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Securitisation Data Report Q2:2011

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Market Highlights and Commentary .................... 1 1. Issuance

1.1. European Historical Issuance ......................................... 4 1.2. US Historical Issuance ................................................... 4 1.3.a. European Issuance by Collateral.................................. 4 1.3.b. European Issuance by Retention.................................. 4 1.4. US Issuance by Collateral .............................................. 4 1.5. Issuance by Country of Collateral .................................. 5 1.6. Issuance by Collateral Type and Country of Collateral .. 5 1.7. European Issuance by Rating ......................................... 6 1.8. US Issuance by Rating ................................................... 6 1.9. Securitisation Issuance by Deal Size .............................. 6

2. Balances Outstanding 2.1. European Outstandings by Collateral ............................. 7 2.2. US Outstandings by Collateral ....................................... 7 2.3. Outstandings by Country of Collateral ........................... 8 2.4. European Outstandings by Moody’s Ratings ................. 9 2.5. US Outstandings by Moody’s Ratings ........................... 9 2.6. European Outstandings by Vintage ................................ 9 2.7. European Outstandings by Country and Collateral ........ 10

3. Credit Quality – Rating Changes Upgrades/Downgrades by Country ....................................... 11

3.1. Fitch Ratings ............................................................. 11 3.2. Moody’s Investors Service ........................................ 11 3.3. Standard & Poor’s ..................................................... 11

Upgrades/Downgrades by Collateral..................................... 12 3.4. Fitch Ratings – Europe .............................................. 12 3.5. Moody’s Investors Service – Europe ........................ 12 3.6. Standard & Poor’s – Europe...................................... 12 3.7. Fitch Ratings – US .................................................... 12 3.8. Moody’s Investors Service – US ............................... 12 3.9. Standard & Poor’s – US ............................................ 12

4. CMBS Spreads 4.1. European 3-5 Yr AAA CMBS Spreads .......................... 13 4.2. European 3-5 Yr BBB CMBS Spreads........................... 13 4.3. US 3 & 5 Yr AAA CMBS Spreads ................................ 13 4.4. US 3 & 5 Yr BBB CMBS Spreads ................................. 13

5. RMBS Spreads 5.1. European 3-5 Yr AAA RMBS Spreads .......................... 14 5.2. European 3-5 Yr BBB RMBS Spreads........................... 14 5.3. UK 3-5 Yr AAA RMBS Spreads ................................... 14 5.4. UK 3-5 Yr BBB RMBS Spreads .................................... 14

6. ABS Spreads 6.1. European 1-4 Yr AAA ABS Spreads ............................. 15 6.2. European 1-4 Yr BBB ABS Spreads .............................. 15 6.3. US 3 Yr AAA ABS Spreads........................................... 15 6.4. US 3 Yr BBB ABS Spreads ........................................... 15

7. RMBS Prices 7.1. European 3-5 Yr AAA RMBS Prices............................. 16 7.2. European 3-5 Yr BBB RMBS Prices ............................. 16 7.3. UK 3-5 Yr AAA RMBS Prices ...................................... 16 7.4. UK 3-5 Yr BBB RMBS Prices ....................................... 16

8. CMBS and ABS Prices 8.1. Pan-European 3-5 Yr AAA CMBS Prices...................... 17 8.2. Pan-European 3-5 Yr BBB CMBS Prices ...................... 17 8.3. Pan-European 1-4 Yr AAA ABS Prices ......................... 17

8.4. Pan-European 1-4 Yr BBB ABS Prices ..........................17

9. Indices Data 9.1. Securitised Index Option Adjusted Spreads ....................18 9.2. Barclays PanEurope Fixed and Floating Prices...............18 9.3. ABX.HE and CMBX Prices............................................18 9.4. PrimeX ARM and FRM Prices .......................................18

10. Total Return Benchmark Data 10.1. European Total Return ..................................................19 10.2. UK Total Return............................................................19 10.3. Europe ex UK RMBS AAA ..........................................19

11. Asset-Backed Commercial Paper 11.1. European ABCP Historical Issuance.............................20 11.2. European ABCP Issuance by Nationality of Issuer .......20 11.3. European ABCP Issuance by Programme Type ............20 11.4. ABCP Outstandings by Nationality of Issuer................20 11.5. European ABCP Outstandings by Programme Type.....21 11.6. US ABCP Outstandings by Programme Type...............21 11.7. ABCP Outstandings Assets Split by Country................21 11.8. US AA ABCP to AA Non-financial CP Spread ............21

12. Global Comparative Data 12.1. Global Securitisation Issuance ......................................22 12.2. Global Corporate Bond Issuance...................................22 12.3. Global Government Bond Issuance...............................22

Annex .....................................................................23 Disclaimer ..............................................................27

1 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Demonstrated Demand in ABS But Fundamental Concerns in Eurozone Market Environment Economic Conditions • According to Eurostat, at the end of June 2011, the un-

employment levels in the Eurozone and European Un- ion remained generally unchanged at 9.9% and 9.4% respectively, compared to end March levels of 9.9% and 9.5%.

• The European sovereign debt crisis continued to weigh in on fundamentals in the second quarter of 2011 (Q2 2011), with nearly every asset class impacted by dete- riorating sovereign credit.

Term Issuance and Outstanding Volumes • EUR 66.2 billion of securitised products were issued in

Europe in Q2 2011, a decrease of 42.3% from Q1 2011 (EUR 114.6 billion) but more than double that of Q2 2010 issuance (32.2 billion). 39.2% of Q2 issuance was placed (EUR 25.9 billion), compared to Q1 at 21.8% (EUR 25bn), continuing the trend of increasing placed- to-retained issuance ratio.

25%

35%

45%

55%

65%

75%

85%

95%

105%

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11

€ Millions

Sources: AFME/SIFMA Members, AFME, Bloomberg, Dealogic, Thomson Reuters, SIFMA

European Structured Finance Issuance Jul. 2010 - Jun. 2011

Placed Retained % Retained (Trailing 12 Month) (RHS)

• By the end of Q2 2011, retained securitised debt made

up 52.2% of total outstanding debt, an increase from Q1 2011 (51.7%). Approximately EUR 1.1 trillion out- standing is currently retained on originator of sponsor bank balance sheets.

500

1,000

1,500

2,000

2,500

2008Q2 2008Q4 2009Q2 2009Q4 2010Q2 2010Q4 2011Q2

€ Billions

Sources: AFME/SIFMA Members, AFME, Bloom berg, Dealogic, Thomson Reuters, SIFMA

Note: Retained outstandings do not contain retained, then subsequently placed, issues when data are available.

European Structured Finance Outstanding Jun. 2008 - Jun. 2011

Placed

Retained

• Shortly after the end of Q2, the European Banking Au- thority (EBA) released the results of the EU stress tests, designed to assess the resilience of the European banking system a base and adverse scenario, which re- vealed a shortfall of EUR 26.8 billion. The stress tests also generally revealed, for the first time, the size of both sovereign and securitisation exposures.

• According to AFME estimates, currently retained European outstanding securitised debt, estimated at EUR 1.06 trillion as of Q2 2011, is predominantly AAA-rated RMBS. See Table A at the end of the com- mentary for AFME’s estimates of retained securitisa- tions by current rating and underlying collateral assets.

A 9%

AA 8%

AAA 63%

BB and Below 4%

BBB 2%

NR 14%

Retained European Securitisations Second Quarter 2011

Sources: Bloomberg, AFME & SIFMA Member Firms, Dealogic, AFME, SIFMA Ratings are lowest current rating assigned by either Moody's, Fitch Ratings,

or Standard and Poor's as of June 30 2011.

Auto 2%

Consumer 3%

Credit Card 1%

Leases 2%

Other 1%

CDO 4% CMBS

RMBS 74%

SME 12%

WBS 0%

Retained European Securitisations Second Quarter 2011

Sources: Bloomberg, AFME & SIFMA Member Firms, Dealogic, AFME, SIFMA

• UK RMBS continued to make up the majority of placed issuance in Q2; however, compared to Q1 2011, there was an increase in the diversity of asset types placed with investors. For example, investors bought Spanish, German, French, and Dutch auto ABS; UK credit card ABS; French and Italian RMBS; and Swe- den and Norwegian consumer loan ABS.

2 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

UK RMBS 46%

Dutch RMBS 14%

Germany Auto 5%

UK Auto 4%

French RMBS 4%

UK Credit Cards 4%

Spanish Utility 4%

Dutch Auto 4%

UK Other 4%

Spanish Auto 2%

Other 9%

Placed European Issuance Second Quarter 2011

Sources: Bloomberg, AFME & SIFMA Member Firms, Dealogic, AFME, SIFMA

• Moody’s noted that sponsored leveraged loans, which make up the bulk of loans in European CLOs, enjoyed relatively robust recoveries even in the downturn pe- riod from 2008 to 2010 (average 71% recovery in sen- ior debt; 59% in second lien debt, and 35% on mezza- nine debt).

Credit Quality • Generally, negative ratings migrations increased in Q2.

The adverse affect of the Eurozone crisis on the credit condition of certain sovereign states has caused secu- ritised products backed by collateral from these states to experience downgrades.

• In its July update, Moody’s gave stable outlooks for French RMBS, German auto ABS, German SME, German RMBS, Dutch RMBS, UK credit card ABS and prime UK RMBS. However, it gave negative out- looks for the products backed by collateral from coun- tries affected by the Eurozone crisis (e.g. Greece, Ire- land, Portugal and Spain); UK non-conforming RMBS; and Italian consumer ABS and RMBS.

• Except for Germany and the Netherlands, Moody’s noted that the performance of the SME ABS market continued to remain weak.

• In a recent study on ABS and RMBS rating perform- ance during the crisis, Moody’s noted that European securitisation remained generally resilient during the period May 2007 to May 2011.

• Due to the changes made in Standard and Poor’s coun- terparty risk assessment criteria in December 2010, European CMBS was particularly impacted by nega- tive rating actions in Q2.

Lending • According to the July European Central Bank (ECB)

bank lending survey, banks reported, a small tightening of lending standards in Q2 2011 for both small and medium enterprises (SMEs) and large enterprises.

Standards for short-term loans, as in prior quarters, continued to ease. The ECB stated that factors contrib- uting to tightening standards were: industry specific outlooks, expectations on future economic activity, bank access to market financing and bank liquidity due to the sovereign crisis and the vulnerability of banks. Conversely, competition contributed to the easing of standards.

• Loan demand continued to increase in the second quar- ter, primarily for working capital needs and debt re- structuring.

ABCP Trends • According to Dealogic, European ABCP issuance in-

creased slightly in Q2 (EUR 35.3 billion), compared to Q1 2011 (EUR 32.8 billion). Multiseller conduits con- tinued to remain the largest issuer (73.3%).

Major Regulatory, Legislative and Policy Initiatives • On 12 April, the Financial Stability Board (FSB) issued

a consultation providing initial recommendations on the shadow banking system. The paper addressed the definition of the term “shadow banking system”, set out potential approaches for monitoring the shadow banking system and proposed regulatory measures. The FSB will submit recommendations to the G20 in autumn.

