Valuation of VTB Bank (PJSC)

Summary of valuation report №17 BI 125 RO

Valuation date: 01 July 2017

Client: VTB Bank (PJSC) Consultant: RUSSIAN APPRAISAL

25 August 2017

To Deputy President of VTB Bank (PJSC) Mr. Herbert Moos

Dear Mr. Moos,

In accordance with agreement №17 BI 125 RO between VTB Bank (PJSC) and RUSSIAN APPRAISAL dated 19 July 2017 we have estimated market value of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC).

Valuation date: 1 July 2017.

The performed analysis allows us to make the following conclusion:

Market value of one ordinary share of VTB Bank (PJSC), subject to all assumptions and limiting condition, as of 1 July 2017 falls within range (rounded) from 3.8 kopecks (lower limit) to 8.2 kopecks (upper limit). Market value of one Type 1 preference share of VTB Bank (PJSC), subject to all assumptions and limiting conditions, as of 1 July 2017 equals to 1.0 kopeck. Market value of one Type 2 preference share of VTB Bank (PJSC), subject to all assumptions and limiting conditions, as of 1 July 2017 equals to 10.0 kopeck.

The results of current valuation were approved by the Russian Society of Appraisers in accordance with the expert opinion № 1619/2017/2 from 19 September 2017.

This document represents a summary of the full valuation Report of VTB Bank (PJSC) prepared in compliance with Federal Valuation Standards of Russia. Full text is provided in the original Report. The methodology of calculations and drawing conclusions, sources of information and all key assumptions, calculations and conclusions are provided in the Report. The individual parts of the Summary cannot be construed separately and should be read only in conjunction with the full text of the Report and taking into account all the assumptions and limiting conditions contained therein.

We used the Income Approach (DCF method) and Market Approach (Market quotes method) in the valuation process. Our valuation was conducted in compliance with Federal Valuation Standards of Russia.

Sincerely yours, CEO, RUSSIAN APPRAISAL ______Alexander Ivanov

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Contents

Contents 3 List of exhibits 4 Key facts 7 Valuation methodology 8 Glossary 10 Macroeconomic analysis 11 Banking sector overview 15 Bank overview 20 Financial analysis of VTB Bank (PJSC) 24 Valuation of VTB Bank (PJSC) 33

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

List of exhibits

Exhibit 1 Abbreviations and notation 10 Exhibit 2 Key indicators of the world economy in 2009–2016 11 Exhibit 3 Dynamics of USD and EUR exchange rates and Brent oil price 01.01.2016–31.05.2017 12 Exhibit 4 CPI indicators 2009–2016, % 12 Exhibit 5 Key indicators of Russian socioeconomic development in 2017-2026 14 Exhibit 6 Russian banking sector macroeconomic indicators for 2010-2016, RUR billion 15 Exhibit 7 Change in loans in the Russian Federation, 2011-6 m 2017, RUR billion 16 Exhibit 8 Change in deposits in the Russian Federation, 2011-6 m 2017, RUR billion 16 Exhibit 9 Profitability indicators of Russian banks dynamics, % 16 Exhibit 10 Russian banking sector 17 Exhibit 11 Penetration rate of loans and deposits by European countries as of 01.01.2017, % 17 Exhibit 12 Forecast of VTB Bank's position in the industry 19 Exhibit 13 VTB Bank (PJSC) major stakeholders (ordinary shares) 20 Exhibit 14 VTB Bank (PJSC) major stakeholders (ordinary shares) 20 Exhibit 15 General information about VTB Bank (PJSC) 21 Exhibit 16 VTB Bank (PJSC) quotes for 01.01.2008-01.07.2017 21 Exhibit 17 VTB Bank (PJSC) credit ratings 22 Exhibit 18 Structure of the VTB Group 23 Exhibit 19 Balance sheet of VTB Bank (PJSC) for 2014-6m 2017, RUR billion 24 Exhibit 20 Bank’s assets structure for the period 2014 – 6 m. 2017, % 25 Exhibit 21 Structure of gross loans to customers by their types for the period 2014 –6 m. 2017, % 25 Exhibit 22 Structure of loans to legal entities as of 30.06.2017, % 25 Exhibit 23 Non-derivative financial assets at fair value through profit or loss structure as of 30.06.2017, % 26 Exhibit 24 Share of other assets in the Bank’s total assets, % 27 Exhibit 25 Liabilities structure of the Bank during 2014-6m 2017, % 27 Exhibit 26 Due to other banks as of 30.06.2017, RUR billion 27 Exhibit 27 Structure of other borrowed funds for 2014-6m 2017, RUR billion 28 Exhibit 28 Debt securities issued for 2014-6m 2017, RUR billion 28 Exhibit 29 Share of other liabilities in the Bank’s total liabilities, % 28

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 30 The Bank’s equity structure as of 30.06.2017, RUR billion 28 Exhibit 31 The Bank’s share capital structure, RUR billion 29 Exhibit 32 The Bank’s capital adequacy indicators for 2015-6m 2017, RUR billion 29 Exhibit 33 VTB Bank (PJSC) profit and loss statement for the period 2014-6 m 2017, RUR billion 29 Exhibit 34 The Bank’s interest income structure, RUR billion 29 Exhibit 35 The Bank’s effective interest rates (interest income) 30 Exhibit 36 The Bank’s interest expenses structure, RUR billion 30 Exhibit 37 The Bank’s effective interest rates (interest expenses) 30 Exhibit 38 Profitability indicators of VTB Bank (PJSC) over 2014 – 6m 2017 31 Exhibit 39 Financial model (balance) of the Bank for 2017-2019, RUR billion 34 Exhibit 40 Historical and forecasted changes in total assets of the Bank 35 Exhibit 41 Historical and forecasted changes in loan portfolio of the Bank 35 Exhibit 42 Comparison of historical and forecasted structure of the Bank's assets over 2014-2019, % 35 Exhibit 43 Historical and forecasted changes in customer deposits of the Bank 35 Exhibit 44 Comparison of historical and forecasted structure of the Bank's liabilities over 2014-2019, % 35 Exhibit 45 Financial model (P&L) of the Bank for 2017-2019, RUR billion 35 Exhibit 46 Historical and forecasted changes in net interest income of the Bank 36 Exhibit 47 Historical and forecasted changes in net fee and commission income 36 Exhibit 48 Historical and forecasted changes in other non-interest income 36 Exhibit 49 Historical and forecasted changes in operating expenses 37 Exhibit 50 The Bank's loan portfolio and allowances for impairment in 2014-2019, RUR bln. 37 Exhibit 51 Historical and forecasted changes in cash and short-term assets 38 Exhibit 52 Historical and forecasted changes in due from other banks 38 Exhibit 53 Historical and forecasted changes in financial assets 39 Exhibit 54 Historical and forecasted changes in customer deposits, RUR bln. 40 Exhibit 55 Ratio between term deposits and current deposits for each group of customers, % 40 Exhibit 56 Due to other banks and other borrowed funds analysis, RUR bln. 40 Exhibit 57 Debt securities issued analysis, RUR bln. 41 Exhibit 58 Projected balance of VTB Bank (PJSC), RUR billion 42 Exhibit 59 Supporting charts for projection balance sheet calculations, RUR billion 42 Exhibit 60 Dynamics of interest rates (lending) over 2014-2019 45 Exhibit 61 Dynamics of interest rates (borrowing) over 2014-2019 45 Exhibit 62 Net fee and commission income analysis 46 Exhibit 63 Other non-interest income analysis 46 Exhibit 64 CIR analysis, % 47 Exhibit 65 Projected income statement of VTB Bank (PJSC), RUR billion 48 Exhibit 66 Supporting calculations for projected income statement 48 Exhibit 67 Analysis of key indicators of the projection income statement, % 49 Exhibit 68 Size premiums according to «2016 Valuation Handbook - Guide to Cost of Capital (Duff&Phelps)» 50 Exhibit 69 Analysis of specific risks 51 Exhibit 70 Calculation of the Bank specific risk premium, % 51 Exhibit 71 Yields on long-term dollar and ruble bonds 51 Exhibit 72 Discount rate calculation for VTB Bank (PJSC) (CAPM), % 51

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 73 Calculation of the Bank’s terminal value 52 Exhibit 74 Discounted cash flows of VTB Bank (PJSC) 53 Exhibit 75 VTB Bank (PJSC) equity value calculation 54 Exhibit 76 Sberbank core financial indicators, RUR bln. 55 Exhibit 77 Multiples calculation 56 Exhibit 78 One ordinary share market value calculation under Capital market method 56 Exhibit 79 Equity value calculation under Market quotes method 56 Exhibit 80 One ordinary share market value calculation under Market quotes method 57 Exhibit 81 Major deals involving stakes in Russian and CIS banks since 2015 57 Exhibit 82 Calculation of P/E multiple 57 Exhibit 83 Calculation of P/BV multiple 58 Exhibit 84 Market value of one ordinary share under Previous deals method 58 Exhibit 85 Calculation of market value of one ordinary share of VTB Bank (PJSC) under Market approach 58 Exhibit 86 VTB Bank (PJSC) valuation results 59

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Key facts

Key facts Client VTB Bank (PJSC) Consultant RUSSIAN APPRAISAL Standard of value Market value  1 ordinary share of VTB Bank (PJSC) Valuation subject  1 Type 1 preference share of VTB Bank (PJSC)  1 Type 2 preference share of VTB Bank (PJSC) Valuation standards used Federal Valuation Standards of Russia Date of valuation 1 July 2017 Agreement’s number №17 BI 125 RO Date of the Report 25 August 2017 Market value of one ordinary share of VTB Bank (PJSC), subject to all assumptions and limiting condition, as of 1 July 2017 falls within range (rounded) from 3.8 kopecks (lower limit) to 8.2 kopecks (upper limit).

