ABS, MBS & Leveraged loans Price & performance indicators during the crisis 5 th October 2009.

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ABS, MBS & Leveraged loans Price & performance indicators during the crisis 5 th October 2009

Subprime RMBS Commercial Mortgage ABS ABX 07-1 AAA index price, Delinquency and Loss rates: Source: DB DataQuant, Loan performance % % 2 CMBS AAA-index price and Delinquency rate Source: Markit.com, Intex, Trepp

Leveraged Loans Credit Card ABS Credit card ABS price, Charge-off rate and Delinquency rates: Source: DB Global Market Research, FitchRatings % % 3 Source: S&P LCD, DB S&P/LSTA Leveraged Loan Index price, Default and Loss rates: 1) 2) 1) Assuming 50% recovery; 2) Assuming 50% recovery rate & risk premium of 300bps over Libor

Student Loan ABS Auto Loan ABS Auto loan ABS price, Net loss rate and Delinquency rates: Source: DB Global Markets Research, FitchRatings % % 4 Private student loan ABS price, Gross default & Delinquency rates: Source: DB Global Markets Research, FitchRatings