Erläuternder Bericht

Short Term Mappings ( as of 1 March 2007 )

Mapping of Rating Symbols

R-1H , R-1M, R-

DBRS R-2H , R-2M R-2L R-3 R-4 , R-5 , D

1L

Fitch F1+ , F1 F2 F3 B , C , RD , D Moodys P-1 P-2 P-3 NP

B-1 , B-2 , B-3 , C, S&P A-1+ , A-1 A-2 A-3

SD , D

New Risk Weights (in %) according to Basel II (July 2009) Securitisation Rating Symbols to Risk Weights (in %)

Senior Granular 7 12 60 Deduction Non-senior Gra-

12 20 75 Deduction

nular

Non granular 20 35 75 Deduction

Resecuritisation Rating Symbols to Risk Weights (in %)

Senior 20 40 150 Deduction Non-Senior 30 65 225 Deduction