Market value of one Type 1 preference share of VTB Bank (PJSC), subject to all assumptions and limiting conditions, as of Conclusion 1 July 2017 equals to 1.0 kopeck.

Market value of one Type 2 preference share of VTB Bank (PJSC), subject to all assumptions and limiting conditions, as of 1 July 2017 equals to 10.0 kopeck.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Valuation methodology

Market Approach their shares are actively traded;  a valuation multiple is computed based on a selected financial indicator of The Market Approach valuation is based on the economic principle of the peer bank. competition: in a free market the supply and demand forces drive the price of  this multiple is applied to the selected financial indicator of the valuation business assets to a certain equilibrium. Buyers would not pay more for the subject in order to estimate its value. business, and sellers will not accept anything less than the price of a comparable business enterprise. In other words, estimation of asset’s value Valuation steps under the method: under the Market approach is based on selling prices of peers. 1. Gathering and analysis of required information. Selecting peers with The valuation methods under the Market Approach are: actively traded shares and collecting information about them.  the Capital Market Method, which is based on prices actually paid for shares of similar (peer) companies quoted on stock markets. This 2. Setting a peer companies list. method is most preferable as it takes into account the most relevant information about stock prices obtained directly from the market; 3. Analysis of appropriate financial indicators. In case of using  the Previous Transactions Method, which is based on acquisition information about foreign peers, appropriate adjustments are made: financial prices of equity stakes in similar companies; statements are adjusted and calculating values of multiples are adjusted for  the Market quotes method, which is used for listed banks and is country risk premium, level of control and liquidity premiums. based on historical market share quotes. 4. Calculation of multiples. Based on the analysis of company specifics, Valuation process for the bank under Market approach contains the following Consultant has selected the following most appropriate multiples: steps:  Multiple based on Book value of equity (P/BV);

 selection of peer-banks that are currently listed on the stock exchange and  Multiple based on Earnings (P/E).

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

5. Valuation. Depending on current market conditions, valuation goals,  Discounted Cash Flow Method. valuation subject and accessibility of certain information Consultant allocates weights to calculated multiples. Discounted cash flow (DCF) analysis is a method of valuing a company or an asset using the time value of money concept. In the DCF analysis, the cash 6. Making the final adjustments. Calculated result is adjusted (if necessary) flows are projected based on a set of assumptions about how the business for a control and liquidity premiums. would perform in the future in terms of generating cash flows.

Cost approach The Market value of business would be equal to the present value of all future earnings, i.e. all future earnings are converted into present values (as of the The Cost Approach is based on the principle of substitution, which asserts that valuation date) by using a discount rate, and then are summed up. no prudent buyer or investor will pay more for an asset than the amount for which it could be re-created with improvements of equal desirability and utility. In general, the Discounted Cash Flow method determines the value of 100% It is a method of appraising assets based on their depreciated replacement costs. stake in equity. To get the value of a minority stake, it is necessary to apply discount for the lack of control. In accordance with the Federal Valuation Standard № 8 (paragraph 11), application of the cost approach is limited, and this approach is generally used The basic discounting formula is as follows: when the profit and /or cash flow can not be reliably determined, but reliable information about bank's assets and liabilities is available.

The available information as well as an analysis of the current macroeconomic trends (as of the valuation date) makes it possible to project the Bank‘s cash flows reliably. Therefore it was decided not to apply the Cost approach. where:

Income approach V – asset value; PVk – present value of the k-th cash flow; The Income Approach is based on the assumption that the value of an asset CFk - income earned by the owner in year k; depends on its capacity to generate income. There are two principal methods R – discount rate; which are within the Income Approach to business valuation: n – number of projection periods.  Direct Capitalization Method;

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Glossary

Exhibit 1 Abbreviations and notation Abbreviation Notation Client VTB Bank (PJSC) Consultant RUSSIAN APPRAISAL Bank/ Group VTB Bank (PJSC) Valuation date 1 July 2017 1 ordinary share of VTB Bank (PJSC) Valuation subject 1 Type 1 preference share of VTB Bank (PJSC) 1 Type 2 preference share of VTB Bank (PJSC) CBR Central Bank of Russia ROE Return on Equity ROA Return on Assets CIR Cost to income ratio NIM Net interest margin NPL Non-performing loan NCI Net fee and commission income RWA Risk weighted assets SPO Secondary public offering

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Macroeconomic analysis

Major trends in global economy

This section of the Report outlines main trends in global and Russian economies during 2009-1H 2017. The dynamics of key economic indicators of the world economy in 2009-2016 is presented in the Exhibit belowе.

Exhibit 2 Key indicators of the world economy in 2009–2016 Indicator Unit 2009 2010 2011 2012 2013 2014 2015 2016 World Real GDP % -0.1% 5.4% 4.2% 3.5% 3.4% 3.5% 3.4% 3.1% US GDP growth % -2.8% 2.5% 1.6% 2.2% 1.7% 2.4% 2.6% 1.6% Eurozone GDP growth % -4.5% 2.1% 1.5% -0.9% -0.3% 1.2% 2.0% 1.7% Developing countries GDP growth % 2.9% 7.4% 6.3% 5.4% 5.1% 4.7% 4.2% 4.1% CIS GDP growth rate % -6.4% 4.7% 4.6% 3.5% 2.1% 1.1% -2.2% 0.3% Countries of Asia GDP growth rate % 7.5% 9.6% 7.9% 7.0% 6.9% 6.8% 6.7% 6.4% Countries of Latin America GDP growth rate % -1.8% 6.1% 4.7% 3.0% 2.9% 1.2% 0.1% -1.0% Growth rate of world trade volume % -10.5% 12.5% 7.1% 2.7% 3.7% 3.7% 2.7% 2.2% CPI % 2.7% 3.7% 5.0% 4.1% 3.7% 3.2% 2.8% 2.8% US CPI % -0.3% 1.6% 3.1% 2.1% 1.5% 1.6% 0.1% 1.3% EU CPI % 1.0% 2.0% 3.1% 2.6% 1.5% 0.5% 0.0% 0.2% Developing countries CPI % 5.0% 5.6% 7.1% 5.8% 5.5% 4.7% 4.7% 4.4% Oil price USD/barrel 61.9 79.6 111.0 112.0 108.8 98.9 52.4 44.0 Exchange rate, USD/EUR EUR 1.4 1.3 1.4 1.3 1.3 1.3 1.1 1.1 Source: International Monetary Fund

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Socio-economic situation in Russia Exhibit 3 Dynamics of USD and EUR exchange rates and Brent oil price 01.01.2016– 31.05.2017 100 External economic conditions for Russia in the first half of 2017 have been 90 formed on the background of a relatively favorable situation in commodity 80 markets, which was largely due to the conclusion of an agreement on the 70 reduction of oil production by the oil supplying countries and its subsequent 60 50 implementation. 40 30 International rating agency Standard&Poor's (S&P) has improved country's 20 10 credit rating, increasing it from negative to stable. Also, the Central Bank of 0 Russia has decreased the key rate to 9.25% on 28.04.2017. These factors favorably increase the investment attractiveness of the real estate market in

Russia, making investing in real estate more profitable than in bank deposits. USD, RUR Euro, RUR Brent, USD per barrel

Source: Federal State Statistics Service In H1 2017 ruble has appreciated against US dollar by 6.83% and has achieved a value of 56.52 RUR/USD. Strong monetary policy of the CBR has contributed to a noticeable strengthening of ruble. Exhibit 4 CPI indicators 2009–2016, % 14,0% 12,9% 11,4% Dynamics of USD and EUR exchange rates and Brent oil price are illustrated at 12,0% the right diagram. 10,0% 8,8% 8,8%

8,0% 6,6% 6,5% During the first 4 months of 2017 the Russian economy has demonstrated 6,1% 5,4% 6,0% 5,0% positive long-term growth trend. In Q1 2017 and April 2017 industrial 3,7% 4,1% 3,7% 3,1% 3,2% 4,0% 2,7% 2,6% 2,8% 2,8% production index was 0.1% and 2.3% respectively in comparison with 2,0% 1,5% corresponding period in 2016. 2,0% 1,0% 3,1% 1,6% 1,3% 2,1% 0,1% 1,6% 1,5% 0,5% 0,2% 0,0% -0,3% 2009 2010 2011 2012 2013 2014 2015 2016 Positive dynamics was also observed in country's GDP, which indicates a -2,0% gradual recovery of key sectors of the economy. According to a preliminary World Russia USA Eurozone estimate of the Federal State Statistics Service GDP growth rate in Q1 2017 was Source: International Monetary Fund 0.5%.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

CPI

The decreases in key rate and the revaluation of domestic currency have contributed to lower growth rate of CPI. In the first half of 2017 inflation has achieved a level of 1.7% in comparison with December 2016.

The trend of inflation in US and Eurozone is the opposite. Eurozone finally has departed from zero inflation and has achieved a level of 0.2% in the last year. The inflation in USA is on the way to 1.5% that is a level of CPI in 2013–2014. As a result, the difference between inflation levels in Russia and US / Eurozone has been sharply reduced.

Macroeconomic indicators forecast

We relied on the following main sources of information to project key macroeconomic indicators:

 Forecast of socio-economic development of the Russian Federation until 2020, prepared by the Ministry of Economic Development (basic scenario of development);  International Monetary Fund data;  Oxford Economics Data;  Bloomberg news agency data;  Economist Intelligence Unit data;  Leading investment banks data (Renaissance, Discovery, Citibank, HSBC, Merrill Lynch, Morgan Stanley, JP Morgan, BNP Paribas, Nomura, etc.).

