SASF Securitisation Survey Feedback. Survey response rate Average response rate for incentivised survey is 15% SASF response rate was 8.7%

SASF Securitisation Survey

Feedback

Survey response rate

Average response rate for incentivised survey is 15% SASF response rate was 8.7%

0 50 100 150 200 250 300 350 400

E-mails sent

E-mails opened

Surveys completed

1st round (28 March 2008)

2nd & 3rd round (3 April & May 2008)

3%

33%

9%

28%

Question 1: Respondents

17%

3%

60%

13%

7%

0% 10% 20% 30% 40% 50% 60% 70%

Arranger

Attorney

Investor

Issuer

Other

Question 2: Size of fixed interest assets under

management

36%

13%

10%

7%

10%

20%

0% 5% 10% 15% 20% 25% 30% 35% 40%

R0 - R20 bn

R20bn - R40bn

R40bn - R60bn

R60bn - R80bn

Greater than R100bn

Not Applicable

Question 3&4: Investors investment appetite or holdings of securitisation transactions

3%

20%

10%

13%

20%

3%

10%

20%

23%

7%

7%

0%

0% 5% 10% 15% 20% 25%

None

0-5% of an issue

5%-10% of an issue

10%-20% of an issue

20%-30% of an issue

More than 30%

Historical Current

Question 5: We are currently shifting more funds under management from credit assets into cash

13%

10%

23%

20%

30%

3%

0% 5% 10% 15% 20% 25% 30% 35%

Not completed

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly Agree

Question 6: We currently prefer corporate bonds to securitisations of the same rating because corporate bonds offer:

0 2 4 6 8 10 12 14 16

A safer investment

Less complexity

Lower risk

We do not prefer corporate bonds tosecuritizations

More attractive pricing

Investors Other

20%

3%

47%

7%

10%

Question 7: The following factors are impacting our appetite for securitisation transactions:

23%

36%

13%

7%

7%

0% 5% 10% 15% 20% 25% 30% 35% 40%

Concerns arounddefault risk

International creditmarket concerns

Our appetite has notdecreased

Reached our maximumexposure limits

Does not suit myportfolio

Question 8: Our concerns regarding securitisation transactions include:

7%

13%

17%

37%

7%

3%

0% 5% 10% 15% 20% 25% 30% 35% 40%

Credit quality

Incorrect pricing (spreads to low for risk)

Insufficient disclosure and transparency

Lack of liquidity

Reputational risk if defaults occur

Sub-prime Related defaults in SA

Question 9: We currently have demand for:

Of the 20% that responded “we have no demand” none were investors

0 2 4 6 8 10

CMBS

Conduits

RMBS

We have no demand

ABS (store cards)

ABS (auto receivables) Investors Other

30%

20%

13%

17%

0%

0%

Question 10: Our appetite for securitisation paper will increase if there is an improvement in:

10%

23%

23%

3%

10%

7%

0% 5% 10% 15% 20% 25%

Credit quality

International credit market conditions

Liquidity

Stabilization of conduit markets

Transparecy

Trustee education

Question 11: I am concerned that in the run-up to the implementation of the National Credit Act reckless lending practices has taken place

3%

27%

13%

37%

20%

0% 5% 10% 15% 20% 25% 30% 35% 40%

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly agree

Question 12: Asset classes most impacted

10%

40%

7%

0% 5% 10% 15% 20% 25% 30% 35% 40% 45%

Home loan receivables

Store card receivables

Vehicle receivables

Question 13: Consumer defaults are going to:

90%

7%3% Increase

Stabilize

Did not answer

Question 14: I am concerned that excess spread will not be enough to absorb increased delinquencies and lower rated tranches

0 2 4 6 8 10 12 14 16

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly agree Investors Other

23%

17%

3%

10%

47%

Question 15: We feel that credit enhancement levels are adequate given current economic conditions

