Ikb Marketing Brochure PDF 000038548747

Rhinebridge Plc
IKB Credit Asset Management GmbH

Presentation to Prospective Investors January 2007
This material has been prepared for information purposes to support the promotion or marketing of the
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a guide to future performance. Please see additional important information and qualifications at the end
of this material.
Please see important disclosures on pages 1 and 2 and Appendix A
Rhinebridge Plc
Table of Contents
Section 1 Executive Summary

Section 2 Overview IKB AG and IKB CAM
Section 3 IKB CAM Investment Strategy
Section 4 Rhinebridge: Structure & Portfolio
Section 5 Scenario Analysis
Appendix A Risk Factors
Appendix B Biographies
Appendix C IKB Group Asset Management Experience
Appendix D Rhinebridge Systems

Appendix E ABCP and SIV Market Overview
Appendix F Currently Ramped Portfolio
Appendix G Contacts

Rhinebridge Plc
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Asset Management GmbH (“IKB CAM”) will act as investment and funding manager solely pursuant to the terms of an investment and funding management agreement. QSR
Management Limited (“QSR”) will act as administrative agent pursuant to the terms of an administrative advisory services agreement. The terms of these agreements may materially
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1
Rhinebridge Plc
Disclaimer and Notice (cont’d)
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2
Rhinebridge Plc
Section 1
Executive Summary
All information in this section is for discussion purposes only. The transaction is at a structuring phase
and the actual structure of the transaction and characteristics of the offered securities may differ from
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information.

Rhinebridge Plc Executive Summary
Transaction Summary
Transaction
• This presentation discusses Rhinebridge Plc (“Rhinebridge”), a Structured Investment Vehicle managed by IKB
CAM, the asset management arm of IKB Deutsche Industriebank AG (“IKB AG”)
• Rhinebridge is targeting $2.5 Bn in ABS assets at the first close, comprising:
– HEL, ABS CDOs, RMBS, CMBS and Credit Cards
The Portfolio Manager

• IKB AG, a leading credit manager in the German market
• IKB AG has over 50 years experience in long-term corporate finance
• Securitisation and CDO investments are an integral part of IKB AG’s business model
• IKB CAM is an experienced asset manager
– Over $23.9 Bn of assets under management
– Over $16.8 Bn of CLOs/CDOs launched and managed within IKB Group
– Over $5 Bn leveraged loans under management within IKB Group
• Vehicle breakdown: $15.1 Bn via Rhineland, an ABCP conduit, and $8.8 Bn on IKB AG’s balance sheet
Business Rationale for Rhinebridge

• Rhinebridge will be the flagship vehicle in IKB CAM’s expansion into ABS asset management
• IKB CAM has hired an experienced ABS investment team to manage their direct ABS investments
– Leverages IKB’s experience and strong track record as a leading investor in CDOs
– Portfolio managers are able to access IKB CAM’s extensive ABS focused research capabilities and relationships
• IKB CAM has the commitment and support of the full spectrum of IKB AG’s resources
– HR, technology, analytical tools, infrastructure
Source: Unless otherwise indicated, all information on this page has been provided by IKB CAM. Information on this page has not been verified by Morgan Stanley or
any other independent third party. Morgan Stanley and any of its affiliates disclaim any and all liability relating to this information. 3
Transaction Summary (cont’d)
Rhinebridge is a Structured Investment Vehicle focused on High Grade ABS

• The target launch size is $2.5 Bn with a medium-term target of $10 Bn
• Funding will be provided by a risk-adjusted combination of Senior Debt, comprising CP and MTNs, and Capital
Notes
– Rhinebridge will issue Senior Capital Notes expected to be rated [Aaa], Mezzanine Capital Notes rated [A/A3]
and unrated Junior Capital Notes as well as Combination Capital Notes rated [Baa2]
• Rhinebridge‘s capital requirements are calculated on a daily basis using rating agency approved capital matrices
and the rating on the Capital Notes are confirmed on a weekly basis using a Monte Carlo simulation model
Rhinebridge: Focused Investment Strategy

• Rhinebridge‘s focus will be on HEL, RMBS and CDO of ABS
• Rhinebridge initially invests in high grade ABS investments only
– Approximately 84% of the target portfolio at launch will be rated AAA and AA
– High grade ABS assets have displayed superior rating stability, lower expected default rates and higher expected
recoveries compared to corporate credits
• IKB CAM targets high diversification across vintage, manager and collateral type
– Vintage diversity will be provided by inclusion of seasoned assets from IKB AG‘s balance sheet
• The HEL portion of the portfolio will be conservatively selected, reflecting IKB CAM’s investment philosophy
– Approximately 50% of the HEL in the initial portfolio will be harvested from the existing portfolio of seasoned
positions held on IKB AG’s balance sheet
– IKB CAM believes that highly rated HEL ABS are very well enhanced and provide excellent liquidity, solid
rating stability and low spread volatility
Rhinebridge Overview
• The majority of the capital

structure is funded in the
CP/MTN market QSR Liquidity Provider Senior Debt
Administrator 5 – 10 % of CP/MTN [CP/MTN]
[AAA/ Aaa or
• Rhinebridge is designed to A1+/P-1] 3,4
be an easily scalable
investment vehicle Collateral Manager
High Grade ABS

IKB Credit Asset Management
Portfolio
• Rhinebridge has been Senior
Capital Note
established with experienced $[2,500,000.000] 1,3,4,5 [Aaa]
partners
Combination Capital Notes [Baa2]6

RMBS
– Morgan Stanley as HEL Interest
placement agent and CDOs Cash-Inflows and Principal
structuring bank CMBS Rhinebridge Mezzanine
Capital Note
PLC
– QSR as administrator Expected WARF:
1,3,4 [A/A3]
[25]
Junior
Capital Note
Trustee 2,3,4 [NR]
Hedge Counterparties Issue & Paying Agent

Placement Agents
1. The rights of the holders of the Senior Capital Notes are subordinated to the rights of all other creditors of, and any other claims against, Rhinebridge, apart from Mezzanine and Junior
Capital Note holders. The rights of the holders of the Mezzanine Capital Notes are subordinated to the rights of all other creditors of, and any other claims against, Rhinebridge, apart
from the Junior Capital Note holders
2. The rights of the holders of the Junior Capital Notes are subordinated to the rights of all other creditors of, and any other claims against, Rhinebridge
3. The structure and description are for illustrative purposes only and may not represent the final structure. The actual structure may vary from the above based on, inter alia, rating
Please see important disclosures on pages 1 and 2 and Appendix A agency requirements
4. CP, MTN and Capital Notes will be issued into non-US jurisdictions via a special purpose vehicle (SPV) incorporated in Ireland (“Rhinebridge”). Another SPV incorporated in Delaware
(“Rhinebridge Finance LLC“) will co-issue CP and MTN and may co-issue Capital Notes alongside Rhinebridge into the US
5. Target rating, subject to rating agency confirmation 5
6. Rating refers to payment of principal and interest of 1 month Libor plus 25 bps only
any other independent third party. Morgan Stanley and any of its affiliates disclaim any and all liability relating to this information.
Rhinebridge - Key Strengths
Alignment of Interest and Co-Investment

• IKB will co-invest in a substantial proportion of the Senior, Mezzanine and Junior Capital Notes
• IKB CAM is partially compensated through an incentive management fee of [20%] of excess spread
Strong support and sponsorship of IKB AG
• IKB AG is a major German financial institution established in 1924 with a market capitalization of €2.59 Bn (as of
December 31, 2006) and rated Aa3/P-1 by Moody’s and A+/F1 by Fitch
• The performance of Rhinebridge managed by IKB CAM, the recently established investment management
subsidiary of IKB AG, will have a strong reputational impact on the IKB Group
Experienced Management Team
• IKB AG has more than 50 years of expertise in managing credit risk
• IKB AG has run a successful CP funded conduit since 2002, providing experience in managing a CP funded
vehicle
• IKB CAM has recently expanded its management team by hiring ABS focused managers to run Rhinebridge
High Quality Portfolio and Cost-Effective Capital Structure
• ABS focused portfolio with a minimum asset rating of A-/A3 at the time of purchase
• ABS assets backed by HELs are subject to AFC monitoring and hedging
• IKB CAM has strong product knowledge and long term experience in investing in CDO products
SIV Structure Offers Flexible and Cost Efficient Funding
• Dynamic capital structure is sized using [7] capital haircut matrices and a Monte Carlo simulation model
• Rhinebridge is expected to be the first SIV to issue three tranches of Capital Notes including Senior Capital Notes
with an expected rating of [Aaa], providing for low blended cost of funds
• Significant asset and funding flexibility ( e.g. CDS, repos, etc )
Rhinebridge Plc
Section 2
Overview IKB AG and IKB CAM

Rhinebridge Plc Overview IKB AG and IKB CAM
IKB AG – Strategy
IKB Group today: Strategy - Highlights
• Credit manager with

Focus • Focus on managing credit
comprehensive originating
power • Over 50 year‘s experience in long-term corporate finance
• Clear focus on managing credit exposures
• Securitisation and CDO investments are an integral part of the business
• Leading participant in the model
European leveraged loan
market
• Leading German • High expertise in all fields of corporate finance (rating advisory, industry
Competitive
securitisation platform for research)
Edge
corporate assets (PROMISE)
• Outstanding and highly flexible business model
• Strong and stable customer relations based on relationship banking
• Significant and expanding • Market leader in long-term lending to the “Mittelstand“
structured credit asset
manager
ABS & • Management of growth (capital) and risk

Investment • Structured investments as diversification, added value to P/L
Advisory • Superior analytical tools
• Comprehensive surveillance and monitoring processes
• Market leading CDO evaluation and surveillance platform
IKB AG – Business Performance
• Over 50 years experience in Loan Volume Long-Term Loans to the Industrial Sector
long-term corporate finance
45
38.6 Others
• Market leader in long-term 40
33.6
36.8
10%
IKB
13%
35 31.2
lending in Germany (market 29.3
30.7
30 Large
share: 13 %) 25
Commerical
€ Bn Mutual Banks,
Banks
20 19%
14.5%
• Loan volume: €38.6 Bn; 15

10
balance sheet total: €48.7 Bn
5
(as per September 30, 2006)
0
Mar 2002 Mar 2003 Mar 2004 Mar 2005 Mar 2006 Sep 2006 Savings Banks
43.5%
Source: IKB CAM Source: Deutsche Bundesbank, March 2006; Total volume: €74.5 billion
Share Performance – Outperformance of Peers
250
200
IKB
150
DAX
100
MDAX
50 Prime Banks
0
Apr/ Jul/ Oct/ Jan/ Apr/ Jul/ Oct/ Jan/ Apr/ Jul/ Oct/ Jan/ Apr/ Jul/ Oct/ Jan/ Apr/ Jul/ Oct/ Jan/ Apr/ Jul/ Oct/
01 01 01 02 02 02 02 03 03 03 03 04 04 04 04 05 05 05 05 06 06 06 06
Source: Bloomberg, 1 April 2001 to 15 December 2006

Profitability and Profit Distribution
• Diversification of profit is a Process Diversification Operating Profit – Growth Path Continued

part of IKB AG’s key strategy €MM
250 233
Profit Contribution by Business 201
• Cost-income ratio in FY Division as of 30 September 2006 200
181
167
2005/06: 38.2 % 160
150
• Operating profit in FY 100 . 4%

+63
2005/06 improved by 16% to Real Estate Clients 139
50
€233 MM 9% 85
0
(2) (2) (2)
2001/02 2002/03 2003/04 2004/05 2005/06 H1
• RoE before taxes: 21.4% (as Corporate Clients
2006/07
33%
per Sept 30, 2006) Structured
Finance (1)
29%
• Ratings:
RoE – Exceeding the 20% RoE Target on a 6-
– Moody’s Aa3/P-1 (stable Month Basis (%)
outlook)
25%
– Fitch A+/F1 (stable Structured Credit 21.4%
29% 20% 18.8% +2.6%
outlook) 16.4%
15.0% 15.6%
15.0%
15%
10%
5%
0%
(2) (2) (2)
2001/02 2002/03 2003/04 2004/05 2005/06 H1
(3)
2006/07
Notes
1. Structured Finance Assets: More than 50% generated internationally
2. German GAAP
3. Annualised
Past performance is no guarantee of future results 9
IKB – Securitisation Units
IKB Deutsche Industriebank AG
IKB CAM Treasury and Financial Markets Advisor and Coordinator

