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R O O F R u s s i a S. A. Case Study of a Successful Russian Auto Loan Securitisation London, September 2008.

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Presentation on theme: "R O O F R u s s i a S. A. Case Study of a Successful Russian Auto Loan Securitisation London, September 2008."— Presentation transcript:

1 R O O F R u s s i a S. A. Case Study of a Successful Russian Auto Loan Securitisation London, September 2008

2 2 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

3 3 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

4 4 Introduction ROOF Russia S.A. Strategic Portfolio Management On 16th May 2007, ROOF Russia was closed In this USD 400mm transaction, Raiffeisenbank Austria, the Russian sub diary of RI (“RBRU”) securitized a portfolio of USD denominated auto loans for new, non-Russian brand cars; Following aspects of this successful transaction are covered in this presentation: Asset Quality Rating Agency Process Pricing of the Notes Deal Performance

5 5 Transaction Structure Strategic Portfolio Management OFFSHORE RUSSIA Loan Instalments Car Loan Portfolio USD 400 mln Fixed Interest Car Loan Portfolio USD 400 mln Fixed Interest Purchase Price RBRU ROOF Russia SA, Luxembourg ROOF Russia SA, Luxembourg Non-recourse sale of portfolio Non-recourse sale of portfolio Senior Tranche A3/A- Senior Tranche A3/A- International Capital Markets & Conduits International Capital Markets & Conduits Mezzanine Tranche Baa2/BBB to B2/B Mezzanine Tranche Baa2/BBB to B2/B Junior Tranche RZB IFC et al HSBC Interest Rate Swap Liquidity Line, Comm. & Setoff Res., Sub. Loan

6 6 Capital Structure Strategic Portfolio Management Lowest first loss piece in Russia ever!

7 7 Transaction Highlights Strategic Portfolio Management The transaction has the most attractive capital structure out of CEE/CIS with 89.3% Class A Notes and SVFC Notes of the structure and a first loss piece of 1,91% The publicly offered Class A notes (A3/A-) and Class B notes (Baa2/BBB) achieved the tightest pricing levels so far in a Russian ABS transaction This is the first Russian transaction to combine public term notes and private conduit financing at the same time as funding instruments, which provides RBRU with additional flexibility

8 8 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

9 9 Car lending development of RBRU Strategic Portfolio Management Development of RBA’s auto loan portfolio Generic product description of loans eligible for the transaction: RBA is targeting the prime market segment All loan contracts are based on a standard loan agreement Loans for private individuals only No balloon payments, but only annuity payments Cars can only be bought through official dealerships or sub dealers New cars only Non-Russian car brands only All loans to be securitised are US$ denominated A minimum monthly income of the obligor/household of US$ 450

10 10 Dynamic delinquencies on a monthly basis Strategic Portfolio Management Car loan portfolio before closing of Transaction

11 11 Static gross defaults by quarter of origination Strategic Portfolio Management

12 12 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

13 13 Rating Agency Process Strategic Portfolio Management Start of process with 3 rating agency at the beginning of transaction; Data file containing Portfolio characteristics on a loan-by-loan basis Historic performance analysis (delinquencies, defaults, recoveries, prepayments, net losses) Due Diligence meetings in Moscow After initial rating feedback selection of Fitch and Moody´s Building of cash flow model – modelling of default and recovery rates under rating specific stress scenarios;

14 14 Success Factors Strategic Portfolio Management Portfolio quality Data quality Strong legal input Commitment to the transaction Dedicated core project team to fulfil rating agencies´ data and information requests; Patience and Endurance

15 15 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

16 16 Pricing of the Notes Step 1: Pricing inside previous ABS deals Initial price guidance of +100bps to +105bps for the Class A notes Oversubscription of both publicly offered tranches after only one day of bookbuilding Strategic Portfolio Management Step 2: Breaking the 100bps threshold Building on strong bookbuilding the price guidance was revised during the second day to +95bps to +100bps +95bps spread for the Class A notes and a +135bps spread for the Class B notes, which are the tightest spreads ever achieved by a Russian ABS deal

17 17 Agenda Strategic Portfolio Management General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again?

