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

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

Agenda

Strategic Portfolio Management

General

Asset Quality

Rating Agency Process

Pricing of the Notes

Market Outlook: Will we see such prices again?

3

Agenda


General

Asset Quality




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

5

Transaction Structure


OFFSHORE RUSSIA

Loan Inst

alm

ents

Loan Inst

alm

ents

Car Loan Portfolio USD 400 mlnFixed Interest

Car Loan Portfolio USD 400 mlnFixed Interest

Purchase PriceRBRU

ROOF Russia

SA,Luxembourg

ROOF Russia

SA,Luxembourg

Non-recourse sale

of portfolio Non-recourse sale

of portfolio

Senior TrancheA3/A-

Senior TrancheA3/A-

InternationalCapital Markets

& Conduits

InternationalCapital Markets

& Conduits

Mezzanine TrancheBaa2/BBB to B2/B

Mezzanine TrancheBaa2/BBB to B2/B

Junior TrancheJunior TrancheRZB

IFC et alIFC et al

HSBCHSBC

Interest Rate Swap

Liquidity Line, Comm. & Setoff Res., Sub. Loan

6

Capital Structure


Class USD mln % of total Rating Coupon WAL SVFC Notes 227,17 56,79% A-/ A3 CP rate + n.d. 3.79Class A Notes 130,00 32,50% A-/ A3 1mL + 95 bps 3.79Class B Notes 13,80 3,45% BBB/ Baa2 1mL + 135bps 5.44Class C Notes 17,90 4,48% BB/ Ba2 1mL + 295bps 5.44Class D Notes 3,50 0,88% B/ B2 1mL + 625bps 5.44Total Securities 392,37 98,09%Sub Note 7,63 1,91% NRTotal 400,00 100,00%Liquidity facility 9,81 2,50%of SecuritiesLiquidity principal 3,93 2,38%of Notes (1% of Securities)Commingling reserve 16,28 4,11%of Initial ReceivablesSet-off reserve 15,09 3,81%of Initial ReceivablesTotal cash reserve 31,37 7,92%of Initial Receivables

Lowest first loss piece in Russia ever!

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

8

Agenda


General

Asset Quality




9

Car lending development of RBRU


0

100

200

300

400

500

600

Apr.03 Jul.03 Okt.03 Jän.04 Apr.04 Jul.04 Okt.04 Jän.05 Apr.05 Jul.05 Okt.05 Jän.06 Apr.06 Jul.06 Okt.06 Jän.07

05.00010.00015.00020.00025.00030.00035.00040.00045.000

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

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

10

Dynamic delinquencies on a monthly basis


Car loan portfolio before closing of Transaction

11

Static gross defaults by quarter of origination


12

Agenda


General

Asset Quality




13



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;

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

15

Agenda


General

Asset Quality




16


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


2,22x2,22x2,47x

1,21x

1,61x1,55x1,78x

0,96x0,6x

1,0x

1,4x

1,8x

2,2x

2,6x

3,0x

Day 1 Day 1 ½ Day 2 Day 3

price guidancerevised

+100 bps

+105 bps

+95 bps

+100 bps

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

17

Agenda


General

Asset Quality




18

Issuance in CEE/CIS YTD

0

500

1 000

1 500

2 000

2 500

3 000

3 500

4 000

4 500

2003 2004 2005 2006 2007 2008

CMBS Consumer loans Credit cardsLease receivables Other RMBSTrade receivables DPR Auto loansCDO Factoring receivables SME CLO

2008 YTD: 56% of the issuance volume of 2007

Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi

European Securitised Products Issuance

Volume

CEE/CIS Securitised Products Issuance

Volume

in E

UR

mn

0

50

100

150

200

2003 2004 2005 2006 2007 2008

in E

UR

bn

Credit Cards Consumer & Corporate LoansLeases Auto LoansCDO ABS Total

19

New ABS issues in 2008 (CEE/CIS)

Date Originator Issuer Country Collateral typeRating on

senior class (launch)

Deal Volume (in mEUR)

01/2008 Eurokommerz Factoring Company

Russian Factoring No. 1

S. A

Russia Factoring BBB/BBB 224

02/2008 Raiffeisen Leasing Polska

ROOF Poland Poland Leasing n.a. 280

02/2008Moscow Bank for

Reconstruction and Development

Russian Securitisation Platform S.A.

Russia Auto Loans BBB+ 43

02/2008 AHML AHML 2008-2 Russia RMBS A3 294

03/2008 KIT Finance Rumba I Russia RMBS BBB+ 187

05/2008 CJSC Privatbank Ukraine Auto Loan Finance

No.1 plc

Ukraine Auto Loans Baa3/BBB- 71

06/2008 KIT Finance KIT Ipoteka Russia RMBS BBB+ 133

06/2008 Interregional Factoring Co.