0 5 10 15 20

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly agree Investors Other

17%

23%

0%

3%

57%

Question 16: I am more concerned over the ability of non-bank servicers to manage arrears and delinquencies than bank servicers

17%

10%

30%

30%

10%

0% 5% 10% 15% 20% 25% 30% 35%

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly agree

Question 17: Investors in securitisations are currently being adequately compensated for risk

0 5 10 15 20

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly agree Investors Other

21%

14%

3%

0%

62%

Question 19: Securitisation spreads have widened due to:

68% indicated sub-prime related negative sentiment as most applicable reason

2nd most applicable reason:

0 2 4 6 8 10

Increased risk inunderlying assets

Knock-on effectsfrom conduits

Sub-prime relatednegative sentiment

Supply and demanddynamics

Investors Other

38%

25%

33%

4%

Question 20: Securitisations are currently attractive, but our mandates restrict us and we are over exposed to credit assets

0 2 4 6 8 10 12 14

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly agree Investors Other

44%

19%

4%

15%

19%

Question 21: My demand for securitisation paper is being impacted by the inability to obtain internal approvals

0 2 4 6 8 10

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly agree Investors Other

36%

24%

4%

20%

16%

Question 22: There has been push-back from trustees/other role players on investing in securitisations

0%

3%

17%

20%

3%

57%

0% 10% 20% 30% 40% 50% 60%

Strongly disagree

Disagree

Neither agree or disagree

Agree

Strongly agree

Did not answer

Questions 23: Trustees and credit committees need to be educated in order to understand the difference between South African transactions and international sub-prime transactions

3%

10%

17%

27%

40%

0% 5% 10% 15% 20% 25% 30% 35% 40% 45%

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly Agree

Question 24: South African conduits are a safe investment and it is highly unlikely that investors would experience losses on their investment in conduits

3%

13%

20%

33%

27%

0% 5% 10% 15% 20% 25% 30% 35%

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly agree

Question 25: I am concerned about conduits potentially having to sell assets at a discount which could negatively impact mark-to-market on my securitisation portfolios

3%

13%

33%

43%

7%

0% 10% 20% 30% 40% 50%

Strongly disagree

Disagree

Neither agree ordisagree

Agree

Strongly agree

Question 26: Is there enough information being made available to enable the investment decision:

20%

73%

53%

43%

0% 10% 20% 30% 40% 50% 60% 70% 80%

No

Yes

Ongoing basis

Commencement of the transaction

Questions 27: I am concerned that rating agencies:

17%

53%

20%

0% 10% 20% 30% 40% 50% 60%

Not assessing all therisks

Not monitoringtransactions closely

enough

I am not concernedabout ratings

Questions 28: We are currently comfortable to invest in transactions rated:

0 2 4 6 8 10 12 14 16 18 20

AAA

AA

A

BBB

BB

B

Unrated Tranches

InvestorsOther

Questions 29: I would pay a premium for dual rated transactions

43%

40%

17%No

Yes

Did not answer

Question 30: When, in your opinion will the international and domestic credit market recover?

10%

3%

50%

20%

0%

23%

47%

13%

0% 10% 20% 30% 40% 50% 60%

3Q2008

4Q2008

1H2009

2H2009

Domestic credit markets

International credit markets

Conclusion

Reasons for lower demand for securitisation paper Impacted by negative sentiment flowing from

international market crisis Liquidity is an issue! Investors are less concerned about credit risk Lower demand for credit assets (not only securitisation)

What will increase demand Normalisation of international markets Improvement in credit quality

Improve post issuance information and monitoring by rating agencies

Conclusion

Market sentiment Preference to highly rated CMBS Negative toward ABS (store cards & auto loans) General concern regarding delinquency levels

Investors are comfortable with: Structures (levels of credit enhancement) Non-bank servicers Pricing Conduits

Mandates/inability to obtain approvals is NOT an issue but credit comm need to be educated

Next steps

Re-send survey with incentive to gain more insight?

Roadshow investors?

Roadshow credit committees/trustees?