• At the end of April, the ECB announced requirements for the provision of loan-by-loan information on two additional asset classes: CMBS and SME (RMBS was introduced in 2010).

• On 31 March 2011, six U.S. agencies (SEC, FDIC, Federal Reserve, OCC, US Treasury, FHFA and HUD) sought comment on a proposal to introduce risk reten- tion requirements on U.S securitised products. The re- quirement would mandate 5% risk retention at the very minimum for all assets that do not meet exemption cri- teria.

• In May, the UK Financial Services Authority released its CP11/9 consultation. The paper set out proposals for implementing the changes to the Capital Require- ments Directive (CRD) set out in the Commission’s CRD2 and CRD3 amendments.

3 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Table A: Retained Securitisations by Rating and Asset Class: Rating Auto Cons ume r Cre dit Card Le as e s Othe r CDO CMBS Mixe d MBS RMBS SME WBS Total AAA 8,775.9 17,744.8 3,768.9 6,771.4 1,453.0 10,290.9 5,216.2 6,070.5 535,613.5 69,487.9 665,193.0 AA+ 5,622.4 1,091.6 6,714.0 AA 175.9 294.2 437.5 2,000.0 2,143.0 43.4 39,187.1 4,337.9 48,619.0 AA- 195.1 2,680.0 1,320.5 1,162.7 617.9 124.9 555.8 25,080.1 1,542.3 33,279.2 A+ 835.2 97.0 65.4 1,321.0 898.0 34,165.5 3,912.2 41,294.2 A 407.4 906.9 239.2 3,582.9 6,411.7 2,194.6 1,161.9 12,630.5 4,557.3 32,092.3 A- 33.0 2,443.9 328.0 244.2 21.2 8,368.6 3,322.2 1,003.2 15,764.1

BBB+ 155.6 107.0 480.4 50.0 6,938.9 104.6 7,836.4 BBB 87.3 713.9 0.0 29.9 371.1 281.6 64.0 3,586.7 1,031.1 6,165.6 BBB- 247.1 673.5 160.0 3,207.2 1,791.3 6,079.0 BB+ 49.4 1,127.0 2,102.4 664.4 1,088.0 2,582.9 7,614.1 BB 35.0 43.3 38.9 847.2 23.4 6,240.9 1,285.1 8,513.9 BB- 20.1 379.2 1,513.9 751.9 2,665.1 B+ 1,408.8 929.1 2,460.4 4,798.3 B 44.9 96.0 391.4 478.0 370.6 1,380.8 B- 176.2 266.3 477.0 919.5

CCC+ 27.0 128.0 4,918.9 1,258.7 3,245.4 9,578.0 CCC 45.7 844.5 138.8 1,453.6 108.1 2,590.6 CCC- 42.0 12.4 100.5 154.9

CC 118.0 51.0 299.0 6.6 460.7 837.8 1,773.1 C 36.5 280.6 784.5 345.6 1,447.2 D 20.0 1,481.2 133.4 595.5 2,230.1

NR 3,458.2 6,787.2 2,349.2 5,330.9 2,316.4 19,413.3 3,792.2 1,985.7 87,003.0 19,296.3 151,732.4 Total 14,702.3 35,078.0 9,319.3 18,426.7 12,178.9 43,497.7 13,573.6 10,996.9 776,022.7 123,635.6 1,003.2 1,058,434.8

Numbers in EUR millions; rating is lowest currently assigned rating by either Moody's, Fitch Ratings, or Standard and Poor's. Source: AFME, SIFMA

4 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 2 3 4 5 6 7 1.1. European Historical Issuance 1.2. US Historical Issuance

Q1 Q2 Q3 Q4 TOTAL2 TOTAL1,2

2000 14.1 16.4 21.4 26.3 78.2 2000 1,088.0 2001 20.5 43.2 22.7 66.2 152.6 2001 2,308.4 2002 24.3 42.6 35.7 55.1 157.7 2002 2,592.7 2003 43.3 51.9 39.7 82.4 217.3 2003 2,914.5 2004 55.8 59.0 53.2 75.5 243.5 2004 1,956.6 2005 47.8 94.4 41.5 143.3 327.0 2005 2,650.6 2006 69.0 114.3 112.8 184.9 481.0 2006 2,455.8 2007 128.7 152.0 98.3 74.7 453.7 2007 2,147.1 2008 40.0 169.5 134.1 367.6 711.1 2008 933.6 2009 123.2 81.2 114.7 94.9 414.1 2009 1,358.9 2010 75.5 32.2 111.5 163.6 382.9 2010 1,276.7 2011 114.6 66.2 180.8 20118 522.9 1.3.a. European Issuance by Collateral

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

ABS3 20.6 16.6 37.1 6.5 3.9 11.8 9.2 31.4 CDO4 7.1 0.9 8.0 1.6 0.5 26.1 1.4 29.6 CMBS 1.5 0.7 2.2 1.7 1.5 0.7 2.1 6.1 RMBS 68.2 37.5 105.7 51.7 24.9 58.2 136.9 271.7 SME 15.7 10.4 26.1 13.4 1.3 12.2 12.7 39.7 WBS 1.6 1.6 0.6 2.5 1.4 4.5 Total2 114.6 66.2 180.8 75.5 32.2 111.5 163.6 382.9 1.3.b. European Issuance by Retention

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

Placed7 25.0 25.9 50.9 16.1 18.8 32.2 21.0 88.1 Retained 89.7 40.2 129.9 59.4 13.4 79.4 142.6 294.8 Total2 114.6 66.2 180.8 75.5 32.2 111.5 163.6 382.9 1.4. US Issuance by Collateral

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL1,2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL1,2

ABS5 18.7 24.5 43.2 25.0 23.1 19.3 15.2 82.6 CDO6 1.0 1.0 1.9 0.4 0.9 0.1 1.2 2.7 Agency MBS 240.3 232.2 472.5 224.7 239.4 320.1 397.1 1,181.3 Non-Agency CMBS 5.1 0.0 5.1 0.0 0.2 1.3 4.5 6.0 Non-Agency RMBS 0.3 0.0 0.3 0.0 0.3 0.5 3.3 4.1 Total1,2 265.3 257.6 522.9 250.2 264.0 341.2 421.2 1,276.7

Source: Bloomberg, Citigroup, Dealogic, Deutsche Bank, JP Morgan, Bank of America-Merrill Lynch, RBS, Thomson Reuters, Unicredit, AFME, SIFMA

1 All volumes are denominated in euro. The US volumes were converted from dollar to euro based on the $/€ exchange rates as of quarter-end. 2 Numbers may not add due to independent rounding. Historical or prior period numbers are revised to reflect changes in classification, refined selection methodology, or information submitted to our data

source after the prior period cut-off dates. 3 European ABS issuance includes auto, credit card, leases, loans, receivables and other. 4 European CDO issuance numbers only include issuance denominated in a European currency regardless of the country of collateral. A substantial percentage of CDOs are backed by multi-jurisdictional

collateral. Historical CDO issuance totals have been revised due to periodic updates of the sector. 5 US ABS issuance includes auto, credit card, home equity, student loan, equipment leases, manufactured housing, and other. Historical ABS issuance totals have been revised due to periodic updates of

the sector. 6 US CDO issuance numbers only include US-denominated issuance regardless of the country of collateral and may include European transactions which are denominated in US dollars. Historical CDO

issuance totals have been revised due to periodic updates of the sector. 7 Includes all publicly placed, privately placed, and pre-placed tranches of a security. Partial placements of tranches are considered placed if more than half the euro amount has been placed.

5 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 1.5. Issuance by Country of Collateral

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

Belgium 0.0 0.0 6.1 6.3 5.3 17.7 Denm ark 0.0 0.0 1.0 0.5 1.5 France 5.0 1.5 6.5 2.9 6.1 9.0 Germ any 2.9 2.4 5.3 4.6 0.5 3.4 4.8 13.4 Greece 1.2 0.0 1.2 1.0 1.0 Ireland 0.0 0.0 2.4 1.1 2.1 1.0 6.6 Italy 8.0 2.2 10.2 0.6 0.4 9.1 5.9 16.0 Netherlands 31.9 17.2 49.1 50.4 5.4 21.2 61.5 138.5 Portugal 6.9 2.2 9.2 1.2 1.2 3.9 10.6 16.9 Spain 19.2 16.7 35.9 1.7 4.1 36.9 12.3 54.9 UK 32.2 22.2 54.4 11.5 10.0 25.6 55.5 102.6 PanEurope 1.1 1.1 1.2 1.4 2.6 Other Europe 1.4 0.6 1.9 1.6 1.6 Multinational7 5.9 0.0 5.9 0.1 0.1 0.6 0.7 European Total2 114.6 66.2 180.8 75.5 32.2 111.5 163.6 382.9 US Total1,2 265.3 257.6 522.9 250.2 264.0 341.2 421.2 1,276.7 1.6. Issuance by Collateral Type and Country of Collateral2 3 4 5 6 7 2011:Q2 ABS3 CDO4 CMBS RMBS SME WBS TOTAL2

Belgium 0.0 Denm ark 0.0 France 0.5 1.1 1.5 Germ any 2.4 2.4 Greece 0.0 Ireland 0.0 Italy 0.2 0.2 1.8 2.2 Netherlands 1.2 15.0 1.0 17.2 Portugal 1.1 1.1 2.2 Spain 5.6 2.9 8.3 16.7 UK 5.3 0.3 16.5 22.2 PanEurope 0.9 0.2 1.1 Other Europe 0.4 0.2 0.6 Multinational7 0.0 0.0 European Total2 16.6 0.9 0.7 37.5 10.4 0.0 66.2

ABS5 CDO6 AGENCY

MBS

NON- AGENCY CMBS

NON- AGENCY

RMBS TOTAL1,2

US Total1,2 24.5 1.0 232.2 0.0 0.0 257.6 Source: Bloomberg, Citigroup, Dealogic, Deutsche Bank, JP Morgan, Bank of America-Merrill Lynch, RBS, Thomson Reuters, Unicredit, AFME, SIFMA

the sector. 6 US CDO issuance numbers only include USD-denominated issuance regardless of the country of collateral and may include European transactions which are denominated in US dollars. Historical CDO

issuance totals have been revised due to periodic updates of the sector. 7 Multinational includes all deals, including CDOs, in which assets are originated from a variety of jurisdictions, or from countries whose total amounts are too small to display.