Düsseldorf/London
IKB Fund Management IKB Capital Corporation IKB AG equiNotes

London New York Treasury and Markets Management GmbH
Structured Credit
Investments
European Hybrid Corporate

US Leveraged Balance Sheet
Leveraged Loan Capital Platform
Loan Platform Securitisations for
BACCHUS FORCE
BACCHUS US IKB
Platform
$23.9 Bn under
Management
$1.6 Bn under $1.8 Bn under $0.6 Bn

$16 Bn Securitised
Management(1) Management(2) (to be) Securitised
Advisory Board
IKB Group resources are available to support all units
Notes
Please see important disclosures on pages 1 and 2 and Appendix A 1. Including Warehouse
2. Including Balance sheet
IKB AG “Securitisation Universe”
Portfolio Management Approach

• Securitisation of loan risks in 7 synthetic and 4 cash CLO transactions totaling $16.8 Bn
• Securitisation objectives: • Investments in international structured credit portfolios:
– Release capital – $8.8 Bn of direct investments with IKB Bank AG
– Diversification of loan risks – $15.1 Bn of assets under management via Rhineland conduit
by regions, sectors and
rating-categories
– Improvement of profitability
– Leverage of credit expertise Corporates Structured Finance Real Estate Private Equity
(since 2000)
PROMISE-I2000-1
PROMISE-I 2000-1 ?IF
IF CMBS
CMBS?
Start-Vol.: US-$
US-$CLO
CLO* Force
FORCE2005-1
2005-1
Start-VEUR 2.500
ol.: EUR MM m
2.500 US$ 534 MMm
EUR [800]
EUR [1.000]
MM m
EUR 370370
MMm
Replenishment:
+ Repl.: EUR 3.700 mMM
EUR 3.700 US-$ 534 EUR
[in[planned]
progress]
PROMISE-I2002-1
PROMISE-I 2002-1 SEAS
SEAS 2005-1
2005-1 FORCE
Force 2006-1
2006-1
Start-Vol.:
Start-VEUR 3.650
ol.: EUR MM m
3.650 Start-Vol.: EUR
Start-V 650 MM
ol.: EUR 650 m EUR
EUR [370]MM
[216.5] m
Replenishment:
+ Repl.: EUR
EUR 6.000
6.000 mMM Replenishment:
+ Repl.: EUR EUR 1.170
1.170 m MM [in [planned]
progress]
PROMISE-I
PROMISE-I Mob. Mob. 2005
2005-1
-1 Bacchus
Bacchus2006-1
2006-1
Start-Vol.:
Start-VEUR 750 750
ol.: EUR MM m
EUR 400
EUR MM
400 m
Replenishment:
+ Repl.: EUR950
EUR 950mMM
PROMISE-I
PROMISE- Mob.2005
I Mob. 2005-2
-2 Bacchus2006-2
Bacchus 2006-2
Start-Vol.:
Start-VEUR 1.500
ol.:EUR MMm
1.500 EUR
EUR410410MM
m
Replenishment:
+ Repl.: EUREUR 2.000mMM
2.000 [execution]
PROMISE-
PROMISE-I I Mob.
Mob.2007-1
2006-1 ?Bacchus
Bacchus III 2006-1
(US) (US)?
EUR
Start-Vol.: EUR[1.000]
1.000mMM EUR400
EUR 400MM m
Replenishment: EUR 2.400 MM [execution] [planned]
[planned]
?Bacchus IV?
Bacchus 2007-1 Synthetic CLO
EUR [400] m
EUR 400 MM
[in [planned]
progress] Cash CLO
Corporate Milestones in IKB’s History

Evolutionary Timeline
Assets under
management
2006
2006
> $10 Bn
9/2006:
2003 Structured credit
2003
expertise
Start: structured concentrated in
credit investments IKB CAM
within IKB AG
2002
2002
Foundation of
Starting cash 2001
2001 Rhineland Funding
flow lending (leveraged
loans and
project finance)
2000
2000
Derivative business
First IKB Promise-1

1980s
1980s securitisation.
Risk transfer: €2.5 Bn
Foundation 1930s
1930s
1924 Pioneered
1924 long-term lending
domestically
IKB CAM – Highlights
IKB CAM Highlights
• Core competence in managing credit exposures (single names and portfolio

base)
Established Track • IKB CAM has successfully managed approximately $23.9 Bn of structured
Record credit investments through difficult credit cycles
• Structured credit investments have performed well against market benchmarks
• IKB CAM is one of the largest participants in primary CDO transactions with
strong access to assets across vintages and asset classes
Access • IKB CAM investment team is comprised of 20 portfolio managers and analysts
to Collateral and 20 compliance, IT, legal and operations & surveillance staff
• Excellent coverage by more than 40 arranger banks and access to 50 top
ranking asset managers
• IKB CAM has one of the largest databases of CDO structures and performance
• Market leading ABS/CDO evaluation and surveillance platform
Market-Leading
Technology/ • As a member of IKB Group access to group-wide personnel, technology and
Credit Process risk management ressources
• Decision making process based on IKB‘s long standing experience with all
types of structured credit and ABS investments
IKB CAM Assets Under Management

Growth
Overview
• Total assets under
management as of 31 • IKB CAM is responsible for the management of the Rhineland conduit, IKB AG Direct Investments and other
December 2006 – third party funds
$23.9 Bn
• Clear path of growth shows the high degree of commitment
• Rhinebridge provides IKB CAM with an ideal opportunity to further leverage its core structured credit
competences
Assets Under Management

30
28.2
(USD Bn)
25 23.9
21.2 12.6
20
8.8
15.3 9.0
15
11.8
6.8
10 4.2
8.4
15.1 15.5
2.6
12.2
5
3.1 8.6
7.6
0.9 5.8
2.2
0
March 02 March 03 March 04 March 05 March 06 December 06 March 07 (Projected)
IKB AG and CAM as an Investment Advisor for Rhineland
Please see important disclosures on pages 1 and 2 and Appendix A IKB AG Direct and other 3rd party Investments
Experienced Management Team
Michael Braun
Winfried Reinke (CIO), Dr. Frank Lehrbass
Head of Treasury and
Managing Directors Investment Adviser
Neil Ryan
Credit Portfolio Research Legal/ Surveillance
Director, Head of IKB CAM IT/Systems
Analysis Investments Structuring
London Branch
Odo Maletzki Michael Pinkus TBA

Quantitative Portfolio Funding & Risk Operations &
Holger Rabelt Uta Kubis Dr. Klaus Dieter Research Surveillance
Management Management
Bauknecht
Gerhard
Thomas Ralf Behrendt
Jordan
Schirmer
Andre Vinke Andrea Aniol Jens Dr. Klaus Dieter Neil Ryan Wolfgang Bathis Christian Rohde
Wildermuth Bauknecht Dieter
Heike
Prowaznik Olga Staudacher
TBA Krainuchenko
Alexander Volker de Haan,
Oliver Jörg Sascha Busse
Lanin CFA (ABS)
Backmann Zimmermann Dr. Oliver
Annen
Julia
TBA Dr. Thomas Hubertus
Dr. Peter Hanna Wölwer (CDO)
Scheffel Berglund Kai Uwe Neeb
Wolfgang Bathis
Hubert Langer Ute Wissing (ABS)
Jens Kersting
TBA
Hendrik
Rhinebridge Dedicated
Markus
Dziemba Walloch Personnel Doris Rimpler
Daniel Kluge
Rhinebridge: Experienced Investment Team
Overview
• The IKB CAM investment team is comprised of 20 dedicated portfolio managers and analysts with experience
across disciplines including CDOs, HEL, RMBS, CMBS, and computer and math sciences
• Senior members of IKB CAM’s investment team have worked together for over 6 years
• IKB CAM employs 20 people in legal, compliance, IT, mid-office and other support functions
• Knowledge is also drawn from other team members and the wider IKB CAM team
• Investment decisions follow a detailed investment process
• Portfolio managers specialise in a number of asset classes and portfolio strategies
Experience of Key Investment Professionals
Winfried Reinke 29 years treasury and structured credit experience at Citigroup, DG Bank, IKB AG and IKB International Luxembourg
S.A.
Dr. Frank Lehrbass 12 years credit portfolio management, treasury, trading and derivatives experience at West LB and DG Hyp
Michael Braun 28 years treasury and ABS experience at IKB AG Düsseldorf and IKB International Luxembourg S.A.
Neil Ryan 17 years experience in ABS and credit markets at Abbey National, Lehman Brothers, BW Bank Ireland and NASPA
Dublin
Volker de Haan, CFA 10 years as Investment Manager at African Development Bank, Allianz Asset Management and Dresdner Kleinwort
Dr. Thomas Wölwer 10 years of experience in ABS/CDOs structuring and banking at Dresdner Kleinwort, KPMG Consulting and Deutsche
Bank
Wolfgang Bathis 17 years of credit and RMBS experience at HVB, Helaba and IKB International Luxembourg S.A.
Dr. Klaus Dieter 7 years of investment and quantitative research experience at the National Treasury of South Africa and ING Barings
Bauknecht
Holger Rabelt 13 years of experience in credit and ABS analysis at Dresdner Bank AG Frankfurt / Luxembourg and IKB AG
Rhinebridge Plc
Section 3
IKB CAM Investment Strategy

Rhinebridge Plc IKB CAM Investment Strategy
The Specific IKB CAM Approach
Strong Analytical and Research Capabilities
In-Depth Analysis Market Access
• Competitive advantage through in-depth • Access to issuers, servicers, managers and

analysis of collateral, structure and arrangers
management/servicing characteristics
• Excellent coverage relationships assist in

• IKB CAM provides one of the largest achieving favourable allocations
databases for CDO & ABS structures and
manager/servicer assessments
• Strong customer service from the “street“
• In-house model tracks over 1300 structured

credit investments • Involved in restructuring and re-rating
transactions
• Data enables efficient tracking, analyzing and

benchmarking of deals • Constant contact with CDO managers to
discuss deal performance and trading
strategies
• Sophisticated surveillance of collateral,
structural and manager/servicer performance
• Extensive and frequent rating agency
contacts & dialogues
• Careful review of all documentation of each
transaction including event of default, tax
implications and control issues
IKB CAM Investment Process
Structured Credit Investment Process
IKB CAM’s Investment Process

Investment and Credit Sector Allocation/ Macroeconomic
Policy Yield Curve/Duration Research
• Fundamental and
macroeconomic research
– Sector allocation
– Evaluation of managers,
Top Down Analysis
originators and servicers
– Guidelines
• Investment analysis Portfolio Construction

– Quantitative and qualitative
analysis
– Stress structure
– Analyse underlying pools
• Investment recommendation Bottom Up Analysis

and decision
Credit and Security Relative Value Risk Analysis

Analysis
Fundamental Top-Down and Bottom-Up Analysis
• IKB CAM’s market

experience allows for a Macroeconomic
streamlined and efficient Research
collateral selection process Pool and Collateral
• Providing macro- Analysis
economic information
• Obligor credit quality Structure & Cash
• Compare portfolio – Prime/subprime Flow Analysis
against macro-
– FICO, LTVs Manager and
economic trends • Structural features
– Averages & Qualitative Analysis
distribution (OC,IC, interest
• Evaluate Manager‘s diversion)
• Manager or servicer
ability to incorporate
• Asset characteristics review
macro-economic trends • Pay-down (turbos,
into investment – Term & amortisation – Track record
sequential, pro rata)
decisions – Staffing
– Seasoning
– I/O, ARMs, NegAM – Alignment of
• Best tranche on a
• Fundamental interests
relative value basis
creditworthiness of – Systems/tools
asset class • Underwriting standards
– Historic performance
• Credit enhancement
• Issuer and servicer • Diversification – Internal vs. external
• Legal/documentation
performance evaluation
• Leverage • Cash flow modelling
• Outside due diligence
by credit research
• Historical performance • Stress testing
– Delinquencies – Losses
• Detailed write-ups on
– Defaults – Delinquencies asset managers or
– Recovery rates – Interest rate/AFC servicers available
risk
IKB CAM Portfolio Manager Rating System
Portfolio Manager Rating System
Qualitative Rating
• Measurement of 7 factors (soft facts) to assess a
manager´s capabilities/expertise
Rating Portfolio-Manager
• Frequent onsite manager due diligence
Quantitative Rating
• Measurement of pool-performance by means of
Moody´s WARF and adjusted annual loss/gain of OC-
Rating Portfolio-Manager ratio
• Comparison of all transactions publicly rated by
Moody´s per asset class and vintage
• Merging of qualitative and quantitative ratings as well

as macro econometric perspectives to assess a
Portfolio-Manager´s
portfolio manager´s overall rating
Overall Rating
Analysis and Monitoring
Initial Analysis – Key Principles:

