Prospects for Securitisation in Russia:
Key Consideration
Securitisation in Russia and the CIS
London, October 2006
Contents

Transactions in 2004 - 2006

Securitisable assets

Reasons to securitise

Structure considerations

Problem areas

Looking forward
2
J
Au uly
gu 20
st 0 5
S 20
O ept 05
c
No to b 2 00
ve er 5
De mb 200
ce e r 5
m 20
be 0
r 5
Ja 200
n 5
Fe 200
M b2 6
ar 0
ch 06
Ap 20
ril 0 6
M 200
ay 6
Ju 20
ne 06
Ju 200
A u ly 6
gu 20
st 0 6
Se 20
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ve er 6
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m 20
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6
Volumes of transactions in 2004-2006
4 000
3 500
3 000
2 500
2 000
1 500
1 000
500
0
Deal size
Cumulative
3
Transactions in 2004-2006
Date
Originator
Ratings of Originator
Assets
Amount
Legal Maturity Coupon
Rating of the Issue/Senior Tranche
July 2004
Gazprom
BB- positive (S&P) and BB
stable (Fitch)
Future export receivables
US$1,250million
15,5
7.201%
BBB- (S&P) and BBB- (Fitch)
February 2005 Rosbank
Ba3 stable (Moody’s) and B
stable (Fitch)
Credit card treceivables
US$300million
5
9.75%
Ba3 (Moody’s) and B+ (Fitch)
July 2005
CCC stable by S&P
Auto loans
US$ 49.8million
5
3ML+175bp (capped Baa3 (Moody’s)
at 8.75%)
December 2005 HCFB
Ba3 stable (Moody’s) / B-
Consumer loan portfolio
Euro 263million
6,5
Euribor+250bp
Baa2 (Moody’s)
March 2006
RSB
Ba2/B+
Consumer loan portfolio
Euro 300million
3
Euribor+165bp
Baa2/BBB
March 2006
Alfa Bank
Ba2/BB-/B+
DPR
US$350million
5
3ML+165bp
Baa3
March 2006
RZD
Baa2
Leasing receivables
RUR13,73billion
6
8.375%
Baa2/BBB-
July 2006
Vneshtorgbank Baa2/BBB
Residential mortgages
US$88.3million
28 (WAL 3.59)
1ML+100bp
A1/BBB+
August 2006
City Mortgage
Residential mortgages
US$72.57million
27 (WAL 3.8)
1ML+160bp (capped Baa2
at 9.25%)
Bank Souyz
4
In the pipeline
Originator
Ratings of Originator
Am ount
MDM Bank
Car loans
US$450million
MDM Bank
DPR
US$400million
Vneshtorgbank
DPR
US$300million
RSB
Credit cards receivables
US$300million
Agency for Mortgage Lending
Mortgages
US$150million
Delta Credit
Mortgages
US$50million
Bank Avangard
Car loans
US$150illion
Bank Souyz
Car loans
US$100million
5
Securitisable assets
ABS:

Car loans

Consumer loans

Credit cards

US$
Car loans
8%
10%
20%
Consumer loan portfolio
DPR
Leases
14%
Leasing receivables
19%

SME loans
Mortgages
29%

Future flows
Credit cards
receivables
MBS:

Residential

Commercial
6
Reasons to securitise
Funding:
Capital:

New investor base

Repeating transactions

Longer term

Regulatory capital

Improve returns
Risk:

Assets versus cash
7
Structure considerations

Warehouse

Conduit

Term deal

Public versus private

Synthetic transactions

Open versus closed pool
8
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5
RUR'million
Problem areas

Small pools of assets

Centre versus regions

Assets are not standardised

Legislation and tax issues

RUR versus USD assets (hedging)
Lending in RUR Jan'00 to Dec'05
4 500 000
4 000 000
3 500 000
3 000 000
2 500 000
2 000 000
1 500 000
1 000 000
500 000
0
9
Looking forward

Increase of the amounts

Becoming cheaper

Capital relief importance (Basle II)

Domestic market and development of the regions
10
Contacts
Tengiz Kaladze
Managing Director
International Interbank Funding
MDM Bank
+7-495-745-9640 (direct tel.)
+7-495-797-9507 (tel)
+7-495-797-9522 (fax)
+7-495-233-0935 (mobile)
tkaladze@mdmbank.com
11
MDM Bank

Established in 1993 as a Moscow-based bank focused on trading

Today, one of the largest privately-owned banking groups in Russia by assets (Year-end 2005:
USD5.6 bn ), capital (YE 2005: USD886 mn) and net profit (YE 2005: USD134 mn)

Owned by two Russian entrepreneurs, Andrey Melnichenko (one of the Group’s original
founders) and Sergey Popov, his long-standing business partner

Three core business areas: corporate banking, investment banking and retail banking

Business is based on financial intermediation between non-related parties: total related party
exposure is capped at 10% of assets

MDM has one of the highest credit ratings among Russian privately-owned banking groups from
Moody’s (Ba2), Fitch (BB-) and Standard & Poor’s (B+; positive outlook)

The only Russian financial institution with a corporate governance rating from Standard & Poor’s;
the rating was increased to CGS-6.0 in December 2005

Received numerous awards from Euromoney, Emerging Markets, Global Finance and The
Banker in 2003-2005; Global Finance also named MDM Bank the Best Bank in Russia in four
categories:

Best Foreign Exchange Bank

Best Domestic Eurobond Arranger

Best Domestic Mergers and Acquisitions Arranger

Best Bank in Corporate Governance
12