6 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 2 1.7. European Issuance by Rating3

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

AAA 87.3 51.6 138.9 61.2 26.7 84.5 142.0 314.4 AA 7.9 2.5 10.3 1.0 0.3 1.5 3.3 6.2 A 2.7 1.7 4.3 1.5 1.6 2.4 5.3 10.8 BBB & Below 4.3 3.8 8.1 0.7 0.7 6.8 3.6 11.8 Not Rated 12.4 6.7 19.1 11.2 2.9 16.2 9.4 39.7 European Total2 114.6 66.2 180.8 75.5 32.2 111.5 163.6 382.9 1.8. US Issuance by Rating4

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL1,2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL1,2

AAA 16.7 16.5 33.2 15.9 17.8 12.1 12.5 58.4 AA 1.1 0.6 1.7 0.4 0.2 0.6 0.6 1.8 A 1.9 2.3 4.2 1.5 2.5 1.7 2.9 8.7 BBB & Below 1.0 3.1 4.1 0.2 0.6 0.6 1.3 2.8 Not Rated 4.4 3.0 7.3 7.5 3.4 6.1 6.7 23.7 Agency MBS 240.3 232.2 472.5 224.7 239.4 320.1 397.1 1181.3 US Total1,2 265.3 257.6 522.9 250.2 264.0 341.2 421.2 1276.7

Source: Bloomberg, Deutsche, JP Morgan, Bank of America-Merrill Lynch, RBS, Thomson Reuters, Unicredit, AFME, SIFMA

source after the prior period cut-off dates. 3 European CDO issuance numbers only include issuance denominated in a European currency regardless of the country of collateral. A substantial percentage of CDOs are backed by multi-jurisdictional

collateral. Historical CDO issuance totals have been revised due to periodic updates of the sector. 4 US CDO issuance numbers only include USD-denominated issuance regardless of the country of collateral and may include European transactions which are denominated in US dollars. Historical CDO

issuance totals have been revised due to periodic updates of the sector.

1.9. Securitisation Issuance by Deal Size1 2011:Q1 2 3

# of Issues € Billions # of Issues € Billions Less than 0.01 Billion 0% 0% 0% 0% 0.01-0.1 Billion 0% 0% 6% 1% 0.1-1.0 Billion 48% 26% 20% 12% More than 1.0 Billion 52% 74% 6% 12% Agency MBS N/A N/A 69% 75% Total3 100% 100% 100% 100%

INCLUDING RETAINED DEALS2

EUROPE US

2011:Q2

# of Issues € Billions # of Issues € Billions # of Issues € Billions # of Issues € Billions Less than 0.01 Billion 0% 0% 0% 0% 0% 0% 0% 0% 0.01-0.1 Billion 28% 2% 8% 1% 26% 1% 8% 1% 0.1-1.0 Billion 40% 24% 25% 17% 40% 20% 25% 18% More than 1.0 Billion 33% 74% 6% 10% 35% 79% 6% 10% Agency MBS N/A N/A 62% 73% N/A N/A 62% 71% Total3 100% 100% 100% 100% 100% 100% 100% 100%

EUROPE US INCLUDING RETAINED DEALS2EXCLUDING RETAINED DEALS2

EUROPE US

Source: Dealogic

1 The European data includes all asset classes – ABS, CMBS, RMBS, SME, WBS and CDOs denominated in a European currency. US data includes ABS, non-agency CMBS and RMBS, and USD

dollar-denominated CDOs. US agency MBS, which includes agency CMBS and RMBS, is shown separately. All data except for CDOs are included based on the country of collateral. 2 Dealogic provides data for retained deals based on available market information, sourcing further details from a wide base of syndicate desks wherever possible. Further statistics on retained deals are

added based on intelligence from other market participants. 3 Percentages may not sum to 100% due to independent rounding. Historical or prior period numbers are revised to reflect changes in classification, refined selection methodology, or information submit-

ted to our data source after the prior period cut-off dates.

7 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 2 3 4 5 6 7 2.1. European Outstandings by Collateral

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 ABS2 204.8 199.6 225.4 211.6 208.5 200.7 CDO3 234.0 234.0 256.3 247.2 231.7 231.0 CMBS 139.0 139.0 146.9 144.7 144.8 143.4 RMBS 1,268.6 1,248.3 1,346.1 1,302.3 1,321.5 1,298.8 SME7 166.3 166.3 154.3 147.5 161.8 166.2 WBS4 54.5 54.4 49.3 49.4 51.2 52.5 Total5 2,067.2 2,041.7 2,178.2 2,102.8 2,119.5 2,092.6 2.2. US Outstandings by Collateral

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 ABS6 1,376.5 1,295.3 1,645.9 1,744.5 1,515.9 1,500.6 Agency MBS 3,896.6 3,850.8 4,133.1 4,468.6 4,976.1 5,110.1 Non-Agency RMBS 603.2 562.8 764.0 807.4 691.1 669.4 Non-Agency CMBS 523.3 502.1 580.1 630.8 555.3 559.8 Total1,5 6,399.6 6,211.1 7,123.0 7,651.3 7,738.4 7,839.9

Sources: Bloomberg (US & Europe), Fannie Mae (US), Federal Reserve (US), Freddie Mac (US), Ginnie Mae (US), Loan Performance (US), Thomson Reuters (US), AFME & SIFMA Estimates (US & Europe)

1 All volumes are denominated in euro. The US volumes were converted from dollar to euro based on the $/€ exchange rates as of quarter-end. 2 European ABS outstanding collateral types include auto loans, credit cards, loans (consumer and student), and other. 3 Includes CDOs denominated in a European currency, regardless of country of collateral. 4 Whole Business Securitisation: a securitisation in which the cashflows derive from the whole operating revenues generated by an entire business or segmented part of a larger business. Certain whole

business securitisation issues may be bucketed in the ABS or CMBS class based on deal particulars. 5 Numbers may not add due to independent rounding. Historical or prior period numbers are revised to reflect changes in classification, refined selection methodology, or information submitted to our data

source after the prior period cut-off dates. 6 US ABS outstanding collateral types include auto loans, credit cards, loans (home equity, equipment and student loans), CDOs, and other. CDOs outstanding cannot be broken out within the ABS

outstanding collateral type but represents dollar-denominated issues. 7 As of 2010 Q2, SME has been pulled out of the CDO parent category and will be displayed in all tables retroactively for European otustandings.

8 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 2.3. Outstandings by Country of Collateral2 3 4 2009 - 2010

2010:Q1 2010:Q2 2010:Q3 2010:Q4 2009:Q1 2009:Q2 2009:Q3 2009:Q4 Austria 2.7 2.6 2.5 2.5 3.1 3.0 2.9 2.8 Belgium 63.8 66.1 71.8 76.4 55.3 62.3 61.6 68.5 Finland 5.5 5.2 4.9 4.6 7.0 6.5 6.2 5.8 France 33.4 34.3 33.4 34.6 31.5 35.6 34.3 34.4 Germ any 104.0 96.5 94.1 93.3 132.1 131.6 134.0 105.0 Greece 42.7 39.5 35.5 35.1 30.1 35.8 41.9 42.2 Ireland 71.5 71.1 72.2 72.1 60.4 61.9 66.8 69.2 Italy 230.8 228.0 217.3 214.2 207.6 210.7 231.7 238.8 Netherlands 326.9 308.4 314.7 319.6 301.4 317.8 308.5 304.5 Portugal 47.8 46.2 49.2 57.3 47.7 48.4 49.0 49.0 Russia 4.7 4.4 4.4 4.3 3.9 3.9 5.2 4.9 Spain 289.4 279.5 297.9 297.4 307.1 311.4 305.4 302.2 Turkey 5.0 4.7 5.1 4.8 6.8 6.4 6.1 5.8 UK 665.0 642.5 661.6 622.1 684.6 666.8 686.2 686.9 Other 3 2.5 2.7 2.8 2.8 7.5 6.3 5.8 5.6 PanEurope 4 64.9 62.1 49.9 57.9 69.7 70.3 67.1 66.3 Multinational 217.6 208.9 202.1 193.5 226.8 223.0 226.3 231.4 European Total2 2,178.2 2,102.8 2,119.5 2,092.6 2,182.6 2,201.7 2,239.1 2,223.3 US Total1 7,123.0 7,651.3 7,738.4 7,839.9 7,365.0 7,056.5 6,780.0 6,799.0

2011 2011:Q1 2011:Q2 2011:Q3 2011:Q4

Austria 2.4 2.3 Belgium 75.1 74.6 Finland 4.3 4.1 France 31.8 33.9 Germ any 87.4 86.0 Greece 31.9 29.9 Ireland 68.6 68.1 Italy 203.5 192.3 Netherlands 310.2 321.3 Portugal 60.3 59.5 Russia 4.1 4.1 Spain 301.1 293.6 Turkey 4.5 4.1 UK 627.2 608.5 Other3 4.1 4.2 PanEurope 4 60.8 59.8 Multinational 189.9 182.3 European Total2 2,067.2 2,028.7 US Total1 6,399.6 6,211.1

Sources: Bloomberg (US & Europe), Fannie Mae (US), Federal Reserve (US), Freddie Mac (US), Ginnie Mae (US), Loan Performance (US), Thomson Reuters (US), AFME & SIFMA Estimates (US & Europe)

source after the prior period cut-off dates. 3 Other includes countries with outstanding securities that are too small to be displayed, such as Georgia, Iceland, Ukraine, Switzerland, Sweden, and Hungary. 4 As of 2010 Q2, PanEurope has been pulled out of the Multinational parent category and will be retroactively displayed for European outstandings.

9 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

2.4. European Outstandings by Moody’s Investors Service Ratings1 2 3 (as a percentage of total Moody’s rated securitisations)

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 Aaa/AAA 70.22% 68.34% 72.87% 72.90% 73.74% 73.42% Aa/AA 11.45% 12.63% 11.00% 10.33% 10.04% 10.63% A/A 7.48% 7.51% 6.10% 6.51% 6.01% 5.79% Baa/BBB 5.75% 5.28% 5.25% 5.30% 5.37% 5.45% Ba/BB 1.42% 2.34% 1.36% 1.65% 1.57% 1.50% B/B 1.04% 1.00% 0.84% 0.68% 0.71% 0.77% Caa/CCC 1.37% 1.69% 1.15% 1.19% 1.22% 1.14% Ca/CC 0.84% 0.76% 0.93% 0.92% 0.87% 0.86% C/C 0.43% 0.44% 0.51% 0.52% 0.47% 0.44% Total2 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 2.5. US Outstandings by Moody’s Investors Service Ratings1

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 Aaa/AAA 30.15% 27.60% 37.05% 35.29% 34.65% 33.71% Aa/AA 9.37% 9.18% 10.54% 10.28% 10.06% 9.76% A/A 5.69% 6.35% 7.53% 6.67% 6.44% 6.12% Baa/BBB 5.71% 6.48% 7.19% 6.27% 5.94% 5.43% Ba/BB 4.23% 4.70% 6.08% 5.14% 4.75% 3.95% B/B 7.25% 7.37% 8.60% 7.65% 7.15% 6.14% Caa/CCC 16.92% 17.38% 11.50% 14.64% 14.34% 15.38% Ca/CC 9.94% 9.99% 5.79% 7.34% 9.16% 9.38% C/C 10.74% 10.95% 5.71% 6.72% 7.51% 10.13% Total2 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Source: Moody’s Investors Service

2.6. European Outstandings by Vintage1 2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4

2011 105.1 166.3 2010 339.4 331.4 73.5 106.5 210.9 345.3 2009 284.8 269.7 356.8 343.2 333.1 310.7 2008 490.1 461.6 637.8 606.4 574.3 527.2 2007 313.6 290.4 441.8 404.0 385.4 331.6 2006 255.7 247.6 308.5 301.3 292.8 277.9 2005 124.5 114.7 174.5 162.6 150.6 137.5 2004 64.6 58.2 76.5 73.0 70.8 68.9 2003 39.8 40.1 51.8 49.6 47.2 41.4 2002 16.0 15.5 17.9 17.5 17.0 16.7 2001 14.9 14.7 16.1 15.9 15.6 15.5 2000 9.2 9.0 12.7 12.8 11.7 10.1 1999 2.9 2.8 3.5 3.2 3.1 3.1 1998 1.6 1.6 1.6 1.6 1.6 1.6 Prior 5.1 5.1 5.2 5.2 5.2 5.1 Total 2,067.2 2,028.7 2,178.2 2,102.8 2,119.5 2,092.6

Source: Bloomberg, AFME, SIFMA

1 The rating distribution is based on current rating and original issuance size. Unrated and defaulted securities are included. 2 Percentages may not add to 100% due to independent rounding. 3 Vintage year determined by pricing date of tranche. Restructured issues continue to keep old pricing date.