• Overall asset selection is within strict parameters defined by the Rating Agencies in the transaction termsheet
described in the final offering memorandum
• Macro-perspective on various markets is developed by IKB CAM’s research department
• Each transaction is individually considered with a deal by deal write-up by IKB CAM
• Servicer/manager selection :
– HEL assets are filtered with a specific emphasis on servicer selection
– CDO managers are fully analysed with due diligence carried out by IKB CAM through site visits and annual
meetings
• Pool analysis :
– A HEL’s underlying pool is analysed using servicer specific curves in INTEX for stress testing according to key
internally developed ratios
– CDO pools are examined with a drill down to underlying assets and stress testing of the underlying asset pools
• Relative value :
– Assets are compared in terms of their relative value vis-à-vis peers and individual pool characteristics
– Asset classes are compared according to spread development and potential
Monitoring
• Weekly mark to market of the entire portfolio (bid side) prepared by QSR and sent to the Rating Agencies
• Measurement and monitoring of underlying Available Funds Cap risk within HEL portfolio is captured and
managed within limits agreed with the Rating Agencies
• The CPR of the portfolio is captured on a macro and micro basis within the portfolio pool based on reporting
monthly or quarterly reporting periods
• Individual reviews of each trustee report with comparison to initial transaction expectation and key tests as soon as
it is published
Rhinebridge Plc
Section 4
Rhinebridge: Structure & Portfolio

Rhinebridge Plc Rhinebridge: Structure & Portfolio
Rhinebridge Structure and Target Portfolio Summary
1
Structural Features 1 Indicative Capital Structure
(Based on Target Portfolio)
• Rhinebridge is a Structured Investment Vehicle Percentage Rating Maturity
managed by IKB CAM London Branch
Senior Capital Notes [2.0-3.5]% [Aaa] Variable
• 3 series of Capital Notes issued
Mezzanine Capital
• Dynamic capital structure, reflecting changes in the
portfolio composition Notes [4.5-6.0]% [A/A3] Variable
• Customized maturity of Capital Notes Junior Capital Notes [1.0]% [NR] 10 years
• ABS and CDO focused SIV
Combination Capital
• QSR is third party administrator Notes [NA] [Baa2]
2
10 years
Target Portfolio Composition Initial Target Portfolio

Category (%) AAA AA A Total
• Expected to be $[2.50] Bn at closing
CDO 17.50 2.50 2.50 22.50
• Weighted average life: [4.65] years
CMBS 6.50 5.00 2.50 14.00
• WARF: [24.7] Aa2/Aa3
HEL 25.00 15.00 10.00 50.00
• Weighted average gross spread: [32] bps
RMBS 9.50 2.00 1.00 12.50 • Seasoned assets: [35%] purchased from IKB AG’s
Credit Cards 1.00 - - 1.00 existing portfolios
Total 59.50 24.50 16.00 100.00
Please see important disclosures on pages 1 and 2 and Appendix A 1. This structure is for illustrative purposes only and may not represent the final structure. Actual structure may vary from the above based on then-current market conditions and other factors
2. Rating refers to payment of principal and interest of 1 month Libor plus 25 bps only
Source: Unless otherwise indicated, all information on this page has been provided by IKB CAM. Information on this page has not been verified by Morgan Stanley or 22
Target Portfolio Composition
HEL
The portfolio can be broken
• The HEL portion of the currently ramped-up portfolio maintains a conservative approach towards the current
down into four parts built on
market environment
IKB CAM’s overall credit
strategy while also – Majority of the AAA rated HELs purchased during the ramp-up phase with the benefit of current higher
underlining IKB AG’s levels of credit enhancement from the rating agencies
commitment to this – Majority of the initial AA and A rated HELs selected from the existing portfolio of seasoned AA and A rated
transaction HEL currently held on IKB AG’s balance sheet
• Both parts of this portfolio have been sourced by applying the experience that IKB CAM has through its in-depth
involvement in, and knowledge of, the US HEL market which has been developed to support a look through
analysis into IKB Group’s CDO of ABS portfolio managed by IKB CAM
• IKB CAM’s research department also provides insight into servicer and asset selection from a macro and name
specific perspective
CDOs
• IKB CAM has developed a leading position in the structured finance market through its innovative application of
rigorous selection methodologies to the CDO market
• Rhinebridge has access to both the assets held on IKB Group’s books and the benefit of the experienced
personnel involved in this business for IKB AG
CMBS/RMBS
• Asset selection has been concentrated on liquid, AAA rated new issue assets that maintain the focused credit
selection approach
Corporate/Financial Institution
• Option to invest in corporate and/or financial institution securities post closing, but no allocation in the initial
target portfolio
Portfolio Parameters
Expected, Eligible and Operational Limits
Maximum Sector Exposure2

Portfolio Limits % of Eligible Operational
Portfolio Limit Limit
Max (%)
CDO 40% 35%
Maximum % of Investments with WAL greater than [12] years 5.0% CMBS 50% 40%
Consumer ABS 60% 50%
Maximum Investment Portfolio Weighted Average Life at Point of
7.0 - Credit Cards 30% 25%
Purchase (in years)
- Auto Loans 30% 25%
- Student Loans 40% 35%
Maximum % Non-U.S.$ Denominated Assets 25.0%
RMBS 70% 65%
Maximum % Fixed Rate Securities 10.0% -Prime RMBS 50% 40%
- HELs 70% 65%
Maximum Servicer Exposure (Eligible Limit) 15.0%
- Monoline 30% 25%
Guaranteed RMBS
Maximum % of Portfolio not Publicly Rated (or credit estimated) Corporate 10% 5%
10.0%
by Moody’s & S&P Financial Institution 10% 5%
Maximum Single Obligor Exposure2,3,4

Minimum Rating Category Exposure2,4
Point of Purchase Ongoing
% of Eligible Operational
Normal Exceptional Normal Exceptional
Portfolio Limit Limit
% of Operational Operational Operational Operational
Portfolio Limit Limit Limit Limit
AAA & Cash 40% 50%
Equivalents
Overall 4.0% 8.0% 4.0% 8.0%
AAA 4.0% 8.0% 4.0% 8.0% AA to AAA 60% 75%
AA 2.0% 4.0% 4.0% 8.0% A to AAA 80% 90%
A 0.5% 1.0% 2.0% 4.0%

BBB to AAA3 85% 95%
3
BBB NR NR 0.5% 1.0%
BB to AAA3 90% 100%
3
BB NR NR NR NR
1. In cases where multiple portfolio parameter limits are breaching, the increased capital requirements shall depend on the nature and severity of such breaches and may be less than the sum of
the increased capital charges that would result if each portfolio parameter test breached independently
2. Portfolio characteristics described are indicative and subject to change and may be amended post launch subject to rating agency consent
Please see important disclosures on pages 1 and 2 and Appendix A 3. Exceptional concentration limits are applicable only to monolines, mastertrusts and government agency investments or other investment types with rating agency approval. Any other
investment types are subject to normal single obligor concentration limits
4. Assets rated below A-/A3 cannot be purchased into the portfolio. Credit slippage post purchase may result in the portfolio including asset rated below A-/A3
Capital Matrices and Simulation Model1
• Capital requirements will be calculated using dynamic rating agency approved Capital Matrices and a Simulation Model, both of
which will be based on historic spread data analysis
– Capital requirements are a function of the portfolio composition and the asset/liability mismatch
• Capital Matrices – will be utilised to assign minimum Restricted Investments and Restricted Funding Capital
– Capital matrices calculate capital on an asset by asset basis, as a function of asset weighted average life, rating and ABS industry
– Seven ABS industry category specific matrices replace the ‘one size fits all’ approach of traditional SIV capital matrices
– These capital matrices are derived by analysing historical spread data for each asset class. For instance, for S&P, the calculations use 3
times historical spread standard deviation plus an additional penalty
– For example, the S&P capital requirement for a 5 year AAA CMBS is 5.42%. This capital buffer is sufficient to absorb approximately
118 basis points of spread widening in contrast to worst case one week AAA CMBS spread movement since 12th July 1996 is 302
– Capital matrices have been set by the rating agencies to be consistent with those used by existing SIVs
– Total rating agency capital requirement is the sum of all asset and hedge counterparty capital requirements and other components as
agreed with the rating agencies
• Simulation Model – Calculates the Senior Capital Note and Mezzanine Capital Note Buffer
– The simulation model uses a combination of historical spread data and rating transition matrices agreed on with the rating agencies to
simulate asset performance and imply capital requirements and defeasance probabilities
– The model utilises a Monte Carlo simulation: it simulates a large number of paths and considers the distribution of results in order to
imply the rating of the Senior Capital Notes and the Mezzanine Capital Notes
– Use of the simulation model for rating Senior Capital Notes and Mezzanine Capital Notes has been agreed with S&P and Moody’s. The
model runs 100,000 simulations on a weekly basis to reconfirm the rating of the Senior Capital Notes and Mezzanine Capital Notes
– The simulation model is an additional risk management tool available to the portfolio manager which, in contrast to traditional capital
matrices, allows consideration of the effects of both spread and rating correlation
– Rhinebridge is one of a limited number of SIV managers utilising a simulation model
Please see important disclosures on pages 1 and 2 and Appendix A 1. The final terms and conditions of the transaction may differ from those presented above. Investors should refer to the offering materials and transaction documents for the final
terms. Any actual structure may vary from that presented based upon then-current market conditions and other factors
2. Morgan Stanley calculated data
25
Capital Requirement Composition

• The total capital requirement can be decomposed into five incremental components
– The impact of breaching each of these components imposes different constraints on the vehicle
– In the simplified example below, we show average portfolio spread widening that approximates the widening that
would be required to reduce portfolio value by an amount equal to each component of capital
Capital Requirement Components – Hypothetical Example
Voluntary Buffer Implications if requirements are breached:

40 bps 1.25%
Voluntary Buffer:
• None, buffer designed to absorb market value
Senior Capital fluctuations
16 bps Note Buffer 0.5%
Cumulative Spread Widening1,2

Senior Capital Note Buffer:
• Loss of the “Aaa” expected rating of the Senior
Senior Notes Mezzanine Capital Capital Notes and may consequently impact the
Cumulative Capital
16 bps 0.5% Combination Capital Notes
Note Buffer
Mezzanine Capital Note Buffer:
Restricted • Loss of the “A/A3” rating of the Mezzanine Capital
Notes and may consequently impact the
65 bps Investments 2.0% Combination Capital Notes
Capital
Restricted Investments Capital3:
•Vehicle enters Restricted Investments, which
imposes several constraints on the vehicle, including
restricting purchases of new investments, (except for
SCNs investment switches into higher quality assets)
153 bps Restricted 4.75%
Funding Restricted Funding Capital3:
MCNs Capital • Vehicle enters Restricted Funding, which imposes
several constraints on the vehicle including
restricting purchases of new investments (except risk
free investments) and issuance of new Senior Debt
JCNs obligations
1. In a simplified example, assuming an asset pool with a [3.1] year duration, initially at par with no downgrades or defaults, it will require average spreads to instantaneously widen by
Please see important disclosures on pages 1 and 2 and Appendix A approximately the given amounts to reduce the portfolio value by an amount equal to the relevant components of the capital requirements
2. Example spread widening buffers are cumulative reading downwards from voluntary buffer
3. The Restricted Investments capital requirement and the Restricted Funding capital requirement are defined by the Minor and Major Capital Adequacy Tests. The simplified example
above examines the triggers and implications of failing the Minor or Major Capital Adequacy Tests. There are other causes of the vehicle entering Restricted Investments or Restricted
Funding (e.g. failure of other tests, including downgrade of the Senior Capital Notes and the Mezzanine Capital Notes below predetermined levels) which in certain circumstances could
26
cause the vehicle to enter such operating states with lesser degrees of spread widening. However, such other tests have not been considered in this example
Rhinebridge
Building a Funding Franchise
• Recent ABCP spreads have Funding Highlights

been more stable than ABS
asset spreads • Rhinebridge expected to fund at sub-Libor levels through A-1+/P-1 US and Euro CP and AAA/Aaa US and Euro
MTN 1
• In order to minimise funding • Significant funding advantages through accessing the historically low cost and stable CP and MTN markets
costs, Rhinebridge will • Broad investor base plus the MTN funding source reduce potential re-financing risk
launch the programme at a
critical mass • Morgan Stanley 2 and initially [3] other dealers will act as Senior Note dealers in the Senior Notes programmes
• Morgan Stanley 2 will act as Senior Capital Note, Mezzanine Capital Note and Junior Capital Note dealer
Weekly ABCP/LIBOR and CDO Spreads 3

