1. Asset Securitisation in Russia and CIS Frankfurt 21-22 June 2007 Warehouse Finance – providing wider access to Securitisation Alex Medlock Head of Origination, VTB Europe

2. 1 VTB Group CJSC Novosibirsk- Vneshtorgbank, Russia 97.6% JSC VTB (Russia) State of the Russian Federation (77.5%) Bank VTB Broker (former JSC Bank Zabaikalsky) Russia 99.8% Russian Commercial Bank (Cyprus) 100% VTB Bank (Georgia) Georgia 50% + 1 Bank VTB (Armenia) Armenia 70% + 1 VTB Bank (France) S.A. (former BCEN-Eurobank) 87.04% Bank VTB 24 Russia 92.2% Industry and Construction Bank, Russia 75% + 3 Vneshtorgbank Ukraine 100% VTB Bank (Austria) AG (former Donau-Bank) 100% VTB Bank (Deutschland) AG (former Ost-West Handelsbank) Germany 83.5% VTB Bank Europe plc (former MNB) UK 89.1% CISRussia Europe East-West United Bank Luxembourg 50.7% Russian Commercial Bank, Switzerland 100% Mriya Ukraine 98% Banco VTB Africa SA Angola 66% Africa subsidiaries of VTB Europe Ukraine

3. 2 SubsidiariesRep. offices Great Britain Germany Austria Belarus Ukraine Italy Switzerland France Luxembourg Cyprus Georgia Armenia China India Singapore  VTB Group benefits from its pioneering work in the development of the Russian Securitisation market and worldwide access to investors Western Europe Ukraine Other CIS countries Asia Africa VTB Group

4. 3 Securitisation with the VTB Group Market Specialisation Russian & CIS Local understanding Customer relationships Project Management Deal Execution International Capital Markets Products Innovation Structuring skills Financial flows Distribution network VTB can deliver a comprehensive range of Securitisation services to its existing and future clients in Russia and CIS

5. 4 Selected Securitisation Transactions in Russia and Ukraine Bank Soyuz Moscow First Russian True Sale ABS Securitisation USD 50,000,000 July 2005 Sole Bookrunner City Mortgage Bank Warehouse Facility USD 75,000,000 Nov 2005-July 2006 Mandated Lead Arranger RMBS Transaction USD 88,300,000 July 2006 VTB-Originator City Mortgage Bank Russian True Sale MBS Securitisation USD 73,000,000 August 2006 Sole Bookrunner International Mortgage Bank Kyiv Residential Mortgages Feasibility Study May 2007

6. 5 Warehouse Facility – Purpose The purpose of the Warehouse Facility is to provide financing to the Originator in order to accumulate a portfolio of receivables sufficient in size to permit a marketable and economic ABS/MBS offering to investors The Originator sells portfolios to the Warehouse during the “Ramp Up” period Once the Warehouse has been refinanced through securitisation it may be reused for another cycle May be structured as a “true sale” or “limited recourse financing” depending on the objectives of the Originator

7. 6 Warehouse Facility - Structure Typical cross-border true sale securitisation structure with SPV in tax efficient domicile e.g. Netherlands/Luxembourg (Russia), UK, (Ukraine) Originator continues to service the portfolio and earns servicing fee and or excess spread Public rating not necessary, but often “Initial Assessment” which focuses on portfolio characteristics Senior/subordinate structure to provide credit enhancement for senior tranche/loan

8. 7 Warehouse Facility – Structure Diagram SPV Issuer Borrower BANKS Originator/Servicer Obligors Hedge Counterparty Principal and Interest USD/EUR Proceeds USD/EUR RUR Receivables New loans CreditEnhancement RUR sale of loans proceeds Cash Manager Facility Agent Corporate Servicer Standby Servicer Asset Data Custodian Receivables Russia Offshore Collections Cross Currency & Interest Rate Swaps Security Agent

9. 8 Warehouse Facility – Designed to Allow Smooth Securitisation Process Structure of the Warehouse Facility is designed to smoothly and efficiently allow eventual securitisation of the receivables. Key difference with the “Term Deal” is that bank financing replaces the funds that would otherwise have been provided by the ABS/MBS investor The Warehouse Facility accrues interest, and allows drawdowns of principal, on a monthly basis. Principal receipts are used to buy new loans during the term of the Warehouse. No additional hedging would be required (for a non-revolving structure). As the Warehouse Facility gets close to being fully drawn a securitisation transaction would be executed and the proceeds raised utilised to repay the drawn balance of the Warehouse Facility.