10 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 2 3 4 5 6 7 8 2.7. European Outstandings by Country and Collateral 2011:Q1

ABS1 CDO2 CMBS RMBS SME8 WBS3 TOTAL4

Austria 0.0 0.2 2.1 2.4 Belgium 0.2 0.1 60.3 14.6 75.1 Finland 4.2 0.1 4.3 France 17.5 0.0 2.5 9.0 2.7 31.8 Germ any 32.4 2.3 18.9 21.7 12.1 0.1 87.4 Greece 12.5 3.9 0.0 5.7 9.8 31.9 Ireland 2.7 0.4 65.5 68.6 Italy 49.3 4.9 10.2 132.9 4.8 1.4 203.5 Netherlands 5.4 0.5 8.1 281.2 14.9 310.2 Portugal 6.6 41.8 11.9 60.3 Russia 1.2 2.9 4.1 Spain 23.6 2.1 0.4 188.7 86.4 301.1 Turkey 4.5 4.5 UK 45.2 7.6 67.5 451.7 3.1 52.1 627.2 Other7 1.5 1.9 0.3 0.4 4.1 PanEurope 9 3.2 25.1 28.2 0.2 4.0 0.1 60.8 Multinational5 1.8 183.1 2.5 0.2 1.4 0.9 189.9 European Total4 204.8 234.0 139.0 1268.6 166.3 54.5 2067.2

2011:Q2 ABS1 CDO2 CMBS RMBS SME8 WBS3 TOTAL4

Austria 0.0 0.2 2.1 2.3 Belgium 0.2 0.1 59.7 14.5 74.6 Finland 3.9 0.1 4.1 France 17.4 0.0 2.4 11.3 2.7 33.9 Germ any 32.2 2.3 18.6 21.1 11.8 0.1 86.0 Greece 12.4 3.9 0.0 5.6 8.0 29.9 Ireland 2.7 0.4 65.0 68.1 Italy 47.4 4.8 10.4 123.5 4.8 1.4 192.3 Netherlands 6.4 0.5 7.5 292.2 14.7 321.3 Portugal 7.3 39.3 12.9 59.5 Russia 1.2 3.0 4.1 Spain 24.1 2.1 0.4 184.7 82.3 293.6 Turkey 4.1 4.1 UK 40.4 7.6 67.7 436.1 4.7 52.0 608.5 Other7 1.6 1.9 0.3 0.4 4.2 PanEurope 9 3.1 24.6 27.8 0.2 3.9 0.1 59.8 Multinational5 1.8 175.7 2.5 0.2 1.3 0.8 182.3 European Total4 199.6 226.1 138.0 1248.3 162.1 54.4 2028.7

Sources: Bloomberg, AFME, SIFMA

1 European ABS outstanding collateral types include auto loans, credit card, loans (consumer and student), and other. 2 Includes CDOs denominated in a European currency, regardless of country of collateral. 3 Whole Business Securitisation: a securitisation in which the cashflows derive from the whole operating revenues generated by an entire business or segmented part of a larger business. Certain whole

business securitisation issues may be bucketed in ABS or CMBS based on deal particulars. 4 Numbers may not add due to independent rounding. Historical or prior period numbers are revised to reflect changes in classification, refined selection methodology, or information submitted to our data

source after the prior period cut-off dates. 5 Multinational includes all deals in which assets originate from a variety of jurisdictions. This includes the majority of CDOs denominated in a European currency. 6 Other includes countries with outstanding securities that are too small to be displayed, such as Georgia, Iceland, Ukraine, Sweden, Switzerland, and Hungary. 7 As of 2010 Q2, SME has been pulled out of the CDO parent category and will be displayed in all tables retroactively for European outstandings. 8 As of 2010 Q2, PanEurope has been pulled out of the Multinational parent category and will be retroactively displayed for European outstandings.

11 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Upgrades/Downgrades by Country 1 2 3.1. Fitch Ratings2

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL France 1/8 0/0 1/8 0/0 0/3 1/3 0/0 1/6 Germ any 11/27 14/34 25/61 0/78 10/26 7/6 6/14 23/124 Italy 2/9 2/2 4/11 3/10 0/7 3/2 1/22 7/41 Netherlands 1/9 0/1 1/10 4/10 0/1 0/0 2/5 6/16 Spain 1/77 14/56 15/133 1/58 6/31 7/38 1/14 15/141 UK 9/86 29/37 38/123 23/70 8/91 30/84 27/31 88/276 Multinational2 8/33 4/97 12/130 7/41 3/67 6/21 4/54 20/183 European Total 33/249 63/227 96/476 38/267 27/226 54/154 41/140 160/787 US4 68/3882 148/3707 216/7589 55/3455 68/4739 100/9877 46/1948 269/15753

3.2. Moody’s Investors Service 3 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

France 0/0 0/0 0/0 0/0 0/1 0/0 0/0 0/1 Germ any 0/4 2/2 2/6 0/1 0/14 7/5 3/3 10/23 Italy 0/1 2/5 2/6 0/2 1/0 0/1 2/4 3/7 Netherlands 1/0 0/12 1/12 0/15 4/0 0/0 0/5 4/20 Spain 1/44 4/64 5/108 0/20 0/3 0/0 0/30 0/53 UK 0/27 0/62 0/89 29/58 4/24 4/14 0/38 37/134 Multinational3 94/42 147/50 241/92 4/83 22/95 28/75 49/103 103/356 European Total 96/118 155/195 251/313 33/179 31/137 39/95 54/183 157/594 US 696/8448 723/4351 1419/12799 115/1104 378/11411 531/5897 735/8071 1759/26483

3.3. Standard & Poor’s 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

France 0/2 0/24 0/26 1/1 0/0 0/0 1/2 2/3 Germ any 11/8 4/51 15/59 2/33 17/48 5/26 0/32 24/139 Italy 0/7 16/38 16/45 5/4 0/9 0/8 1/19 6/40 Netherlands 0/13 0/22 0/35 2/16 0/0 0/6 0/0 2/22 Spain 0/52 4/70 4/122 0/46 0/30 2/25 2/34 4/135 UK 15/46 30/219 45/265 30/205 23/190 46/50 21/73 120/518 Multinational3 50/120 70/375 120/495 92/789 185/626 76/187 106/204 459/1806 European Total 76/248 124/799 200/1047 132/1094 225/903 129/302 131/364 617/2663 US 818/2725 356/2495 1174/5220 28/10595 121/3671 48/2123 465/2072 662/18461

Source: Fitch Ratings, Moody’s Investors Service, Standard & Poor’s

1 Each box contains two numbers: Upgrades followed by Downgrades. Because the three credit rating agencies track different securities and apply slightly different rating criteria, these numbers are not

directly comparable. 2 Fitch’s “Multinational” classification includes cross-jurisdictional CMBS issues as well as the aggregated sum of rating actions in other EMEA countries, namely Austria, Belgium, Greece, Ireland, Portu-

gal, and the Russian Federation. Fitch assigns CDO issues to the country in which the majority of the underlying assets are located. 3 “Multinational” for Standard & Poor’s and Moody’s ratings is defined as all issues with collateral located in multiple countries. All CDOs are also included in this category.

12 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Upgrades/Downgrades by Collateral 1 3.4. Fitch Ratings – Europe 2 3

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL Auto 12/0 9/1 21/1 4/7 10/3 0/1 4/0 18/11 Credit Card 0/1 10/1 10/2 16/0 0/0 0/0 0/0 16/0 Other ABS2 4/14 5/8 9/22 2/25 0/12 3/7 0/7 5/51 CDO 1/131 6/39 7/170 2/125 7/87 0/42 1/30 10/284 CMBS 9/51 19/40 28/91 4/44 3/72 9/34 7/44 23/194 RMBS (prim e) 3/45 7/137 10/182 6/58 7/41 19/58 2/45 34/202 RMBS (non-conform ing) 4/7 7/1 11/8 4/8 0/11 23/12 27/14 54/45 Total 33/249 63/227 96/476 38/267 27/226 54/154 41/140 160/787

3.5. Moody’s Investors Service – Europe 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

Auto 0/0 2/0 2/0 0/0 0/6 6/0 5/0 11/6 CDO 94/26 147/29 241/55 4/72 22/90 28/70 47/100 101/332 CMBS 0/50 0/54 0/104 6/17 0/24 4/21 0/13 10/75 Credit Card 0/0 0/1 0/1 14/15 0/1 0/0 0/0 14/16 RMBS (prim e) 2/86 5/141 7/227 4/56 5/25 1/29 2/30 12/140 RMBS (non-conform ing) 0/17 1/31 1/48 9/35 4/17 0/4 0/40 13/96 Total 96/179 155/256 251/435 37/195 31/163 39/124 54/183 161/665

3.6. Standard & Poor’s – Europe 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

Auto 2/1 2/9 4/10 2/11 12/1 5/0 2/0 21/12 CDO 52/89 88/94 140/183 89/781 192/702 87/180 110/196 478/1859 CMBS 10/38 7/228 17/266 3/159 4/59 6/41 5/32 18/291 Credit Card 0/0 0/6 0/6 16/1 0/1 0/0 0/0 16/2 RMBS (prim e) 3/65 8/244 11/309 10/70 0/54 2/28 0/26 12/178 RMBS (non-conform ing) 0/20 8/111 8/131 2/16 0/13 22/6 9/13 33/48 Total 67/213 113/692 180/905 122/1038 208/830 122/255 126/267 578/2390

