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R O O F R u s s i a S . A . Case Study of a Successful Russian Auto Loan Securitisation

R O O F R u s s i a S . A . Case Study of a Successful Russian Auto Loan Securitisation. London, September 2008. General. Asset Quality. Rating Agency Process. Pricing of the Notes. Market Outlook: Will we see such prices again?. Agenda. Strategic Portfolio Management . General.

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R O O F R u s s i a S . A . Case Study of a Successful Russian Auto Loan Securitisation

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  1. R O O F R u s s i a S . A . Case Study of a Successful Russian Auto Loan Securitisation London, September 2008

  2. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  3. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  4. Introduction ROOF Russia S.A. • On 16th May 2007, ROOF Russia was closed • In this USD 400mm transaction, Raiffeisenbank Austria, the Russian sub diary of RI (“RBRU”) securitized a portfolio of USD denominated auto loans for new, non-Russian brand cars; • Following aspects of this successful transaction are covered in this presentation: • Asset Quality • Rating Agency Process • Pricing of the Notes • Deal Performance Strategic Portfolio Management

  5. RZB Transaction Structure HSBC OFFSHORE RUSSIA Interest Rate Swap InternationalCapital Markets& Conduits SeniorTranche A3/A- ROOF RussiaSA, Luxembourg Purchase Price RBRU Loan Instalments Mezzanine Tranche Baa2/BBB to B2/B IFC et al Non-recourse sale of portfolio Junior Tranche Car Loan Portfolio USD 400 mln Fixed Interest Liquidity Line, Comm. & Setoff Res., Sub. Loan Strategic Portfolio Management

  6. Capital Structure Lowest first loss piece in Russia ever! Strategic Portfolio Management

  7. Transaction Highlights • The transaction has the most attractive capital structure out of CEE/CIS with 89.3% Class A Notes and SVFC Notes of the structure and a first loss piece of 1,91% • The publicly offered Class A notes (A3/A-) and Class B notes (Baa2/BBB) achieved the tightest pricing levels so far in a Russian ABS transaction • This is the first Russian transaction to combine public term notes and private conduit financing at the same time as funding instruments, which provides RBRU with additional flexibility Strategic Portfolio Management

  8. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  9. Car lending development of RBRU • New cars only • Non-Russian car brands only • All loans to be securitised are US$ denominated • A minimum monthly income of the obligor/household of US$ 450 Development of RBA’s auto loan portfolio Generic product description of loans eligible for the transaction: RBA is targeting the prime market segment • All loan contracts are based on a standard loan agreement • Loans for private individuals only • No balloon payments, but only annuity payments • Cars can only be bought through official dealerships or sub dealers Strategic Portfolio Management

  10. Dynamic delinquencies on a monthly basis Car loan portfolio before closing of Transaction Strategic Portfolio Management

  11. Static gross defaults by quarter of origination Strategic Portfolio Management

  12. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  13. Rating Agency Process • Start of process with 3 rating agency at the beginning of transaction; • Data file containing • Portfolio characteristics on a loan-by-loan basis • Historic performance analysis (delinquencies, defaults, recoveries, prepayments, net losses) • Due Diligence meetings in Moscow • After initial rating feedback selection of Fitch and Moody´s • Building of cash flow model – modelling of default and recovery rates under rating specific stress scenarios; Strategic Portfolio Management

  14. Success Factors • Portfolio quality • Data quality • Strong legal input • Commitment to the transaction • Dedicated core project team to fulfil rating agencies´ data and information requests; Patience and Endurance Strategic Portfolio Management

  15. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  16. Pricing of the Notes Step 1: Pricing inside previous ABS deals • Initial price guidance of +100bps to +105bps for the Class A notes • Oversubscription of both publicly offered tranches after only one day of bookbuilding • Step 2: Breaking the 100bps threshold • Building on strong bookbuilding the price guidance was revised during the second day to +95bps to +100bps • +95bps spread for the Class A notes and a +135bps spread for the Class B notes, which are the tightest spreads ever achieved by a Russian ABS deal Strategic Portfolio Management

  17. General Asset Quality Rating Agency Process Pricing of the Notes Market Outlook: Will we see such prices again? Agenda Strategic Portfolio Management

  18. Issuance in CEE/CIS YTD CEE/CIS Securitised Products Issuance Volume European Securitised Products Issuance Volume in EUR mn 2008 YTD: 56% of the issuance volume of 2007 Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi

  19. New ABS issues in 2008 (CEE/CIS)

  20. Issuance in CEE/CIS YTD vs. Western Europe by asset type CEE/CIS: in 2008 relative weight of RMBS continues to grow 2006 2007 2008 YTD Western Europe: Issuance by asset type 2006 2008 YTD 2007 Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi

  21. Issuance in CEE/CIS YTD • Moody‘s expects stressed market conditions to cause the performance of various vintages and tranches of UK non-conformist RMBS to diverge. During Q2 2008, Moody's downgraded 53 classes of securities on 17 different transactions with a total value of GBP1.2 billion outstanding. • Moody’s report on performance of outstanding Russian and CIS RMBS and Auto ABS transactions released on September 1, indicates low delinquencies. Seven out of 11 transactions have delinquencies below 0.50%.

  22. Comparison Russian ABS Transactions 31-60 days delinquencies 61-90 days delinquencies Constant Prepayment Rate, Total Redemption Rate Russian Consumer Finance Russian Car Loans 1 Roof Russia Taganka Car Loan Finance Business and Geographical Segments

  23. Comparison Roof Russia vs. Driver 4 & Driver 5 60-90 days delinquencies 90 + days delinquencies Constant Prepayment Rate, Total Redemption Rate Roof Russia Driver 4 Driver 5 Business and Geographical Segments

  24. Risk and protection in RMBS transactions (Russia, CIS) Source: Investor reports, Raiffeisen RESEARCH

  25. Risk and protection in Auto loans ABS transactions (Russia, CIS) *Senior class = Class B (Class A has been repaid) **Issued in May 08, does not provide regular reporting yet Source: Investor reports, Raiffeisen RESEARCH

  26. RMBS in Russia, CIS vs. western Europe Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

  27. Auto loans in Russia, CIS vs. western Europe Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

  28. Thank you!

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