg- Bloomberg- Bloomberg- Bloomberg-Functi ons Functi ons Functi ons Functi ons
get get get get Descri pti on Descri pti on Descri pti on Descri pti on of tranche of tranche of tranche of tranche vi a M ortgage Functi on vi a M ortgage Functi on vi a M ortgage Functi on vi a M ortgage Functi on
e. g. Geldi lux 1999-2 B
GELDI <M tge> Go, 3 Go, 2 Go or GELDI 1999-2 B <M tge>
DES - DES - DES - DES - descri pti on descri pti on descri pti on descri pti on
Y T - Y T - Y T - Y T - yi eld yi eld yi eld yi eld table ( Spread table ( Spread table ( Spread table ( Spread Calculator Calculator Calculator Calculator) )) )
CFT - Cashflow T able ( CFT - Cashflow T able ( CFT - Cashflow T able ( CFT - Cashflow T able ( expectati ons expectati ons expectati ons expectati ons) )) )
CPD - CPD - CPD - CPD - Class pay Class pay Class pay Class pay down ( down ( down ( down ( Prepayments Prepayments Prepayments Prepayments) )) )
1 2 34 5
January 2001 - page 30
Individual analysis criteria of Investors
Structure Structure Structure Structure- and Poolanalysi s - and Poolanalysi s - and Poolanalysi s - and Poolanalysi s
Pre Pre Pre Pre Sale Sale Sale Sale Rati ngs Rati ngs Rati ngs Rati ngs
hi stori cal Portfoli o Performance, stress tests
i nfluence of economy developments ( event ri sk )
Servi cer
M ark et M ark et M ark et M ark et
Sek undary mark et li qui di ty
M ark etmak i ng Commi tment ( Lead manager, Reuters-Pages)
Performance Reports after Launch ( I nternet, Bloomberg, Emai l?)
A dvantages A dvantages A dvantages A dvantages
Di versi fi cati on i n portfoli o, regi onal, T ype and struk ture
hi gher yi eld ( as for comparable corp. i ssues wi th equal rati ng)
spread ti ghteni ng
possi bi li ty of i nvestment i n loans and other acti va whi ch wasn t possi ble before
Rati ng stabi li ty ( 1986-1998 no defaults)
no credi t li ne problems because of legally separated SPV
1 2 34 5
I nternati onal M arkets
January 2001 - page 31
Transactions
Geldi lux 1999-2 Ltd. Geldi lux 1999-2 Ltd. Geldi lux 1999-2 Ltd. Geldi lux 1999-2 Ltd.
M A ED 1999-C1 Ltd. M A ED 1999-C1 Ltd. M A ED 1999-C1 Ltd. M A ED 1999-C1 Ltd.
Bavari a Fi nance Ltd. Jersey Bavari a Fi nance Ltd. Jersey Bavari a Fi nance Ltd. Jersey Bavari a Fi nance Ltd. Jersey
Prometheus I nvestment Prometheus I nvestment Prometheus I nvestment Prometheus I nvestment Fundi ng No Fundi ng No Fundi ng No Fundi ng No. 1 . 1 . 1 . 1
WuertHyp WuertHyp WuertHyp WuertHyp 2000-1 2000-1 2000-1 2000-1
Promi se Promi se Promi se Promi se-A -2000-1 -A -2000-1 -A -2000-1 -A -2000-1
1 2 34 5
January 2001 - page 32
GELDILUX 99-2 Ltd. (Febr. 99 Geldilux 99-1, Sept. 99 Geldilux 99-2)
