Developing A New Asset Classin Russia: Mortgage-Backed Securities

Securitization in Russia and the CIS 13 October, 2006London

ABS/MBS Markets in Russia Should Become a Large Proportion of Total Public & Private Debt Government budget surplus Cost advantages Need to leverage bank’s balance sheets Need for new high yielding assets by domestic and

foreign investment community

Overview of the U.S. Mortgage Securities Market

Largest sector of the U.S. fixed income market MBS can enhance portfolio performance significantly High credit quality

.

Outstanding Level of US Public & Private Bond Market Debt (USD Billions)

Municipal

U.S. Mortgage-

Corporate*

Fed Money Asset-

TotalTreasury(1) Related(2) Agencies Market(3) Backed*(4)

1997 1,318.70 3,441.80 2,680.20 2,359.00 1,022.60 1,692.80 535.8 13,050.90

1998 1,402.90 3,340.50 2,955.20 2,708.60 1,300.60 1,977.80 731.5 14,417.10

1999 1,457.20 3,266.00 3,334.20 3,046.50 1,620.00 2,338.80 900.8 15,963.50

2000 1,480.90 2,951.90 3,564.70 3,358.60 1,854.60 2,662.60 1,071.80 16,945.10

2001 1,603.70 2,967.50 4,125.50 3,835.40 2,149.60 2,566.80 1,281.10 18,529.90

2002 1,763.10 3,204.90 4,704.90 4,094.10 2,292.80 2,546.20 1,543.30 20,149.20

2003 1,892.20 3,574.90 5,309.10 4,462.00 2,636.70 2,526.30 1,693.70 22,101.20

2004 2,131.30 3,943.60 5,472.50 4,704.50 2,745.10 2,872.10 1,827.80 23,671.20

2005 2,227.00 4,165.80 5,915.60 4,989.90 2,613.80 3,468.90 1,955.20 25,336.20

2006 2,287.30 4,235.10 6,212.40 5,208.90 2,722.70 3,704.90 1,985.90 26,357.20

% of Total

2006 8.63% 16.07% 23.56% 19.75% 10.32% 14.09% 7.58% 100.00%*The Bond Market Association estimates**Denotes break in series due to the inclusion of additional source data on non-agency MBS/CMOs.(1) Interest bearing marketable public debt.(2) Includes GNMA, FNMA, and FHLMC mortgage-backed securities and CMOs and non-agency MBS/CMOs.(3) Includes commercial paper, bankers' acceptances, and large time deposits.(4) Includes public and private placements.

Source: The Bond Market Association

Source: The Bond Market Association

Mortgage/Treasury/Corporate Market

0

1

2

3

4

5

6

7

1991

1993

1995

1997

1999

2001

2003

2005

Ou

tsta

nd

ing

US

D T

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ion

s

Treasury

Mortgage

Corporate

Main Risks of Securitization in Russia

RISK STATUS Legal Solved

- Possibility of “true sale”- Consumer protection- Enforcement in local courts

Operational Solved- Quality of Servicing- Quality of Reporting

Credit Understood- Relatively low credit ratings of originating banks- Lack of historical default/delinquency data- No credit cycle statistics/experience

Prepayment Still Unknown- Lack of data

Did We Separate Credit Risk and Prepayment Risk?…YES!

A-FL bond carries almost entire credit risk of the senior cash flow

A-IIO bond carries almost entire prepayment risk of the senior cash flow

Structure of the CMMBS Transaction

A-FL

$63,127,964

B - Mezzanine Tranche $6,288,610

Subordinated Z Tranche $3,144,305

Senior Classes A-FL, A-IIO

• Rating: Baa3 by Moody’s

• A-FL - Floating Rate Coupon 1M Libor + Spread,

•A-IIO – Inverse Floater

Mezzanine Class B

•Rating: B

• Coupon Fixed at 9.25%

• Pays principal after A1 & A2 are retired

Subordinated Class Z

• No rating

• Structured as an accrual or “Z” bond

• Retained by Originator

A-IIO

Interest Only

OPIC Direct Loan for CityMortgage MBS

9

Supported by

Supported by

Su

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orte

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y

First Loss Note toCityMortgage Bank

Moscow

Senior Notes toCapital Markets

Mezzanine Note:OPIC Funded

Greenwich FinancialServices

Deal Description Bloomberg DES <go>

CityMortgage Senior Notes-Bloomberg Analytics

CityMortgage Mezzanine Notes-Bloomberg Analytics

Deal Description Bloomberg DES <go>

Why is Greenwich Financial Services Involved? Since 1995 Greenwich Financial Services has

added value to a vast array of institutional investors by structuring REMIC cashflows that meet the specific parameters requested by each investor. Our MBS market experience has allowed our structuring group to tailor innovative CMO structures that fit the risk/reward profiles and funding opportunities of our clients.

We are applying this expertise to the new Russian MBS market.

Contact InformationGreenwich Financial Services+1-203-862-3600

Bill Frey Jaye Hohman