„TRUST“

Russian Structured Factoring

Receivables No.1

Russia Factoring BBB 112

Total Volume : 1344

20

RMBS48%

CMBS13%

CDO10%

B/ S CLO10%

Subprime7%

Other12%

CDO44%

Other56%

Subprime0%

B/ S CLO0%

CMBS0%

RMBS0%

RMBS46%

CMBS14%

CDO9%

B/ S CLO10%

Subprime7%

Other14%

Issuance in CEE/CIS YTD vs. Western Europe by asset type

Other1.76%

SME CLO10.84%

Auto loans13.58%

CMBS total5.53%

CDO2.73%

Consumer loans

11.31%

DPR36.09%

Lease receivables

9.94%

RMBS8.22%

Auto loans12.17%

DPR42.06%

Consumer loans

3.39%

RMBS37.96%

SME CLO4.43%

RMBS45.68%

Lease receivables

20.83%Auto loans

8.48%

Factoring receivables

25.00%

CEE/CIS: in 2008 relative weight of RMBS continues to grow

2006 2007 2008 YTD

Source: Dealogic, Bloomberg, Raiffeisen RESEARCH, Citi

Western Europe: Issuance by asset

type 20072006 2008 YTD

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

Constant Prepayment Rate, Total Redemption Rate

61-90 days delinquencies31-60 days delinquencies

Business and Geographical Segments

Russian Consumer Finance

Russian Car Loans 1

Roof Russia

Taganka Car Loan Finance

0,00%

0,20%

0,40%

0,60%

0,80%

1,00%

1,20%

1,40%

1,60%

1 3 5 7 9 11 13 15 17 19 210,00%

0,10%

0,20%

0,30%

0,40%

0,50%

0,60%

0,70%

0,80%

0,90%

1 3 5 7 9 11 13 15 17 19 21

0,0%

10,0%

20,0%

30,0%

40,0%

50,0%

60,0%

70,0%

1 3 5 7 9 11 13 15 17 19 21

23

0,00%

0,05%

0,10%

0,15%

0,20%

0,25%

1 2 3 4 5 6 7 8 9 10 11 12

Comparison Roof Russia vs. Driver 4 & Driver 5

Constant Prepayment Rate, Total Redemption Rate

90 + days delinquencies60-90 days delinquencies

Business and Geographical Segments

Roof Russia

Driver 4

Driver 5

0,00%

0,05%

0,10%

0,15%

0,20%

0,25%

0,30%

0,35%

0,40%

0,45%

1 2 3 4 5 6 7 8 9 10 11 12

0,00%

10,00%

20,00%

30,00%

40,00%

50,00%

60,00%

70,00%

1 2 3 4 5 6 7 8 9 10 11 12

24

Risk and protection in RMBS transactions (Russia, CIS)

TransactionsSenior class

ratingSenior class

subordination

Senior class subordination +

reserve fund30+

Deliq.60+

Deliq.90+

Deliq.

CityMortgage MBS Baa2 24.6% 24.85% 2.8% 2.6% 1.8%

Red&Black Prime Russia A2/A 23.4% 29.6% 1.0% 0.4% 0.3%

Russian MBS A1/A- 28.2% 32.9% 0.6% 0.3% 0.0%

Moscow Stars Baa2/BBB 15.3% 22.4% 0.7% 0.5% 0.5%

Gazprombank 2006 A3/BBB+ 19.3% 24.0% 1.3% 0.8% 0.3%

Gazprombank 2007 A3/BBB+ 19.6% 21.2% 2.8% 2.1% 1.7%

Ukraine MLF A-/A3 44.1% 52.1% 1.0% 0.4% 0.0%

Kazakh MBS 2007 Baa3/BBB- 28.8% 33.6% 0.3% 0.0% 0.0%

Average Russia A3/BBB+ 21.8% 25.8% 1.5% 1.1% 0.8%

Average CIS A3/BBB+ 25.4% 30.1% 1.3% 0.9% 0.6%

Source: Investor reports, Raiffeisen RESEARCH

25

Risk and protection in Auto loans ABS transactions (Russia, CIS)

TransactionsSenior class

ratingSenior class

subordination

Senior class subordination + reserve fund

30+ Deliq.

60+ Deliq.

90+ Deliq.

Russian car loans A-/Baa1 39.2% 39.2% 11.2% 10.9% 6.7%

Roof RussiaRoof Russia A-/A3A-/A3 9.0%9.0% 9.0%9.0% 0.9%0.9% 0.4%0.4% 0.3%0.3%

Taganka* A-/A3 68.1% 76.8% 11.4% 10.3% 9.5%

Ukraine Auto Loans Finance 1** N/A N/A N/A N/A N/A N/A

Average Russia A-/Baa1 38.8% 41.7% 6.9% 6.3% 5.0%

Average CIS A-/Baa1 38.8% 41.7% 6.9% 6.3% 5.0%

*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

Market SubordinationSubordination +

reserve fund 30+ Deliq. 60+ Deliq. 90+ Deliq.

Average Russia 21.8% 25.8% 1.5% 1.1% 0.8%

Average CIS 25.4% 30.1% 1.3% 0.9% 0.6%

Average UK NC AAA 22.5% 24.4% 20.9% 14.5% 10.6%

Average UK Prime AAA 8.4% 34.3% 2.8% 1.3% 0.8%

Average Spain AAA 7.6% 9.3% 3.6% 1.9% 1.2%

Average Dutch AAA 8.9% 10.5% 1.0% 0.6% 0.4%

Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

27

Auto loans in Russia, CIS vs. western Europe

Market SubordinationSubordination +

reserve fund 30+ Deliq. 60+ Deliq. 90+ Deliq.

Average Russian Auto Loans ABS 21.2% 25.1% 1.2% 0.8% 0.7%

Average Auto Loans ABS in CIS 24.8% 29.3% 1.1% 0.7% 0.5%

Average European Auto Loans ABS AAA 4.6% 8.8% 2.4% 1.5% 1.0%

Source: Investor reports, Lehman Brothers, Raiffeisen RESEARCH

28

Thank you!

Roland MechtlerDeputy Head of Strategic Portfolio

Management Raiffeisen International Bank-Holding AG

Tel. +43-1-71707 2161Fax +43-1-71707 1226

e-mail [email protected]

Documents

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