A detailed forecast for macroeconomic indicators for 2017-2026 is presented in the Exhibit below.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 5 Key indicators of Russian socioeconomic development in 2017-2026 Index 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Real GDP growth, % (over previous year) 1.47% 1.70% 1.57% 1.38% 1.34% 1.29% 0.99% 0.96% 0.96% 0.96% Russian CPI, % (annual average) 4.59% 4.29% 4.26% 4.15% 4.23% 4.00% 4.00% 4.00% 4.00% 4.00% RUB/USD exchange rate (annual average) 61.79 64.22 65.45 66.74 68.15 69.39 70.74 72.12 73.52 74.93 USCPI, % in US$ 2.31% 2.07% 2.29% 2.13% 2.08% 2.14% 2.02% 2.01% 2.03% 2.03% Nominal GDP, RUR bn 91,311 96,847 102,554 108,280 114,378 120,486 126,550 132,880 139,527 146,506 Change in interest rates -2.51% -0.30% -0.03% -0.11% 0.08% -0.23% 0.00% 0.00% 0.00% 0.00% Rate of interest rate growth 93.52% 92.87% 90.51% 92.33% 87.24% 87.24% 87.24% 87.24% 87.24% Source: calculation of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

The ratio of equity to total assets was declining over the period 2011-2014. In Banking sector overview 2015 there was a slight increase, which continued in 2016. At the end of 2016, the ratio of equity to total assets was 11.7%.

Total assets of banking sector grew steadily until 2016. It is expected that the growth of assets of the banking sector will return in 2017.

Exhibit 6 Russian banking sector macroeconomic indicators for 2010-2016, RUR billion Indicator 2010 2011 2012 2013 2014 2015 2016 Total banking sector assets 33,805 41,627 49,510 57,423 77,653 83,000 80,063 as a percentage of GDP 74.8% 69.7% 74.% 80.9% 98% 99.7% 93% Total banking sector equity 4,732 5,242 6,113 7,064 7,928 9,009 9,387 as a percentage of GDP 10.2% 8.8,% 9.1% 9.9,% 10,% 10.8,% 10.9,% Overview of the banking sector in Russia as a percentage of banking 14% 12.6,% 12.3,% 12.3,% 10.2,% 10.9,% 11.7% sector total assets Main trends Source: CBR «Overview of the Russian Federation banking sector»

The stabilization of the Russian economy and its financial sector began in As of the end of the first half of 2017, loans to non-financial organizations 2016, moving from recession period to recovery growth. In 2017 the Bank of and individuals amounted to RUR 42 trillion. Most of the loans were Russia continued to pursue the policy providing for a gradual decline in represented by loans to non-financial organizations (60%). inflation. The Central Bank expects that the inflation target (4.0%) will be reached by the end of 2017. Loans to corporate customers (non-financial organizations) since the beginning of the year decreased by 0.5% to RUR 30 trillion. Loans to credit The Russian banking system lost 63 banks in 2016 due to the Central Bank’s institutions increased by 5% to RUR 9.5 trillion. Loans to individuals recovery program. In 2017, the Central Bank continues its policy of revoking increased by 3.5% to RUR 11.2 trillion. The volume of overdue accounts licenses from credit institutions. According to the Central Bank, most of the payable grew by 2.5% to RUR 2.6 trillion. Russian banking system recovery program has been already completed, and revocation of licenses will be reduced.

According to the Central Bank, Russian credit institutions in 2016 made a profit of about RUR 930 billion, which is 4.8 times higher than during the same period of last year. In 2017, the profit growth trend remained. In the first half of 2017, total banking system’s profit amounted to RUR 770 billion.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 7 Change in loans in the Russian Federation, 2011-6 m 2017, RUR billion Financial organizations 60 000

50 000 Negative external factors had a significant influence on operations of Russian

40 000 banks. Overall financial result of all Russian banks has been declining since 2012. However, since 2015 total profitability of the Russian banking system 30 000 began to grow. In the first half of 2017, the return on assets increased from 20 000 1.2% (as compared to the end of 2016) to 1.7%. Return on equity also 10 000 increased from 10.3% to 14.4%.

0 1.02.11 1.08.11 1.02.12 1.08.12 1.02.13 1.08.13 1.02.14 1.08.14 1.02.15 1.08.15 1.02.16 1.08.16 1.02.17

Legal entities (non-financial organizations) Individuals Financial organizations In 2014 banks earned RUR 589.1 billion, which was 40.8% less than the result

Source: CBR data of 2013. After 9 months of 2015 banks’ total profit amounted to RUR 126.7 billion. Liabilities of the banking system for the first half of 2017 were characterized Exhibit 9 Profitability indicators of Russian banks dynamics, % by an increase in individuals’ deposits and a reduction in the funds of 20,0% 17,6% 18,2% corporate clients. As of June 30, 2017, individuals' deposits amounted to RUR 15,2% 14,1% 24.9 trillion, deposits of legal entities – RUR 17.3 billion rubles. Deposits of 15,0% 12,5% individuals account for 49% of total deposits as of June 2017. It should be 10,3% 10,0% 7,9% mentioned that population try to deposit their funds in the largest banks, 4,9% which is due to the "cleaning policy" carried out by the Central Bank. 5,0% 2,4% 2,3% 2,3% 1,9% 1,9% 1,2% 1,7% 0,7% 0,9% 0,3% Exhibit 8 Change in deposits in the Russian Federation, 2011-6 m 2017, RUR billion 0,0% 2009 2010 2011 2012 2013 2014 2015 2016 1H 2017 60 000 ROE ROA 50 000 Source: CBR data 40 000

30 000 In the first half of 2017, the net profit of credit institutions sharply increased in comparison with the same period of 2016 and amounted to RUR 0.77 20 000 trillion (in the first half of 2016 – RUR 0.36 billion). Experts expect that by 10 000 the end of 2017, the profit of the banking sector will be at the level of RUR

0 1.4-1.5 trillion. 1.01.11 1.07.11 1.01.12 1.07.12 1.01.13 1.07.13 1.01.14 1.07.14 1.01.15 1.07.15 1.01.16 1.07.16 1.01.17 1.07.17

Financial organizations Legal entities (non-financial organizations) Individuals

Source: CBR data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Concentration of assets in the banking sector of the Russian Forecast of the Russian banking sector Federation Penetration rate is calculated as the ratio of loans issued or deposits attracted Banking sector of the Russian Federation has a consistently high level of to nominal GDP. Changes in the penetration rate of retail and corporate concentration of assets in the five largest banks, whose distinctive feature is deposits and loans in Russia over the period 2014-6 m 2017 are presented also the high share of state participation in the share capital. below.

Due to the operational environment deterioration and the Central Bank’s Exhibit 10 Russian banking sector Index Unit 2014 2015 2016 6m 2017 "cleaning policy" the banking sector consolidated even more. The share of Nominal GDP RUR bln, 79,200 83,233 86,044 41,808 Corporate lending market (legal the 5 largest banks in the banking sector assets for the first half of 2017 as RUR bln, 29,536 33,301 30,135 30,017 entities other than credit institutions) compared to the end of 2016 remained at the level of 55.3%. During the % from GDP % 37.3% 40.0% 35.0% 35.7% same period the number of operating credit institutions declined by 6% from Retail lending market (individuals) RUR bln, 11,330 10,684 10,804 11,185 % from GDP % 14.3% 12.8% 12.6% 13.3% 623 to 589. Corporate deposit market RUR bln, 24,443 27,923 25,149 26,246 % from GDP % 30.9% 33.5% 29.2% 31.2% Retail deposit market RUR bln, 18,553 23,219 24,200 24,897 According to the results of the first half of 2017, the TOP-5 largest Russian % from GDP % 23.4% 27.9% 28.1% 29.6% banks in terms of assets include: Source: CBR data, Rosstat, calculation of the Consultant

1. Sberbank (RUR 22.6 trillion); The table below shows the penetration rate of loans and deposits by countries 2. VTB (RUR 9.3 trillion); in Europe. 3. Gazprombank (RUR 5.3 trillion); Exhibit 11 Penetration rate of loans and deposits by European countries as of 4. VTB 24 (RUR 3.3 trillion); 01.01.2017, % Loans Deposits Country 5. Rosselkhozbank (RUR 2.9 trillion). Legal entities Individuals Legal entities Individuals Austria 43.5% 43.1% 18.2% 66.2% Changes in regulation Belgium 27.6% 37.7% 22.1% 78.5% Estonia 34.3% 35.1% 26.8% 29.8% Finland 34.6% 55.6% 15.7% 38.1% Since the beginning of 2015 number of regulatory measures has been taken to France 41.1% 49.9% 23.8% 57.0% Germany 28.5% 47.9% 16.4% 64.1% support the banking sector in conditions of instability in financial markets. In Hungary 16.1% 15.6% - - addition, the recommendations of the G20 and the Financial Stability Board Ireland 19.0% 31.9% 16.9% 35.0% Italy 44.7% 35.6% 14.3% 58.6% were implemented in terms of approaches to the organization and regulation Netherlands 53.7% 63.4% 43.5% 55.5% of the financial market infrastructure and labor remuneration. Also, a planned Poland 16.1% 34.3% - - Portugal 39.7% 60.7% 17.4% 73.3% work was carried out to implement the approaches of the international Romania 12.6% 14.0% - - agreements Basel II and Basel III, taking into account the specifics of the Slovakia 20.1% 34.6% 14.1% 39.7% Slovenia 22.4% 22.0% 14.0% 40.9% Russian banking sector. Spain 43.6% 60.3% 19.5% 66.5%

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Loans Deposits Country 2017-2019, the Bank expects the growth of retail customers, which will allow Legal entities Individuals Legal entities Individuals Median 31.4% 36.6% 17.4% 57.0% it to increase its share in both retail lending and retail deposit markets by Source: Bloomberg 2019. At the same time, the strategy of the Bank on corporate clients will allow the Bank to retain its share on the corporate lending and deposit As can be seen from the tables above, penetration rate of loans to legal markets. entities in Russia has already exceeded the average European level. The ratio of loans to legal entities to GDP over the period 2014-6 m 2017 was above 35.0%. Penetration rate of deposits to legal entities in Russia also has exceeded the average European level. The ratio of deposits to legal entities to GDP over the period 2014-6 m 2017 was in the range of 29.2-33.5%.