3.7. Fitch Ratings – US 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

Auto 26/0 17/0 43/0 12/1 18/2 10/0 25/0 65/3 Credit Card 0/0 0/0 0/0 22/0 7/0 0/0 0/0 29/0 Other ABS2 12/84 13/85 25/169 8/104 10/142 61/181 6/65 85/492 CDO 7/144 34/100 41/244 12/849 9/727 3/383 10/272 34/2231 CMBS 22/788 68/503 90/1291 1/274 25/596 21/433 0/545 47/1848 RMBS (prim e) 0/303 0/265 0/568 0/528 0/385 5/4365 0/146 5/5424 RMBS (subprim e) 1/1832 0/56 1/1888 0/565 0/2588 0/103 0/142 0/3398 Other RMBS3 0/731 16/2698 16/3429 0/1134 0/299 0/4412 5/778 5/6623 Total 68/3882 148/3707 216/7589 55/3455 69/4739 100/9877 46/1948 270/20019

3.8. Moody’s Investors Service – US 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

Auto 37/0 87/0 124/0 9/0 19/0 83/0 32/0 143/0 CDO 536/32 521/45 1057/77 23/187 191/333 306/237 309/206 829/963 CMBS 115/481 101/175 216/656 24/721 35/753 47/673 143/2041 249/4188 Credit Card 0/0 0/0 0/0 59/3 0/0 0/3 0/0 59/6 RMBS 8/7935 14/4131 22/12066 0/193 133/10325 95/4984 251/5824 479/21326 Total 696/8448 723/4351 1419/12799 115/1104 378/11411 531/5897 735/8071 1759/26483

3.9. Standard & Poor’s – US 2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL

Auto 3/2 42/1 45/3 16/0 27/3 4/1 14/26 61/30 CDO 776/200 305/499 1081/699 12/1927 60/1012 2/882 386/384 460/4205 CMBS 37/685 9/723 46/1408 0/1029 9/1007 34/564 59/994 102/3594 Credit Card 0/0 0/2 0/2 0/0 24/36 0/0 6/1 30/37 RMBS (prim e) 0/1010 0/880 0/1890 0/4353 1/1204 7/402 0/266 8/6225 RMBS (subprim e) 2/828 0/390 2/1218 0/3286 0/409 1/274 0/401 1/4370 Total 818/2725 356/2495 1174/5220 28/10595 121/3671 48/2123 465/2072 662/18461

Source: Fitch Ratings, Moody’s Investors Service, Standard & Poor’s

directly comparable. 2 May include student loans, equipment leases, home equity, and other. 3 May include other types of RMBS transactions such as ALT-A, reverse mortgages, government RMBS, etc.

13 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

4.1. European 3-5 Yr AAA CMBS Spreads1 4.2. European 3-5 Yr BBB CMBS Spreads1

200

400

600

800

1000

1200

1400

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

1000

2000

3000

4000

5000

6000

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

4.3. US 3 & 5 Yr AAA CMBS Spreads2 4.4. US 3 & 5 Yr BBB CMBS Spreads2

200

400

600

800

1000

1200

1400

1600

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Trepp LLC

CMBS 3 Yr CMBS 5 Yr

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Trepp LLC

CMBS 3 Yr CMBS 5 Yr

1 Markit provides independent composite spread levels which are calculated from dealer contributions and are subject to multiple cleaning algorithms. These levels are equivalent to the ‘discount margin’

which is defined as the effective spread to maturity of a floating rate security after discounting the yield value of a price other than par over the life of a security. 2 US CMBS spreads are quoted for fixed rate bonds as the spread to the yield on US Treasury Bonds with the same average life as the CMBS bond. Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

14 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

5.1. European 3-5 Yr AAA RMBS Spreads1 5.2. European 3-5 Yr BBB RMBS Spreads1,2 ,3

100

200

300

400

500

600

700

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

Spain

Neth erland s

Italy

Fran ce

German y

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

Spain

Neth erland s

Italy

5.3. UK 3-5 Yr AAA RMBS Spreads1 5.4. UK 3-5 Yr BBB RMBS Spreads1, 4

200

400

600

800

1000

1200

1400

1600

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

UK RMBS (Prime)

UK RMBS (Non -co nforming)

1000

2000

3000

4000

5000

6000

7000

8000

9000

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

UK RMBS (Prime)

UK RMBS (Non -co nforming)

which is defined as the effective spread to maturity of a floating rate security after discounting the yield value of a price other than par over the life of a security. 2 French 3-5 year BBB RMBS credit spreads are unavailable. 3 German BBB spreads are unavailable due to insufficient information at time of publication. 4 Due to a lack of bonds populating the WAL 3-5 year sector for UK Prime RMBS BBB, the sector has been replaced with the WAL 1-3 year UK Prime RMBS sector. The UK non-conforming RMBS BBB

sector will continue to remain WAL 3-5 years. Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

15 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

6.1. European 1-4 Yr AAA ABS Spreads1 6.2. European 1-4 Yr BBB ABS Spreads1

100

200

300

400

500

600

700

800

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

Auto 1-4 Yr

Credit Card 1-4 Yr

500

1000

1500

2000

2500

3000

3500

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Markit

Auto 1-4 Yr

Credit Card 1-4 Yr

6.3. US 3 Yr AAA ABS Spreads 6.4. US 3 Yr BBB ABS Spreads2

100

200

300

400

500

600

700

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: JP Morgan

Cred it Card 3 Yr AAA

Auto 3 Yr AAA

500

1000

1500

2000

2500

3000

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: JP Morgan

Cred it Card 3 Yr BBB

which is defined as the effective spread to maturity of a floating rate security after discounting the yield value of a price other than par over the life of a security. 2 US 3 Yr Auto ABS BBB spreads are not available. Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

16 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

7.1. European 3-5 Yr AAA RMBS Prices1 ,2 7.2. European 3-5 Yr BBB RMBS Prices1

100

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Source: Markit

Spain Netherland s Italy Germany France

100

110

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Source: Markit

Sp ain Netherlan ds Italy

1. Spanish AAA RMBS provided: IM Pastor 3, Fondo de Titulizacion Hipote-

caria, Class A, Series 3. ISIN# ES0347862007. EUR-denominated. 2. Dutch AAA RMBS provided: Saecure 5 B.V. Class A, Series 1. ISIN#

XS0217032738. EUR-denominated. 3. Italian AAA RMBS provided: Vela Home S.r.l. 3, Class A, Series 3. ISIN#

IT0003933998. EUR-denominated. 4. German AAA RMBS provided: Hallam Finance plc, Class A, Series 1.

ISIN# XS0206470865. EUR-denominated. 5. French AAA RMBS provided: FCC Loggias Compartment 2003, Class A,

Series 1. ISIN# FR0010029231. EUR-denominated.

1. Spanish BBB RMBS provided: Hipocat 8, Fondo de Titulizacion Activos, Class D, Series 1: ISIN# ES0345784047. EUR-denominated.

2. Dutch BBB RMBS provided: Dutch Mortgage Portfolio Loans IV B.V., Class C, Series 1. ISIN# XS0194097670. EUR-denominated.

3. Italian BBB RMBS provided: Intra Mortgage Finance 1 S.r.l., Class 1, Series 1. ISIN# IT0003406003. EUR-denominated.

Note: French and German 3-5 Yr BBB RMBS data are not available.

7.3. UK 3-5 Yr AAA RMBS Prices1 7.4. UK 3-5 Yr BBB RMBS Prices1

100

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Source: Markit

UK RMBS (Prime)

UK RMBS (Non -co nforming)

100

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Source: Markit

UK RMBS (Prime)

UK RMBS (No n-conforming)

1. UK AAA prime RMBS provided: Permanent Financing (No. 9) PLC, Class

4A, Series 9. ISIN# XS0248264060. EUR-denominated. 2. UK AAA non-conforming RMBS provided: Leek Finance (No. 17) PLC,

Class CC, Series 17. ISIN# XS0232829332. EUR-denominated.

1. UK BBB prime RMBS provided: Permanent Financing (No. 5) PLC, Class C, Series 5. ISIN# XS0197070831. GBP-denominated.

2. UK BBB subprime RMBS provided: Leek Finance Number Sixteen Plc, Class Cc, Series 1. ISIN# XS0232829332. EUR-denominated.

1 Markit prices: Independent composite prices levels are calculated from dealer contributions which have been subject to multiple cleaning algorithms for one sample bond per sector and ratings category

where possible. According to the rules we have agreed on previously, the security we have chosen receives the greatest number of contributions for a bond matching the criteria and must receive at least 3 individual contributions. We have included data from the start of 2007 to present.

2 A composite level of prices for Germany 3-5 year AAA RMBS could not be formed after 7 July 2008. Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

17 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

8.1. Pan-European 3-5 Yr AAA CMBS Prices1 8.2. Pan-European 3-5 Yr BBB CMBS Prices1

100

2/08 5/08 8/08 11/08 2/09 5/09 8/09 11/09 2/10 5/10 8/10 11/10 2/11 5/11 Source: Markit

100

2/08 5/08 8/08 11/08 2/09 5/09 8/09 11/09 2/10 5/10 8/10 11/10 2/11 5/11

Source: Markit

Pan-European AAA CMBS provided: Opera Finance (Metrocentre) Plc, Class A, Series 1. ISIN# XS0211548143. GBP-denominated.

Pan-European BBB CMBS provided: German Residential Asset Note Distributor Plc, Class D, Series 1. ISIN# XS0260143101. EUR-denominated.

8.3. Pan-European 1-4 Yr AAA ABS Prices1 8.4. Pan-European 1-4 Yr BBB ABS Prices1

100

2/08 5/08 8/08 11/08 2/09 5/09 8/09 11/09 2/10 5/10 8/10 11/10 2/11 5/11

Source: Markit

Auto 1-4 Yr Credit Card 1-4 Yr

100

2/08 5/08 8/08 11/08 2/09 5/09 8/09 11/09 2/10 5/10 8/10 11/10 2/11 5/11

Source: Markit

Credit Card 1-4 Yr

1. Pan-European AAA Auto ABS provided: Driver Two GmbH, Class A, Se-

ries 1. ISIN# XS0228171673. EUR-denominated. 2. Pan-European AAA Credit Card ABS provided: Chester Asset Receivables

DGS 2004-1, Class A, Series UK2004-1. ISIN# XS0188611783. GBP- denominated.

1. Pan-European BBB Credit Card ABS provided: Chester Asset Receivables DGS 2004-1, Class C, Series UK2004-1. ISIN# XS0188612245. GBP- denominated.

Note: Pan-European 1-4 Yr BBB Auto ABS price data are not available.

