C5 London, 12-13 October 2006

1. Securitisation in the CIS Region -Using a Warehouse Structure for the Securitisation of Mortgage PortfoliosAlex MedlockHead of OriginationMNB Capital Markets C5 London, 12-13 October 2006

2. Agenda • Developments in the Russian Securitisation Market • Principal Characteristics of a Warehouse Structure • Structural Considerations • Case Study – City Mortgage Bank • Outlook

3. 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

4. 2005 EMEA Securitisation – by asset class Source: Moody’s

5. 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 but growing importance of regions

6. 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 Drivers – Why do Banks Securitise?

7. Russia - the story so far…. Gas export receivables - USD 1.25bln issued Jul 2004 - Maturity: Feb 2020. Priced at 7.201%. RegS/144a. Rating: BBB- Offshore credit card receivables - USD 225m issued Oct 2004 – Maturity: Nov 2009. Priced at 9.75% Auto loans USD 50m issued July 2005 – Maturity: July 2010. Coupon: 1m Libor plus1.75%pa. Rating Baa3 Residential Mortgages USD 50m Warehouse 1 year Loan Facility – Nov 2005

8. Russia - the story so far continued 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 2012. Coupon: 1m Euribor plus 2.5%pa Consumer Loans - €300m in 3 classes – A1 (€228m), A2 (€39m) and B (€33m). Issue April 2006 – Maturity January 2012. Coupon:1m Euirbor plus 1.65% Rating Class A1 Baa2 Diversified Payments Rights – $300 m. Issued March 2006. Maturity March 2011. Coupon: 3m Libor plus 1.60%. Rating Baa3

9. Russia - the story so far continued • In June 2006. VTB, as the originator and the servicer, completed the first Russian RMBS deal in the total amount of US$ 90m. The senior noteswere assignedA1 by Moody’s, and BBB+ by Fitch. Coupon - 1-m LIBOR + 1.00% p.a. • In August 2006 MNB Capital Markets and Greenwich Financial Services concluded the second RMBS issuance in Russia. At the same time, it was the first Russian RMBS transaction carried out in accordance with Rule 144A, which enables qualified US investors to purchase these securities. The senior noteswere assigned Baa2rating by Moody’s. Coupon - 1-m LIBOR + 1.60% p.a.

10. Typical Warehouse Structure Russia Offshore Hedge Counterparty Subordinated Loan Interest Rate and FX Swaps Originator SPV Issuer Borrower BANKS Obligors Receivables USD Class A Loan Collections USD New Mortgage Contracts Mortgage Contracts sale Proceeds Proceeds USD USD Receivables Standby Servicer Receivables Cash Manager Paying Agent Corporate Servicer Liquidity Facility Trustee Asset Data Custodian

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

12. Case Study – City Mortgage Bank Originator & Sevicer: City Mortgage Bank Issuer: City Mortgage MBS Finance B.V. (Netherlands) Transaction Type: USD denominated Mortgage-Backed Sequential Capped Floating Rate Pass-through Notes Status of the Notes: Direct, unconditional, secured obligations of the issuer Pool Size: USD 72.6m (Senior Class A Notes – USD 63m) Coupon: 1 – month LIBOR plus 1.60% p.a. Listing: Irish Stock Exchange Arranger: Moscow Narodny Bank Capital Markets and Greenwich Finance Services LLC Syndicate: RZB Austria (senior co-lead) Banco Finantia (co- lead) Lead Managers Counsel: Allen & Overy

13. Deal Structure Back-up Servicer: ZAO Raiffeisenbank Stichting 100% of Share Capital Trustee Bank of New York Security Security Issuer: City Mortgage MBS Finance B.V. Cash Manager: Bank of New York Investors Notes Sale of mortgages Servicer Reports Collections Servicing Fee Servicer: City Mortgage Bank Originator: City Mortgage Bank

14. Capital 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 $6.29 M B1 Class C Notes $3.14 M Class AFL $63.1 M Baa2 Class AIIO Inverse IO

15. Receivables: Russian Law Mortgage Certificates (“Zakladnaya”) Loans to private individuals secured by mortgage over residential properties Number: 1,274 Outstanding Balance: USD 72.6 million Geographic Diversity: Moscow, St. Petersburg, Moscow Region, Nizhniy and Samara WA Original LTV: 64.89% WA Current LTV: 61.83% WA Seasoning: 0.8 years WA Loan Size: USD 56,955 Arrears: No loans > 1 month Static/Revolving: Static Collateral Summary

16. Placement The notes are rated by Moody’s and were placed in a number of jurisdictions with a variety of investor types as illustrated below: DistributionbyRegion Type ofInvestor

17. Outlook for securitisation - 2006 • Russia • Residential and commercial mortgages • Auto loans • Consumer loans • Leases • Future flows • Multi Originator • Kazakhstan • Future flows • Residential mortgages • Consumer loans • Ukraine • Residential mortgages • Car loans • Consumer loans