According to the Consultant assumption the current level of penetration rates of loans and deposits to legal entities during the forecast period will remain at the level of 6 m 2017.

There is a different situation on the Russian retail lending and deposit market in. Russia lags far behind European countries in terms of the penetration rate of loans and deposits to individuals.

According to the Consultant assumption penetration rate of loans to individuals will grow with a rate of 4.7% (cumulative annual growth rate for 2010-6 months 2017) starting from 2017 until the average European penetration rate of 36.6 % will be reached.

At the same time, penetration rate of deposits to individuals will grow with a rate of 5.5% (cumulative annual growth rate for 2010-6 months 2017) starting from 2017 until the average European penetration rate of 57.0 % will be reached.

Forecast of the Bank's position in the industry

Based on the current market trends and the Consultant’s assumptions, main drivers of the Russian banking sector and VTB Bank were projected up to 2026. In accordance with the development strategy of the VTB Group for

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 12 Forecast of VTB Bank's position in the industry Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Nominal GDP bln. RUB 91,311 96,847 102,554 108,280 114,378 120,486 126,550 132,880 139,527 146,506 Banking sector Loans to private sector (gross) bln. RUB 44,744 48,063 51,567 55,189 59,118 63,181 67,358 71,822 76,619 81,776 Corporate lending market (legal entities other than credit bln. RUB 32,597 34,574 36,611 38,655 40,832 43,013 45,177 47,437 49,810 52,301 institutions) Retail lending market (individuals) bln. RUB 12,146 13,489 14,956 16,533 18,286 20,169 22,180 24,385 26,809 29,475 Private Sector Deposits bln. RUB 55,540 60,486 65,813 71,452 77,665 84,246 91,182 98,730 106,978 115,994 Corporate deposit market bln. RUB 28,502 30,230 32,012 33,799 35,703 37,609 39,502 41,478 43,553 45,731 Retail deposit market bln. RUB 27,037 30,255 33,801 37,653 41,963 46,637 51,680 57,252 63,425 70,263 Loans to private sector (gross) % from GDP 49.0% 49.6% 50.3% 51.0% 51.7% 52.4% 53.2% 54.1% 54.9% 55.8% Corporate lending market (legal entities other than credit % from GDP 35.7% 35.7% 35.7% 35.7% 35.7% 35.7% 35.7% 35.7% 35.7% 35.7% institutions) Retail lending market (individuals) % from GDP 13.3% 13.9% 14.6% 15.3% 16.0% 16.7% 17.5% 18.4% 19.2% 20.1% Private Sector Deposits % from GDP 60.8% 62.5% 64.2% 66.0% 67.9% 69.9% 72.1% 74.3% 76.7% 79.2% Corporate deposit market % from GDP 31.2% 31.2% 31.2% 31.2% 31.2% 31.2% 31.2% 31.2% 31.2% 31.2% Retail deposit market % from GDP 29.6% 31.2% 33.0% 34.8% 36.7% 38.7% 40.8% 43.1% 45.5% 48.0% The position of VTB Bank in the industry Loans to private sector (gross) bln. RUB 10,540 11,536 12,968 13,882 14,874 15,899 16,954 18,082 19,294 20,598 Corporate lending market (legal entities other than credit bln. RUB 7,892 8,310 9,147 9,658 10,202 10,747 11,288 11,852 12,445 13,068 institutions) Retail lending market (individuals) bln. RUB 2,648 3,226 3,821 4,224 4,672 5,153 5,667 6,230 6,849 7,530 Private Sector Deposits bln. RUB 8,614 9,731 11,307 12,250 13,287 14,382 15,533 16,783 18,147 19,636 Corporate deposit market bln. RUB 5,044 5,248 5,952 6,284 6,638 6,992 7,344 7,712 8,097 8,502 Retail deposit market bln. RUB 3,570 4,483 5,356 5,966 6,649 7,390 8,189 9,072 10,050 11,133 Loans to private sector (gross) % from GDP 23.6% 24.0% 25.1% 25.2% 25.2% 25.2% 25.2% 25.2% 25.2% 25.2% Corporate lending market (legal entities other than credit % from GDP 24.2% 24.0% 25.0% 25.0% 25.0% 25.0% 25.0% 25.0% 25.0% 25.0% institutions) Retail lending market (individuals) % from GDP 21.8% 23.9% 25.5% 25.5% 25.5% 25.5% 25.5% 25.5% 25.5% 25.5% Private Sector Deposits % from GDP 15.5% 16.1% 17.2% 17.1% 17.1% 17.1% 17.0% 17.0% 17.0% 16.9% Corporate deposit market % from GDP 17.7% 17.4% 18.6% 18.6% 18.6% 18.6% 18.6% 18.6% 18.6% 18.6% Retail deposit market % from GDP 13.2% 14.8% 15.8% 15.8% 15.8% 15.8% 15.8% 15.8% 15.8% 15.8% Source: calculation of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Bank overview

The following objects are in the scope of this valuation: For the 6 months 2017, the number of treasury shares was 31,708,010,055 shares. Thus, as of June 30, 2017 the number of ordinary shares outstanding  1 ordinary share of VTB Bank (PJSC) was 12,928,833,327,283.  1 Type 1 preference share of VTB Bank (PJSC)  1 Type 2 preference share of VTB Bank (PJSC). The majority shareholder of the VTB Bank is the Russian Government (represented by the Federal Agency for State Property Management), which The market value is estimated at 100% controlling share of the Bank. owns 60.93% of the voting shares.

Share capital Exhibit 14 VTB Bank (PJSC) major stakeholders (ordinary shares) Shareholder Stake Russian Federation represented by Federal government property agency 60.93% As of valuation date share capital of VTB Bank (PJSC) amounted to 659.5 AO «Alfa-bank» 2.88% RUR billion and consisted of 12,960,541,337,338 ordinary shares with face Republic of Azerbaijan State Oil Fund 2.95% Credit Suisse AG 2.35% value of RUR 0.01, 21,403,797,025,000 Type 1 preference shares with face Minority stakeholders 30.89% value of RUR 0.01 and 3,073,905,000,000 Type 2 preference shares with face Source: Bank’s data value of RUR 0.1. In September 2014 Russian Ministry of Finance acquired 21,403,797,025,000 Exhibit 13 VTB Bank (PJSC) major stakeholders (ordinary shares) preferred shares of the Bank for RUR 214 billion as a part of financial Nominal value of Nominal value of all Type of shares Shares issued, pcs. share, RUR shares, bln. RUR. institutions supporting program. Ordinary shares 12,960,541,337,338 0.01 138.1 Type 1 preference shares 21,403,797,025,000 0.01 214.0 Type 2 preference shares 3,073,905,000,000 0.1 307.4 In July 2015, VTB Bank (PJSC) completed a private placement of 3,073,905 Source: Bank’s data million Type A non-cumulative preferred shares with nominal value of RUR 0.1 per share. The State Corporation “Deposit Insurance Agency”

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

(“DIA”) acquired all of these preferred shares at their nominal value for VTB Group operates a large international network across CIS countries; RUR 307.4 billion. Armenia, Ukraine, Belarus, Kazakhstan and Azerbaijan. VTB also has banks in Austria, Germany and France which are part of a European sub-holding Key facts about the Bank with VTB Bank (Austria) acting as the parent bank for Germany and France. The Group also has subsidiary and affiliated banks in the United Kingdom, VTB Bank (PJSC) was established in 1990. Following table contains general Cyprus, Serbia, Georgia and Angola and branches in China and India and information about the Bank. VTB Capital has branches in Singapore and Dubai.