Maturity Sept Sept Sept Sept 16, 2003 ( hard bullet) , 16, 2003 ( hard bullet) , 16, 2003 ( hard bullet) , 16, 2003 ( hard bullet) , callable 3 and 6 months pri or to maturi ty callable 3 and 6 months pri or to maturi ty callable 3 and 6 months pri or to maturi ty callable 3 and 6 months pri or to maturi ty
Ratings M oody s, S& P, M oody s, S& P, M oody s, S& P, M oody s, S& P, Fi tch Fi tch Fi tch Fi tch I BCA and Duff & Phelps I BCA and Duff & Phelps I BCA and Duff & Phelps I BCA and Duff & Phelps
Floati ng, based on 3 months EURI BOR Floati ng, based on 3 months EURI BOR Floati ng, based on 3 months EURI BOR Floati ng, based on 3 months EURI BOR Coupon
Tranche
Class A Class A Class A Class A
Class B Class B Class B Class B
Class C Class C Class C Class C
Class D Class D Class D Class D
Class E Class E Class E Class E
Class F Class F Class F Class F
Rating Coupon % Total Volume
EUR 750. 000. 000 EUR 750. 000. 000 EUR 750. 000. 000 EUR 750. 000. 000
EUR EUR EUR EUR 200. 250. 000 200. 250. 000 200. 250. 000 200. 250. 000
EUR EUR EUR EUR 507. 000. 000 507. 000. 000 507. 000. 000 507. 000. 000
EUR EUR EUR EUR 9. 375. 000 9. 375. 000 9. 375. 000 9. 375. 000
EUR EUR EUR EUR 11. 250. 000 11. 250. 000 11. 250. 000 11. 250. 000
EUR EUR EUR EUR 13. 125. 000 13. 125. 000 13. 125. 000 13. 125. 000
EUR EUR EUR EUR 9. 000. 000 9. 000. 000 9. 000. 000 9. 000. 000
26, 70 % 26, 70 % 26, 70 % 26, 70 %
67, 60 % 67, 60 % 67, 60 % 67, 60 %
1, 25 % 1, 25 % 1, 25 % 1, 25 %
1, 50 % 1, 50 % 1, 50 % 1, 50 %
1, 75 % 1, 75 % 1, 75 % 1, 75 %
1, 20 % 1, 20 % 1, 20 % 1, 20 %
3m Euri bor + 3m Euri bor + 3m Euri bor + 3m Euri bor + 24 24 24 24
3m Euri bor + 3m Euri bor + 3m Euri bor + 3m Euri bor + 36 36 36 36
3m Euri bor + 3m Euri bor + 3m Euri bor + 3m Euri bor + 45 45 45 45
3m Euri bor + 3m Euri bor + 3m Euri bor + 3m Euri bor + 92 92 92 92
3m Euri bor + 3m Euri bor + 3m Euri bor + 3m Euri bor + 250 250 250 250
- - - -
A aa A aa A aa A aa/A A A /A A A /A A A /A A A
A a2/A A - A a2/A A - A a2/A A - A a2/A A -
A 1/A A 1/A A 1/A A 1/A
Baa2/BBB Baa2/BBB Baa2/BBB Baa2/BBB
Ba3/BB Ba3/BB Ba3/BB Ba3/BB
NR NR NR NR
1 2 34 5
January 2001 - page 33
Pri ce Pri ce Pri ce Pri ce Pri ce Pri ce Pri ce Pri ce Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor
Investors
Program Fee Program Fee Program Fee Program Fee Program Fee Program Fee Program Fee Program Fee
Cash Deposi t Cash Deposi t Cash Deposi t Cash Deposi t Cash Deposi t Cash Deposi t Cash Deposi t Cash Deposi t
Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce Note Purchase Pri ce
Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor Euri bor
Ref erence Ref erence
Euroloans Euroloans
HVB
Luxembourg
GELDILUX GELDILUX
99-2, 99-2, Ltd Ltd. .
