1. Rick Watson Managing Director and Head of the European Securitisation Forum rwatson@europeansecuritisation.com +44 (0) 20 7743 9333 Prospects for Securitisation in Russia – Key Considerations ESF Framework for European Securitisation London, 12 October 2006

2. 2 ESF: Nature and Mission The ESF is a 160-member pan-European trade association comprised of a wide range of participants in the European securitisation and structured credit markets Our focus is in three main areas: –Legal, regulatory and accounting policy issues (examples: Basel II, Solvency II, IASB, European Commission MiFID Best Execution, Price Transparency and MAD, etc.) –Promote best market practices (examples: standardised RMBS and CDO data reporting fields, investment valuations) –Maximise education opportunities for members, regulators, and press through technical workshops and seminars

3. 3 Historical European ABS Issuance

4. 4 European ABS Asset Classes

5. 5 European ABS – Country of Origin

6. 6 The appeal of Securitisation: A Lender Perspective Securitisations encourage a better understanding of the risks and rewards of their businesses through: –Improved portfolio/data reporting –Higher operational efficiency driven by the extensive due diligence procedures –Greater certainty that divisional growth plans can be funded through non-deposit sources –Superior return on capital vs on-balance sheet alternatives

7. 7 ESF White Paper: A Framework for European Securitisation The ESF has developed a comprehensive set of principles required to establish a transparent framework for the origination, structuring, distribution and reporting for securitisation transactions across Europe. –Origination Of Assets: The development of market standard approaches to documentation and origination in respect of frequently securitised asset classes should be encouraged. –Sale, Transfer And Isolation Of Assets: Credit risk of assets must be divorced from the credit risk of the originator of those assets. Rules relating to the sale, transfer and isolation of assets should be certain and not such as to leave the credit risk with the originator following sale. –Ownership Of Assets And Servicing: Securitisation vehicles should be able to own the securitised asset without onerous requirements, provided appropriate safeguards are in place. Third party servicing will need to be permitted.

8. 8 ESF Framework for Securitisation Data Protection And Banking Secrecy: Servicers, investors and rating agencies should be able to access information relating to securitised assets without onerous, costly and/or time-consuming regulatory or approved procedures. Securitisation Vehicles: Securitisation vehicles should not be required to have minimum levels of capital or be otherwise subject to regulatory capital or licensing requirements. Insolvency/Bankruptcy Laws: Laws should provide certainty that a securitisation vehicle is not considered as part of the originator in the event of insolvency/bankruptcy of the originator. Methods Of Enhancement: Enhancement should not prejudice the legal, regulatory and accounting position of the transaction when provided by a third party other than the originator. Tax Treatment: Securitisation requires certainty of tax treatment. Securitisation vehicles should be treated as fiscally transparent and tax neutral by revenue authorities, asset transfers to SPVs should be free of tax, and investors should be able to receive payments on securitisation instruments free from withholding or other taxes.

9. 9 ESF Framework for Securitisation Accounting Treatment: Securitisation should be capable of achieving an accounting sale of the securitised assets for the originator/transferor. Accounting standards should be clear and consistent without significant divergence between standard setters. Appropriate disclosure required. Regulatory Treatment: The capital treatment of securitisation activity should be consistent with general regulatory treatment and should not be categorised as a specified type or risk warranting harsher treatment. Preferably there should be harmonisation. Listing Disclosure And Reporting: Listing rules and reporting should facilitate disclosure of all relevant information in a manner that is clear and understandable. Rights Of Investors: Investors should receive relevant information (ranging from ongoing asset or portfolio reporting to material changes in the terms or circumstances of the transaction) on a timely basis both prior to investment and after closing. An active secondary market in securitisation instruments is important.