10. 9 Warehouse Facility – Typical Steps Agree parameters of the pool to be warehoused Defining the funding arrangements and hedging Due diligence by the arranger and lawyers Engagement of rating agency (s) First drafts of the transaction documents Pool analysis Due diligence by the rating agency(s) Necessary approvals and “rating’ obtained Finalising and signing the documentation

11. 10 Typical Selection Criteria Original Loan to Value< = [.] % PTI Ratio< = [.] % Interest Rate> = Funding Rate + [.] % Asset Value< = [.] $ Outstanding Balance< = [.] $ Overdue Payment< = [.] Days Payments Received> = [. ] Not in Default Currency

12. 11 Ongoing Portfolio Characteristics Product Types< = [.] % Weighted Average Seasoning> =. months Weighted Average remaining term< = [.] months Weighted average interest rate> = funding rate + [.] % Weighted average LTV< = [.] % Regional Concentration< = [.] % Aggregate jumbo loans< = [.] % Delinquent loans< = [.]%

13. 12 Originator Buy Back/Repurchase Obligation Untrue or incorrect Originator representations and warranties Change in Loan Terms outside Eligibility Criteria Assets remaining in Warehouse following Securitisation Defaulted Loans Structure of Buy Back obligation will depend on the Originator’s objectives during Warehouse stage.

14. 13 Hedging required for Warehousing and ABS/MBS issuance To access the ABS/MBS investor universe efficiently it is essential to offer ABS/MBS which offer a floating rate of interest. Although a fixed rate ABS/MBS market does exist, it generaly prefers bonds that offer a bullet maturity or a guaranteed amortisation schedule. To address the mismatch between a RUR fixed rate of interest received and the floating rate of interest on the USD/EUR denominated bonds, a USD/EUR basis or a cross currency swap is required. The incorporation of a swap is complicated by the fact that the notional amount of the collateral is uncertain at any given point in the future. The swap must therefore be “balance guaranteed” meaning that the swap provider references the notional amount of the collateral outstanding, or a specific tranche such as the Senior Notes, in order to determine the notional amount of the swap. Rating agencies and investors are familiar with this type of hedging structure.

15. 14 Fixed-floating balance guaranteed swap The issuer enters into a balance guaranteed swap to protect itself against, interest rate, FX and prepayment risks. Investors are protected from interest rate, currency risk and prepayment risks under this swap with the swap provider absorbing all of these risks. Provision of high quality historical prepayment data is important to help ensure this swap is priced efficiently. Obligors ABS/MBS Investors Issuer RUR Fixed USD/EUR Floating Swap Counterparty USD/EUR Floating RUR Fixed Balance Guaranteed Swap

16. 15 Contact details Alex Medlock Head of Origination VTB Bank Europe plc 81 King Williams street London EC4N 7BG Tel: + 44 20 7815 9254 Fax: + 44 20 7929 2534 Email: alex.medlock@vtbeurope.comalex.medlock@vtbeurope.com Visit us @ www.vtb.comwww.vtb.com

17. 16 Disclaimer This document has been prepared for information or discussion purposes only and does not constitute an offer, an invitation to offer, or a recommendation to enter into any transaction, nor is it an official or unofficial confirmation of terms. We have sent you this document in our capacity as a potential counterparty acting at arm’s length. We are not acting as your financial advisor or in a fiduciary capacity in respect of any transaction with you unless otherwise expressly agreed by us in writing. Before entering into any transaction you should take steps to ensure that you understand the transaction and have made an independent assessment of the appropriateness of the transaction in light of your own objectives and circumstances, including the possible risks and benefits of entering into such a transaction. You should also consider seeking advice from your advisors in making this assessment. Reference must be made to the official offering documents for definitive information with respect to any offering. VTB Europe Capital Markets is a division of VTB Bank Europe plc, authorised and regulated by the Financial Services Authority. No part of this report may be reproduced or distributed in any manner without permission of VTB Bank Europe plc.