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Red & Black Prime Russia MBS No.1 Limited

Red & Black Prime Russia MBS No.1 Limited. Securitisation of a Portfolio of Russian Residential Mortgage Loans March 2007. Overall Structure. Liquidity Facility. Interest Rate Hedge. Note Trustee. Russian Custodian. Moody’s / Fitch. [A2/A] Senior Notes [Baa2/BBB+] Mezzanine Notes

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Red & Black Prime Russia MBS No.1 Limited

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  1. Red & Black Prime Russia MBS No.1 Limited Securitisation of a Portfolio of Russian Residential Mortgage Loans March 2007

  2. Overall Structure Liquidity Facility Interest Rate Hedge Note Trustee Russian Custodian Moody’s / Fitch [A2/A] Senior Notes [Baa2/BBB+] Mezzanine Notes [Ba2/ BB+] Subordinated Notes Floating rate notes True Sale of Mortgage Loans Red & Black Prime Russia MBS No.1 Limited (Issuer) DeltaCredit (Originator & Servicer) Debtors USD USD USD Servicing Agreement Security interest Reserve Fund Security Trustee

  3. Class A Notes Class B Notes Class C Notes Rating (Moody's/Fitch) [A2/A] [Baa2/BBB+] [Ba2/BB+] Size (% of Issuance) [84.0] [7.0] [9.0] Size ($ mm) [180.9] [15.1] [19.4] Subordination (%) [16.0] [9.0] [0.0] Anticipated Coupon LIBUSD1M + [.%] LIBUSD1M + [.%] LIBUSD1M + [.%] Interest Convention Actual/360 Actual/360 Actual/360 Amortisation Type Pass through Pass through Pass through Expected WAL [3.1] [5.3] [5.3] Offered to investors Yes Yes Yes Legal Final Maturity Date January 2035 January 2035 January 2035 Capital Structure • The Notes are listed on the Official List of the Irish Stock Exchange

  4. Portfolio Characteristics

  5. Main Eligibility Criteria • Borrowers • Exclusively individuals • Life and disability insured • Loans • Denominated in US$ with monthly payments • Loan-to-Value not exceeding 85% • As of the Cut-Off Date: • The residual maturity is at least 6 months but no more than 25 years • Loans are no more than 30 days in arrears • Properties • First ranking mortgage • Located in Russia • Property insured

  6. Portfolio Characteristics • Information provided on the Mortgage Loan Portfolio as per February 3rd WEIGHTED ITEM MINIMUM MAXIMUM AVERAGE Aggregate Principal Outstanding Balance (US$) [215,376,476.37] Number of Mortgage Loans [3,174] Current Loan Balance (US$) [67,856.48] [12,029] [397,094] Original Loan-To-Value (%) [67.72%] Current Loan-To-Value (%) [65.00%] [10.25%] [85.00%] Interest Rate (%) [11.43%] [9.20%] [16.50%] Proportion of Fixed Rate Loans (%) [96.36%] Seasoning (months) [9.81] [0.0] [56.3] Original Term (months) [169.61] Remaining Term (months) [161.60] [64.73] [300.0] PTI (%) [43.38%] [2.92%] [60.00%] Borrower Age (years) [34] [20] [59] Note: Less than [0.5%] of the portfolio is buy to let

  7. Portfolio Amortisation Profile • Portfolio WAL (CPR = 0%): [5.91] years • Portfolio WAL (CPR = 5%): [4.95] years • Portfolio WAL (CPR = 10%): [4.21] years • Portfolio WAL (CPR = 15%): [3.63] years • Portfolio WAL (CPR = 20%): [3.17] years

  8. 40% 35% 30% 25% Proportion of the pool 20% 15% 10% 5% 0% 0-50 50-100 100-150 150-200 200-250 250-300 300-350 350-400 400-450 450-500 Loan Size (US $ * 1000) Portfolio Characteristics Distribution by Loan Size • The average mortgage loan amount is US$ [67,856] • [91.56%] of the Mortgage Loan Portfolio have a loan size < US$ 200,000 • The largest mortgage loan amounts to US$ [397,000]

  9. 40% 35% 30% 25% Proportion of the pool 20% 15% 10% 5% 0% 0-10 10-20 20-30 30-40 40-50 50-60 60-70 70-80 80-85 85-100 Loan-To-Value (%) Portfolio Characteristics Distribution by Loan-To-Value • No loan has a Loan-To-Value above 85% • The weighted average Loan-To-Value is [65.00%] • [91.58%] of the Mortgage Loan Portfolio have a Loan-To-Value < 80% • [61.30%] of the Mortgage Loan Portfolio have a Loan-To-Value between 60 and 80%

  10. 35% 30% 25% 20% Proportion of the pool 15% 10% 5% 0% 20-24 25-29 30-34 35-39 40-44 45-49 50-54 55-59 Age Portfolio Characteristics Distribution by Age • The weighted average Age is [34] years • [89.58%] of the Mortgage Loan Portfolio have been granted to borrowers under 45 years • The Mortgage Loans granted to borrowers aged 45 years or older have a weighted average remaining term of [131] months

  11. 60% 50% 40% Proportion of the pool 30% 20% 10% 0% 0-10 10-20 20-30 30-40 40-50 50-60 Seasoning Portfolio Characteristics Seasoning Distribution • The weighted average seasoning is [9.81] months • The “oldest” mortgage loan was originated in May 2002 • The most recent mortgage loan was originated on February 2nd 2007

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