Guarantees Guarantees Guarantees Guarantees Guarantees Guarantees Guarantees Guarantees
Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes
Seni or Notes Seni or Notes Seni or Notes Seni or Notes Seni or Notes Seni or Notes Seni or Notes Seni or Notes
Euri bor + Spread Euri bor + Spread Euri bor + Spread Euri bor + Spread Euri bor + Spread Euri bor + Spread Euri bor + Spread Euri bor + Spread
GELDILUX 99-2 Structure
HVB Public Pf andbrief
HVB Medium Term Note (MTN)
HVB
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1 2 34 5
January 2001 - page 34
MAED 99-C1 Ltd. (May 99)
(Multi Asset Euro Denominated 99-C1 Ltd.)
Tranche
Class A -1 Class A -1 Class A -1 Class A -1
Class A -2 Class A -2 Class A -2 Class A -2
Rating
A aa A aa A aa A aa/A A A /A A A /A A A /A A A
A aa A aa A aa A aa/A A A /A A A /A A A /A A A
Coupon (BP)
3m 3m 3m 3m Euri bor Euri bor Euri bor Euri bor + 29 + 29 + 29 + 29
4. 645% 4. 645% 4. 645% 4. 645%

34% 34% 34% 34%
66% 66% 66% 66%
% of Issue
EUR EUR EUR EUR 100 100 100 100
EUR EUR EUR EUR 197 197 197 197
Volume (mln)
Maturity M ay 25 2009, bullet M ay 25 2009, bullet M ay 25 2009, bullet M ay 25 2009, bullet
Ratings M oody s and Fi tch I BCA M oody s and Fi tch I BCA M oody s and Fi tch I BCA M oody s and Fi tch I BCA
1 2 34 5
January 2001 - page 35
MAED 99-C1
11 separate transacti ons
Each bond i s rated A A A /A aa
Fi xed collateral pool contai ni ng
Over 2, 700 loans
No commerci al property class exceeds 25% of the underlyi ng loans
Only 1 state has more than 20% of the loans ( Cali forni a) and thi s i s typi cal of
CM BS transacti ons
1 2 34 5
January 2001 - page 36
MAED 99-C1: CMBS Product Features
A k ey feature of CM BS securi ti es i s the opti on of the borrower to pay back
hi s debt at hi s di screti on
T hi s opti on leads to compli cati ons i n the cash flow management ( durati on,
convexi ty, prepayment rate)
T he cash flows and the maturi ty of a CM BS securi ty are hence a product of
prepayment evaluati on models and can vary i n terms of ti mi ng and si ze
( prepayment or extensi on)
T he di ffi culti es i n fi ndi ng the OA S ( Opti on A dj usted Spread) and the
complexi ty of the ri sk management are usually reflected i n a relati ve
cheapness of the CM BS mark et i n compari son to other si mi lar securi ti es
1 2 34 5
January 2001 - page 37
MAED Structure
BBB Tranche
AAA Tranche
AA Tranche
BBB Tranche
AAA Tranche
AA Tranche
Loan Loan Loan Loan Loan Loan
MAED
CMBS Security CMBS Security
1 2 34 5
January 2001 - page 38
0%
5%
10%
15%
20%
25%
30%
Ind.+Wh lodging multifamily retail office others
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
CA NY TX FL others
0%
5%
10%
15%
20%
25%
30%
35%
40%
0 - 1.0 1.0 - 1.2 1.2 - 1.4 1.4 - 1.6 1.6 - 1.8 1.8 - 2.0 2+
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
0 - 20 20 - 40 40 - 60 60 - 80 80 - 100
The MAED Portfolio
Loan-to-Value Distribution Debt Service Coverage Ratio Distribution
Distribution by State
Distribution by Property Type
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January 2001 - page 39