Basis Points
120
100
80
60
40
20
(20)
(40)
Feb-02 May-02 Aug-02 Nov-02 Feb-03 May-03 Aug-03 Nov-03 Feb-04 May-04 Aug-04 Nov-04 Feb-05 May-05 Aug-05 Nov-05 Feb-06 May-06 Aug-06
30-Day A-1/P-1 ABCP vs. 1month Libor 30-Day A-1+/P-1 ABCP vs. 1month Libor AAA CDOs AA CDOs
Source Bloomberg, the British Bankers Association and Morgan Stanley
1. US CP and US MTNs will be co-issued

Please see important disclosures on pages 1 and 2 and Appendix A 2. Morgan Stanley & Co. International Limited and Morgan Stanley & Co Incorporated
3. Volatility of spreads - 30-Day A-1/P-1 ABCP: 1.87 bps (since 1/02/2002), 30-Day A-1+/P-1 ABCP: 1.68 bps (since 1/02/2002), AAA CDOs: 11.36 bps, AA
CDOs: 21.41 bps
Hedging and Liquidity
• Hedging 1
– Active hedging strategy is intended to significantly reduce market risk with respect to interest rate and currency
movements
– Required daily compliance with rating agency interest rate and foreign exchange sensitivity tests
– Hedging and monitoring strategy agreed with the rating agencies to offset the available funds cap risk in HELs
and other similar ABS products
• Liquidity
– The key purpose of liquidity is to cover short term funding interruptions as a result of market events such as
“9/11”
– Rhinebridge has a range of options which help to minimise such ‘re-financing risk’ (the risk of failing to
refinance short-term liabilities):
– Rhinebridge is expected to have a A-1+/P1 counterparty rating
– Access to a combination of liquidity sources including:
– extendable commercial paper
– committed repos
– puttable assets
– breakable deposits
– highly liquid asset portfolio
Please see important disclosures on pages 1 and 2 and Appendix A 1. Rhinebridge is intending to enter into hedging agreements with multiple rating agency approved hedging counterparties to help ensure competitive execution. Morgan Stanley & Co
International Limited or any of its affiliates or related companies may act as counterparty. Payments to hedge counterparties will rank senior to payments in respect of the Capital Notes
Rhinebridge
Administration, Surveillance & Reporting
QSR as SIV Administrator 1

• QSR is a UK based, wholly-owned subsidiary of The Bank of New York (“BNY”)1
• The Bank of New York acquired QSR as an operating platform in July 2002, involving the transfer of an experienced management
team, personnel and systems 1
• QSR is an experienced SIV and conduit administrator since 1996
• Currently QSR provides administrative and treasury services to three SIVs, four SIV-lite vehicles, six conduits and seven asset
purchasing vehicles
Monitoring and Reporting

• QSR will mark to market all Rhinebridge’s positions on a daily 2 basis, deliver reports to rating agencies weekly and have regular
reviews conducted by an external auditor
• Rating agencies will monitor Rhinebridge’s counterparty and Capital Note ratings on an ongoing basis
• Simulation model will be run weekly by Rhinebridge to monitor stability of Senior Capital Notes and Mezzanine Capital Note ratings
2
Administration Responsibilities That Will be Undertaken by QSR
Trade Modelling Modelling of all asset, liability and derivative trades

Liability Management Execution of daily issuance of senior debt under four programs (US CP/MTN and Euro CP/MTN)2
Market Risk Management Management of interest rate and currency risk on a trade by trade basis
Rating Agency Reporting Daily production of rating agency reporting confirming compliance with tests relating to diversification,
capital allocation and liquidity
Accounting Production of daily P&L, monthly management accounts and support to external audit process
Back Office/Settlements Comprehensive settlement, position tracking and cash management services
Investor reporting Management of dedicated web pages providing timely and accurate portfolio information for investors
Systems Access to EnSIS®, a proprietary risk management and reporting system, designed in-house for the
management of structured finance vehicles
Source QSR (December 06) – for illustration purposes only
1. QSR, December 06
Please see important disclosures on pages 1 and 2 and Appendix A 2. QSR shall attempt to source asset valuations weekly, or more frequently if directed by the rating agencies
3. Senior Debt (CP and MTNs) will be issued via a Co-issuance structure
Rhinebridge Plc
Section 5
Scenario Analysis

Rhinebridge Plc Scenario Analysis
Hypothetical Returns Analysis1,2,3

Junior Capital Notes
• Base case IRR of

Hypothetical Junior Capital Note Returns Assuming Portfolio Grows to $10 Bn1,2,3,4,5,6,7,8
12.1%1,2,3,4,5,6
Normalised9 Weighted Average Spread on Senior & Mezzanine Capital Notes

• Spread to Libor equivalent of Normalised Asset Spread
65 bps 75 bps 85 bps
6.30%1,2,3,4,5,6,9
27.0bps 9.9% 9.5% 9.0%
29.5bps 10.9% 10.5% 10.1%
Base Case: 32.0bps 12.5% 12.1% 11.6%
34.5bps 14.0% 13.6% 13.2%
37.0bps 14.9% 14.5% 14.1%
Hypothetical Junior Capital Note Returns Assuming Portfolio Grows to $15 Bn 1,2,3,4,5,6,7,8
Normalised9 Weighted Average Spread on Senior & Mezzanine Capital Notes

Normalised Asset Spread
27.0bps 10.2% 9.8% 9.4%
29.5bps 11.2% 10.8% 10.4%
Base Case: 32.0bps 12.8% 12.4% 12.0%
34.5bps 14.3% 13.9% 13.5%
37.0bps 15.2% 14.8% 14.4%
1. This structure is for illustrative purposes only and may not represent the final structure. The final structure of the transaction may differ from those presented above. Investors should refer to the
offering materials and transaction documents for the final terms. Any actual structure may vary from that presented based upon then-current market conditions and other factors
2. Based on hypothetical structure and other assumptions. Please see “Assumptions Applicable to Return Scenario Analysis” page for more details on the assumptions
3. Based on a varying spread and portfolio assumptions
4. Based on the forward Libor curve, US Dollar 3 month Libor and forward curve as of 11 January 2007
5. Shows expected return of Junior Capital Notes invested at the closing date
6. Calculated as an annualised IRR of the cash flows received, assuming repayment of principal at year 10
7. The Senior and Mezzanine Capital Notes weighted average spread is assumed to be initially 75 bps on April 2007, and will then either increase or decrease at a rate of 0.5 bps per quarter to
the normalised spread shown in the tables
Please see important disclosures on pages 1 and 2 and Appendix A 8. The portfolio spread is assumed to be initially 32bps on April 2007, and will then either increase or decrease at a rate of 0.25bps per quarter to the normalised spread shown in the tables
9. Spread to Libor is calculated as the spread to Libor, which when used as a discount rate in each period would result in the present value of the expected cash flows of the relevant Capital
Notes having a value of par
30
Hypothetical Returns Analysis1,2,3

Combination Capital Notes
• Traditional single tranche SIV

Hypothetical Combination Capital Note Returns Assuming Portfolio Grows to $10 Bn1,2,3,4,5,6,7,8,10,11
capital note investment can
be replicated using
combination note technology Normalised Asset Spread
Normalised9 Spread on Senior & Mezzanine Capital Notes

27.0bps 6.8% 6.8% 6.8%
• Combination Capital Notes
29.5bps 7.0% 6.9% 6.9%
will contain Senior Capital
Base Case: 32.0bps 7.2% 7.1% 7.1%
Notes, Mezzanine Capital
34.5bps 7.3% 7.3% 7.3%
Notes and Junior Capital
37.0bps 7.5% 7.4% 7.4%
Notes in proportion
approximately equal to the
expected long-term structure
Hypothetical Combination Capital Note Returns Assuming Portfolio Grows to $15 Bn 1,2,3,4,5,6,7,8,10,11
• Base case IRR of
7.1%1,2,3,4,5,6,10 Normalised9 Spread on Senior & Mezzanine Capital Notes
Normalised Asset Spread
• Spread to Libor equivalent of 27.0bps 6.9% 6.9% 6.8%
1.7%1,2,3,4,5,6,9,10 29.5bps 7.0% 7.0% 6.9%

Base Case: 32.0bps 7.2% 7.2% 7.1%
34.5bps 7.4% 7.3% 7.3%
37.0bps 7.5% 7.5% 7.4%
1. This structure is for illustrative purposes only and may not represent the final structure. The final structure of the transaction may differ from those presented above. Investors should refer to the
offering materials and transaction documents for the final terms. Any actual structure may vary from that presented based upon the then-current market conditions and other factors
2. Based on hypothetical structure and other assumptions. Please see “Assumptions Applicable to Return Scenario Analysis” page for more details on the assumptions
3. Based on a varying spread and portfolio assumptions
4. Based on the forward Libor curve, US Dollar 3 month Libor and forward curve as of 11 January 2007
5. Shows expected return of Junior Capital Notes invested at the closing date
6. Calculated as an annualised IRR of the cash flows received, assuming repayment of principal at year 10
7. The Senior and Mezzanine Capital Notes weighted average spread is assumed to be initially 75 bps on April 2007, and will then either increase or decrease at a rate of 0.5 bps per quarter to
the normalised spread shown in the tables
8. The portfolio spread is assumed to be initially 32bps on April 2007, and will then either increase or decrease at a rate of 0.25bps per quarter to the normalised spread shown in the tables
9. Spread to Libor is calculated as the spread to Libor, which when used as a discount rate in each period would result in the present value of the expected cash flows of the relevant Capital
Notes having a value of par
Please see important disclosures on pages 1 and 2 and Appendix A 10. Assumes, in all cases, the Senior Capital Note component of the Combination Capital Note receives a coupon of LIBOR + 45 bps and the Mezzanine Capital Note component of the
Combination Capital Note receives a coupon of LIBOR + 145 bps
11. Assumes, in all cases, a JCN:MCN:SCN ratio of 1 : 5.33 : 2.67
31
Assumptions Applicable to Return Scenario Analysis
Notes
General The analyses are for illustrative purposes only. They are based on an assumed sample portfolio of asset-backed securities, purchased at an assumed price, and incorporate various other assumptions
as outlined herein. There can be no assurance that the actual terms on which assets in any proposed transaction will be purchased or sold will be consistent with the assumptions incorporated in the
analyses or that any portfolio underlying the transaction will experience similar defaults, delays on interest or principal payments on the underlying assets or spread widening. Actual default rates,
recoveries on assets, interest rates, asset values and other factors may materially differ from the assumptions thereto set forth herein. Investors should read the information in the Offering Memorandum
relating to the Senior Capital Notes, Mezzanine Capital Notes and Junior Capital Notes in its entirety including the description of risk factors and investment considerations contained therein prior to
making a decision to invest in the Senior Capital Notes, Mezzanine Capital Notes or Junior Capital Notes
1) Base case average net asset spread is assumed to be initially 32 bps and will reach the normalized spread at a rate of 0.25 bps per quarter (base case assumes constant asset spread)
2) Expenses are paid on each payment date and are assumed to be on average approximately $2.40 MM per year for 10 years (which includes the amortisation of initial structuring fees paid to Morgan
Stanley & Co. International Limited and other upfront costs). Initial Capital Note distribution fees are taken upfront, while ongoing distribution fees are spread over a period of a year when they are
incurred and average $1.28 MM per year. Variable costs are assumed to be on average approximately to 3.97 bps running per annum on the outstanding assets balance at the beginning of each quarter
(which includes administrative fees paid to QSR). This assumes amortization of all upfront costs over 10 years
3) The analyses assume the portfolio growth path of $750MM per quarter until the transaction reaches $10Bn (for the base case) or $15Bn
4) Junior Capital Notes are assumed to be raised as follows: $29.0 MM on Day 1, and additional amounts raised in minimum of $1 MM installments. The amount of Senior Capital Notes and Mezzanine
Capital Notes outstanding at any period is the total Capital Notes amount, as defined in assumption 15, less the Junior Capital Notes amount, split in the MCN:SCN ratio of 2:1. The amount of Senior
Notes outstanding at any point in time will be equal to the total notional of the issued Notes less the amount of outstanding Senior Capital Notes, Mezzanine Capital Notes and Junior Capital Notes.
Immediately post issuance of the additional amounts of Junior Capital Notes, the leverage available to Junior Capital Note holders is reduced.
5) Assumes a maximum of 91.0% Senior Notes are issued at an assumed starting all-in cost of LIBOR + 0.7 bps post dealer fees and liquidity costs (which includes fees paid to Morgan Stanley & Co.
International Limited as one of the lead CP placement agents). This all-in cost is assumed to decrease to LIBOR -1.8 bps at 0.25bps increments per quarter. Additional Senior Notes are assumed to be
raised until the transaction reaches $10Bn (for the base case) or $15Bn
6) Assumes a minimum of 2.7% Senior Capital Notes and 5.3% Mezzanine Capital Notes are issued (with a higher percentage during the first 3.0 years, as the vehicle grows). The weighted average
coupon of the Senior Capital Notes and Mezzanine Capital Notes is LIBOR+75 bps at Day 1, priced at par (LIBOR+35 on the Senior Capital Notes and LIBOR+95 on the Mezzanine Capital Notes). This
average spread is assumed to then either increase or decrease starting from Day 1, at a rate of 0.5 bps per quarter until it hits the normalized level. The analysis assumes the Senior and Mezzanine
Capital Notes will be continually refinanced at the same spread at maturity. Additional Senior and Mezzanine Capital Notes are assumed to be raised each quarter until the transaction reaches $10Bn
(for the base case) or $15Bn
7) Assumes non rated Junior Capital Notes are issued which will receive Libor flat plus a 80% participation in excess spread, priced at par, and with a 10 year maturity. The size of these Junior Capital
Notes is assumed to be at least 1.00% of the sum of Senior Notes and Capital Notes
8) The Senior Management Fee is assumed to be 5 bps per annum of the asset portfolio notional. The Junior Management Fee is assumed to be 4 bps per annum of the asset portfolio notional. The
Incentive Management Fee is the residual share of excess spread after payment of the excess spread component to JCNs
9) All currency exposures are assumed to be converted into U.S. dollars at zero cost and all assets are assumed to be floating rate assets
10) Assets are assumed purchased and repaid at par with zero defaults and zero trading gains and losses
11) All notes are assumed to be issued and redeemed at par
12) No reserves are retained at any point
13) Assumes 11.4% of Capital Notes at Day 1 amortizing down to 9.0% after 3 years (because of an expected diminution of the asset portfolio WAL) as amended by any additional outstanding amount of
un-amortized up-front costs.
32
Spread Widening and Asset Downgrade Analysis1,2

