The Prospects for Securitisation in Russia Alex Medlock Head of Origination MNB Capital Markets Securitisation as an effective financial instrument – Moscow 2006

Agenda Key drivers towards securitisation Structural considerations - Russian Auto Loans Finance Outlook 2006

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

2004 EMEA Securitisation – by asset class Source: Moody’s Total: €280 Billion

Market Developments - ABS Issuance Volume in CIS, CE and SEE Total = $1,193.1 mm

Drivers – Why do Bank 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 DETERMINE YOUR GOALS

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

Structuring the Deal Number of different ways to structure securitisation True Sale Synthetic  Standalone or Term Deal  Conduit  Risk Transfer and Capital Relief  Less local structuring  No funding  More complex to discuss with local regulators

Comparing Term Deal and Conduit Structures Term Deal Conduit  Longer tenors  Wide variety of assets  Large volumes  Easy to implement (documentation and marketing)  No formal rating required  Short term  High quality assets

Structuring the Deal – key steps Pre Mandate Structuring Mandate Extension Objectives Preliminary Portfolio Analysis Initial Legal Due Diligence Feasibility Study Selecting Portfolio Arrangers, Lawyers & Rating Agencies Select Structure Obtain Proposals Select Arrangers and Advisors Finance Structure note Allow sufficient time Talk to Investors Post Closing

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

Deal Structure - Russian Auto Loans Finance Issuer: Russian Auto Loans Finance B.V. Trustee TMF Trustee Stichting 100% of Share Capital Back-up Servicer: Russian Standard Bank Originator: Bank Soyuz Investors Cash Manager: JP Morgan Servicer: Bank Soyuz Security Notes Sale of Auto Loans CollectionsServicing Fee Servicer Reports

Collateral Summary Receivables: Number: Outstanding Balance: Asset Type: Geographic Diversity: Average LTV: WA Remaining Term: WA Seasoning: Arrears: Static/Revolving: Auto Loan Contracts denominated in USD 3,679 USD 49.8 Million New Foreign Cars Mainly Moscow region 70% 30 months 5 months No Loans> 1 month Static

Note 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 $3.98 M B2 Class C Notes $1.99 M Class A1 $43.7 M Baa3 Class A2 $0.1 M N/R

Deal Performance US$ Millions Deal closed on 24 July 2005 Class A1 Notes Subordination has increased from 12% to 19.3% Note Payment Dates (10 th )

 The notes were rated by Moody’s and sold to Asian, European and off-shore American investors Distribution by RegionType of Investor Investors – Bank Soyuz

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 2005 – Maturity: Nov Priced at 9.75% Auto loans USD 40m issued July 05 – Maturity: July Coupon: 1m Libor plus1.75%pa. Rating Baa3 Residential Mortgages USD 50m Warehouse 1 year Loan Facility – Nov 2005 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

Outlook for securitisation Russia –Residential mortgages –Auto loans –Consumer loans –Leases –Future flows Kazakhstan –Future flows –Residential mortgages –Consumer loans Ukraine –Residential mortgages