I ssuer I ssuer I ssuer I ssuer LEONA RDO Ltd. , I sle of M an LEONA RDO Ltd. , I sle of M an LEONA RDO Ltd. , I sle of M an LEONA RDO Ltd. , I sle of M an
Dealer Dealer Dealer Dealer HypoVerei nsbank , M uni ch
T ype T ype T ype T ype Schuldschei ndarlehen
Underlyi ng Underlyi ng Underlyi ng Underlyi ng M A ED 1999-C1
Class A -1 ( 25. 5. 2009)
Rati ngs: A aa ( M oodys) /A A A ( Fi tch)
WK N: 308 472
Volume Volume Volume Volume EUR 25. 000. 000
Coupon Coupon Coupon Coupon 3M Euri bor + 0, 29% ( act/360)
Pays Pays Pays Pays February, M ay, A ugust,
November 25,
modi fi ed followi ng,
( M A ED pay days)
Redempti on Redempti on Redempti on Redempti on Equi valent to the
M A ED 1999-C1 I ssue
M aturi ty M aturi ty M aturi ty M aturi ty M ay 25, 2009, equi valent to
M A ED 1999-C1,
legal fi nal maturi ty
November 25, 2014
Documentati on Documentati on Documentati on Documentati on Schuldschei n-
documentati on
Settlement Settlement Settlement Settlement Schuldschei n settlement
Indication f or a MAED 1999-C 1 based Schuldschein
Issue
1 2 34 5
January 2001 - page 40
100% Holdi ng 100% Holdi ng 100% Holdi ng 100% Holdi ng
Note Note Note Note
Note Pri ce Note Pri ce Note Pri ce Note Pri ce Note Pri ce Note Pri ce Note Pri ce Note Pri ce
Investor
Schuldschei n Schuldschei n Schuldschei n Schuldschei n Note Note Note Note
Leonardo Structure
Leonardo Ltd
Isle of Man SPV
HypoVereinsbank
wi th li mi ted recourse wi th li mi ted recourse wi th li mi ted recourse wi th li mi ted recourse
to the Note to the Note to the Note to the Note
Schuldschein Trust
Isle of Man Trust
HypoVereinsbank
T rust T rust T rust T rust
Enforcer Enforcer Enforcer Enforcer
1 2 34 5
January 2001 - page 41
Bavaria Jersey
Finance
(Jersey)
Bavaria Finance
Holdings
(Delaware)
Bavaria Delaware
Finance
(Delaware)
Medium Term
Notes
Commercial
Paper
HVB NY
49%
Equity
Notes
Investors
51%
Ownership Structure
Bavaria Jersey Financing (Nov. 99)
credit support
reciprocal
100%
equity
100%
equity
1 2 34 5
January 2001 - page 42
Commercial Paper (CP) Medium Term Notes (MTN)
Issuer Bavaria Delaware Finance Bavaria J ersey Finance

Rating A1 / P1 /F1 AAA/Aaa (100 Mio)
S&P/Moodys/Fitch AA- / Aa3 ( 32 Mio)
BBB- / Baa2 ( 80 Mio)
NR / Ba2 ( 33 Mio)
NR ( 37 Mio)
Maturity up to 270 days expected 7 years, legal 10 years
callable quarterly from year 2
(equal percentages per tranche)
Volume up to USD 4,000 Mio USD 282 mn
Coupon n.a. AAA 3m USD Libor + [50] BP
AA- 3m USD Libor + [75] BP
BBB- 3m USD Libor + [195] BP
BB 3m USD Libor + [400] BP
Term Sheet (Indicative Terms)
1 2 34 5
January 2001 - page 43
Bavaria Finance Corporation: Assets
Short term
Commercial Paper or short-term
deposits (<90 days)
issued by A1+/ P-1 entities
Reverse Repos (<183 days)
Non-government and overcollateralized
matched funded with commercial paper
with investment grade counterparts
Total Return Swaps (<365 days)
with investment grade counterparts
matched funded with commercial paper
Long Term
Securities:
Fixed-rate (swapped to floating) and floating-
rate notes
Asset-Backed debt (min rating AA-/Aa3)
Credit Default Swaps
