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Los Angeles • New York • Chicago • San Francisco • Minneapol is • Washington, D.C. • Dal las • At lanta • London • Paris • Frankfurt • Hong Kong • Tokyo • Bei j ing
EMAC NL 2004-I Investor Meeting March 13, 2012
Confidential
This presentation was prepared by CMIS Nederland
B.V. In relation to a meeting for which it invited holders
of Notes issued by the Issuer. The Issuer has not
authorised the contents of the presentation nor was it
involved in convening such meeting. Consequently, the
Issuer does not necessarily share any of the opinions
and/or statements made during such meeting and/or in
such presentation and does not accept any
responsibility for the contents thereof.
Table of Contents
Page
Introduction 3
EMAC NL 2004-I Deal Performance 7
EMAC NL 2004-I Strategies
Promote Prepayments 10
Collateral Sale Program 16
Comparison of Strategies 20
Next Steps 22
EMAC 2004-I Investor
Meeting
1
Disclaimer EMAC 2004-I Investor
Meeting
2
This confidential presentation (the “Materials”) has been prepared by Houlihan Lokey (Europe) Limited (“Houlihan Lokey”) in its capacity as
financial adviser to CMIS Nederland (“CNBV”). These Materials are for discussion purposes only and are not authorised to be used for any
other purpose.
These Materials are confidential and solely for the information of EMAC 2004-I Noteholders. These Materials are confidential and may not
be photocopied, reproduced or distributed to any other person at any time. If any person receives this document in breach of these
restrictions then it should be immediately returned to Houlihan Lokey. Houlihan Lokey retains the right to request the return of this document
at any time.
IF YOU HAVE RECEIVED THESE MATERIALS IN ERROR, PLEASE RETURN THEM TO HOULIHAN LOKEY.
Houlihan Lokey has not independently verified any of the information contained herein. In preparation of these Materials, save where
expressly otherwise agreed in writing by Houlihan Lokey, reliance has been placed on the accuracy and completeness of all information on
which they are based. No person makes any representation, warranty or guarantee of any kind, express or implied, as to the accuracy,
completeness or reasonableness of the information contained herein or any other written or oral communication transmitted or made
available to any person. Houlihan Lokey and its respective affiliates and the directors, officers, partners, advisors and employees of each
such person expressly disclaim any and all liability based on or arising from, in whole or in part, such information or communication, or
errors therein or omissions therefrom, save as may otherwise expressly be agreed in writing by Houlihan Lokey.
These Materials are not intended, and should not be construed, to be investment advice of any kind recommending any course of action.
Furthermore, these Materials shall not be considered as tax or accounting advice nor do they form part of any offer for purchase, sale or
subscription of or solicitation or invitation of any offer to buy, sell or to subscribe for any securities or other financial instruments.
Except as otherwise noted, these Materials speak as of the date noted herein. The delivery of these Materials should not create any
implication that there has been no change in information on which these Materials are based since such date. No person undertakes any
obligation to update any of the information contained herein or to correct any errors which may become apparent. These Materials are
based on business, general economic, market and other conditions that reasonably could be evaluated by Houlihan Lokey as of the date
specified herein.
