SASF Securitisation Survey Feedback

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

Question 1: Respondents

Question 2: Size of fixed interest assets under management

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

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

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

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

Question 8: Our concerns regarding securitisation transactions include:

Question 9: We currently have demand for:  Of the 20% that responded “we have no demand” none were investors

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

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

Question 12: Asset classes most impacted

Question 13: Consumer defaults are going to:

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

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

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

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

Question 19: Securitisation spreads have widened due to: 68% indicated sub-prime related negative sentiment as most applicable reason 2 nd most applicable reason:

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

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

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

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

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

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

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

Questions 27: I am concerned that rating agencies:

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

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

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

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?