Red & Black Prime Russia MBS No.1 Limited Securitisation of a Portfolio of Russian Residential Mortgage Loans March 2007

RED & BLACK PRIME RUSSIA MBS No.1 Limited 2 Overall Structure DeltaCredit (Originator & Servicer) Red & Black Prime Russia MBS No.1 Limited (Issuer) True Sale of Mortgage Loans Interest Rate Hedge Floating rate notes Note Trustee Liquidity Facility Security Trustee USD [A2/A] Senior Notes [Baa2/BBB+] Mezzanine Notes [Ba2/ BB+] Subordinated Notes Moody’s / Fitch Debtors USD Russian Custodian Security interest Servicing Agreement Reserve Fund

RED & BLACK PRIME RUSSIA MBS No.1 Limited 3 Capital Structure The Notes are listed on the Official List of the Irish Stock Exchange Class A NotesClass B NotesClass C Notes Rating (Moody's/Fitch)[A2/A][Baa2/BBB+][Ba2/BB+] Size (% of Issuance)[84.0][7.0][9.0] Size ($ mm)[180.9][15.1][19.4] Subordination (%)[16.0][9.0][0.0] Anticipated CouponLIBUSD1M + [.%] Interest ConventionActual/360 Amortisation TypePass through Expected WAL[3.1][5.3] Offered to investorsYes Legal Final Maturity DateJanuary 2035

RED & BLACK PRIME RUSSIA MBS No.1 Limited 4 Portfolio Characteristics

RED & BLACK PRIME RUSSIA MBS No.1 Limited 5 Main Eligibility Criteria Borrowers  Exclusively individuals  Life and disability insured Loans  Denominated in US$ with monthly payments  Loan-to-Value not exceeding 85%  As of the Cut-Off Date: The residual maturity is at least 6 months but no more than 25 years Loans are no more than 30 days in arrears Properties  First ranking mortgage  Located in Russia  Property insured

RED & BLACK PRIME RUSSIA MBS No.1 Limited 6 Portfolio Characteristics Information provided on the Mortgage Loan Portfolio as per February 3rd ITEM WEIGHTED AVERAGE MINIMUMMAXIMUM Aggregate Principal Outstanding Balance (US$)[215,376,476.37] Number of Mortgage Loans[3,174] Current Loan Balance (US$)[67,856.48][12,029][397,094] Original Loan-To-Value (%)[67.72%] Current Loan-To-Value (%)[65.00%][10.25%][85.00%] Interest Rate (%)[11.43%][9.20%][16.50%] Proportion of Fixed Rate Loans (%)[96.36%] Seasoning (months)[9.81][0.0][56.3] Original Term (months)[169.61] Remaining Term (months)[161.60][64.73][300.0] PTI (%)[43.38%][2.92%][60.00%] Borrower Age (years)[34][20][59] Note: Less than [0.5%] of the portfolio is buy to let

RED & BLACK PRIME RUSSIA MBS No.1 Limited 7 Portfolio Amortisation Profile Portfolio WAL (CPR = 0%): [5.91] years Portfolio WAL (CPR = 5%): [4.95] years Portfolio WAL (CPR = 10%): [4.21] years Portfolio WAL (CPR = 15%): [3.63] years Portfolio WAL (CPR = 20%): [3.17] years

RED & BLACK PRIME RUSSIA MBS No.1 Limited 8 Portfolio Characteristics Distribution by Loan Size The average mortgage loan amount is US$ [67,856] [91.56%] of the Mortgage Loan Portfolio have a loan size < US$ 200,000 The largest mortgage loan amounts to US$ [397,000] 0% 5% 10% 15% 20% 25% 30% 35% 40% Loan Size (US $ * 1000) Proportion of the pool

RED & BLACK PRIME RUSSIA MBS No.1 Limited 9 Portfolio Characteristics Distribution by Loan-To-Value No loan has a Loan-To-Value above 85% The weighted average Loan-To- Value is [65.00%] [91.58%] of the Mortgage Loan Portfolio have a Loan-To-Value < 80% [61.30%] of the Mortgage Loan Portfolio have a Loan-To-Value between 60 and 80% 0% 5% 10% 15% 20% 25% 30% 35% 40% Loan-To-Value (%) Proportion of the pool

RED & BLACK PRIME RUSSIA MBS No.1 Limited 10 Portfolio Characteristics Distribution by Age The weighted average Age is [34] years [89.58%] of the Mortgage Loan Portfolio have been granted to borrowers under 45 years The Mortgage Loans granted to borrowers aged 45 years or older have a weighted average remaining term of [131] months 0% 5% 10% 15% 20% 25% 30% 35% Age Proportion of the pool

RED & BLACK PRIME RUSSIA MBS No.1 Limited 11 Portfolio Characteristics Seasoning Distribution The weighted average seasoning is [9.81] months The “oldest” mortgage loan was originated in May 2002 The most recent mortgage loan was originated on February 2nd % 10% 20% 30% 40% 50% 60% Seasoning Proportion of the pool