Introduction
Overview of Servicer
Origin & History of Servicer:
CMIS Nederland BV, “CNBV” (originally GMAC RFC Nederland BV) was established in 2000
From 2000 till 2008 the business focus was origination and servicing of mortgage loans
Since 2010 the governance structure changed:
Ally Bank (formerly GMAC LLC in the US) sold CNBV to a new shareholder, a financial
investor
CNBV is a stand alone operating company
Currently €6BN of residential mortgage loans under management
Introduction
4
2000
2011
CNBV
(original trade name: GMAC
Hypotheken)
2004
Special servicing in-house
2005
Mid- and back office activities
in-house
2010
Sale by Ally Bank (formerly
GMAC in the United States)
Services Approx €6 Billion of Mortgage Loans
Upcoming Put Dates Introduction
5
Cumulative EMAC Put Values by Year Deal Put Date
E-MAC 2004-I 26/04/2011
E-MAC 2008-I 26/04/2011
E-MAC 2008-IV 25/10/2011
E-MAC 2004-II 25/01/2012
E-MAC 2005-I 25/07/2012
E-MAC 2008-II* 25/10/2012
E-MAC 2005-III 25/01/2013
E-MAC 2006-II 25/07/2013
E-MAC 2006-III 25/10/2013
E-MAC 2007-I 25/01/2014
E-MAC 2005 NHG-II 25/04/2014
E-MAC 2007-IV 27/10/2014
E-MAC 2007-III 27/07/2015
E-MAC 2006 NHG-I 25/07/2018
E-MAC 2007 NHG-II 25/07/2019
E-MAC 2007 NHG-V 25/10/2019
* For all classes other than the A1 Notes, the A1 put date was July 26, 2010.
Source: www.emacinvestors.com
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
EU
R B
illion
s
Put Amount From €500 Million in 2012 to Nearly €5 Billion in 2014
Recent Analyst Coverage (RBS) Introduction
6
Highlights of RBS EMAC Program Coverage (8 February, 2012):
RBS notes that divergent views of the litigation risk have lead to different voting outcomes by the 2004-1 and 2008-1
EMACs, potentially impacting all Dutch EMAC deals.
Within the 2004-1 structure, different classes have different legal rights and interests as reflected in their voting.
This adds to the legal uncertainty for all classes unless an agreement is reached
Notably:
Different legal views exist on the interpretation of the MPT provider obligations
Resolution of legal outcomes is likely many years away
RBS’s key point is that even with a result favoring the note holders
MPT provider’s limited assets provide little benefit when weighed against the EUR 6bn of Noteholders
Noteholders may also unintentionally impair their positions, by causing the MPT provider, also the Servicer, to file
for insolvency and ultimately be replaced, increasing servicing costs and hinder servicing performance
In conclusion, maximising Noteholder value is not litigation
Legal Action With Uncertain Outcome Will Take 7 to 10 Years
EMAC NL 2004-I Deal Performance
Collateral Performance EMAC NL 2004-I Deal
Performance
8
-
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1 7 13 19 25 31 37 43 49 55 61 67 73 79
Delinquency
60
+ %
of
CB
Months Since Closing
1997-2004 2005 2006 2007 2008 Index
Moody’s Dutch RMBS – 60+ Arrears by Issuer 3 Moody’s Dutch RMBS – 60+ Arrears by Vintage 3
* 60+ days delinquencies
1. Source: Bloomberg
2. Source: EMAC Investor Reports
3. Source: Moody’s Dutch Prime and NHG RMBS report dated Feb. 23, 2012.
EMAC 2004-1 Arrears 2 European Arrears by Country 1
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11
% o
f C
urr
ent
Bala
nce
31 - 60 days 61 - 90 days 91-120 days 120+ days Total Arrears
-
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2005.12 2006.12 2007.12 2008.12 2009.12 2010.12 2011.12
Delinquency
60
+ %
of
CB
Arena (Delta Lloyd) Dolphin (Fortis/ABN AMRO) Candide (Bank of Scotland)
Eleven Cities (Friesland Bank) E-MAC NL Hermes (SNS Bank)
Storm (Obvion/Rabo)
-0.50%
0.50%
1.50%
2.50%
3.50%
Delinquency (90+ Days) Cumulative Defaults
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
Delinquency (90+ Days) Cumulative Defaults
-0.50%
0.50%
1.50%
2.50%
3.50%
Delinquency (90+ Days) Cumulative Defaults
CPR of EMAC’s EMAC NL 2004-I Deal
Performance
9
CPR Rates for the EMAC are amongst the highest for comparable deals
EMAC 2004-I Collateral Quarterly CPR and Collateral for all Dutch non-NHG EMACs 2
CPR Since Inception Comparison 1