Exhibit 15 General information about VTB Bank (PJSC) VTB Bank (PJSC) is also included in the list of Russian companies with the Index Information Complete name of the Bank VTB Bank (public joint-stock company) largest market capitalization on Moscow stock exchange. The following chart Short name of the Bank JSC VTB Bank shows Bank’s share quote dynamics for the last 9 years. 29 Bolshaya Morskaya st, Saint-Petersburg, Address Russia, 190000 Post address 37 Plushikha st, Moscow, Russia, 119121 Exhibit 16 VTB Bank (PJSC) quotes for 01.01.2008-01.07.2017 Industry Banking sector 0,1400 Date of registration 17 October 1990 0,1200 Individual tax number 7702070139 State registration number 1027739609391 0,1000 General Banking License 1000 0,0800 License issuing date 8 July 2015 0,0600 BIC 44525187 Share capital, RUR billion 651.03 0,0400 Ordinary shares 12,960,541,337,338 with face value of 0.01 0,0200 Preference shares 21,403,797,025,000 with face value of 0.01 0,0000 Type A preference shares 3,073,905,000,000 with face value of 0.1 Source: Bank’s data

Source: Bloomberg VTB Bank (PJSC) is the second biggest bank in Russia according to most indices and it also managed to establish an international banking group Bank stock is considered as one of the most liquid on Moscow exchange and comprised of over 20 credit institutions and financial companies operating is regarded as a “blue chip” stock. VTB Bank global depositary receipts are across all key areas of the financial markets. VTB Group is a holding listed on London stock exchange. company with one strategically aligned development model, including a common brand, centralised financial and risk management, and integrated Global rating agencies issued following ratings for VTB Bank (PJSC). compliance systems. VTB Group’s global network is unique to the Russian banking industry. It enables the group to facilitate international partnerships and promote Russian companies aiming to engage with global markets.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 17 VTB Bank (PJSC) credit ratings Group’s management structure by creating a single, highly-competitive entity, Rating Date of the latest rating Issuer Credit Rating Value Outlook agency revision/affirmation efficiently leveraging its business lines to deliver common objectives. The Senior Unsecured in Foreign Ba1 Stable 21 February 2017 Currency merger will also enable the Group to streamline costs and improve its overall Senior Unsecured in Domestic Moody's Ba1 Stable 21 February 2017 financial results. Currency Investors Long-term Bank Deposits in Service Ba2 Stable 21 February 2017 Foreign Currency Under the approved strategy, we expect above-market growth in the retail Long-term Bank Deposits in Ba1 Stable 21 February 2017 Domestic Currency segment. The Group is committed to improving all key indicators in the retail S&P Global Foreign Currency Long-term BB+ Stable 20 September 2016 segment in terms of market share. Ratings Local Currency Long-term BB+ Stable 20 September 2016 Source: Bank’s data In the next three years, increasing business profitability whilst strengthening VTB Group’s development strategy for 2017-2019 leadership with major corporate customers will be a priority for the Corporate-Investment Banking (CIB) global business line. On 14 December 2016, the VTB Supervisory Council approved VTB Group’s development strategy for 2017–2019. In working with medium-sized corporate customers the strategic objectives for the Group are to grow the customer base by three times and expand the The Group’s strategy for the next three years is based on the following transactions segment by four times, including current account balances priorities: and risk-free fees, to exceed average market growth rate. To this effect, the Group will overhaul its business model for medium-  To increase profitability and achieve net profit in excess of RUR 200 sized corporates. First, it will improve its risk coverage models and cross- billion by 2019. sales for high-end medium corporate business customers by introducing  To create an integrated banking business and build a single full- detailed customer-level planning. Second, the Group intends to build service bank by completing the VTB Bank — VTB24 merger no later a transaction model for attracting more bottom-end customers. than January 2018.  To modernise the Group by developing a more customer- oriented bank through a large-scaletechnological transformation.

An important objective is to improve the funding profile by increasing the share of customer funds, primarily in the retail segment, as well as streamlining liabilities by attracting more funds into current accounts and increasing the share of rouble-denominated account balances.

Merging VTB Bank and VTB24 into an integrated bank is a key strategic project in the new three-yearstrategy. The initiative is expected to improve the

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 18 Structure of the VTB Group

Source: Bank’s data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Financial analysis of VTB Bank (PJSC)

Analysis of the balance sheet

The following table presents the IFRS balance sheet of VTB Bank (PJSC) for 2014 – 6 months of 2017. Exhibit 19 Balance sheet of VTB Bank (PJSC) for 2014-6m 2017, RUR billion Index 2014 2015 2016 6m 2017 Index 2014 2015 2016 6m 2017 Cash and short-term funds 695.2 570.7 452.9 456.8 Subordinated debt 265.2 262.8 224.1 195.7 Mandatory cash balances with central banks 85.5 70.8 95.1 99.9 Other liabilities 312.3 361.7 486.5 524.0 Non-derivative financial assets at fair value through Total liabilities 11,059.8 12,187.8 11,175.3 11,176.6 375.4 308.1 267.1 288.3 profit or loss Share capital 352.1 659.5 659.5 659.5 Derivative financial assets 407.0 304.8 180.5 176.1 Share premium 433.8 433.8 433.8 433.8 Due from other banks 814.5 1,358.2 1,051.2 1,046.5 Perpetual loan participation notes 126.6 164.0 136.5 132.9 Loans and advances to customers 8,537.3 9,437.5 8,854.5 8,884.1 Treasury shares and bought back perpetual loan -6.7 -2.9 -2.5 -2.7 Investment financial assets 215.8 353.3 340.7 317.1 participation notes Investments in associates and joint ventures 96.3 104.3 93.3 121.6 Other reserves 42.8 72.2 44.8 53.0 Assets of disposal groups held for sale 11.1 15.8 15.6 20.4 Retained earnings 169.3 127.6 131.1 145.8 Land, premises and equipment 246.9 310.3 352.7 350.0 Equity attributable to shareholders of the parent 1,117.9 1,454.2 1,403.2 1,422.3 Investment property 192.3 245.0 235.5 233.7 Non-controlling interest 13.1 -0.1 9.7 10.0 Goodwill and other intangible assets 161.8 162.0 155.1 155.2 Total equity 1,131.0 1,454.1 1,412.9 1,432.3 Deferred income tax asset 66.9 76.6 87.8 86.3 Total liabilities and equity 12,190.8 13,641.9 12,588.2 12,608.9 Other assets 284.8 324.5 406.2 372.9 Source: Bank’s data Total assets 12,190.8 13,641.9 12,588.2 12,608.9 Due to other banks 733.2 1,224.0 1,208.9 1,079.6 Customer deposits 5,669.4 7,267.0 7,346.6 8,510.5 Derivative financial liabilities 397.8 284.1 165.0 130.5 Other borrowed funds 2,729.2 2,121.5 1,307.2 333.8 Debt securities issued 921.4 623.5 399.6 363.4 Liabilities of disposal groups held for sale 4.7 13.0 2.2 1.3 Deferred income tax liability 26.6 30.2 35.2 37.8

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Analysis of assets Exhibit 21 Structure of gross loans to customers by their types for the period 2014 –6 m. 2017, %

Total assets of the Bank have increased by 3.4% over the period 2014 - 6 m 30.06.17 75,6% 24,4% 2017 and amounted to 12,608.9 billion RUR as of the valuation date. Assets structure of the Bank is presented on the following chart. 31.12.16 77,1% 22,9%

31.12.15 80,6% 19,4% Exhibit 20 Bank’s assets structure for the period 2014 – 6 m. 2017, % 100% 0,8% 0,8% 0,7% 1,0% 5,7% 4,2% 3,6% 3,6% Investments in associates and joint 31.12.14 78,7% 21,3% 6,3% 6,2% 90% 8,2% 7,1% ventures 10,0% 8,4% 8,3% 80% 6,7% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 10,7% 10,5% Cash and short-term funds 8,6% 8,8% Loans to legal entities (gross) Loans to individuals (gross) 70% 60% Financial assets at fair value Source: Bank’s Data 50%

40% Due from other banks 70,0% 69,2% 70,3% 70,5% During the reviewed period the main customers of the Bank were legal 30% entities. However, share of loans to individuals has been slowly increased since 20% Other assets 10% 2016. By the end of 2016, the corporate loan portfolio of the Group decreased 0% Loans and advances to customers by 10.3% to RUR 7,311.4 billion. In the first half of 2017 gross amount of 31.12.14 31.12.15 31.12.16 30.06.17 loans to legal entities continued to decline and amounted to RUR 7,194.2 Source: Bank’s Data billion.

Assets structure has been stable during the reviewed period. “Loans and Exhibit 22 Structure of loans to legal entities as of 30.06.2017, % advances to customers” represent the biggest share of total assets (71% as of 4,8%3,0% valuation date).

Current activity financing Loans and advances to customers 21,5%

Project financing and other Loans and advances to customers item is a core part of assets of any financial company, since it generates the most interest income. The value of loans has Reverse 'repo' agreements 70,7% increased by 4.1% over the period 2014 - 6 m 2017 and amounted to RUR Financial lease 8,884.1 billion as of 30.06.2017. At the same time, compared to 2015, loans and advances to customers of VTB Bank decreased by 5.9%, which was due to a significant reduction of the corporate loan portfolio of the Group in 2016. Source: Bank’s Data

As we can see from the picture above, the largest share of loans to legal entities is represented by loans issued for current activity financing. Total value

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

26 of these loans equaled to RUR 5,084.0 billion or 71% of all loans to legal Derivative financial assets of the Bank are mainly consisting of interest rate entities as of 30.06.2017. contracts - interest rate swaps (RUR 121.0 billion) and contracts on foreign exchange rates and precious metals (RUR 24.9 billion). By the end of 2016 the Group retained the second place and increased its share in the Russian retail lending market. In the first half of 2017 gross The Bank's investment financial assets are represented by available-for-sale amount of loans to individuals continued to grow and amounted to RUR financial assets, as well as financial assets held-to-maturity. 2,321.6 billion. Over the period 2014 - 6 m 2017 value of investment financial assets o Financial assets increased by 46.9% and amounted to RUR 317.1 billion as of 30.06.2017.

Financial assets of the Bank are represented by non-derivative financial assets As of June 30, 2017 investment financial assets were fully represented by debt at fair value through profit or loss, derivative financial assets and investment (RUR 284.3 billion) and equity (RUR 32.8 billion) securities available for sale. financial assets. Debt securities consist of bonds issued by the Russian Federation, and corporate bonds of Russian issuers. Over the period 2014 - 6 m 2017 value of non-derivative financial assets at fair value through profit or loss decreased by 23.2% and amounted to RUR 288.3 Due from other banks billion as of 30.06.2017. The amount of due from other banks, including pledged under repurchase Financial assets at fair value through profit or loss are mainly represented by agreements, item equaled to RUR 1,046.5 billion as of 30.06.2017. Mostly debt securities held for trading. these were funds in Russian Banks.

