Asset Securitisation in Russia and CIS Frankfurt 21-22 June 2007

Warehouse Finance – providing wider access to Securitisation

Alex MedlockHead of Origination, VTB Europe

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VTB Group

CJSC Novosibirsk-Vneshtorgbank, Russia

97.6%

JSC VTB (Russia)JSC VTB (Russia)

State of the Russian Federation (77.5%)State of the Russian Federation (77.5%)

Bank VTB Broker(former JSC Bank Zabaikalsky)

Russia99.8%

Russian CommercialBank (Cyprus)

100%

VTB Bank (Georgia)Georgia50% + 1

Bank VTB (Armenia)Armenia70% + 1

VTB Bank (France) S.A.(former BCEN-Eurobank)

87.04%

Bank VTB 24Russia92.2%

Industry and Construction Bank, Russia

75% + 3

VneshtorgbankUkraine

100%

VTB Bank (Austria) AG(former Donau-Bank)

100%

VTB Bank (Deutschland) AG(former Ost-West Handelsbank)

Germany83.5%

VTB Bank Europe plc(former MNB) UK

89.1%

CISRussia Europe

East-West United BankLuxembourg

50.7%

Russian Commercial Bank, Switzerland

100%

MriyaUkraine

98%

Banco VTB Africa SAAngola66%

Africasubsidiaries of VTB EuropeUkraine

3 Subsidiaries Rep. offices

Great BritainGermany

Austria

Belarus

Ukraine

Italy

Switzerland

France

Luxembourg

Cyprus

GeorgiaArmenia

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

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Securitisation with the VTB Group

Market Specialisation

Russian & CIS

Local understandingCustomer relationshipsProject ManagementDeal Execution

InternationalCapital Markets

ProductsInnovationStructuring skillsFinancial flows Distribution network

VTB can deliver a comprehensive range of Securitisation services to its existing and future clients in Russia and CIS

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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 BankWarehouse 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

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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

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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

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Warehouse Facility – Structure Diagram

SPV

Issuer Borrower

BANKS

Originator/ServicerObligors

Hedge Counterparty

Principal and Interest

USD/EURProceeds

USD/EUR

RUR Receivables

New loans

CreditEnhancement

RUR sale of loans proceeds

Cash

Manager

Facility

Agent

Corporate

Servicer

Standby Servicer

Asset Data Custodian

ReceivablesReceivables

Russia Offshore

Collections

Cross Currency & Interest Rate

Swaps

Security Agent

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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.

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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

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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

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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 < = [.]%

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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.

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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.

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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 Counterpart

y

USD/EURFloating

RUR Fixed

Balance Guaranteed Swap

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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.com

Visit us @ www.vtb.com

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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 .