* Calculated per Bloomberg figures
1. Source: Bloomberg
2. Source: EMAC Investor Reports
-
100
200
300
400
500
600
700
800
2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q3 2009 Q3 2010 Q3 2011 Q3
EU
R in
Million
s Collateral Balance
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
-
1.0
2.0
3.0
4.0
5.0
6.0
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12
Eu
ro in
Billion
s
Collateral CPR
6.9%7.7%
11.3% 11.4%12.1% 12.2%
12.9% 12.9%
0.0%
4.0%
8.0%
12.0%
16.0%
STORM 2005 CIT11 2* EMAC 2004-II HERMES 8* EMAC 2004-I Dutch XII DMPL III ARENA 2004-II
EMAC NL 2004-I Strategies
Promote Prepayments
Dutch Housing Market and CPR Considerations Promote Prepayments
11
Property market Deteriorating:
House prices continue to decline
Time to sell a property increased to more than 1.5 years
Increase of 40% of auctions (2011 vs 2010)
CBS - Housing Prices Index
Source: CBS
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
200,000
210,000
220,000
230,000
240,000
250,000
260,000
270,000
2004 Jan 2005 Jan 2006 Jan 2007 Jan 2008 Jan 2009 Jan 2010 Jan 2011 Jan 2012 Jan
Average House Price (in Euros) HPA % yoy
Mortgage market
Tighter underwriting criteria since August 2011
2012 Production Expectation 40 billion vs 120 billion in 2008
Low rate environment but high mortgage rates (margin increase)
Market CPR Bound to Go Down
EMAC NL 2004-I Resets in Upcoming Years Promote Prepayments
12 Source: EMAC 2004-I January 25, 2012 Investor Report
Outstanding Notes Assuming Loans Move Away at Reset
-
50
100
150
200
250
300
Current 2012 2013 2014 2015 2016 2017 2018 2019 2020+
Mil
lions
2004-1 Will Have Resets on ≈ 50% of Portfolio by 2014
Reset Rates versus Market Promote Prepayments
13
Reset Rates
Pricing currently at high end of the market
Short term rates relatively high
Add-on set at origination per product / risk category
Comparable Rates
Source: www.hypotheekrente.nl (rates of 40 lenders in Dutch market)
Standard 125% LTFV Standard NHG
Active Approach Towards Borrowers Promote Prepayments
14
Partial prepayments from savings / capital insurance policies
Borrowers could be actively approached to go from interest-only to annuity at reset
Borrowers could be actively approached to use savings for repayment:
The portfolio has approx. 18% of Investment or Life policies backing the loans
Savings independent of the mortgage loans
Refinancing with other FI’s
Actively approach borrowers to refinance to other FI’s
Provide borrower details to other FI
Borrower approval required for providing their information to other party
Appetite other FI’s in Dutch market would have to be investigated
Active lenders are Rabo, ABN AMRO, Obvion, Aegon, Delta Lloyd, ING, and SNS
Active Approach May Shorten Average Life Significantly
Discount Refinancing Promote Prepayments
15
Experience
In the past three years CNBV has conducted a number of successful refinancing programs on whole loan portfolio clients
Latest program offered up to a 3% discount to borrowers to their outstanding loan amount if they successfully refinanced their loans
Latest program achieved a 15% borrower participation rate over a 4-5 months period
E- MAC 2004-I Potential Strategy
CNBV would actively approach borrower to manage a Discount Refinancing Strategy to the borrowers
Subject to Noteholder approval on:
Discount
Swap breakage cost
Allocation across all Classes of Notes
Minimal Discount May Get up to 15% Success Rate
EMAC NL 2004-I Strategies
Collateral Sale Program
Sale Efforts Collateral Sale
Program
17
Since inception, solicitation of indications of interest to purchase the mortgage pool has been conducted by CNBV through its Financial
Advisor, Houlihan Lokey
Houlihan Lokey approached a Diverse Group of Market Participants for Sale Opportunities
Parties have been revisited to re-gauge their interest for the mortgage loan pools and hedge positions owned by E-MAC 2004-I. In
addition to these 32 parties, Houlihan Lokey contacted 16 new parties, including banks and funds located in the Middle East and Asia, to
expand the universe of potential bidders even further.