Breach of Minor and Major Capital Adequacy Tests
• This analysis demonstrates Required Spread Widening or Asset Downgrades to breach the Minor or Major Capital Adequacy Tests
the degree of spread Minor Capital Major Capital
widening or the proportion of Adequacy Test Adequacy Test
asset downgrades required Spread Widening
3.61 x 5.93 x
to cause failure of either the The spread of all assets must be multiplied by a “break”3 factor of:
Minor or Major Capital Asset Downgrade
33 38
Adequacy Tests The “break”4 proportion of assets which must be downgraded by one rating category5 (%)
• As the spread widening or

downgrades are assumed to
happen instantaneously the
analysis ignores IKB CAM’s
potential ability to manage
Comparison to Historical Performance – Example AAA Spread Widening given Normalised Capital Structure
the portfolio and delever the
Bps
structure over time in Spread Widening Required to Cause a Breach of the
response to more gradual Capital Adequacy Tests Example Historical Spread Changes
spread widening or credit Minor Capital Adequacy Major Capital Adequacy Sep-01 Widening Aug-98 Widening Tightening from
deterioration Asset Category Test Test Jan-04 to Jun-05
CDO 99 bps 187 bps 3 n.a. 19
CMBS 47 bps 89 bps 6 20 38
• Based on the hypothetical
capital structure, spreads RMBS 40 bps 76 bps 4 n.a. 15
could widen considerably by Credit Cards 16 bps 30 bps 4 6 11

a level in excess of the Student Loans 23 bps 44 bps 3 n.a. 11
widening experienced in HEL 63 bps 118 bps 4 4 20
August 1998 or September
2001 without causing a
breach of either of the 1. The structure is for illustrative purposes only and may not represent the final structure. The final structure of the transaction may differ from the one presented above. Investors should
Capital Adequacy Tests refer to the offering materials and transaction documents for the final terms. Any actual structure may vary from that presented based upon then-current market conditions and other
factors
2. Based on hypothetical structure and other assumptions. Please see “Assumptions Applicable to Spread Widening and Asset Downgrade Analysis” pages for more details on the
assumptions
3. The “break” factor is the factor which when applied instantaneously to the assumed current spread levels would cause spread widening resulting in a breach of the respective Capital
Please see important disclosures on pages 1 and 2 and Appendix A Adequacy Test
4. The “break” proportion is the minimum proportion of the portfolio that would need to be instantaneously downgraded by one rating category in order to breach the relevant Capital
Adequacy Test
5. For example, from AAA to AA and not a sub-category downgrade, i.e. from AA+ to AA 33
Assumptions Applicable to Spread Widening and Asset Downgrade Analysis
Notes
General The analyses are for illustrative purposes only. They are based on an assumed sample portfolio of asset-backed securities,
purchased at an assumed price, and incorporate various other assumptions as outlined herein. There can be no assurance that the
actual terms on which assets in any proposed transaction will be purchased or sold will be consistent with the assumptions
incorporated in the analyses or that any portfolio underlying the transaction will experience similar downgrades, payment delay, mark-
to-market or price movements. Actual asset downgrades, mark-to-market or price movements, payment delays, interest rates or other
factors may materially differ from the assumptions thereto set forth herein. Investors should read the Offering Memorandum in its
entirety including the description of risk factors and investment considerations contained therein prior to making a decision to invest
1) The spread widening analysis and the downgrade analysis have been performed separately (no spread widening is assumed in the
downgrade analysis and vice versa)
2) The portfolio composition and weighted average life and the resultant capital structure reflect Rhinebridge’s proposed medium term
structure. However, the actual future portfolio composition and capital structure may differ from these assumptions.
3) Assumes a 3.2 year portfolio weighted average life.
4) The following capital structure is assumed for the analysis of the normalised capital structure:
(a) 91% of Senior Notes
(b) 9% of Capital Notes (Senior Capital Notes, Mezzanine Capital Notes and Junior Capital Notes)
Under these assumptions, the total “spare” restricted funding capital is 4.3% and the total “spare” restricted investment capital is
2.3%. The above capital structure and “spare” capital are for illustrative purposes only and may differ from the real capital structure
and capital buffers at any point in time
5) The Minor Capital Adequacy Tests and Major Capital Adequacy Tests performed for the purposes of this analysis are simplified tests
and for illustrative purposes only. The Minor Capital Adequacy Test and Major Capital Adequacy Test performed by Rhinebridge will
differ from the tests performed in this analysis. Failure of the Major Capital Adequacy Test causes the vehicle to enter Restricted
Funding and failure of the Minor Capital Adequacy Test causes the vehicle to enter Restricted Investments. There are other causes
of the vehicle entering Restricted Investments or Restricted Funding (e.g. failure of other tests, such as the ratings tests for the Senior
and Mezzanine Capital Notes) which in certain cases could cause the vehicle to enter such operating states with lesser degrees of
spread widening and/or ratings transitions. However, such other tests have not been considered in this analysis
6) The effect of breach of eligible and operational portfolio parameter limits and the additional capital charges due to the breach of these
limits have been modelled in a simplified manner in the downgrade analysis. These additional capital charges are for illustrative
purposes only and actual additional charges at any point in time may differ from those modelled for this analysis
34
Assumptions Applicable to Spread Widening and Asset Downgrade Analysis
Notes
7) The capital requirements have been assumed with reference to the following parameters
(a) 6 months weighted average life of Senior Notes
(b) Capital requirements, as defined in the Capital Matrices currently agreed with the Rating Agencies
(c) Each asset has a weighted average life equal to the portfolio weighted average life given in assumption 2
The capital requirement for the current portfolio is assumed to be 4.8% for the restricted funding capital and 6.8% for the restricted
investments capital.
This capital requirement calculation is for illustrative purposes only and may differ from the capital requirement tests performed by
SIV Rhinebridge
8) Assumed starting spreads prior to the assumed spread widening are based on the current spreads of the portfolio. With the above
assumptions, the portfolio’s weighted average spread before applying the assumed spread widening is 32 bps
9) The spread widening analysis assumes spread widening occurs instantaneously and ignores IKB CAM’s potential ability to manage
the portfolio and delever the structure over time in response to a more gradual spread widening. Spreads of all assets are assumed
to be multiplied by the same “break” factor. For the purpose of this analysis, it is assumed there are no downgrades
10) Aug-98 spread widening is assumed to be the spread widening observed over a one month period following 17 August 1998, for each
ABS category. Reference historical spread data may refer to a particular sub-category of the ABS category stated on page 34 (for
example for CLOs as opposed to CDOs) Source: Morgan Stanley, September 05.
11) Sep-01 spread widening is assumed to be the spread widening observed over a one month period following 11 September 2001, for
each ABS category. Reference historical spread data may refer to a particular sub-category of the ABS category stated on page 34
(for example for CLOs as opposed to CDOs) Source: Morgan Stanley, September 05.
12) Spread tightening from January 2004 to June 2005 equals the difference between the AAA market pricing as of 01 June 2005 and the
widest AAA market pricing observed since 01 January 2004. Reference historical spread data may refer to a particular sub-category
of the ABS category stated on page 34 (for example for CLOs as opposed to CDOs) Source: Morgan Stanley, June 05.
13) The downgrade analysis assumes downgrades occur instantaneously and ignores IKB CAM’s potential ability to manage the portfolio
and delever the structure over time in response to a more gradual occurrence of asset downgrades. For the purpose of this analysis,
it is assumed there is no spread widening
14) The downgrade analysis assumes no maximum single obligor limit is breached
15) This analysis assumes U.S. dollar 3 month Libor and forward curve as of 11 January 2007
17) All notes are assumed to be issued and redeemed at par
18) All assets are assumed to be floating rate U.S. dollar denominated assets
19) Assets are assumed purchased and repaid at par with zero defaults and zero trading gains and losses
20) All assets are assumed to have a bullet principal repayment, at a date equal to the asset’s weighted average life
35
Rhinebridge Plc
Appendix A
Risk Factors

Rhinebridge Plc Risk Factors
Risk Factors1: SIVs and Rhinebridge
Investments in a SIV involve a number of risks and there can be no assurances that the full (or any) amount invested in a SIV will
be returned. This section highlights a limited number of those risks, but is not and does not purport to be a complete list of the
risks inherent in a SIV. Investors are urged to read the final Base Prospectus in its entirety, including the description of risk
factors/ investment considerations contained in the final Base Prospectus, prior to making a decision to invest
• Market Risk: As a SIV is required to frequently mark its investments to market for the purpose of calculating its key capital ratios, a SIV
faces market price risk, which can lead to realised losses if it becomes a forced seller of assets in a declining market environment or
following credit losses
• Currency Risk: Assets purchased by a SIV may not be denominated in the currency of the notes issued. Some payments may not be
hedged. Unhedged amounts will be measured through market sensitivity tests
• Liquidity Risk: As the average life of the liabilities of a SIV is typically shorter than the average life of its assets, a SIV faces re-financing
risks. To the extent that a SIV is unable to refinance its liabilities, it may be forced to sell its assets at below market value in a fire sale,
resulting in losses to investors
• Management and Operational Risk: Investors will rely on the competency of the collateral manager to manage the collateral and the
functioning the of Administrative Agent’s systems. If any of these parties or their systems fail in performing as expected, the returns to
investors will be severely affected and they may suffer losses
• Reinvestment Risk: There can be no assurance that, in the event that any of the collateral prepays, spreads will be at the same levels as on
the date they were when such collateral was purchased. To the extent prepaid collateral is reinvested into lower spread assets, the interest
proceeds available to pay interest to investors may be adversely affected
• Potential for Interruption and Deferral of Cashflow: If certain ratios or tests are not met (e.g., due to assets defaults), then cashflow that
otherwise would have been available to pay to investors may be deferred. This could result in an elimination, reduction or deferral in the
coupon and/ or principal paid to investors, which would adversely impact the pre-tax and after-tax returns