18 18 Issuance in CEE/CIS YTD 2008 YTD: 56% of the issuance volume of 2007 Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi European Securitised Products Issuance Volume CEE/CIS Securitised Products Issuance Volume in EUR mn

19 19 New ABS issues in 2008 (CEE/CIS) DateOriginatorIssuerCountryCollateral type Rating on senior class (launch) Deal Volume (in mEUR) 01/2008Eurokommerz Factoring Company Russian Factoring No. 1 S. A RussiaFactoringBBB/BBB224 02/2008Raiffeisen Leasing Polska ROOF PolandPolandLeasingn.a /2008 Moscow Bank for Reconstruction and Development Russian Securitisation Platform S.A. RussiaAuto LoansBBB+43 02/2008AHMLAHML RussiaRMBSA /2008KIT FinanceRumba IRussiaRMBSBBB /2008CJSC PrivatbankUkraine Auto Loan Finance No.1 plc UkraineAuto LoansBaa3/BBB-71 06/2008KIT FinanceKIT IpotekaRussiaRMBSBBB /2008Interregional Factoring Co. „TRUST“ Russian Structured Factoring Receivables No.1 RussiaFactoringBBB112 Total Volume : 1344

20 20 Issuance in CEE/CIS YTD vs. Western Europe by asset type CEE/CIS: in 2008 relative weight of RMBS continues to grow YTD Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi Western Europe: Issuance by asset type YTD

21 21 Issuance in CEE/CIS YTD  Moody‘s expects stressed market conditions to cause the performance of various vintages and tranches of UK non- conformist RMBS to diverge. During Q2 2008, Moody's downgraded 53 classes of securities on 17 different transactions with a total value of GBP1.2 billion outstanding.  Moody’s report on performance of outstanding Russian and CIS RMBS and Auto ABS transactions released on September 1, indicates low delinquencies. Seven out of 11 transactions have delinquencies below 0.50%.

22 22 Comparison Russian ABS Transactions Constant Prepayment Rate, Total Redemption Rate days delinquencies days delinquencies Business and Geographical Segments Russian Consumer Finance Russian Car Loans 1 Roof Russia Taganka Car Loan Finance

23 23 Comparison Roof Russia vs. Driver 4 & Driver 5 Constant Prepayment Rate, Total Redemption Rate 90 + days delinquencies days delinquencies Business and Geographical Segments Roof Russia Driver 4 Driver 5

24 24 Risk and protection in RMBS transactions (Russia, CIS) Transactions Senior class rating Senior class subordination Senior class subordination + reserve fund30+ Deliq.60+ Deliq.90+ Deliq. CityMortgage MBSBaa224.6%24.85%2.8%2.6%1.8% Red&Black Prime RussiaA2/A23.4%29.6%1.0%0.4%0.3% Russian MBSA1/A-28.2%32.9%0.6%0.3%0.0% Moscow StarsBaa2/BBB15.3%22.4%0.7%0.5% Gazprombank 2006A3/BBB+19.3%24.0%1.3%0.8%0.3% Gazprombank 2007A3/BBB+19.6%21.2%2.8%2.1%1.7% Ukraine MLFA-/A344.1%52.1%1.0%0.4%0.0% Kazakh MBS 2007Baa3/BBB-28.8%33.6%0.3%0.0% Average RussiaA3/BBB+21.8%25.8%1.5%1.1%0.8% Average CISA3/BBB+25.4%30.1%1.3%0.9%0.6% Source: Investor reports, Raiffeisen RESEARCH

25 25 Risk and protection in Auto loans ABS transactions (Russia, CIS) Transactions Senior class rating Senior class subordination Senior class subordination + reserve fund30+ Deliq.60+ Deliq.90+ Deliq. Russian car loansA-/Baa139.2% 11.2%10.9%6.7% Roof Russia A-/A39.0%9.0%0.9%0.4%0.3% Taganka*A-/A368.1%76.8%11.4%10.3%9.5% Ukraine Auto Loans Finance 1**N/A Average RussiaA-/Baa138.8%41.7%6.9%6.3%5.0% Average CISA-/Baa138.8%41.7%6.9%6.3%5.0% *Senior class = Class B (Class A has been repaid) **Issued in May 08, does not provide regular reporting yet Source: Investor reports, Raiffeisen RESEARCH

26 26 RMBS in Russia, CIS vs. western Europe MarketSubordination Subordination + reserve fund30+ Deliq.60+ Deliq.90+ Deliq. Average Russia21.8%25.8%1.5%1.1%0.8% Average CIS25.4%30.1%1.3%0.9%0.6% Average UK NC AAA22.5%24.4%20.9%14.5%10.6% Average UK Prime AAA8.4%34.3%2.8%1.3%0.8% Average Spain AAA7.6%9.3%3.6%1.9%1.2% Average Dutch AAA8.9%10.5%1.0%0.6%0.4% Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

27 27 Auto loans in Russia, CIS vs. western Europe MarketSubordination Subordination + reserve fund30+ Deliq.60+ Deliq.90+ Deliq. Average Russian Auto Loans ABS21.2%25.1%1.2%0.8%0.7% Average Auto Loans ABS in CIS24.8%29.3%1.1%0.7%0.5% Average European Auto Loans ABS AAA4.6%8.8%2.4%1.5%1.0% Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

28 28 Thank you! Roland Mechtler Deputy Head of Strategic Portfolio Management Raiffeisen International Bank-Holding AG Tel Fax


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