Indicative pricing of 70% to 90% of par, excluding the unwind cost of the Hedging Agreements, which approximates 8.1% of the collateral
value at present
Inception to January 2012
Type of Institution Parties Approached Indications of
Interest
Range of
Indications of
Interest (% of par)
excluding swap
cost
Banks 29 2 80-90
Hedge Funds 13 2 70-82
Insurance 3 0 N/A
Pension Funds 3 0 N/A
Total 48 4 70-90
Overview of Bid Process on Collateral Sale of E-MAC NL 2004-I
Diversified Global and Local Investors Bid Collateral Significantly Below Par
Scenario Analysis of Different Recovery Splits Collateral Sale
Program
18
Recovery Overview:
Swap termination cost is 8.1% of the collateral value, due to the inability of timing the optimal unwind
Noteholder sale commitment is expected to spark interest and more competitive bidding
Collateral is eligible for LTRO which may improve bidding in a sales process
E-MAC NL 2004-I B.V.
Portfolio per January 25, 2012
Collateral balance 289,762,974
Swap Cost to Noteholders 23,500,000
Gross Price of 85.0%, net price 78.3% Compromise Gross Price of 90.0%, net price 83.3% Compromise
Class Original Current Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario
A 763,000,000 263,104,781 86.2% 74.5% 78.6% 77.2% 77.9% 91.7% 80.1% 84.1% 82.1% 83.1%
B 17,500,000 12,749,571 0.0% 100.0% 75.0% 77.2% 76.1% 0.0% 100.0% 75.0% 82.1% 78.6%
C 12,000,000 8,692,889 0.0% 100.0% 65.0% 77.2% 71.1% 0.0% 100.0% 65.0% 82.1% 73.6%
D 7,500,000 5,215,734 0.0% 100.0% 55.0% 77.2% 66.1% 0.0% 100.0% 55.0% 82.1% 68.6%
E 4,000,000 4,000,000 0.0% 100.0% 50.0% 77.2% 63.6% 0.0% 100.0% 50.0% 82.1% 66.1%
Total 804,000,000 293,762,974
Repaid Including Repaid Principal Compromise Including Repaid Principal Compromise
Class Principal Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario
A 499,895,219 95.2% 91.2% 92.6% 92.1% 92.4% 97.1% 93.1% 94.5% 93.8% 94.2%
B 4,750,429 27.1% 100.0% 81.8% 83.4% 82.6% 27.1% 100.0% 81.8% 87.0% 84.4%
C 3,307,112 27.6% 100.0% 74.6% 83.5% 79.1% 27.6% 100.0% 74.6% 87.1% 80.9%
D 2,284,267 30.5% 100.0% 68.7% 84.1% 76.4% 30.5% 100.0% 68.7% 87.6% 78.1%
E - 0.0% 100.0% 50.0% 77.2% 63.6% 0.0% 100.0% 50.0% 82.1% 66.1%
Total 510,237,026
Scenario 1 - Pay 100% to Class A Noteholders
Scenario 2 - Pay 100% to Subordinated Noteholders and remaining proceeds to Class A
Scenario 3 - Pay 75%, 65%, 55%, 50% to each respective subordinated class of notes
Scenario 4- Liquidate collateral and allocate recovery pari pasu
Scenario Analysis of Different Recovery Splits Collateral Sale
Program
19
Scenario 4 – Price 85% Scenario 4 – Price 90%
Scenario 3 – Price 85% Scenario 3 – Price 90%
78.6% 75.0%65.0%
55.0% 50.0%
14.0%
6.8%
9.6%
13.7%
92.6%
81.8%
74.6%68.7%
50.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
A B C D E
84.1%75.0%
65.0%55.0% 50.0%
10.4%
6.8%
9.6%
13.7%
94.5%
81.8%
74.6%68.7%
50.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
A B C D E
77.2% 77.2% 77.2% 77.2% 77.2%
14.9%6.2% 6.3% 6.9%
92.1%
83.4% 83.5% 84.1%
77.2%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
A B C D E
82.1% 82.1% 82.1% 82.1% 82.1%
11.7%4.8% 4.9% 5.4%
93.8%
87.0% 87.1% 87.6%82.1%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
A B C D E
78.1% 80.0%70.0%
60.0%50.0%
14.4% 5.4%
8.3%
12.2%
92.4%
85.4%
78.3%72.2%
50.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
A B C D E
Recovery on Balance Outstanding Incremental Recovery Relative to Original Balance