1 Markit prices: Independent composite price levels are calculated from dealer contributions which have been subjected to multiple cleaning algorithms for one sample bond per sector and ratings category

Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

18 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

9.1. Securitised Index Option Adjusted Spreads 9.2. Barclays PanEurope Fixed and Floating Prices

100

150

200

250

300

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Basis Points

Source: Barclays Capital

US Securitised OAS

Pan-Euro Securitised OAS

100

105

1/10 4/10 7/10 10/10 1/11 4/11

Source: Barclays Capital

Barclays Fixed Pan Europe

Barclays FRN Pan Europ e

9.3. ABX.HE and CMBX Prices1 9.4. PrimeX ARM and FRM Prices

100

120

1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11

Source: Markit

Markit ABX.HE AAA Markit ABX.HE BBB

Markit CMBX AAA Markit CMBX BBB

100

102

104

106

108

Apr-10 Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11

Source: Markit

Markit PrimeX.ARM

Markit PrimeX.FRM

1 Due to pricing convention changes occurring on 20 April 2009, ABX.HE and CMBS spreads are no longer available. Note: Gaps in data availability occur in some places and result in linebreaks for those data series.

19 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

10.1. European Total Return1 10.2. UK Total Return1

60.00

70.00

80.00

90.00

100.00

110.00

120.00

130.00

140.00

1/07 5/07 9/07 1/08 5/08 9/08 1/09 5/09 9/09 1/10 5/10 9/10 1/11 5/11

Source: Markit

All Euro pe RMBS (EUR)

All Euro pe CMBS (EUR)

All Euro pe ABS (EUR)

All Euro pe ABS (GBP)

60.00

70.00

80.00

90.00

100.00

110.00

120.00

130.00

140.00

1/07 5/07 9/07 1/08 5/08 9/08 1/09 5/09 9/09 1/10 5/10 9/10 1/11 5/11

Source: Markit

UK CMBS (GBP)

UK PRMBS AAA (GBP)

UK Non con forming RMBS AAA (GBP)

10.3. Europe ex UK RMBS AAA1

80.00

85.00

90.00

95.00

100.00

105.00

110.00

1/07 5/07 9/07 1/08 5/08 9/08 1/09 5/09 9/09 1/10 5/10 9/10 1/11 5/11

Source: Markit

Neth erland s RMBS AAA (EUR)

Span ish RMBS AAA (EUR)

1 Total Return Data may be denominated in either EUR or GBP depending on the index. See legends for more detail.

20 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 11.1. European ABCP Historical Issuance2

Q1 Q2 Q3 Q4 TOTAL2

2004 28.2 29.7 35.8 37.8 131.5 2005 44.9 52.4 51.2 46.6 195.1 2006 61.6 65.8 76.1 84.7 288.2 2007 111.0 108.5 100.9 129.9 450.2 2008 75.0 66.8 73.8 86.2 301.8 2009 46.1 39.9 39.0 32.1 157.2 2010 32.1 35.7 38.8 38.8 145.4 2011 32.8 35.3 68.1 11.2. European ABCP Issuance by Nationality of Issuer3 4 5

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

France 7.2 8.9 16.1 5.1 6.3 7.2 7.0 25.5 Germ any 0.0 0.0 0.0 Ireland 22.2 21.0 43.2 24.2 26.0 26.9 27.9 105.0 Italy 0.0 0.0 0.0 Luxem bourg 0.0 0.1 0.2 0.2 0.1 0.6 Netherlands 0.0 Spain 0.0 0.0 0.0 0.0 0.0 0.0 UK 3.4 5.4 8.8 2.6 3.3 4.5 3.8 14.2 Total2 32.8 35.3 68.1 32.1 35.7 38.8 38.8 145.4 11.3. European ABCP Issuance by Programme Type

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL2 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL2

SIVs 0.0 0.0 0.0 Single-Seller Conduits 0.0 0.1 0.2 0.2 0.1 0.6 Multi-Seller Conduits 21.1 25.8 46.9 20.4 23.0 25.7 24.8 93.9 Unspecified 11.8 9.4 21.3 11.6 12.5 12.9 13.9 50.9 Total2 32.9 35.3 68.2 32.1 35.7 38.8 38.8 145.4 11.4. ABCP Outstandings by Nationality of Issuer

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 France 2.8 3.4 1.5 2.2 2.3 2.4 Germ any Ireland 6.4 7.1 7.4 8.4 7.4 6.4 Italy Luxem bourg 0.1 0.1 0.1 Netherlands Spain 0.0 0.0 UK 1.0 1.0 1.1 1.9 1.9 1.5 European Total2,4 10.3 11.4 10.0 12.5 11.7 10.3 US Total1,2 188.1 217.9 222.8 196.1 192.8

Source: Dealogic, Moody’s Investors Service

source after the prior period cut-off dates. 3 Dealogic provides the issuer’s nationality as the country in which the SPV is domiciled. This data does not represent the seller-servicers of the underlying assets or the bank conduits for ABCP deals. 4 Outstanding data are restricted to nationality of the issuer to determine the country of collateral. Dealogic provides the issuer’s nationality as the country in which the SPV is domiciled.

21 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 11.5. European ABCP Outstandings by Programme Type

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 SIVs Single-Seller 0.1 0.1 0.1 0.1 Multi-Seller 7.8 8.7 7.5 8.9 8.7 7.7 Unspecified 2.5 2.8 2.5 3.6 3.0 2.5 Total 10.3 11.4 10.0 12.5 11.7 10.3 11.6. US ABCP Outstandings by Programme Type2 3 4

2011:Q1 2011:Q2 2011:Q3 2011:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4 Loan-Backed SIVs Single-Seller 21.4 18.6 17.4 13.4 15.3 Multi-Seller 159.1 189.6 195.0 174.6 170.0 Unspecified5 7.7 9.8 10.4 8.1 7.5 Total1,3 188.1 217.9 222.8 196.1 192.8

Source: Dealogic, Moody’s Investors Service

1 All volumes are denominated in euro. The US volumes were converted from dollar to euro based on the $/€ exchange rates as of quarter-end. 2 Based on US ABCP programmes rated by Moody’s NY office ABCP Program Index, regardless of market. Therefore, some euro-denominated ABCP may be included in this figure. 3 Includes arbitrage and hybrid programme types.

11.7. ABCP Outstanding Assets Split by Country1 2 3 11.8. US ABCP to AA Non-financial CP Spread Country United States 28.3% United Kingdom 20.4% Others 14.2% Global2 13.7% Ge rm any 7.4% Europe 3 7.1% Italy 4.6% France 4.3% Total 100.0%

100

150

200

250

300

350

400

1/08 5/08 9/08 1/09 5/09 9/09 1/10 5/10 9/10 1/11 5/11

Basis Points

Source: Federal Reserve

Source: Moody’s Investors Service

1 Percentages shown are as of June 2010; all EMEA ABCP programmes. 2 Refers to ABCP with assets originating from multiple countries, at least one of which is outside Europe. 3 Refers to ABCP with assets originating from multiple European countries.

22 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

€ BILLIONS 1 12.1. Global Securitisation Issuance2

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL1 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL1

US 115.0 103.9 218.9 119.5 110.1 128.1 134.6 492.3 Europe 10.1 18.8 28.9 15.1 17.9 25.6 14.0 72.5 Asia 16.4 23.3 39.6 8.7 8.3 13.9 13.4 44.4 Total1 141.4 146.0 287.5 143.3 136.4 167.5 162.1 609.2 12.2. Global Corporate Bond Issuance3 4

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL1 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL1

US 99.6 88.8 188.4 74.0 49.1 104.4 75.6 303.0 Europe 187.3 110.7 298.0 184.2 91.1 146.6 86.0 507.9 Asia 91.6 97.7 189.3 78.8 86.1 89.6 81.0 335.5 Total1 378.5 297.2 675.7 337.0 226.3 340.6 242.6 1146.4 12.3. Global Government Bond Issuance4

2011:Q1 2011:Q2 2011:Q3 2011:Q4 TOTAL1 2010:Q1 2010:Q2 2010:Q3 2010:Q4 TOTAL1

US 141.7 125.6 267.3 243.3 218.5 217.1 175.5 854.3 Europe 191.3 125.9 317.2 181.4 99.2 112.9 61.4 454.9 Asia 37.9 38.7 76.6 45.3 39.1 56.2 44.7 185.4 Total1 370.9 290.2 661.1 470.0 356.8 386.2 281.6 1494.6

Source: Dealogic

1 US and Asian volumes were converted to euro based on the average exchange rate of the currency of issue to euro over each given quarter. Historical or prior period numbers are revised to reflect

changes in classification, refined selection methodology, or information submitted to our data source after the prior period cut-off dates. 2 Global securitisation issuance includes ABS & MBS, both public and private placements, but excludes any retained volumes. Asia numbers include Japan. 3 Global corporate bond issuance is for investment grade bonds, public placements only. Asia numbers include Japan. 4 Global government bond issuance includes all agency and non agency issuances and does not include supranationals. Asia numbers include Japan.

23 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Summary of the Methodologies Adopted for this Report

1. Issuance 1.1. – 1.2. European and US Historical Issuance (p. 3) The tables covering historical issuance in Europe and the US are denominated in EUR billions. The historical issuance vol- ume total is calculated by adding all transactions in different asset classes including, among others, asset-backed securities (ABS), collateralised debt obligations (CDOs), commercial mortgage-backed securities (CMBS), and residential mort- gage-back securities (RMBS). Please note that numbers may not add due to independent rounding and that historical or prior period numbers are revised to reflect changes in classi- fication, refined selection methodology, or information sub- mitted to our data sources after the prior period cut-off dates.

1.3. - 1.4. Issuance by Collateral (p. 3) The European issuance volumes are determined based on the review of four data sources: Bloomberg, JP Morgan, Thom- son Reuters, and UniCredit starting from Q1 2009; and Deutsche Bank starting from Q1 2010. In prior quarters our sources were Bloomberg, JP Morgan, Merrill Lynch and Thomson Reuters. RMBS, CMBS and ABS are defined as European by having underlying assets located in a European country. European securities included in the calculation are the ones for which there is a specific match in terms of size, name, country of collateral and collateral type from at least two sources. Securities that fail to meet these criteria are ex- cluded. With respect to CDOs, securities are designated as European if they are issued in any European currency, regard- less of their country of collateral.

Placed and retained European issuance collateral are sourced from AFME and/or SIFMA dealer member research, Dealogic, Bloomberg, and Thomson Reuters. Placed issuance includes all tranches placed in the public market, private placements, and preplacements. Partial issuance of a tranche is considered to be placed if half or more by euro amount of the tranche is reported placed. Placed and retained issuance will not retroactively consider securities originally issued re- tained and then placed in the marketplace, and are estimates.

The US non-agency RMBS, CMBS, ABS and CDO is- suance data source is Thomson Reuters. Agency mortgage- backed securities (MBS) are defined as securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae and are acquired from company statements. US issuance data are generally based on the sum of securities with US collateral; agency is- suance numbers do not include securitisations of existing agency securities. US CDO data are defined as USD- denominated CDOs regardless of the country of collateral. The US issuance data are converted to Euros based on the USD to EUR exchange rate at each quarter-end indicated be- low.

Q3 2009 .6831 Q4 2009 .6978 Q1 2010 .7402 Q2 2010 .8172 Q3 2010 .7334 Q4 2010 .7471 Q1 2011 .7064 Q2 2011 .6896

These same conversion rates, sourced from Bloomberg, are used on all US issuance and outstanding volume data.