1. Please refer to Risk Factors section of the final Base Prospectus prior to making an investment decision regarding an investment in Junior Capital Notes, Mezzanine Capital Notes,
Senior Capital Notes and Combination Capital Notes
36
Risk Factors1: SIVs and Rhinebridge (cont’d)
• Asset/Liability Mismatch Risk: The fixed rate nature of some SIV assets and the usually floating rate nature of notes issued by a SIV will
produce a fixed/floating interest rate mismatch between the assets and the liabilities of a SIV. A SIV may enter into one or more interest
rate hedges with a counterparty acceptable to the rating agencies to reduce this asset/liability mismatch, and therefore lower the return
sensitivity of Capital Noteholders to changes in the absolute level of interest rates
• Tax Considerations: Special tax considerations may apply to certain types of tax-payers. Prospective investors should consult with their
own tax advisers to determine any tax implications of this investment prior to investing in a SIV
• Concentration Risk: The Investments of the SIV are subject to concentration risks, including with respect to, inter alia, obligors, region
and industries
• Scenarios and Projections: Illustrative structures, scenarios, cash flow projections and other “forward-looking” statements are based on
assumptions that are unlikely to be consistent with, and may differ materially from, actual events
• Historical information: Historical information on asset default and recovery rates and market value volatility is limited
• Credit Ratings: Credit ratings represent the Rating Agency’s opinions regarding credit quality and are not a guarantee of quality
• IKB CAM: IKB CAM and its performance history may not be indicative of future results. Investors will rely on the competency of the
Investment Manager to manage the collateral and of the Administrator to administer the collateral
• Key Personnel: The loss of key personnel from IKB CAM or QSR could have a material adverse effect on the SIV
• Conflict of Interest: Each of IKB CAM, Morgan Stanley and QSR, and their respective affiliates, may perform various roles in the
transaction and conflicts of interests may arise. In the ordinary course of its business, the Morgan Stanley Group (i) may from time to time
be in possession of non-public information that will not be disclosed to the Issuer or the holders of the Notes and (ii) may at any time hold
long or short positions in, and may trade or otherwise effect transactions in, for its own account or the account of customers, debt or equity
securities or instrument (A) issued by entities that may be involved in the transaction, (B) included in the portfolio or substantially similar
to the securities included in the portfolio, (C) that may be purchased by the Issuer and (D) the trading of which may affect investments
made by the Issuer
• Fiduciary No Obligation: Morgan Stanley is not bound by a fiduciary obligation towards any noteholder. Morgan Stanley is not
responsible for providing any party with any tax, financial, accounting, legal, regulatory or other third party special advice prior to making
a decision to invest in the notes. Prospective investors should consult their own financial, legal, accounting and tax advisors about the risks
associated with an investment in the product, the appropriate tools to analyse the product and the suitability of the product in each
investor’s particular circumstance

37
Risk Factors1: Capital Notes

• Leveraged Credit Risk/Volatility: The leveraged nature of the Capital Notes of a SIV magnifies the adverse impact of assets defaults and
changes in the market value of such Capital Notes and could be greater than the change in the market value of the underlying assets. Junior
Capital Noteholders in a SIV will be in a first loss position with respect to realised losses on the assets of a SIV
• No Recourse/Subordination: SIVs generally will have no assets other than the collateral and any hedge agreements. Accordingly,
payments to investors will be payable solely from the cashflows of the assets of the SIV, in the following order: Senior Expenses and
Senior Management Fees, Senior Debt and Capital Notes. Payments on the Mezzanine Capital Notes will be payable after Senior Expenses
and Senior Management Fees, Senior Debt and Senior Capital Notes are repaid in full. Payments on the Junior Capital Notes will be
payable after Senior Expenses and Senior Management Fees, Senior Debt, Senior Capital Notes and Mezzanine Capital Notes are repaid in
full. Neither IKB CAM, Morgan Stanley, QSR nor any affiliate of any such persons will have any obligation to make payments of
principal or interest on any of the securities issued by the SIV. To the extent that the assets of the SIV are not sufficient to meet the
claims of any noteholders and any creditor ranking in priority thereto, such claims will not be paid and will be extinguished and the
noteholders will have no right to take any legal action against the SIV in such circumstance. Further note that the Junior Capital Notes are
limited recourse obligations of the Issuer, payable on a subordinated basis solely from amounts recovered in respect of the assets
• Lack of Liquidity: The Capital Notes should be viewed as a long term investment, not as a trading investment. There can be no assurance
that there will be any secondary market in the Capital Notes. The Capital Notes may be subject to transfer restrictions. The market value
of the Capital Notes (whether actionable or indicative) will vary over time and may be significantly less than par (or even zero) in certain
circumstances. There is no obligation by Morgan Stanley, IKB CAM or QSR to make a market in the Capital Notes
• Collateral Investment Risk: The collateral may be sold and replacement collateral purchased within certain parameters. If these
transactions result in a net loss, the magnitude of the loss would be increased by the leveraged nature of the Capital Notes investment
• Repayment of Capital Notes: If repayment of the Capital Notes (other than the Junior Capital Notes) in full is not made by the Legal
Maturity Date, the Issuer’s operations will be restricted. In certain such circumstances, no repayment of the Capital Notes shall be made
until the senior creditors and other senior obligations have been repaid in full and hence repayments to the Capital Notes may only be made
after the Legal Maturity Date of the relevant Capital Note. Senior obligations may include Credit Default Swaps which, at the discretion of
the defeasance manager, may or may not be terminated. As a result, Capital Note repayments (if any) may not be made until after all
payments have been made in respect to all Credit Default Swap agreements outstanding. In certain restrictive operating states, repayment of
Capital Notes is only allowed under certain circumstances, and at these times within a Tranche of Capital Notes priority is given to
repayment of Capital Notes with shorter Legal Maturity Dates
• Tax Regulations: Tax regulations may change and as such, the ability of Rhinebridge to make payments on the Capital Notes may be
affected
• Call Options: The Capital Notes may be subject to issuer call options

38
Rhinebridge Plc
Appendix B
Biographies

Rhinebridge Plc Biographies
IKB CAM Management
Winfried Reinke, Managing Director, Head of Treasury and Financial Markets IKB AG and Head of IKB CAM and
Chief Investment Officer
Mr. Reinke is Head of Treasury and Financial markets of IKB Deutsche Industriebank AG, Düsseldorf, since April 1996,
sharing responsibility with Mr. Braun for the group funding, liquidity management, asset and liability management, product
development, proprietary trading and fixed income management. In recent years he concentrated in particular on investments in
structured credit product, mainly in the space of ABS investments. He is one of the joint founders and promoters of the days
IKB securitization space which started in 1998. In Sept. 2006 he became the founder and CIO of IKB CAM’s advisory and
management activities. In this respect he is in charge of the companies advisory functions in particular with respect to its main
customers IKB Deutsche Industriebank AG, the conduit Rhineland Funding as well as Rhinebridge. Prior to that appointment
Mr. Reinke was Managing Director from 1991-1996 of IKB´s Luxemburg subsidiary as well as Head of its Luxemburg Branch,
where his prime responsibility was the derivative business with corporate customers. From 1984 Mr. Reinke spend 7 years in a
senior position in the export finance department of IKB in Düsseldorf. From 1980-1984 Mr. Reinke worked in the Export
Finance Division of DG Bank in Frankfurt. Prior to joining DG Bank Mr Reinke worked as a credit analyst with Citibank,
Frankfurt, from 1978 till 1980. From 1969-1973 and from 1973-1978 Mr. Reinke studied economics at the University of
Saarbrücken, where he obtained his University degree as translator and in economics in 1973/78 respectively.
Dr. Frank Lehrbass, Managing Director, Head of IKB CAM

Dr. Frank Lehrbass is Head of IKB Credit Asset Management GmbH, Düsseldorf, since January 2007. From 2002 til 2006 Dr.
Lehrbass worked for DG Hypothekenbank AG, Hamburg where he headed the Portfolio Management and Structured Credit
Group. Prior to that appointment he was Head of Credit Risk Modelling, where his responsibilities include the bankwide
implementation of Credit Risk+ and the RAROC approach. Parallel to his functions at DG Hyp he was responsible as Managing
Director for the foundation of the NPL-Servicer IMMOFORI. During his time at DG HYP he was also responsible for the full
risk transfer concerning the BAUHAUS and PROVIDE transactions. Prior to joining DG Hyp Dr. Lehrbass headed the
Analytics and Systems Group within the Credit Management Division of WestLB. Dr. Lehrbass started his professional career
at WestLB as Trader in the Index Derivatives Group. Dr. Lehrbass was educated at the University of Bonn, Johns-Hopkins-
University, Baltimore, and Mannheim, where he was awarded a M.A. degree in Economics. He also holds a Ph.D in Economics
by the University of Dortmund. Dr. Lehrbass is the author of several publications in the fields of Credit Risk Measurement
(among others “Credit Risk+ in the Banking Industry”), Structured Product Pricing, Non-Performing Loans and Real Estate
Investment Banking and acts as conference speaker in the European ABS and Credit Portfolio Management universe.
IKB AG Treasury and Financial Markets
Michael Braun, Managing Director, Head of Treasury and Financial Markets IKB AG
Michael Braun is Head of Treasury and Financial Markets Division of IKB Deutsche Industriebank AG, Düsseldorf, since April
1991, sharing responsibility with Mr. Reinke for group funding, liquidity management, asset and liability management, product
development, proprietary trading and fixed income management. In recent years he concentrated in particular on securitization.
He is one of the founders and promoters of IKB’s securitization programs, which started in 1998. His responsibilities comprise
investments in structured credit portfolios (ABS and CDOs) as well as the Banks`s balance-sheet securitization-transactions
(corporate loans, leveraged loans, CMBS, sub debt, infrastructure finance). He also forms a member of the Advisory Board of
IKB Credit Asset Management GmbH. In this respect he has taken up prime functions specifically with respect to the
company`s advisory position for the conduit Rhineland Funding as well as the Rhinebridge set up. Prior to that appointment as
Treasury MD, from 1986 – 1991, he was Managing Director of IKB’s Luxemburg subsidiary as well as Head of its Luxemburg
Branch, where his prime responsibilities were the corporate lending business, treasury and capital markets activities. Mr. Braun
started his professional career at IKB in 1979, working as a legal council with responsibilities in the areas of international
finance, work out and real estate leasing. Mr. Braun has full legal degree from Albertus Magnus University, Cologne, and the
Ministry of Justice of North Rhine Westfalia.
Portfolio Management and Investment Analysis
Neil Ryan, Director - Head of CAM, London Branch

Has over 17 years experience in credit markets. Joined Manufacturers Hanover in 1989 and completed the New York-based
management training programme. Worked in London with Abbey National Treasury Services (1992 – 1994) and Lehman
Brothers (1994 – 1996). Neil returned to Ireland in 1996 and worked at BNP Paribas and BW Bank Ireland plc (now LBBW)
before becoming Managing Director at Naspa Dublin in 2001. Naspa Dublin was a €2.5 Bn Irish regulated bank that ran a full
trading book portfolio across ABS (RMBS, CMBS, CDO, NPL and whole business ABS), bank FRNs and corporates as well
as a loan and asset swap book. He returned to London and established IKB CAM, London branch in 2006. Neil graduated in
law (LL.B., Trinity College Dublin 1988 and LL.M., London School of Economics 1989) before completing a MBA at London
Business School (1996). As well as being a part-time lecturer at UCD, he was a founder member of the Irish Securitisation
Forum in 2005.
Volker de Haan (CFA), Senior Portfolio Manager

Mr. de Haan joined IKB CAM as a Senior Portfolio Manager in October 2006. Prior to joining IKB-CAM GmbH, he
previously worked as a Senior Investment Officer for the Treasury of the African Development Bank in Tunis, Tunisia, having
had primary responsibility for managing the USD investment portfolios worth more than USD 6 billion primarily invested in
USD ABS and MBS as well as US Corporates. Before joining the African Development Bank in April 2002, Volker was a
Portfolio Manager Fixed Income at the Allianz Asset Management GmbH in Munich, managing international fixed income
portfolios. He started his career at Dresdner Kleinwort Benson. Mr de Haan holds a Masters in International Management from
the Garvin School of International Management (Thunderbird) and an MBA in Finance from Arizona State University.
Dr. Thomas Wölwer, Senior Portfolio Manager

