Moody’s Perspective on Current Market Conditions in the CIS Presented by: Daniel Mumzhiu, Assistant Vice President Structured Finance Group Presented by: Daniel Mumzhiu, Assistant Vice President Structured Finance Group September 29, 2008

2 Agenda Deal Performance Update Trends and Outlook for Asset Quality Has Moody’s View of the Region Changed? Increased Transparency of Moody’s

3 Deal Performance Update

4 Recent Transactions and Pipeline 2008 closed (publicly rated) transactions – 4 Russian transactions totalling RUB33 billion 2 RMBS 2 Factoring receivables deals – 1 Ukrainian auto-loan transaction for $110 million Pipeline – Deals from 4 CIS countries (mostly Russia) Assets include, mortgages, consumer loans, future flow, factoring receivables, SME loans, lease receivables, auto loans; deals include CDOs and CLOs

5 CIS RMBS Deal Performance 11 RMBS transactions rated by Moody’s in CIS – 7 of 11 show 60+ delinquency of less than.50%

6 CIS RMBS Deal Performance Defaults are low and within expectations – Lack of uniform definition for defaults an issue

7 CIS RMBS Deal Performance CPRs range from 10-30% with 20% average – High CPRs explained by borrower behaviour

8 CIS Auto-Loan Deal Performance Delinquencies have been low Defaults do not exceed 4.5% for any transaction

9 Performance of CIS Credit Derivatives Emerging market CDOs have stable outlooks. Sputnik CDO I - First rated Synthetic CDO of CIS names have been upgraded in Aug 07. First CIS CLO -TransAlp 2 Securities Plc – all rated notes were fully and timely redeemed. For now, it is uncertain when the current challenging market conditions will subside, but what is clear is that credit derivatives will remain a valuable funding tool for Russian banks in the intermediate to long term.

10 Trends and Outlook for Asset Quality

11 Moody’s Outlook for Russia Economic indicators: – GDP expected to maintain healthy growth in ‘08 of 7.7% – Household spending to continue to increase Increasing inflation may impact consumers – Stable sovereign outlook (recently upgraded to Baa1) Banking Sector Outlook: – Changed to Negative from Stable on Sept. 25 th due to structural weakness (the outlook reflects expected conditions, not a projection of ratings changes) Moody’s moved 12 banks from positive to stable outlook last week

12 Moody’s Outlook for Russia Inflation year-over-year percentage change

13 Moody’s Outlook for Russia Unemployment Rate/ Employment Growth

14 Moody’s Outlook for Russia: Consumer Loans Factors affecting asset performance – Regional expansion and more aggressive underwriting in recent years may impact collateral performance Some banks have curtailed underwriting standards – Increasing use of credit bureaus mitigates some risk – Some ABS originators have negative outlook Current outlook is “Stable/Negative” (no change from previous)

15 Moody’s Outlook for Russia: Consumer Loans Rating Implications: – Performance expected to remain within current assumptions – Still observing high levels of excess spread – Some deals may be impacted by economic downturn or severe crisis as many transaction ratings are linked to originator rating in some respects

16 Moody’s Outlook for Russia: RMBS Factors affecting asset performance – Reduced mortgage lending may lower home price growth – Origination standards remain high due to AHML criteria Many lenders have tightened lending standards (avoiding example of US sub-prime crisis) Current outlook is stable (no previous outlook)

17 Moody’s Outlook for Russia: RMBS Rating Implications: – Performance expected to remain within current assumptions – Event risk remains as some transaction ratings are linked to originator ratings Most RMBS deal originators to date have generally high ratings

18 Moody’s Outlook for Russia Housing Loan Growth

19 Moody’s Outlook for Russia House Price Index for Moscow/Moscow Region

20 Moody’s Outlook for Russia House Price Index for Select Russian Regions

21 Has Moody’s View of the Region Changed?

22 Moody’s View of CIS Securitisation Has Moody’s view of securitisation in the CIS changed given the crisis and current market conditions? – Largely, NO Crisis has highlighted extreme volatility in Russia Credit estimates for unrated originator may no longer be sufficient Greater focus on origination standards Increased analysis of counterparty risk in transactions

23 Increased Transparency of Rating Agencies

24 Key Moody’s Efforts to Improve Transparency Providing added info on SF ratings (V-Scores, loss sensitivity analysis) Formal review of loan originators Efforts to discourage “ratings shopping” Working towards improved issuer info. quality Increasing surveillance function and resources Regular comprehensive review of models Bolstering measures to manage potential conflicts of interest A number of other initiatives…

25 Disclosed Assumption for Russian RMBS House price stress rates (in a recession) – 65% for Moscow/St. Petersburg – 53% – 65% for Russian regions Foreclosure costs of 10% of property value with minimum fixed cost of RUB 29,000 Time to foreclosure – 3 years in Moscow/St. Petersburg – 4 years in Russian regions Accrued interest over foreclosure period: 12%

26 Disclosed Assumption for Russian RMBS Minimum CE for Russian RMBS deals is 5% Property type credit enhancement adjustments: – Flat or single family home: no adjustment – Communal apartment: 100% penalty Occupancy type adjustments: – Owner occupied: no adjustment – Non-owner occupied: 100%; vacation homes: 85% Renovation loan purpose penalty of 5%

27 Disclosed Assumption for Russian RMBS Loans in USD or EUR are penalized up to 12% Self-employed borrower penalty is 25% Self-certified penalty depends on LTV of the loan Benefit provided to seasoned loans depending on age

28 Disclosed Assumptions for Russian RMBS Frequency of Default (based on LTV) Curve

29 Disclosed Assumption for Russian RMBS

30 Contact: © Copyright 2007, Moody’s Investors Service, Inc. and/or its licensors including Moody’s Assurance Company, Inc. (together, “MOODY’S”). All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.