only investment grade reference assets
Eligibility criteria
I no exposure to a country rated below Aa2/AA-
I no exposure longer than the scheduled maturity of the MTNs
I no exposure below investment grade at the time the exposure is entered into
I 8% industry / 3% obligor credit exposure concentration limits apply
1 2 34 5
January 2001 - page 44
- CDO back ed by a revolvi ng portfoli o of hi gh yi eld loans and bonds. T he program s assets
wi ll be purchased i n the pri mary and secondary mark et
- Cashflow from Prometheus portfoli o of loans and bonds i s the di rect and sole source of
i nterest and pri nci pal of the Prometheus Notes
- Seni or Notes wi ll have the benefi t of credi t support i n the form of subordi nati on
- Subordi nated Notes wi ll have the benefi t of credi t support i n the form of excess yi eld
generated by the Prometheus asset portfoli o
Prometheus Investment Funding No. 1 Ltd. (Juni 2000)
Assets Liabilities
Maturity
Tranches Nominal in Mio Ratings (WAL / Exp. / Final)
Senior Secured Loans Class A EUR/$ 365 AAA/Aaa 6.6y / 8y / 12 years
High Yield Bonds Class B $ 38 AA-/Aa3 8.6y / 9y / 12 years
Class C $ 48 Baa2 9.4y / 10y / 12 years
(senior implied rating B1) Class D $ 9 Ba2 10y / 10y / 12 years
Mezzanine $ 40 n.r.
Total: $ 500 Total: $ 500
1 2 34 5
January 2001 - page 45
I ssuer I ssuer I ssuer I ssuer Prometheus Jersey, Jersey, Channel I slands
Sponsor Sponsor Sponsor Sponsor CPF A sset A dvi sory L. P.
Expected Rati ng Expected Rati ng Expected Rati ng Expected Rati ng Class A : A A A /A aa
Class B: A A - / A a3
Class C: Baa2
Class D: Ba2
M ezzani ne: n. r.
M aturi ty M aturi ty M aturi ty M aturi ty Expected Fi nal: 10 years
Legal Fi nal: 12 years
Si ze Si ze Si ze Si ze USD 500 M i o
Coupon I ndex Coupon I ndex Coupon I ndex Coupon I ndex 3M USD Li bor
Eli gi ble A ssets Eli gi ble A ssets Eli gi ble A ssets Eli gi ble A ssets 85% Non-I nvestment grade loans
15% Non-I nvestment grade bonds ( Seni or)
M odel Portfoli o M odel Portfoli o M odel Portfoli o M odel Portfoli o A verage Rati ng: S& P: B+ ( Corporate Credi t Rati ng)
M oody s: B1 / Score 2200 ( Seni or I mpli ed Rati ng)
Obli gor Concentrati on: 3%
I ndustry Concentrati on ( M oodys / S& P) : 10% wi th max. two i ndustri es 15%
A sset M aturi ty: 1 mo to 10yrs ( legal fi nal)
Prometheus Investment Funding No. 1 Ltd.
1 2 34 5
January 2001 - page 46
Prometheus Investment Funding No. 1 Ltd.
Opportunity !
- I nvestment i n Leveraged Loans characteri zed wi th superi or Ri sk / Return
Characteri sti cs.
- Hi gh Quali ty Hi gh Y i eld A sset Pool wi th M ax. A verage Rati ng Score of 2200*.
- Expected M aturi ty 9 years ( Legal M aturi ty 12 years) callable after three years.
- HypoVerei nsbank A G Co-I nvestor, holdi ng mi ni mum 15% of M ezzani ne Notes.
M ezzani ne: M ezzani ne: M ezzani ne: M ezzani ne:
- M ezzani ne I nvestors wi ll have representati on on I nvestment A dvi sory Commi ttee
determi ni ng i nvestment strategy and portfoli o composi ti on.
- M ezzani ne Notes can also be i ssued as Schuldschei ndarlehen.