Mr. Wölwer joined IKB CAM as a Senior Portfolio Manager in 2006. He has responsibility for investing in CDOs both cash
and synthetic. Prior to joining IKB CAM he worked for Dresdner Kleinwort for 5 years within the Credit Derivatives &
Securitisation department. He began his career working as structurer within the European ABS team, implementing various
securitisations across different asset classes. His duties included also managing Dresdner´s $10 Bn ABCP-Conduit Silver
Tower. After two years he moved on to Dresdner Kleinwort´s London office, focusing on the structuring and origination of
CDO Products. In London he was involved in the structuring and placement of various cash and synthetic CDOs. Mr. Wölwer
has also spent time in the Banking & Finance department of EY Law, Frankfurt, where he advised several arranger banks with
respect to Corporate and Real Estate ABS. He started his career as trainee at Deutsche Bank AG and strategy consultant at
KPMG Consulting, where he was involved in various advisory projects within the Financial Services Industry. Mr Wölwer has
a full legal degree and qualified as Ph.D following studies in Bonn, Mainz, Lausanne, Cambridge and Berkeley (California).
He also holds a Master of Laws in taxation from Münster University.
Wolfgang Bathis, Senior Portfolio Manager

Mr. Bathis joined IKB CAM as an ABS Portfolio Manager in Dec 2005. He is responsible for the investing and surveillance
in US Home Equity-MBS as well as managing the hedging of interest rate risks. He previously worked for IKB Int. S.A.
Luxembourg as ABS-Portfolio Manager within the treasury department since 2003. Before he was employed at a German
insurance company as head of investment department (1999 – 2002) responsible for strategic asset allocation and asset liability
management with focus on fixed income sector. From 1992-1998 he worked at Landesbank Hessen-Thüringen AG as Portfolio
Manager for European fixed income mandates. He started his career in the finance sector in 1988 at HVB.Mr. Bathis holds a
diploma Bankbetriebswirt from Bank Academy in Frankfurt/Main as well a post graduate Course as Certified Credit Analyst
by DVFA Frankfurt.
Alexander Lanin, Senior Portfolio Manager

Mr. Lanin joined the CDO investment team of IKB AG in 2002. He is currently responsible for developing and
implementation of quantitative models for CDO/ABS analysis and pricing. In the last five years he was also responsible for
CDO investments as a senior investment officer. Prior to IKB AG Mr. Lanin worked for Gothaer Insurance in Cologne as
mathematician. Mr. Lanin graduated from the University of Bonn with master’s degree in mathematics.
Jens Wildermuth, Associate Quantitative Research

Mr. Wildermuth joined the research team of IKB CAM in 2006. During his studies he was an intern in various equity and fixed
income derivatives positions. He also worked as a graduate assistant at his university. Mr. Wildermuth holds a Master of
Economics degree from University of Konstanz with emphasis on Econometrics and Finance.
Credit Analysis and Research
Holger Rabelt, Director - Head of Credit Analysis

Mr. Rabelt is Head of Credit Analysis of IKB CAM. Before joining IKB CAM he was heading at IKB AG the Team which
was responsible for the credit analysis on CDOs. Mr. Rabelts´ responsibilities comprise the assessment of all CDO-
Investments, proposed by IKB CAM´s Investment Officers as well as the surveillance of the existing Exposure. Mr. Rabelt
was appointed as Team Head in April 2004. Before that he was CDO-Analyst within the Risk Management Department of
IKB AG. From 2000 to 2002 he was Senior Credit Analyst responsible for the International Lending Business within IKB´s
Risk Management Department. Before joining IKB AG in October 1998 he worked as a Senior Analyst at Dresdner Bank
Luxemburg S.A., a wholly-owned subsidiary of Dresdner Bank AG. At Dresdner Bank Luxemburg S.A. Mr. Rabelt was
responsible for structuring, arranging and placing syndicated Corporate and Project Finance Loans for Corporates and Off
Balance Sheet Projects in Emerging Markets. Mr. Rabelt began his career in 1993 at Dresdner Bank AG, where he was a
Credit Analyst for Dresdner´s domestic Corporate Finance business. Mr. Rabelt studied business administration from 1986 to
1992 at the University of Dortmund, where he obtained his degree in business administration in 1992.
Dr. Klaus Dieter Bauknecht, Head of Credit Research

Klaus Bauknecht joined IKB in early 2004 to head up the research effort. Prior to joining IKB, he was a director in the
National Treasury of South Africa, responsible for econometric model building for tax policy simulations. He was also
responsible for furher developing the macroeconometric model and for providing economic forecasts for the National
Treasury’s 3-year budget process and inflation outlook. Klaus also worked for ING Barings in Johannesburg/London,
responsible for economic, fixed income and top down equity research. While working as a financial analyst, he ranked among
the top 4 analysts for economic and innovative research in the annual financial mail survey of insistutional equity and fixed
income investors. Mr Bauknecht holds a Master in Commerce cum laude and Ph.D in Economics/Econometrics from the
University of Stellenbosch, South Africa and has been a guest lecturer at several South African Universities.
Legal & Structuring
Michael Pinkus, Legal & Structuring

Michael Pinkus holds the position of Senior Vice President at IKB Credit Asset Management GmbH a newly formed asset
management subsidiary of IKB Deutsche Industriebank AG where his duties include managing the over USD 15 billion
Rhineland Funding Capital Corporation conduit. He also heads the syndication desk as well as the structuring and marketing
operations for Rhineland and to date has syndicated nearly USD 7 billion worth of third party liquidity and over 95% of the
conduit’s credit enhancement. Before joining IKB, Mr. Pinkus was an Associate in the securitisation group at Hengeler
Mueller in Frankfurt and worked for KPMG. Michael holds an LL.M. in International Banking and Finance Law from the
University of London, a Juris Doctor from Southern Methodist University in Dallas and a Bachelor of Arts in History from
Texas A&M University.
Thomas Schirmer, Legal & Structuring

Thomas Schirmer joined IKB Credit Asset Management GmbH ("IKB CAM") as Senior Legal Counsel in September 2006.
He oversees the firm's legal matters and is responsible for legal and structural analysis of all CDO transactions
recommended by IKB CAM to its clients. Mr. Schirmer previously worked as an attorney in the capital markets group of the
legal department of IKB Deutsche Industriebank AG, which he joined in 2003. He is a graduate of the Law Faculty of the
University of Cologne and received a LL.M. in American Law from the Boston University School of Law.
Operations & Surveillance
Christian Rohde, Operations & Surveillance CAM London

Mr. Rohde's main focus is the operation and surveillance of the Rhinebridge portfolio. Prior to joining IKB in June 2006 he
worked for 3,5 years on the administration and surveillance of the Globaldrive ABS program at FCE Bank plc in Cologne,
where he was responsible for the administration of all outstanding European ABS retail bonds as well as the set up of new
transactions. He earned a diploma in business administration with a major in finance from Justus-Liebig-Universitaet Giessen
in 2002.
Dr. Oliver Annen, Operations & Surveillance CAM Düsseldorf

Dr. Annen joined the IKB Credit Asset Management GmbH in 2006. Mr. Annen has responsibility for the development of
quantitative methods as well as reporting and surveillance. Mr. Annen previously worked at Atradius for 2 years as a
quantitative analyst, with responsibility for capital modelling and pricing. Previous to this, Mr. Annen received a masters's
degree in mathematics from Duisburg University and a doctoral degree in mathematics. His main academic research include
optimization, discrete mathematics, and operations research. His special focus was on the design of practically efficient
algorithms for hard combinatorial optimization problems in logistics.
Rhinebridge Plc
Appendix C
IKB Group Asset Management Experience

Rhinebridge Plc IKB Group Asset Management Experience
Rhineland Conduit
• IKB CAM acts as Investment Overview

Advisor (from Jan 1, 2007):
• Partially supported credit arbitrage and multi-seller conduit, rated P-1/F1 by Moody’s and Fitch
• Maintains the benefits of the
credit process developed
while part of IKB AG • Established on 15th March 2002
• IKB CAM: Identify, analyse

• Holdings: $15.1 Bn of which approximately 95% are securities; WARF: 50.9 (Aa3 equivalent)
and present investments to
investment committee
• 82.3 % of Assets rated AAA and AA
• Investment evaluation in line
with manager rating criteria
and structural analysis • Current programme limit: US$20 Bn
• Monitor credit performance

of investments via SAMS and • Listing: Dublin stock exchange (first ABCP to be listed on the exchange)
Intex
• Investment advisor: IKB CAM (since January 1, 2007) – replacing IKB AG

• Calculate programme wide
credit enhancement on a
daily basis
• Liquidity agent: IKB AG, Liquidity facility provider: IKB AG, among others
• Provide monthly investor

reports • Over half of the liquidity and 95% of the programme wide credit enhancement (“PWCE”) requirements have
been syndicated to P-1/F1 banks
Credit Management Expertise

IKB Group
• Diversification as a loan Loan Volume by Business Division Diversification – Loan Book by Sector
As of 31 March 2006
book strategy As of 30 September 2006
Real Estate Real Estate

Clients 32 other sectors 14%
• Improving quality of the loan 13% 26% Leasing
book over time Health care 4%
2%
Structured Corporate
Automotive
Finance Clients IKB porfolio
2%
46%
• IKB Group today: Credit 21% Wholesale
3%
investments
18%
Chemistry
Manager with a 3%
Energy
Beverage, food &
comprehensive originating tobacco
3%
Financial sector
power Structured Credit
3% Engineering Retail 16%
20% 3% 3%
* 31 March 2006
Asset Quality of Loan Book Over TIME
50
40
+15%
30
20 -8%
10 -6%
0
1-1.5 2-2.5 3-3.5 4-4.5 5+
IKB rating category
31-Mar-2003 31-Mar-2006
Rhineland Conduit Portfolio Overview

Rhineland Conduit
• Total assets under Portfolio Composition Ratings Distribution

Volume (US$ MM) %
management as of December
31, 2006 – 15.1 Bn
16,000
50
13,117
12,000 40
30
8,000
20
4,000
10
1,193 786
0 0
ABS Corp. & ABS Corporates Aaa Aa A Baa
Rhineland Conduit Vintage Distribution

US$ MM
8,000
5,907
6,000
3,340
4,000
2,730
1,656 1,457
2,000
5
0
2001 2002 2003 2004 2005 2006
Credit Management Expertise

Rhineland Conduit
• Rising quality of the Asset Quality of Rhineland Over Time :

AAA and AA
Rhineland conduit portfolio
over time
50
43.1 41.9 44.7 44.9
38.1
40
34.6
• Rapid reaction to any 30.1 29.1
30 26.9 26.4
deterioration of credit quality
20
10
0
2002 2003 2004 2005 2006
AAA AA
Asset Quality of Rhineland Over Time

A, BBB and Below
25
21.90
20 18.97
16.99 16.59 15.77
15
12.20
9.65 8.77
10
7.76
5 4.61
0.8 1.89 2.28 1.92 0
0
2002 2003 2004 2005 2006
A BBB Non IG
Notes
Please see important disclosures on pages 1 and 2 and Appendix A 1. Percentages in the charts may not add up to 100% due to rounding
Rating Transition Performance

Rhineland Conduit
Rhineland Conduit : Upgrades/Downgrade Ratio vs. Moodys Benchmark (1)
6.36
5
4.67
1.00 1.00
1
0.53
0.21
0.02 0.03 0.07 0.11
0
2002 2003 2004 2005 2006
Rhineland upgrade/downgrade Moodys upgrade/downgrade
Please see important disclosures on pages 1 and 2 and Appendix A Note

1. Moody´s Special Comment: Structured Finance Rating Transitions 1983-2006
Rhinebridge Plc
Appendix D
Rhinebridge Systems

Rhinebridge Plc Rhinebridge Systems
SAMS Overview
Infrastructure
Data Provider CAM: SAMS Platform
Delivery of Source Documents Extract and Process Data SAMS Datastore

