Prospects for Securitisation in Russia:Key Consideration

Securitisation in Russia and the CIS

London, October 2006

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Contents

Transactions in 2004 - 2006

Securitisable assets

Reasons to securitise

Structure considerations

Problem areas

Looking forward

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Volumes of transactions in 2004-2006

0

500

1 000

1 500

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Deal size Cumulative

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Transactions in 2004-2006

Date Originator Ratings of Originator Assets Amount Legal Maturity Coupon Rating of the Issue/Senior Tranche

July 2004 Gazprom BB- positive (S&P) and BB stable (Fitch)

Future export receivables US$1,250million 15,5 7.201% BBB- (S&P) and BBB- (Fitch)

February 2005 Rosbank Ba3 stable (Moody’s) and B stable (Fitch)

Credit card treceivables US$300million 5 9.75% Ba3 (Moody’s) and B+ (Fitch)

July 2005 Bank Souyz CCC stable by S&P Auto loans US$ 49.8million 5 3ML+175bp (capped at 8.75%)

Baa3 (Moody’s)

December 2005 HCFB Ba3 stable (Moody’s) / B- Consumer loan portfolio Euro 263million 6,5 Euribor+250bp Baa2 (Moody’s)

March 2006 RSB Ba2/B+ Consumer loan portfolio Euro 300million 3 Euribor+165bp Baa2/BBB

March 2006 Alfa Bank Ba2/BB-/B+ DPR US$350million 5 3ML+165bp Baa3

March 2006 RZD Baa2 Leasing receivables RUR13,73billion 6 8.375% Baa2/BBB-

July 2006 Vneshtorgbank Baa2/BBB Residential mortgages US$88.3million 28 (WAL 3.59) 1ML+100bp A1/BBB+

August 2006 City Mortgage Residential mortgages US$72.57million 27 (WAL 3.8) 1ML+160bp (capped at 9.25%)

Baa2

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In the pipeline

Originator Ratings of Originator Amount

MDM Bank Car loans US$450million

MDM Bank DPR US$400million

Vneshtorgbank DPR US$300million

RSB Credit cards receivables US$300million

Agency for Mortgage Lending Mortgages US$150million

Delta Credit Mortgages US$50million

Bank Avangard Car loans US$150illion

Bank Souyz Car loans US$100million

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ABS:

Car loans

Consumer loans

Credit cards

Leases

SME loans

Future flows

MBS:

Residential

Commercial

Securitisable assets

US$

20%

19%

29%

14%

10%

8%

Car loans

Consumer loan portfolio

DPR

Leasing receivables

Mortgages

Credit cardsreceivables

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Reasons to securitise

Funding:

New investor base

Repeating transactions

Longer term

Capital:

Regulatory capital

Improve returns

Risk:

Assets versus cash

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Structure considerations

Warehouse

Conduit

Term deal

Public versus private

Synthetic transactions

Open versus closed pool

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Problem areas

Small pools of assets

Assets are not standardised

RUR versus USD assets (hedging)

Lending in RUR Jan'00 to Dec'05

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2 500 000

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3 500 000

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4 500 000

Jan'0

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Marc

h'00Apr'0

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Marc

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Marc

h'02Apr'0

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Feb'03

Marc

h'03Apr'0

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May

'03

June'03

July '03

Aug'03

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Jan'0

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Feb'04

Marc

h'04Apr'0

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May

'04

June'04

July '04

Aug'04

Sept'04

Oct'04

Nov '04

Dec '04

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5

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Marc

h'05Apr'0

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May

'05

June'05

July '05

Aug'05

Sept'05

Oct'05

Nov '05

Dec '05

RU

R'm

illi

on

Centre versus regions

Legislation and tax issues

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Looking forward

Increase of the amounts

Becoming cheaper

Capital relief importance (Basle II)

Domestic market and development of the regions

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Contacts

Tengiz Kaladze

Managing Director

International Interbank Funding

MDM Bank

+7-495-745-9640 (direct tel.)

+7-495-797-9507 (tel)

+7-495-797-9522 (fax)

+7-495-233-0935 (mobile)

tkaladze@mdmbank.com

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MDM Bank

Established in 1993 as a Moscow-based bank focused on trading

Today, one of the largest privately-owned banking groups in Russia by assets (Year-end 2005: USD5.6 bn ), capital (YE 2005: USD886 mn) and net profit (YE 2005: USD134 mn)

Owned by two Russian entrepreneurs, Andrey Melnichenko (one of the Group’s original founders) and Sergey Popov, his long-standing business partner

Three core business areas: corporate banking, investment banking and retail banking

Business is based on financial intermediation between non-related parties: total related party exposure is capped at 10% of assets

MDM has one of the highest credit ratings among Russian privately-owned banking groups from Moody’s (Ba2), Fitch (BB-) and Standard & Poor’s (B+; positive outlook)

The only Russian financial institution with a corporate governance rating from Standard & Poor’s; the rating was increased to CGS-6.0 in December 2005

Received numerous awards from Euromoney, Emerging Markets, Global Finance and The Banker in 2003-2005; Global Finance also named MDM Bank the Best Bank in Russia in four categories:

Best Foreign Exchange Bank

Best Domestic Eurobond Arranger

Best Domestic Mergers and Acquisitions Arranger

Best Bank in Corporate Governance