- Expected Cash Return 22% per annum
* M oody s Seni or I mpli ed Rati ng
1 2 34 5
January 2001 - page 47
WrttHyp 2000-1 (Aug. 2000)
Class Class Class Class Expected Expected Expected Expected
Rati ng Rati ng Rati ng Rati ng
S& P / Fi tch S& P / Fi tch S& P / Fi tch S& P / Fi tch
Volume Volume Volume Volume % %% % Coupon Coupon Coupon Coupon
and and and and
spreadtalk spreadtalk spreadtalk spreadtalk
WA L* WA L* WA L* WA L* Expected Expected Expected Expected
maturi ty maturi ty maturi ty maturi ty
wi th Call wi th Call wi th Call wi th Call
executi on executi on executi on executi on
after 5 after 5 after 5 after 5
years years years years
Expected Expected Expected Expected
maturi ty maturi ty maturi ty maturi ty
wi thout wi thout wi thout wi thout
Call Call Call Call
executi on, executi on, executi on, executi on,
wi th Clean wi th Clean wi th Clean wi th Clean
up call** up call** up call** up call**
Class A + EUR 100. 000
Super
Seni or
EUR 455. 000. 000 90, 0 %
Class A A A A /A A A EUR 18. 700. 000 3, 60 % 3m EUR + [ 26-27] [ 26-27] [ 26-27] [ 26-27] 5y 5y 14. 3y
Class B A A /A A EUR 14. 800. 000 2, 93 % 3m EUR + [ 50-53] [ 50-53] [ 50-53] [ 50-53] 5y 5y 14. 3y
Class C A /A EUR 6. 600. 000 1, 30 % 3m EUR + [ 70-75] [ 70-75] [ 70-75] [ 70-75] 5y 5y 14. 3y
Class D BBB/BBB EUR 5. 000. 000 1, 00 % 3m EUR + [ 130-145] [ 130-145] [ 130-145] [ 130-145] 5y 5y 14. 3y
Class E pri vatly rated EUR 6. 000. 000 1, 17 % 3m EUR + [ [[ [ ] ]] ] 5y 5y 14. 3y
EUR 506. 200. 000
* legal fi nal maturi ty march 2041
** wi th 12, 5% CPR
1 2 34 5
January 2001 - page 48
OECD
Bank
Premi um Premi um Premi um Premi um
Protecti on Protecti on Protecti on Protecti on
Super
Senior
Swap
A (AAA / AAA )
B (AA / AA)
Equi ty T ranche wi th i nterest parti ci pati on Equi ty T ranche wi th i nterest parti ci pati on Equi ty T ranche wi th i nterest parti ci pati on Equi ty T ranche wi th i nterest parti ci pati on
Seni or Notes Seni or Notes Seni or Notes Seni or Notes
Proceeds Proceeds Proceeds Proceeds
C (A / A)
D (BBB / BBB)
E (privately rated)
Subordi nated Notes Subordi nated Notes Subordi nated Notes Subordi nated Notes
Proceeds Proceeds Proceeds Proceeds
Credit Default Swap
Collateral Collateral Collateral Collateral: :: :
WrttHyp
ffentliche
Pfandbriefe
Investors
A+
WrttHyp - The Structure
1 2 34 5
January 2001 - page 49
WrttHyp - Relative Value
Underlyi ng:
mortgages from Wuertembergi sche Hypothek enbank
Portfoli o hi ghly di versi fi ed
-on regi on ( Bundeslnder)
-on property type
only 1st li en mortgages ( 100% )
Soft Bullet structure = no prepayments
Call wi ll be executed, because i ssuance i s getti ng more expensi ve already shortly after
launch due to sequenti al prepayment
1 2 34 5
January 2001 - page 50
Promise-A-2000-1: Deal Inf o (Dec. 2000)
Issuer Promi se-A -2000-1 plc, I reland
Originators HypoVerei nsbank & Verei ns- und Westbank