1.5. Issuance by Country of Collateral (p. 4) The tables covering issuance in the US and Europe are pre- sented in EUR billions. For Europe the information is seg- mented by country of collateral.

The European issuance is segmented by country to the extent that a determination can be made. Securities with the underlying collateral originating from more than one jurisdic- tion are categorised as Multinational. Almost all CDOs are classified under this Multinational group due to the complex- ity involved in identifying origin of collateral for each spe- cific tranche. The European issuance volumes are determined based on the review of multiple data sources: Deutsche Bank and Bank of America-Merrill Lynch as of Q1 2010, Bloomberg, JP Morgan, Thomson Reuters and UniCredit starting from Q1 2009; and RBS starting from Q3 2009. In prior quarters the sources were Bloomberg, JP Morgan, Thomson Reuters and Merrill Lynch.

US CDO data are defined as USD-denominated issues regardless of country of collateral.

1.6. Issuance by Collateral Type and Country of Collateral (p. 4) Issuance information is further specified by country of collat- eral for European issuance only and by asset class. CDO clas- sification is the same as above.

1.7. – 1.8. Issuance by Rating (p. 5) Issuance is presented by credit rating classification (AAA; AA; A; BBB and below; and Not Rated) on a quarterly basis for 2007 and 2008. The credit rating assigned is the lowest of the ratings provided by Fitch Ratings, Moody’s Investors Service and/or Standard & Poor’s. These ratings are intended to represent their corresponding equivalent at each agency; e.g., an AAA rating is equal to an Aaa Moody’s rating, AA equal to Aa1, etc. Securities are classified ‘Not Rated’ if none of the credit rating agencies have provided an opinion on the underlying credit quality of a particular tranche, or if the rat- ings are unknown. US agency MBS issues are generally not rated and therefore grouped separately under Agency MBS.

24 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

1.9. Issuance by Deal Size (p. 5) European and US securitisation issuance volume is seg- mented by transaction size based on data provided by Dealogic. The European data covers all asset classes and EUR-denominated CDOs. US non-Agency data includes ABS, non-agency CMBS and RMBS, and USD-denominated CDOs. US agency MBS, which includes agency CMBS and RMBS, is shown separately.

All data, except for CDOs, are included according to the country of collateral. The number of issues refers to the num- ber of deals, not the number of tranches within each deal.

Dealogic data for retained deals are based on available information from both European and US dealers’ syndicate desks. Further statistics on retained deals are added based on intelligence from other market participants such as regulatory bodies and newswires across Europe.

2. Balances Outstanding 2.1. – 2.2. Outstandings by Collateral (p. 6)

The outstanding volumes are reported by asset class. Subtotals may not add to totals due to independent rounding and historical or prior period numbers are continuously re- vised to reflect changes in classification, refined selection methodology, or information submitted to our data sources after the prior period cut-off dates. For Europe, balances out- standing are calculated by the principal balance outstanding on structured product transactions including public, private, rated, unrated, listed and unlisted securities provided by Bloomberg. Balances outstanding are determined by multi- plying eligible securities by their pool factor for the quarter and sorted accordingly. Tranches that are non-EUR- denominated are converted to EUR by Bloomberg based on the exchange rate at the time of the pricing date (as specified by the lead manager/arranger), or, if missing, the issue date as specified in each security’s original offering documentation. Securities included in the calculations, except for CDOs, have collateral originated from at least one European country to the extent that a determination can be made. However, for ABS and MBS securities with collateral originated in multi- ple countries, or where the origin of the underlying collateral is undefined, the following selection criteria apply: securities are considered eligible as European only if they are denomi- nated in a European currency, as defined below, and the country of issuer (considered to be the country in which the issuing SPV is incorporated) is within Europe. In certain lim- ited cases, the Channel Islands and the Cayman Islands are considered eligible as European jurisdictions for ABS and MBS products if underlying collateral is derived from a vari- ety of jurisdictions and the original currency of issue is EUR only.

For our selection criteria, European currencies include the euro (EUR) and all predecessor currencies, as well as the Turkish lira (TRY), the Danish kroner (DKK), the Swedish krona (SEK), the British pound (GBP), and the Russian ruble (RUB).

Furthermore, our selection criteria consider Europe to in- clude all European Economic Area (EEA) countries and cer- tain non-EEA countries located on the geographic European continent. We have included Turkey, Kazakhstan, Iceland, Georgia and the Russian Federation in these criteria.

For the CDO sector, only issuance denominated in a European currency (as specified above) is included, regard- less of the country of collateral.

Beginning in Q2 2010, the CDO asset class has been fur- ther broken down into the CDO and SME asset classes. SME securities follow the same criteria application as non-CDOs. Revisions during this quarter were retroactively applied and balances outstanding from prior quarters have all been re- stated accordingly.

The US outstanding calculations are based on informa- tion derived from Bloomberg for ABS; agency balance statements for agency MBS; Loan Performance for non- agency RMBS; Federal Reserve, Bloomberg and SIFMA for non-agency CMBS. The following asset classes are seg- mented: agency MBS, non-agency RMBS, non-agency CMBS, and ABS. The agency MBS figures include both RMBS and CMBS. The ABS classification for the US in- cludes CDOs, which contains USD-denominated CDOs re- gardless of the country of collateral.

2.3. Outstandings by Country of Collateral (p. 7) The European outstanding volumes are segmented by country of collateral based on the above methodology. For our selec- tion criteria, Europe is considered to include all European Economic Area (EEA) countries and certain non-EEA coun- tries located on the geographic European continent (Georgia, Iceland, Turkey, Kazakhstan and the Russian Federation). In certain limited cases, the Channel Islands and the Cayman is- lands are considered eligible for ABS and MBS products if underlying collateral is derived from a variety of jurisdictions and the original currency of issue is European. CDOs issued in a European currency with either collateral from multiple jurisdictions or for which the underlying location of collateral is undefined are categorized under ‘Multinational’ for the purpose of determining outstanding balances by country. Col- lateral from multiple European countries is now categorised under ‘PanEurope’ unless collateral is predominantly (over 90%) from one country.

The US outstandings include both agency and non- agency securities.

2.4. – 2.5. Outstandings by Moody’s Rating (p. 8) The percentage rating distribution for Europe and the US is based on Moody’s Investors Service data for balances out- standing. The data provides current ratings as of the end of the quarter. The data presented are based on original issuance volumes for European and US securities, and therefore do not reflect amortised balances. Information on current ratings by outstanding volumes is not currently available. Moody’s data have been converted to percentages based on the original is- suance size to make it easily comparable with the outstanding

25 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

volumes provided in this report. Defaulted and unrated issues are excluded from these data.

2.6. Outstandings by Country and Collateral (p. 9) Outstanding volumes are further specified by asset class and, for Europe only, by country of collateral. CDO selection cri- teria are the same as above.

2.7. Outstandings by Vintage (p. 9) Outstanding volumes by vintage are determined by year of original pricing date. Restructurings are counted from origi- nal pricing date rather than remarketed date.

3. Credit Quality – Rating Changes 3.1. – 3.3. Upgrades/Downgrades by Country (p. 10) These tables present the aggregate number of upgrades and downgrades for securitisation (including CDOs) by country of collateral for European deals and in total for US deals. The information is based on data provided by Fitch Ratings, Moody’s Investors Service and Standard & Poor’s. The up- grade number is shown first followed by the downgrade number. The upgrades and downgrades of each of credit rat- ing agency is shown in separate tables and presented as the number of rating changes. Because the credit rating agencies track different securities and apply different credit rating methodologies, these numbers are not directly comparable.

According to Moody’s Investors Service, a security is classified as European or American based on if it is moni- tored out of Moody’s office in Europe or the US. More spe- cifically, European securities are classified within a particular country if all of its assets are located within that country.

The Multinational category includes CDOs and all other cross-jurisdictional securitisations for both Moody’s In- vestors Service and Standard & Poor’s. The Fitch Ratings Multinational classification includes cross-jurisdictional CMBS as well as the aggregated sum of rating actions in other countries including Austria, Belgium, Greece, Ireland, Portugal and the Russian Federation. Fitch Ratings assigns CDO issues to the country in which the majority of the under- lying assets are located.

3.4. – 3.9. Upgrades/Downgrades by Collateral (p. 11) These tables present aggregate upgrades and downgrades for securitisation and CDO issues by securitised product type for Europe and the US. The upgrade number is shown first fol- lowed by the downgrade number. The upgrades and down- grades of each agency are shown in separate tables and pre- sented by number rating changes. For Fitch Ratings, the cate- gory Other RMBS includes other categories of RMBS trans- actions such as ALT-A, reverse mortgage, government RMBS, etc. The category ‘Other ABS’ may include student loans and the whole business securitisations (WBS). For Moody’s Investors Service and Standard & Poor’s, the total number of European upgrades/downgrades reported by col- lateral type are not always comparable with the up- grades/downgrades presented by country because there may be securities that experience rating migrations that are backed

by collateral originated from a country outside of those speci- fied and will not be captured under the “Multinational” cate- gory.

4 - 6 Spreads 4.1. - 4.4. CMBS Spreads (p. 12) These graphs present credit spread data for European and US AAA and BBB 3-5 Yr CMBS. European 3-5 year AAA & BBB CMBS data are provided by Markit. Composite spread levels are calculated from dealer contributions which have been subjected to multiple cleaning algorithms. Spread levels are equivalent to the discount margin. The discount margin is defined as the effective spread to maturity of a floating rate security after discounting the yield value of a price other than par over the life of the security. The spread calculation is based on data provided by dealer trading desks.

US CMBS 3 and 5 year spreads are provided by Trepp LLC. US CMBS spreads are quoted as fixed rate bonds based on the yield of US treasury bonds with the same average life.

5.1. - 5.5. RMBS Spreads (p. 13) European RMBS credit spreads are provided for 3-5 year AAA and BBB securities based on data provided by Markit. European credit spreads cover Spain, Netherlands, Italy, Germany and France. The UK RMBS spreads are provided for both prime and non-conforming transactions. Markit spread calculations are based on data provided by dealer trad- ing desks.

US subprime AAA home equity credit spreads are calcu- lated over LIBOR and provided by Barclays Capital.

6.1. - 6.4. ABS Spreads (p. 14) European ABS credit spreads are provided for 1-4 year AAA and BBB securities based on data provided by Markit based on the same calculations described above.

US spreads reflect levels for AAA autos, AAA credit cards, and BBB credit cards; spreads are fixed against swaps and are provided by JP Morgan.

7 - 8 Prices 7.1. – 7.4. RMBS Prices (p. 15) These graphs represent price data for specific European and UK RMBS selected as benchmarks in the respective jurisdic- tions. The price calculations are provided by Markit and are based on data provided by dealer trading desks.