Exhibit 23 Non-derivative financial assets at fair value through profit or loss structure as Investments in associates and joint ventures of 30.06.2017, %

6,6% 0,1% The amount of investments in associates and joint ventures at the valuation 6,8% Debt securities held for trading 3,3% date was RUR 121.6 billion: RUR 68.6 billion of this amount was represented Equity securities held for trading by investments designated as at fair value through profit or loss and RUR 53.0 billion – by investments accounted under equity method. Equity securities at fair value through profit or loss

Debt securities at fair value through profit or loss The major share of investments in associates and joint ventures is represented

Reverse 'repo' agreements by 50% of share in telecommunication company "T2 (Netherlands)", BV. 83,2%

Source: Bank’s Data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Other assets Customer deposits

Other assets include assets with an insignificant share in the total assets of Customer deposits represent the biggest share (76.1%) of the Bank’s liabilities. VTB Bank. The share of each item in the Bank’s total assets is presented For 2014 - 6 m 2017, in absolute terms, customer deposits have demonstrated below. significant growth: they have increased by RUR 2,841.1 billion or 50.1%.

Exhibit 24 Share of other assets in the Bank’s total assets, % Term deposits of legal entities (including government entities) provide the Index 31.12.14 31.12.15 31.12.16 30.06.17 Cash and short-term funds 5.7% 4.2% 3.6% 3.6% majority of customer deposits (48.2%). A significant portion of the funds of Mandatory cash balances with central banks 0.7% 0.5% 0.8% 0.8% legal entities is represented by government entities (22.8% as of 30.06.2017). Land, premises and equipment 2.0% 2.3% 2.8% 2.8% Investment property 1.6% 1.8% 1.9% 1.9% Goodwill and other intangible assets 1.3% 1.2% 1.2% 1.2% As of 30.06.2017 the Bank’s 10 largest customers had aggregated balances of Deferred income tax asset 0.5% 0.6% 0.7% 0.7% Other assets 2.3% 2.4% 3.2% 3.0% RUR 2,577.1 billion or 30.3% of total customer deposits. Deposits of RUR Total other assets 14.2% 12.9% 14.2% 13.9% 391.3 billion were held as collateral against irrevocable commitments under Source: Bank’s Data import letters of credit and guaranties.

Analysis of liabilities Due to other banks Over the period 2014 - 6 m 2017 total liabilities of the Bank increased by 1.1% Since 2014, the amount of due to other banks increased by 47.2% and and amounted to RUR 11,176.6 billion as of the valuation date. amounted to RUR 1,079.6 billion as of the valuation date. At the same time, due to other banks decreased by 10.7% compared to 2016. The share of customer deposits for an analyzed period increased by 24.9 percentage points, while the aggregate share of other borrowed funds, issued This item contains credit funds received from other commercial banks and the debt instruments and subordinated debt decreased by 27.4 percentage points. CBR. Its structure is presented in the following exhibit.

Exhibit 25 Liabilities structure of the Bank during 2014-6m 2017, % Exhibit 26 Due to other banks as of 30.06.2017, RUR billion 100% 6,7% 5,7% 6,2% 6,2% 2,2% 2,0% 1,8% Total sum, RUR 90% 2,4% 3,6% 3,3% Index Share, % 5,1% 3,0% billion 8,3% 11,7% Other liabilities 80% 17,4% 9,7% Term loans and deposits 925.4 85.7% 70% 24,7% 10,8% Subordinated debt Correspondent accounts and overnight deposits of other 10,0% 118.4 11.0% 60% banks 6,6% Debt securities issued 50% Sale and repurchase agreements with other banks 35.8 3.3% 40% 76,1% Other borrowed funds Total 1,079.6 100.0% 65,7% 30% 59,6% 51,3% Due to other banks Source: Bank’s data 20% 10% Customer deposits 0% 31.12.14 31.12.15 31.12.16 30.06.17 Source: Bank’s data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Other borrowed funds The bonds are mainly represented by Eurobonds issued mostly under Euro Medium Term Note (EMTN) programs, other Eurobonds and local bonds During the analyzed period, amount of other borrowed funds decreased by issued by VTB and other Group members. 87.8% and amounted to RUR 333.8 billion as of the valuation date. The decrease was mainly due to reduction of funds from local central banks. Other liabilities

Exhibit 27 Structure of other borrowed funds for 2014-6m 2017, RUR billion Other liabilities include liabilities with an insignificant share in the total Index 31.12.14 31.12.15 31.12.16 30.06.17 liabilities of VTB Bank. The share of each item in the Bank’s total liabilities is Funds from local central banks, including 2,388.9 1751.5 1,063.5 63.5 sale and repurchase agreements 771.9 805.0 435.9 - presented below. term deposits from local central banks 1,617.0 946.6 627.6 63.5 Syndicated loans 131.5 156.8 16.9 12.5 Exhibit 29 Share of other liabilities in the Bank’s total liabilities, % Other borrowings 208.8 213.1 226.8 257.8 Index 31.12.14 31.12.15 31.12.16 30.06.17 Total 2,729.2 2,121.5 1,307.2 333.8 Derivative financial liabilities 5.7% 4.2% 3.6% 3.6% Source: Bank’s data Liabilities of disposal groups held for sale 0.7% 0.5% 0.8% 0.8% Deferred income tax liability 2.0% 2.3% 2.8% 2.8% Subordinated debt 1.6% 1.8% 1.9% 1.9% As at 30 June 2017, funds from local central banks contain the amount of Other liabilities 1.3% 1.2% 1.2% 1.2% RUR 32.0 billion secured by pledged loans to customers in the amount of Source: Bank’s Data RUR 32.7 billion. During the analyzed period, the value of subordinated debt decreased by In May 2017 the Bank opened an irrevocable credit line with the CBR in the 26.2% and amounted to RUR 195.7 billion as of the valuation date. amount of RUR 275.0 maturing in May 2018. Analysis of equity Debt securities issued Equity is the core balance sheet item for the Bank. VTB Bank (PJSC)’s equity Since 2014 debt securities issued decreased from 921.4 to 363.4 RUR billion grew 1.27 times since 2014 and totaled RUR 1,432.3 billion as of the valuation due to bond repayments scheduled. date.

Exhibit 30 The Bank’s equity structure as of 30.06.2017, RUR billion Exhibit 28 Debt securities issued for 2014-6m 2017, RUR billion Показатель 31.12.14 31.12.15 31.12.16 30.06.17 Index 31.12.14 31.12.15 31.12.16 30.06.17 Share capital 352.1 659.5 659.5 659.5 Bonds 780.7 479.5 345.7 293.8 Share premium 433.8 433.8 433.8 433.8 Promissory notes 123.4 126.4 47.5 68.7 Perpetual loan participation notes 126.6 164.0 136.5 132.9 Deposit certificates 17.3 17.6 6.4 0.9 Treasury shares and bought back perpetual loan -6.7 -2.9 -2.5 -2.7 Total 921.4 623.5 399.6 363.4 participation notes Source: Bank’s data Other reserves 42.8 72.2 44.8 53.0 Retained earnings 169.3 127.6 131.1 145.8 Non-controlling interests 13.1 -0.1 9.7 10.0 Total equity 1,131.0 1,454.1 1,412.9 1,432.3 Source: Bank’s data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Share capital Profit and loss statement analysis

Exhibit 31 The Bank’s share capital structure, RUR billion Exhibit 33 VTB Bank (PJSC) profit and loss statement for the period 2014-6 m 2017, Index Number of shares Book value, RUR billion RUR billion Index 2014 2015 2016 6m 2017 Ordinary shares 12,960,541,337,338 138.1 Interest income 844.1 1,100.9 1,107.8 529.9 Type 1 preference shares 21,403,797,025,000 214.0 Interest expense -496.8 -811.8 -692.8 -302.8 Type 2 preference shares 3,073,905,000,000 307.4 Net interest income 347.3 289.1 415.0 227.1 Source: Bank’s data Provision charge for impairment -255.4 -167.5 -144.7 -72.3 Net interest income after provision for 91.9 121.6 270.3 154.8 impairment In July 2015, VTB Bank (PJSC) completed a private placement of 3,073,905 Net fee and commission income 63.1 76.2 81.8 43.1 million type A non-cumulative preference shares with nominal value of RUR Trading and revaluation gain 13.5 58.8 12.0 10.8 Other income 106.9 -11.8 1.8 -4.6 0.1 per share. The State Corporation “Deposit Insurance Agency” (“DIA”) Impairment of land, premises and -20.0 -10.6 -66.5 -3.7 acquired all of these preference shares at their nominal value for RUR 307.4 intangible assets Staff costs and administrative expenses -222.6 -221.9 -233.9 -122.6 billion. As a payment for preference shares, the DIA provided VTB Bank (PJSC) Profit/(loss) before tax 32.8 12.3 65.5 77.8 with state bonds (OFZ). The newly issued preference shares are included in Income tax expense -31.5 -6.9 -21.6 -19.9 Net profit/(loss) after tax 1.3 5.4 43.9 57.9 Tier I capital of the Bank. The terms of the preference shares do not include Profit/(loss) after tax from subsidiaries -0.5 -3.7 7.7 - any fixed dividend. acquired exclusively with a view to resale Net profit/(loss) 0.8 1.7 51.6 57.9 Source: Bank’s data Share premium Interest income and expense generate major part of Bank’s total income and Share premium income is generated by issues of new shares and by foreign expenses. For 6 month 2017 Bank’s operational income amounts to RUR exchange gains on the shares initially sold for foreign currency. Share premium 200.4 billion and consists of net interest income (75.4%), net fee and income constitutes about 30% of Bank’s equity and equaled to RUR 433.8 commissions income (21.5%) and non-interest income (3.1%). billion as of 30 June 2017. Interest income of the Bank includes accrued and received interest on loans Capital adequacy and advances to customers, due from other banks and financial assets.