Comparison of Strategies
Comparison and Consideration Comparison of
Strategies
21
Strategy Benefits Approval
Required
Execution
Speed
Expected
Repayment
Swap Termination
Cost
Weighted
Average Life
Other Considerations (Other than
execution costs)
Status Quo Full recovery expected None Very
Slow
100% None 9 years Risk of market deterioration borne
by investors
Active Borrower
Approach
Active approach at reset
dates
Yes Slow 92% – 98% Yes if prepayment
is outside of reset
date
Potentially
much lower
than 9 years
Can induce quality borrowers to
leave causing ratings agency
concern
Discount Re-
Financing
Relatively short execution
time in case of campaign
Super
Majority of
each
Noteholder
class
Medium 90% Yes Potentially
much lower
than 9 years
Can induce quality borrowers to
leave causing ratings agency
concern
Collateral Sale
(Full)
Quick process
Only solution to terminate
entire deal
Super
Majority of
each
Noteholder
class
Six
months
78% - 83% Yes Not
applicable
Decision to sell and LTRO may
increase bids
Collateral Sale
(Partial)
Individual Class A
Noteholders may elect to
sell pro-rata collateral and
to be paid out of proceeds
Note-
holders
electing to
sell
Six
months
78% – 83% Yes Not
applicable
Discount on sale of collateral 17-
22% to be borne by individual
Noteholders electing to sell
Collateral needs to be selected at
random in order to keep remaining
collateral at same quality levels
CNBV to Focus on Maximising Noteholder & Collateral Value Instead of Legal Proceedings
Next Steps
Next Steps Next Steps
23
Obtain super-majority approval all note classes
CNBV to sell collateral:
Noteholder agreement to a reserve/floor price level
Allocation of proceeds to Class A to E upon sale of portfolio
Timing of sale process
Approval of Noteholders electing to vote for a partial sale (if
applicable)
Approval for the Prepayment Strategies as outlined:
Setting reset rates appropriately in conformity with statutory
and regulatory requirements
Active borrower approach to partially prepay with savings
and/or with insurance policy proceeds
Active borrower approach to encourage prepayment with
other FI’s around reset
Discount refinancing
Two alternatives to quid pro quo
Precedent Solution: clarify documentation that put mechanism is a
best efforts obligation to which CNBV can only be held if the proceeds
of a sale, refinancing or re-securitisation are sufficient to pay for the
nominal bond amount and swap termination costs
Noteholders have the advantage that years of litigation are no
longer providing uncertainty. Even if court decides it is a hard
obligation, uncertainty remains whether such court also decides
CNBV has to pay (as it results in insolvency without there being
damages). See Security Trustee Report including appendices.
Substantial legal costs no longer need to be incurred (ultimately
paid by Noteholders)
Less uncertainty and costs is likely to result in higher bond values
and liquidity
In any event there is no money to honour the puts as long as there
are no prospects for a sale or refinancing of the portfolio/swap at
par
Individual Solution: Put legal action on hold for 5 years
Will also allow focus at maximising value for Noteholders
Other deals may hinder this focus at future put dates on other
transactions where precedent solution is likely to lead to similar
resolutions on other emac deals.
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