8.1. - 8.4. CMBS and ABS Prices (p. 16) These graphs represent price data for specific pan-European CMBS and ABS selected as benchmarks in the respective ju- risdictions. The price calculations provided by Markit and are based on data provided by dealer trading desks.

9.1. - 9.3. Indices Data (p. 17) The first graph presents daily option-adjusted spreads pro- vided by Barclays Capital for Europe and US ABS indexes from a cross-section of securitised products. The second graph presents prices provided by Barclays for a cross-section

26 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

of pan-European securitised products, broken out by fixed and floating rates.

The third graph presents daily prices provided by Markit for the benchmark AAA and BBB rated US ABX and CMBX derivative indices. The ABX (ABX.HE) is an index from ref- erence obligations issued by twenty issuers of RMBS that meet the criteria specified in the ABX.HE Index Rules. The majority of the mortgages backing the security underlying must be first-liens. The index calculation is based on the Markit proprietary methodology calculating the contributed prices from dealers. The CMBX follows a similar methodol- ogy as an index for credit derivatives of US CMBS issues. The ABX and CMBX are widely followed benchmarks in the securitised marketplace for subprime RMBS and CMBS market sectors, respectively.

10 Total Return Benchmark Data 10.1. – 10.3. Total Return Data (p. 18) These graphs represent historical return composites generated by tracking the aggregate asset value on an underlying portfo- lio of single name bonds. Data are provided by Markit and are preliminary.

For more information, please visit here: http://www.markit.com/en/products/data/indices/structured- finance-indices/iboxx-abs/iboxx-abs.page

11. Asset-Backed Commercial Paper (ABCP) 11.1. – 11.2. ABCP Historical Issuance; ABCP Issuance by Nationality of Issuer (p. 19) Aggregate issuance data covers the period 2008 through 2009 for Europe and the US. European issuance is provided by Dealogic, which identifies the issuer’s nationality as the country in which the SPV is domiciled. These data do not represent the seller-servicers of the underlying assets or the bank conduits for the ABCP deals. The US data are provided by Moody’s Investors Service. The volumes are converted from dollar to euro based on the end-of-quarter exchange rate.

11.3. European ABCP Issuance by Programme Type (p. 19) ABCP data by programme type is provided by Dealogic and covers the period from 2008 through 2009 for Europe. The programme type classifications included are: SIVs, single- seller conduit, multi-seller conduit and ‘unspecified’.

11.4. ABCP Outstandings by Nationality of Issuer (p. 19) Outstanding quarterly data are provided from the first quarter of 2008 through 2009 for Europe and the US. The European outstanding is provided by country through the Dealogic da- tabase, and the US data are provided by Moody’s Investors Service. Dealogic identifies the issuer’s nationality as the country in which the SPV is domiciled. The dollar volumes were converted to euro based on the end-of-quarter exchange rate.

11.5. – 11.6. ABCP Outstandings by Programme Type (p. 20) Outstanding quarterly data are provided from the first quarter of 2008 through 2009 for Europe and the US. The European data are provided by Dealogic and the US data are provided by Moody’s Investor Service. The volumes are converted from dollars to euro based on the end-of-quarter exchange rate. The programme type classifications included are: loan- backed, SIVs, single-seller conduit, multi-seller conduit and ‘unspecified’.

11.7. ABCP Outstanding Assets Split by Country (p. 20) Global outstanding ABCP assets percentages are presented by country as of June 2008. The information is provided by Moody’s Investors Service. The asset percentage represents the actual amount of assets funded via ABCP and other sources, not including cash and short-term investments. Therefore the asset percentage is not necessarily equal to the ABCP outstanding amount.

11.8. ABCP Spreads (p. 20) The US ABCP spread information is based on data collected and developed by the Federal Reserve. The spread is defined as the difference between AA ABCP and AA nonfinancial CP.

12. Global Comparative Data 12.1. - 12.3. Global Securitisation Issuance, Global Corpo- rate Bond Issuance, Global Government Bond Issuance (p. 21) These statistics are provided by Dealogic and present issu- ance volumes for securitisation, corporate bonds and gov- ernment bonds in Asia, the US and Europe. Securitisation and government bond figures represent gross issuance; corporate bond issuance is provided on a gross, not net, basis. All types of securitisation are included; CDOs are included based on the region of the currency in which they are denominated. The issuance volumes are provided quarterly for 2007 and 2008. These statistics do not correspond to the issuance num- bers provided elsewhere in this report as different sources and selection methodologies are used to determine both the Euro- pean and US securitisation issuance. In terms of geographical description, Europe represents the European, the Middle East and African (EMEA) countries while Asia includes the Pa- cific countries and Japan.

13. Commentary Sources (p. 1) Bank for International Settlements, “Basel III: A Global Regulatory Framework for More Resilient Banks and Bank- ing Systems”, Dec. 2011, http://www.bis.org/publ/bcbs189.htm

European Central Bank, “The Euro Area Bank Lending Survey”, July 2011, http://www.ecb.int

European Central Bank, “ECB Introduces Loan by Loan Information requirements for CMBSs and SME transactions”, 29 April 2011, http://www.ecb.int

Eurostat, Statistics, http://epp.eurostat.ec.europa.eu

http://www.markit.com/en/products/data/indices/structured-finance-indices/iboxx-abs/iboxx-abs.page

http://www.bis.org/publ/bcbs189.htm

http://www.ecb.int/

http://epp.eurostat.ec.europa.eu/

27 AFME / ESF SECURITISATION DATA REPORT

Q2 2011

Federal Reserve,Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation, U.S. Securities and Exchange Commission, the Federal Housing Finance Agency, and the Department of Housing and Urban Development, “Credit Risk Retention”, http://sec.gov/news/press/2011/2011-79.htm

Moody’s, “EMEA ABS & RMBS Asset Performance Outlooks – July 2011” 26 July 2011, http://www.moodys.com

Moody’s, “European ABS & RMBS Rating Performance During the Crisis: Major Markets Prove Resilient, While Periphery Weakens,” 12 July 2011, http://www.mooodys.com

Moodys, “European Leveraged Loans: Robust Recoveries in Recent Downturn,” 27 July 2011, http://www.moodys.com

Financial Stability Board (FSB), “Financial Stability Board publishes note on shadow banking”, 12 April 2011, http://www.financialstabilityboard.org/press/pr_110412a.pdf

Financial Stability Board (FSB), “Shadow Banking: Scop- ing the Issues”, 12 April 2011, http://www.financialstabilityboard.org/publications/r_110412 a.pdf

Standard and Poor’s, “European Structured Finance Down- grades Expected as Few Counterparty Action Plans Material- ize,” 12 April 2011, http://www.standardandpoors.com

Disclaimer The information and opinion commentary in this Securitisa- tion Quarterly Report (Report) was prepared by the securiti- sation division of the Association for Financial Markets in Europe (AFME / ESF) and the Securities Industry and Finan- cial Markets Association (SIFMA). AFME / ESF and SIFMA believe that the information in the Report, which has been ob- tained from multiple sources believed to be reliable, is reli- able as of the date of publication. In no event, however, does either of AFME / ESF and SIFMA make any representation as to the accuracy or completeness of such information. AFME / ESF and SIFMA have no obligation to update, mod- ify or amend the information in this Report or to otherwise notify readers if any information in the Report becomes out- dated or inaccurate. AFME / ESF and SIFMA will make every effort to include updated information as it becomes available and in subsequent reports. As information is col- lected from multiple sources and estimates by the individual sources may differ from one another, estimates for similar types of data could vary within the Report.

http://sec.gov/news/press/2011/2011-79.htm

http://www.moodys.com/

http://www.mooodys.com/

http://www.moodys.com/

http://www.financialstabilityboard.org/press/pr_110412a.pdf

http://www.financialstabilityboard.org/publications/r_110412a.pdf

http://www.standardandpoors.com/

AFME / ESF

Rick Watson, Managing Director

Sidika Ulker, Associate

www.afme.eu

SIFMA

Kyle Brandon, Managing Director,

Director of Research

Sharon Sung, Manager www.sifma.org

www.afme.eu

2011-Q2 AFME ESF DRAFT v3.pdf

1.1. European Historical Issuance 1.2. US Historical Issuance
1.3.a. European Issuance by Collateral
1.3.b. European Issuance by Retention
1.4. US Issuance by Collateral
1.5. Issuance by Country of Collateral
1.6. Issuance by Collateral Type and Country of Collateral
1.7. European Issuance by Rating
1.8. US Issuance by Rating
1.9. Securitisation Issuance by Deal Size
2.1. European Outstandings by Collateral
2.2. US Outstandings by Collateral
2.3. Outstandings by Country of Collateral
2.4. European Outstandings by Moody’s Investors Service Ratings
2.5. US Outstandings by Moody’s Investors Service Ratings1
2.6. European Outstandings by Vintage1
2.7. European Outstandings by Country and Collateral
Upgrades/Downgrades by Country
Upgrades/Downgrades by Collateral

4.1. European 3-5 Yr AAA CMBS Spreads 4.2. European 3-5 Yr BBB CMBS Spreads1
4.3. US 3 & 5 Yr AAA CMBS Spreads 4.4. US 3 & 5 Yr BBB CMBS Spreads2
5.1. European 3-5 Yr AAA RMBS Spreads 5.2. European 3-5 Yr BBB RMBS Spreads1,,
5.3. UK 3-5 Yr AAA RMBS Spreads1 5.4. UK 3-5 Yr BBB RMBS Spreads1,
6.1. European 1-4 Yr AAA ABS Spreads 6.2. European 1-4 Yr BBB ABS Spreads1
6.3. US 3 Yr AAA ABS Spreads 6.4. US 3 Yr BBB ABS Spreads
7.1. European 3-5 Yr AAA RMBS Prices, 7.2. European 3-5 Yr BBB RMBS Prices1
7.3. UK 3-5 Yr AAA RMBS Prices1 7.4. UK 3-5 Yr BBB RMBS Prices1
8.1. Pan-European 3-5 Yr AAA CMBS Prices 8.2. Pan-European 3-5 Yr BBB CMBS Prices1
8.3. Pan-European 1-4 Yr AAA ABS Prices1 8.4. Pan-European 1-4 Yr BBB ABS Prices1
9.1. Securitised Index Option Adjusted Spreads 9.2. Barclays PanEurope Fixed and Floating Prices
9.3. ABX.HE and CMBX Prices 9.4. PrimeX ARM and FRM Prices
10.1. European Total Return 10.2. UK Total Return1
10.3. Europe ex UK RMBS AAA1

11.1. European ABCP Historical Issuance
11.2. European ABCP Issuance by Nationality of Issuer
11.3. European ABCP Issuance by Programme Type
11.4. ABCP Outstandings by Nationality of Issuer
11.5. European ABCP Outstandings by Programme Type
11.6. US ABCP Outstandings by Programme Type
11.7. ABCP Outstanding Assets Split by Country 11.8. US ABCP to AA Non-financial CP Spread
12.1. Global Securitisation Issuance
12.2. Global Corporate Bond Issuance
12.3. Global Government Bond Issuance4