Securitisation in the CIS Region - Using a Warehouse Structure for the Securitisation of Mortgage Portfolios Alex Medlock Head of Origination MNB Capital Markets C5 London, October 2006

2 Agenda Developments in the Russian Securitisation Market Principal Characteristics of a Warehouse Structure Structural Considerations Case Study – City Mortgage Bank Outlook

3 What do Banks securitise? MBS –Residential mortgages –Commercial mortgages ABS –Auto loans –Consumer loans –Credit cards –Leases –SME loans –Future Flows CDO –Backed by loans or bonds

EMEA Securitisation – by asset class Source: Moody’s

5 Drivers – the housing finance market in Russia In EMEA RMBS accounts for over 50% of all issuance Housing market in Russia growing rapidly but still small and more or less doubling each year Less than 1% of GDP compared to 2-20% in other emerging markets and 40-70% in OECD countries IFC estimated medium term potential of Russian mortgage market equivalent to $10bn- $30bn Market dominated by Moscow and St. Petersburg but growing importance of regions

6 Drivers – Why do Banks Securitise? Optimise Funding Risk Management Capital Management  Access to a new Investor base through higher rating and different asset class  Reliable and competitive funding  Liquidity Management  Term Funding  Transfer of risks associated with pool of loans  Manage interest rate and credit risk  Release of regulatory capital  Improve ROE

7 Russia - the story so far…. Gas export receivables - USD 1.25bln issued Jul Maturity: Feb Priced at 7.201%. RegS/144a. Rating: BBB- Offshore credit card receivables - USD 225m issued Oct 2004 – Maturity: Nov Priced at 9.75% Auto loans USD 50m issued July 2005 – Maturity: July Coupon: 1m Libor plus1.75%pa. Rating Baa3 Residential Mortgages USD 50m Warehouse 1 year Loan Facility – Nov 2005

8 Russia - the story so far continued Consumer Loans - Phase I €126.5 m (Phase II €164.5m to be placed during the nine months from closing). Issued Dec 2005 Maturity Dec Coupon: 1m Euribor plus 2.5%pa Consumer Loans - €300m in 3 classes – A1 (€228m), A2 (€39m) and B (€33m). Issue April 2006 – Maturity January Coupon:1m Euirbor plus 1.65% Rating Class A1 Baa2 Diversified Payments Rights – $300 m. Issued March Maturity March Coupon: 3m Libor plus 1.60%. Rating Baa3

9 Russia - the story so far continued In June VTB, as the originator and the servicer, completed the first Russian RMBS deal in the total amount of US$ 90m. The senior notes were assigned A1 by Moody’s, and BBB+ by Fitch. Coupon - 1-m LIBOR % p.a. In August 2006 MNB Capital Markets and Greenwich Financial Services concluded the second RMBS issuance in Russia. At the same time, it was the first Russian RMBS transaction carried out in accordance with Rule 144A, which enables qualified US investors to purchase these securities. The senior notes were assigned Baa2 rating by Moody’s. Coupon - 1-m LIBOR % p.a.

10 SPV Issuer Borrower BANKS Originator Obligors Hedge Counterparty Cash Manager Paying Agent Corporate Servicer Liquidity Facility Trustee Standby Servicer Asset Data Custodian Typical Warehouse Structure Collections New Mortgage Contracts Receivables Proceeds USD Receivables Proceeds USD Class A Loan USD Interest Rate and FX Swaps Subordinated Loan Russia Offshore Mortgage Contracts sale Receivables USD

11 Structuring Considerations Investors Structure Rating Legal Opinions Size Collateral Type of Offering  Credit Enhancement  FX  Liquidity  Public V Private  Listing  RegS/144a

12 Case Study – City Mortgage Bank Originator & Sevicer:City Mortgage Bank Issuer:City Mortgage MBS Finance B.V. (Netherlands) Transaction Type:USD denominated Mortgage-Backed Sequential Capped Floating Rate Pass-through Notes Status of the Notes:Direct, unconditional, secured obligations of the issuer Pool Size:USD 72.6m (Senior Class A Notes – USD 63m) Coupon:1 – month LIBOR plus 1.60% p.a. Listing:Irish Stock Exchange Arranger:Moscow Narodny Bank Capital Markets and Greenwich Finance Services LLC Syndicate:RZB Austria (senior co-lead) Banco Finantia (co- lead) Lead Managers Counsel:Allen & Overy

13 Deal Structure Issuer: City Mortgage MBS Finance B.V. Trustee Bank of New York Stichting 100% of Share Capital Back-up Servicer: ZAO Raiffeisenbank Originator: City Mortgage Bank Investors Cash Manager: Bank of New York Servicer: City Mortgage Bank Security Notes Sale of mortgages CollectionsServicing Fee Servicer Reports

14 Capital Structure Senior/Subordinated Notes paying sequential Credit enhancement mainly through subordination of the Class B and Class C notes plus Reserve Fund Expenses Contingency Fund Class A Notes Class B Notes $6.29 M B1 Class C Notes $3.14 M Class AFL $63.1 M Baa2 Class AIIO Inverse IO

15 Collateral Summary Receivables:Russian Law Mortgage Certificates (“Zakladnaya”) Loans to private individuals secured by mortgage over residential properties Number:1,274 Outstanding Balance: USD 72.6 million Geographic Diversity:Moscow, St. Petersburg, Moscow Region, Nizhniy and Samara WA Original LTV:64.89% WA Current LTV:61.83% WA Seasoning:0.8 years WA Loan Size:USD 56,955 Arrears:No loans > 1 month Static/Revolving:Static

16 Placement Distribution by Region Type of Investor The notes are rated by Moody’s and were placed in a number of jurisdictions with a variety of investor types as illustrated below:

17 Outlook for securitisation Russia –Residential and commercial mortgages –Auto loans –Consumer loans –Leases –Future flows –Multi Originator Kazakhstan –Future flows –Residential mortgages –Consumer loans Ukraine –Residential mortgages –Car loans –Consumer loans