Bank is constantly maintaining its capital adequacy ratios above minimum values The Bank’s interest income in 2016 amounted to RUR 1,107.8 billion. At the set by CBR (8% (10% until 2016) and by Basel Accord (8%). Since 2014 Bank’s end of 6 m 2017 interest income amounted to RUR 529.9 billion. Over the capital adequacy ratio decreased from 12.6% to 10.8%. period 2014-2016 interest income increased by 31.2%. Interest income structure is presented in the following exhibit: Exhibit 32 The Bank’s capital adequacy indicators for 2015-6m 2017, RUR billion Index 31.12.2015 31.12.2016 30.06.2017 Required capital 1,014.7 1,017.8 1,024.2 Exhibit 34 The Bank’s interest income structure, RUR billion RWA 7,713.5 9,162.0 9,521.0 Index 2014 2015 2016 6m 2017 The capital adequacy ratio (Н1.1) 11.7% 9.6% 9.3% Interest income 844.1 1.100.9 1.107.8 529.9 Source: Bank’s data

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index 2014 2015 2016 6m 2017 Effective interest rates are presented below. Loans and advances to individuals 267.3 285.7 301.4 159.6 Loans and advances to corporate clients 525.5 726.0 716.4 326.3 Due from other banks 12.5 51.5 48.0 24.1 Exhibit 37 The Bank’s effective interest rates (interest expenses) Financial assets 38.8 37.7 42.0 19.9 Index Unit 2014 2015 2016 6m 17 Source: Bank’s data, calculations of the Consultant Term deposits of individuals (mid-year) RUR billion 1,607.5 2,088.2 2,397.1 2,394.4 Interest expenses on term deposits (individuals) RUR billion -99.0 -156.0 -162.3 -72.9 Effective interest rate % 6.2% 7.5% 6.8% 6.1% Most of interest income was generated by loans and advances to customers, Current deposits of individuals (mid-year) RUR billion 363.8 428.1 546.8 663.8 Interest expense on current deposits of RUR billion -2.1 -2.2 -2.4 -1.9 67.2% of which were represented by loans to corporate clients, 32.8% by loans individuals to individuals. Effective interest rate % 0.6% 0.5% 0.4% 0.6% Term deposits of legal entities (mid-year) RUR billion 2,181.4 3,013.3 3,327.9 3,693.9 Interest expense on term deposits of legal RUR billion -165.7 -277.8 -305.0 -142.9 As you can see from the table below loans and advances to individuals have entities the highest profitability. Effective rates calculated as the ratio of interest Effective interest rate % 7.6% 9.2% 9.2% 7.8% Current deposits of legal entities (mid-year) RUR billion 873.8 938.7 1,035.1 1,176.6 income to the average annual amount of loans by customer type. Interest expense on current deposits of legal RUR billion -3.1 -14.4 -17.2 -5.1 entities % Exhibit 35 The Bank’s effective interest rates (interest income) Effective interest rate 0.4% 1.5% 1.7% 0.9% Due to banks and other borrowed funds (mid- Index Unit 2014 2015 2016 6m 2017 RUR billion 2,786.5 3,404.0 2,930.8 1,964.8 year) Loans and advances to legal entities RUR billion 5,785.0 7,209.5 7,267.6 6,807.5 Interest expense on due to banks RUR billion -156.5 -287.5 -151.9 -58.8 (mid-year) Effective interest rate % 5.6% 8.4% 5.2% 6.0% Interest income on loans to legal entities RUR billion 525.5 726.0 716.4 326.3 Debt securities issued (mid-year) RUR billion 829.8 772.5 511.6 381.5 Effective interest rate % 9.1% 10.1% 9.9% 9.6% Interest expense on debt securities issued RUR billion -50.9 -49.9 -32.4 -13.0 Loans and advances to individuals (mid- Effective interest rate % 6.1% 6.5% 6.3% 6.9% RUR billion 1,613.5 1,777.9 1,878.4 2,061.9 year) Subordinated loans (mid-year) RUR billion 278.1 264.0 243.5 209.9 Interest income on loans to individuals RUR billion 267.3 285.7 301.4 159.6 Interest expense on subordinated loans RUR billion -19.3 -24.1 -21.5 -8.3 Effective interest rate % 16.6% 16.1% 16.0% 15.6% Effective interest rate % 6.9% 9.1% 8.8% 8.0% Source: Bank’s data, calculations of the Consultant Source: Bank’s data, calculations of the Consultant

The structure of interest expenses of the Bank is presented in the table below. Lending costs are higher than borrowing costs which confirms the Bank's Due to significant increase in the amount of customer deposits for the period positive net interest income. 2014 - 6 m 2017, the share of interest expenses on customer deposits increased from 54.4% in 2014 to 73.5% for the 6 m 2017. For 2014 - 2016 the ratio of net fee and commission income to total assets of the Bank was relatively stable and amounted about to 0.6%. At the end of 6 m Exhibit 36 The Bank’s interest expenses structure, RUR billion 2017 this ratio increased and reached 0.69%. Index 2014 2015 2016 6m 2017 Interest expenses 496.8 811.8 692.8 302.8 Deposits of individuals 101.1 158.2 164.7 74.7 The Bank's operating expenses are represented by staff costs and Deposits of corporate clients 169.0 292.1 322.3 148.0 Due to other banks and other borrowed funds 156.5 287.5 151.9 58.8 administrative expenses. In 2016 the Bank's operating expenses amounted to Debt securities issued 50.9 49.9 32.4 13.0 RUR 233.9 billion, which is 5.4% higher than operating costs in 2015 and Subordinated debt 19.3 24.1 21.5 8.3 Source: Bank’s data, calculations of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

5.1% higher than operating costs in 2014. For 6 m 2017 operating expenses Ratio analysis amounted to RUR 122.6 billion. Exhibit 38 Profitability indicators of VTB Bank (PJSC) over 2014 – 6m 2017 Рисунок 1 Change in CIR (cost-to-income ratio) for 2014 – 6 m 2017 Index 2014 2015 2016 6m 2017 54,3% ROE 0.08% 0.13% 3.60% 8.19% 600 60% ROA 0.01% 0.01% 0.39% 0.92% 45,1% 44,4% 500 42,0% 50% NIM (Net income margin) 3.91% 2.61% 3.70% 4.27% 400 40% Lending cost 9.43% 9.90% 9.96% 9.96% 300 30% Borrowing cost 5.56% 7.42% 6.34% 5.78% 530,3 518,3 Interest spread 3.87% 2.48% 3.62% 4.18% 200 408,6 20% 276,4 Source: Bank’s data, calculations of the Consultant 100 222,6 221,9 233,9 10% 122,6 0 0% 2014 2015 2016 6 мес. 17 Overall, since 2016 there is a growth tendency in the Bank's profitability, Staff costs and administrative expenses, bln. RUR which is also due to the decrease in borrowing cost, as well as an increase in Income, bln. RUR the interest spread of the Bank. CIR (cost-to-income ratio), %

Source: Bank’s data, calculations of the Consultant

As a result of deterioration of the macroeconomic situation, the Bank's efficiency declined significantly in 2015, the CIR (cost-to-income ratio) increased from 42.0% to 54.3%, which was due to a significant reduction in the Bank's interest margin. Since 2016, the Bank's efficiency level has grown and reached relatively high value as of the end of 6 m 2017: CIR decreased from 54.3% to 44.4%.

According to the Bank’s annual financial statement, net profit of VTB Bank for 2016 amounted to 51.6 billion rubles, which is 30 times higher than net profit in 2015. The sharp increase in the Bank's net profit was due to the Bank's net interest income growth and a decrease in the provision charge for impairment. Net interest income after provision for impairment in 2016 increased by 2.2 times compared with the amount of 2015, primarily due to a significant reduction in interest expenses of the Bank.

At the end of 6 m 2017, the Bank reported a net profit of RUR 57.9 billion (net profit for 6 months of 2016 amounted to RUR 15.4 billion).

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Conclusion due to the Bank's net interest income growth and a decrease in the provision charge for impairment. Net interest income after provision for Since 2014 the balance sheet of the Bank increased by 3.4% and impairment in 2016 increased by 2.2 times compared with the amount of amounted to RUR 12,608.9 billion as of the valuation date. At the same 2015, primarily due to a significant reduction in interest expenses of the time compared to 2015 the balance sheet of VTB Bank decreased by Bank. 7.6% which was primarily due to a significant reduction in the corporate At the end of 6 m 2017, the Bank reported a net profit of RUR 57.9 loan portfolio of the Group in 2016. billion (net profit for 6 months of 2016 amounted to RUR 15.4 billion).

The structure of VTB Bank’s assets was relatively stable. Loans and advances to customers is the largest item of the Bank's assets (about 70.0%). Loans to legal entities represents the largest share of the Bank’s loan portfolio (over 75%). As of the end of 6 m 2017 the Bank's liabilities reached RUR 1,322.0 billion, which is 31.2% lower than liabilities at the end of 2014 by 31.2%.

There were some changes in the Bank's liabilities structure over the period 2014 – 6m 2017. The share of customer deposits for an analyzed period increased by 24.9 percentage points, while the aggregate share of other borrowed funds, issued debt instruments and subordinated debt decreased by 27.4 percentage points.