Servicer HypoVerei nsbank
Issue Type Syntheti c CLO:
85. 3% Super Seni or T ranche plus funded A A A -Notes
Coupon 3-M onths Euri bor + Spread, fi rst coupon M ay 2001, act/360,
payable February, M ay, A ugust, November, rolldates 28
Expected Maturity 28
th
February 2009, soft bullet
Final Legal Maturity 28
th
February 2011
Options T he i ssue can be redeemed on any I nterest Payment Date
on or after year 5
Listing
Luxembourg
Denomination
100, 000 EUR
Lead Manager
HypoVerei nsbank
1 2 34 5
January 2001 - page 51
Promise-A-2000-1: Tranching
Class Class Class Class Expected Expected Expected Expected
Rati ng Rati ng Rati ng Rati ng
M oody s / M oody s / M oody s / M oody s /
Fi tch Fi tch Fi tch Fi tch
Volume Volume Volume Volume % %% % Coupon Coupon Coupon Coupon
and and and and
spreads spreads spreads spreads
WA L* WA L* WA L* WA L*
( (( ( expected expected expected expected
maturi ty maturi ty maturi ty maturi ty
02/2009) 02/2009) 02/2009) 02/2009)
Credi t Credi t Credi t Credi t
Enhance- Enhance- Enhance- Enhance-
ment ment ment ment
Super
Seni or
EUR 853. 000. 000 85, 3 %
Class A A aa/A A A EUR 40. 000. 000 4, 0 % 3m EUR + 32 8. 2y 10, 7%
Class B A a2/A A EUR 24. 000. 000 2, 4 % 3m EUR + 50 8. 2y 8, 3%
Class C A 2/A EUR 16. 000. 000 1, 6 % 3m EUR + 70 8. 2y 6, 7%
Class D Baa2/BBB EUR 15. 000. 000 1, 5 % 3m EUR + 145 8. 2y 5, 2%
Class E Ba2/BB EUR 11. 000. 000 1, 1 % 3m EUR + 370 8. 2y 4. 1%
Class F n. r. /B- EUR 15. 000. 000 1, 5 % Retai ned by HVB 8. 2y 2. 6%
Class G n. r. EUR 26. 000. 000 2, 6 % Retai ned by HVB 8. 2y
EUR 1. 000. 000. 000
* legal fi nal maturi ty February 2011
1 2 34 5
January 2001 - page 52
Promise-A-2000-1: Structure
Credi t
Default
Swaps
Premi um
Protecti on
HVB
Reference-
pool
KFW
Reference-
pool
OECD
Bank
Super Senior Credit
Default Swap
Premi um
Protecti on
Purchase Pri ce
Notes
Notes
Pledge
Credi t
Default
Swap
Protecti on
Promise-A-
2000-1 plc
(Ireland)
KFW-MTNs
Aaa/AAA
(Collateral)
Euri bor+Spread
Purchase
Pri ce
I nterest on
Collateral
Premi um
Class A
Class B
Class C
Class D
Class E
Class F
Class G
Mittelstand loans
HVB and
VUW
1 2 34 5
January 2001 - page 53
Promise-A-2000-1: Initial Ref erence Pool
Si ze: 1, 000, 000, 000 EUR wi th 1103 loans i n EUR or DEM ( WA L of loans 3. 5y)
Ori gi nati on and Servi ci ng accordi ng to HVB s Loan Ori gi nati on, A dmi ni strati on and
Collecti on Procedures
German Law
Revolvi ng Portfoli o:
- New Loans added quarterly
- Early amorti zati on tri ggers, cease revolvi ng and begi n amorti zati on
of portfoli o
- regi onal di versi fi ed ( Bavari a 44% , NRW 11% , rest 7% or lower)
A verage Loan Si ze: 906, 618 EUR, M oody s Di versi ty Score: 98
I nternal wei ghted average rati ng: 3. 68 ( Rati ng score 1-10, only class 1-6 i ncluded)
HVB & VuW ori gi nated loans under K fW, DtA and Lfa programs
i ni ti al portfoli o:
- 47. 4% K fW
- 28. 3% DtA
- 15. 8% LfA