Structurers 1. Input deal structure and characteristics ! ABS/CDO structural characteristics
Offering
Arrangers 2. Input swap information ! ABS/CDO restrictions/guidelines
Memorandums
Collateral Swap 3. Import collateral characteristics from monthly ! Funding tranche characteristics
Manager surveillance reports
Schedules ! Surveillance reporting and tests
Insurers Monthly 4. Standardize the data through SAMS ! Collateral profile
Trustees mapping procedures
Trustee Reports ! Collateral pool and transaction history
5. Tie in internal data sources
! Consolidated Instrument Library
Data Feeds 6. Audit and verify data for inputting errors and
internal consistency ! Trade Ticket processing for multiple desks
Rating Agencies ! Consolidated corporate entity information
Market Data ! (Internal) asset manager ratings
Provider Ratings, Watchlist,
CTD Bond information, Tied in External Data Sources
Asset/Industry Class, … Flexible Access
Internal Desks
Liquidity Line/Syndication Management Portfolio Management Surveillance and Reporting
Credit enhancement and fee Evaluation/monitoring Aggregation of exposures by Internal and external reporting
calculations/ surveillance performance of deals, issuer and asset within and capabilities and population of
assets and managers across portfolios analytical tools
SAMS Data Feeders
• Multi-client capability:
Investments of different
business lines are managed
Bloomberg Moodys RDS Fitch-Ratings S&P Markit
within different “Desks” Data-Licence Ratings & Corps Ratings & Corps RatingsXpress ABS/CDS/Bond-Pricing
Static & Market Ratings & Corps Feed
• Corporate Universe:
Corporate names are held
Intex Desktop SG
distinct within the system, Rapid
ABS Analytics SAMS
new names resulting from Intex Surveillance & Monitoring
portfolio imports are staged ABS Model Library Process-Tracking
for quality assurance Intex Subroutines Por.-Analytics per Bus-Line
QSR
reasons and affiliations can SAMS/Excel-Interface EnSIS
be defined for all relevant Numerix
entities KMV CDOEdge Cash-Flow-Generation
CDO-Edge
CF-CDO Library IKB AG
CDO Analytics
Trading/Settlement
Hyperion
• Master Data Pool: Reporting
Transactions are referenced CDO-ROM
Moodys CDO Analytics Sharepoint and IKB AG
by a comprehensive CDOROM Hyparchiv Compliance/Controlling
instrument library Synt.CDO Library Document-Management
comprising all underlying Standard-Tools
financial instruments S&P CDO-Evaluator
Moody‘s ABSROM
Bloomberg
FITCH VectorCP
Windows-Terminals
FICH nth-to-default
FITCH Vector Default Model
...
EnSIS Overview
Capital Model • Ability to flip between capital models

Calculator • Operate under a comparison mode to select the most penal capital cost
• Portfolio criteria testing

Portfolio Criteria
• Parameter driven testing tool for rating agency criteria
Testing
• Capital requirements, net cumulative outflow (NCO), diversification and liquidity
• Sensitivity reporting
Sensitivity
• FX shift, yield curve sensitivities
Reporting
• Enables accurate sensitivity risk management
Pricing Module • Proves an interface for manual price entry and overrides
• Complex functionality for specialised products available
Funding • Funding plan, extensive reports

Management • Net cumulative outflow hypothetical trade screens
• Enables planning, testing and tracking of core funding activity
Report Suite and • Over 120 reports available

Reference Data • Different sets of reference data are available e.g. counterparty details, historical pricing info, payment schedules, ratings
EnSIS
• Rhinebridge will use QSR

Management Ltd. Software
“EnSIS”
• QSR has developed an

advanced software tool for
managing SIVs
• System is constantly being

updated to ensure it keeps
ahead of the the chanigng
business needs
Source: QSR
Rhinebridge Plc
Appendix E
ABCP and SIV Market Overview

Rhinebridge Plc ABCP and SIV Market Overview
ABCP Market Update

December 31, 2006
• Growth in the ABCP market has

U.S. Commercial Paper Outstandings Treasury/LIBOR/CP Benchmarks
come from a variety of sources,
$ Bn
most notably wholesale asset %
financing transactions within 2,000 1,957
144 12/31 11/30 10/31 Yr. Ago
conduits have accelerated over 1,541
1,640
the past 12 months, CDOs 1,500 1,385

123 1M LIBOR 5.32 5.35 5.32 4.39
1,342 1,295 737
316
1,217 1,243
issuing money market tranches, 1,189
1,123 257
204
145 115 669
3M LIBOR 5.36 5.37 5.37 4.54
101
189
and an increase in mortgage 1,000 911 211
491 30-Day ABCP (+) 5.32 5.29 5.28 4.36
769 644 472 470
warehousing conduits 175
616
601
178
770 568 30-Day ABCP 5.33 5.29 5.29 4.36
1,076
500
500
604
581
689 678 645
848
30-Day H.15. Top 5.25 5.26 5.25 4.24
527
• A consistent trend throughout
469
344
0 91 132
231
30-Day H.15. Tier 2 5.38 5.40 5.38 4.42
2005 was the increased use of 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
Federal Funds Target 5.25 5.25 5.25 4.25
structured credit products ABCP Financial Non Financial
within the conduit space, and 10Y UST 4.70 4.46 4.60 4.39
we expect this to continue in Source Federal Reserve
Source Bloomberg
2006 as more conduit sponsors
get comfortable with the sector CP Outstandings – Dec 2005 versus Dec 2006
and as high quality cash ABS $ Bn
being offered at attractive levels
becomes more and more scarce 19% 24%
2,100 1,957 1,787
1,640
1,440
27%
1,400
• We anticipate more market 1,076
848
participants looking to
700 13%
structured credit products as a 22% 27%
73 199 225
60 10 12
means to address regulatory 0
issues facing the market Total T1 T2 AB NF F
2005 2006 2005 2006 2005 2006 2005 2006 2005 2006 2005 2006
(2) (1)
Total Top Tier Tier 2 ABCP Non-Financial Financial
Source Federal Reserve
Notes
Please see important disclosures on pages 1 and 2 and Appendix A 1. Financial CP is unsecured financial CP
2. Nonfinancial CP is unsecured corporate CP
3. ABCP figures prior to May 2004 are discounted by 10% to reflect adjustment that the Fed has made to calculate ABCP outstandings
56
Rhinebridge Plc ABCP and SIV Market Overview
Trends in the SIV Market
Trends for 2006 onwards

Money Market Investment in the SIV Market Breakdown of ABS Investments by Asset Class
• Hybridisation of SIV/CDO As of February 2006
structures • Asset-backed medium term notes (“ABMTNs”)
continue to attract new investment Other
• Increasing use of credit Structured
Auto Loans
Finance
default swap technology • The 15 largest prime institutional money market funds 12.5%
2.4% CDOs
15.0%
(long/short strategies) into owned $16.9 Bn in ABMTNs (as of 31-Dec-04) , Student
Loans
SIV structures representing 4.5% of net assets versus 2.8% in 10.0%
CMBS
December 2002 10.2%
• Sigma, K2, Beta, Links, CC, Stanfield Victoria and

Dorada have been the most dominant ABMTNs
Credit Cards
holdings for the largest prime institutional money RMBS 16.3%
market funds, for the past three years running 33.7%
• These seven accounts comprise about 83% of all Source S&P Research Report – February 2006
ABMTN exposure in the market
Portfolio Exposure by Rating Category
Others
16.9%
Stanfield Sigma Finance BBB
Victoria 31.8% A 0.1%
4.1% 20.8%
Dorada Finance
4.1%
CC USA
11.9%
AA
AAA
K2 USA 16.7%
62.3%
Links Finance 13.4%
Beta Finance
8.3%
9.4%
Source S&P Research Report – February 2006

Source Moody’s Survey of the Portfolio Management Activities of Large Prime
Institutional Money Market Funds, March 2005 (figures as of 31-Dec-2004)
Rhinebridge Plc
Appendix F
Currently Ramped Portfolio

Rhinebridge Plc Currently Ramped Portfolio
Rhinebridge
Currently Ramped Portfolio
• Rhinebridge is currently
1
53.2% ramped Currently Ramped Portfolio
Summary Statistics
Current Target
Par $1,329,793,040 $2,500,000,000
WARF 16.4 24.7
Weighted Average Spread 44.9 bps 32 bps
Weighted Average Life 3.83 years 4.65 years
Current Portfolio Composition Target Portfolio Composition

Category ($MM) AAA AA A Total Category ($MM) AAA AA A Total
CDO 277.0 57.6 - 334.6 CDO 437.5 62.5 62.5 562.5
CMBS 32.5 - - 32.5 CMBS 162.5 125.0 62.5 350.0
HEL 486.6 323.4 139.7 949.7 HEL 625.0 375.0 250.0 1,250.0
RMBS 13.0 - - 13.0 RMBS 237.5 50.0 25.0 312.5
Credit Cards - - - - Credit Cards 25.0 - - 25.0
Total 809.1 381.0 139.7 1,329.8 Total 1,487.5 612.5 400.0 2,500.0
Rhinebridge Plc
Appendix G
Contacts

Rhinebridge Plc Contacts
Morgan Stanley
Contacts
Product Management Product Management
Dorothee Fuhrmann Tim Armstrong

Tel: +44 20 76775640 Tel: +44 20 7677 7786
Fax: +44 2076777232 Fax: +44 20 7677 7232
Email: Email: tim.armstrong@morganstanley.com
dorothee.fuhrmann@morganstanley.com
Structuring Structuring
Gregg Drennan Navindu Katugampola

Tel: +44 20 7677 6967 Tel: +44 20 7677 4268
Fax: +44 20 7677 4328 Fax: +44 20 7677 7999
Email: gregg.drennan@morganstanley.com Email:
navindu.katugampola@morganstanley.com
59
Rhinebridge Plc Contacts
IKB CAM and IKB AG

Contacts
IKB CAM IKB AG
Winfried Reinke Michael Braun

Tel: +49 211 8221 4238 Tel: +49 211 8221 4237
Fax: +49 0211 8221 2238 Fax: +49 211 8221 2237
Email: Winfried.Reinke@ikb-cam.de Email: Michael.Braun@ikb.de
IKB CAM IKB CAM
Neil Ryan Dr. Thomas Wölwer

Tel: +44 20 7090 7235 Tel: + 49 211 8221 3184
Fax: +44 20 7390 7272 Fax: + 49 211 8221 3484
Email: Neil.Ryan@ikb-cam.de Email: Thomas.Woelwer@ikb-cam.de
60

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Rhinebridge Plc

IKB Credit Asset Management GmbH

Section 1 Executive Summary

Appendix D Rhinebridge Systems

Please see important disclosures on pages 1 and 2 and Appendix A

Disclaimer and Notice

Please see important disclosures on pages 1 and 2 and Appendix A

Disclaimer and Notice (cont’d)

Please see important disclosures on pages 1 and 2 and Appendix A

Please see important disclosures on pages 1 and 2 and Appendix A

The Portfolio Manager

Business Rationale for Rhinebridge

Transaction Summary (cont’d)

Rhinebridge is a Structured Investment Vehicle focused on High Grade ABS

Rhinebridge: Focused Investment Strategy

Please see important disclosures on pages 1 and 2 and Appendix A

• The majority of the capital

High Grade ABS

Combination Capital Notes [Baa2]6

Hedge Counterparties Issue & Paying Agent

Rhinebridge - Key Strengths

Alignment of Interest and Co-Investment

Please see important disclosures on pages 1 and 2 and Appendix A

Overview IKB AG and IKB CAM

Please see important disclosures on pages 1 and 2 and Appendix A

IKB Group today: Strategy - Highlights

• Credit manager with

ABS & • Management of growth (capital) and risk

Please see important disclosures on pages 1 and 2 and Appendix A

IKB AG – Business Performance

• Loan volume: €38.6 Bn; 15

Share Performance – Outperformance of Peers

Source: Bloomberg, 1 April 2001 to 15 December 2006

Profitability and Profit Distribution

• Diversification of profit is a Process Diversification Operating Profit – Growth Path Continued

• Operating profit in FY 100 . 4%

IKB – Securitisation Units

IKB Deutsche Industriebank AG

IKB CAM Treasury and Financial Markets Advisor and Coordinator

IKB Fund Management IKB Capital Corporation IKB AG equiNotes

European Hybrid Corporate

$1.6 Bn under $1.8 Bn under $0.6 Bn

IKB Group resources are available to support all units

IKB AG “Securitisation Universe”

Portfolio Management Approach

Corporate Milestones in IKB’s History

First IKB Promise-1

Please see important disclosures on pages 1 and 2 and Appendix A

IKB CAM – Highlights

IKB CAM Highlights

• Core competence in managing credit exposures (single names and portfolio

Please see important disclosures on pages 1 and 2 and Appendix A

IKB CAM Assets Under Management

Assets Under Management

IKB AG and CAM as an Investment Advisor for Rhineland

Experienced Management Team

Odo Maletzki Michael Pinkus TBA

Please see important disclosures on pages 1 and 2 and Appendix A

Rhinebridge: Experienced Investment Team

Experience of Key Investment Professionals

IKB CAM Investment Strategy

Please see important disclosures on pages 1 and 2 and Appendix A

The Specific IKB CAM Approach