The share of the Bank's equity since 2014 grew and amounted to 11.4% of the total equity and liabilities as of the date of valuation. The growth of own funds was due to both growth of the authorized capital in 2015 and growth of retained earnings starting from 2016. Bank is constantly maintaining its capital adequacy ratios above minimum values set by CBR (8% (10% until 2016) and by Basel Accord (8%). As of the valuation date the Bank’s capital adequacy ratio was 10.8%.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Valuation of VTB Bank (PJSC)

Income Approach current trends in Russian banking sector and the Bank’s development strategy (the financial model under IFRS) for 2017-2019. General provisions Assumptions and limitations Ability to generate income is the most important factor in valuation of the Bank. Income Approach determines market value of a business on the basis of Consultant set up a number of assumptions and limitations in respect to future expected generated future income. operating activities of the Bank based on the provided information, results of discussions with Bank’s management and the additional analysis carried out by Under the Income Approach the Discounted Cash Flow method was used to Consultant. The assumptions made in order to value the Bank under the evaluate the market value of the business. Discounted Cash Flow method are presented below:

The Income Approach to valuing business is based on assumption that a  this valuation is based on the Bank’s consolidated IFRS financial potential investor will not pay for the business an amount greater than the statements; present value of future income from this business, and the owner will not sell  this valuation is also based on the Bank’s development strategy (the the business at a price below the present value of expected future income. financial model under IFRS) for 2017-2019;  the current valuation is based on the going concern principle which The Discounted Cash Flow method is considered the most reasonable in assumes that the Bank will function without a threat of liquidation for the terms of investment motives. Application of this method is justified both for foreseeable future; banks with significant history of operations and sustainable development as  management of the Bank would remain competent and reasonable in its well as for banks on growth or stagnation stages. decision-making;  the Bank is planning to comply to all relevant laws and acts; In the process of current valuation Consultant used the IFRS financial statements of VTB Bank (PJSC) for 2014 – 6 months of 2017, information on

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

 the Bank has already obtained or is going to receive and/or prolong all analysis, macroeconomic situation and Bank’s cash flows should stabilize by necessary permits and licenses by all state and regional regulators; the year 2024.  all forecasts used in the Income approach are based on current market conditions and are conducted in line with economic growth forecasts for Thus, in the scope of this Report Consultant set the forecast period from Russian Federation. These forecasts are subject to variation and depend 1 July 2017 until 1 January 2027 (2027 is the first year of post-projection on current market condition and events. period).

Selecting projection period length Final value of the Bank was discounted to the Present value by multiplying it by the discount factor for a corresponding time period. Current equity value of While estimating market value of the Bank under the Discounted Cash Flows the Bank equals the sum of discounted cash flows and Final value discounted method, expected period of economic activity is divided into two parts: to valuation date.

 projection period; Analysis of the Bank's financial model for 2017-2019  post-projection period (terminal period). The following table presents the Bank’s balance according to the financial In the projection period income and cost fluctuations caused by variations in model for 2017-2019. revenue, changes in the cost structure, interest rates movements etc. are generally observed. In this particular period business activity of the Bank has Exhibit 39 Financial model (balance) of the Bank for 2017-2019, RUR billion Index 2017 2018 2019 not yet been stabilized and clear trends in the company development may be Cash and short-term funds 630.1 754.5 804.9 unobservable. This is the most complex part of creating a forecast, since it is Due from other banks 771.6 805.0 829.3 Loans and advances to customers 9.676.3 10.648.1 11.949.6 necessary to carefully analyze all factors that influence the cash flow, and their Investment assets 110.7 110.6 110.7 respective fluctuations should be considered in detail. In choosing the Financial assets at fair value 994.1 1.171.2 1.275.8 Other assets 1.392.7 1.411.2 1.423.1 adequate length of the projection time period we should consider that the Total assets 13.575.5 14.900.6 16.393.4 longer the projected period is, the more precise and reliable will be the value Due to other banks and other borrowings 2,070.8 2,206.5 1,885.4 Customer deposits 8,614.1 9,730.7 11,307.4 of the Bank. However, on the other hand, the longer the projected period the Debt securities issued 358.6 340.4 341.5 harder it is to forecast the actual income, costs, macroeconomic indicators and Subordinated debt 202.3 202.3 202.3 Other liabilities 844.2 795.1 863.7 cash flows. Thus, the reliability of valuation results is lowering. Total liabilities 12,090.1 13,274.9 14,600.3 Equity attributable to shareholders of the parent 1,483.7 1,624.0 1,791.4 Non-controlling interest 1.7 1.7 1.7 Length of the projection period generally equals 5-10 years. This is related to Total equity 1,485.4 1,625.7 1,793.1 the fact that economy of any nation, and its financial sector in particular, are Total liabilities and equity 13,575.5 14,900.6 16,393.4 subject to significant fluctuations over time, caused by a combination of Source: Bank’s data several macroeconomic factors. For VTB Bank (PJSC) Consultant selected a During the period 2014-6 m 2017 the growth rate of total assets was ranged 10 years long projection period (until 2027). According to Consultant’s from -7.7% (in 2016) to 39.0% (in 2014). The financial model of the Bank

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

35 assumes a conservative growth of 7.7% – 10.0%. The analysis of the historical Index 2014 2015 2016 6m 17 2017 2018 2019 Other assets 8.6% 8.8% 10.7% 10.5% 10.3% 9.5% 8.7% and forecasted changes in total assets is presented in the table below. Total assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Source: Bank’s data, calculations of the Consultant Exhibit 40 Historical and forecasted changes in total assets of the Bank Index 2014 2015 2016 6m 17 2017 2018 2019 Total assets, RUR bln. 12,190.8 13,641.9 12,588.2 12,608.9 13,575.5 14,900.6 16,393.4 The financial model of the Bank also assumes that customer deposits will Growth rate, % 39.0% 11.9% -7.7% 0.2% 7.7% 9.8% 10.0% grow faster than the Bank's loan. Source: Bank’s data, calculations of the Consultant Exhibit 43 Historical and forecasted changes in customer deposits of the Bank Total assets of VTB Bank (PJSC) will be growing primarily due to the growth Index 2014 2015 2016 6m 17 2017 2018 2019 Customer deposits, RUR bln. 5,669 7,267 7,347 8,511 8,614 9,731 11,307 of the loan portfolio. The table below also shows that the historical and Growth rate, % 29.3% 28.2% 1.1% 15.8% 17.3% 13.0% 16.2% forecasted dynamics of the loan portfolio is approximately equal to the Source: Bank’s data, calculations of the Consultant dynamics of the Bank's total assets. According to the development strategy of VTB Group an important objective Exhibit 41 Historical and forecasted changes in loan portfolio of the Bank is to improve the funding profile by increasing the share of customer funds Index 2014 2015 2016 6m 17 2017 2018 2019 Loan portfolio, RUR bln. 8,537.3 9,437.5 8,854.5 8,884.1 9,676.3 10,648.1 11,949.6 primarily in the retail segment, as well as streamlining liabilities by attracting Growth rate, % 36.4% 10.5% -6.2% 0.3% 8.9% 10.0% 12.2% more funds into current accounts and increasing the share of ruble- Source: Bank’s data, calculations of the Consultant denominated account balances.

Under the approved development strategy The Bank’s management Exhibit 44 Comparison of historical and forecasted structure of the Bank's liabilities over 2014-2019, % expect above-market growth in the retail segment. The Group is committed Index 2014 2015 2016 6m 17 2017 2018 2019 Due to other banks and other to improving all key indicators in the retail segment in terms of market share. 31.3% 27.4% 22.5% 12.6% 17.1% 16.6% 12.9% borrowings This will increase the share of retail business in the overall Group’s loan Customer deposits 51,3% 59,6% 65,7% 76,1% 71,2% 73,3% 77,4% portfolio and in the Group’s total liabilities. Increasing the size of the mass Debt securities issued 8,3% 5,1% 3,6% 3,3% 3,0% 2,6% 2,3% Subordinated debt 2,4% 2,2% 2,0% 1,8% 1,7% 1,5% 1,4% segment is an important objective in terms of optimizing the cost of funding Other liabilities 6,7% 5,7% 6,2% 6,2% 7,0% 6,0% 5,9% in the retail segment. This can be achieved inter alia by actively promoting Total liabilities 100,0% 100,0% 100,0% 100,0% 100,0% 100,0% 100,0% Post Bank, increasing market share in terms of current account balance Source: Bank’s data, calculations of the Consultant by at least 1.5-times, and significantly increasing the share of rouble- denominated funds on retail accounts as opposed to those in foreign currency. The following table presents the Bank’s income statement according to the financial model for 2017-2019. Exhibit 42 Comparison of historical and forecasted structure of the Bank's assets over 2014-2019, % Exhibit 45 Financial model (P&L) of the Bank for 2017-2019, RUR billion Index 2014 2015 2016 6m 17 2017 2018 2019 Index 2017 2018 2019 Cash and short-term funds 5.7% 4.2% 3.6% 3.6% 4.6% 5.1% 4.9% Interest income 1,058.8 1,127.7 1,200.0 Due from other banks 6.7% 10.0% 8.4% 8.3% 5.7% 5.4% 5.1% Interest expense -642.4 -606.5 -580.7 Loans and advances to customers 70.0% 69.2% 70.3% 70.5% 71.3% 71.5% 72.9% Net interest income 416.4 521.2 619.3 Investment assets 0.8% 0.8% 0.7% 1.0% 0.8% 0.7% 0.7% Provision charge for impairment -189.1 -203.4 -212.5 Financial assets at fair value 8.2% 7.1% 6.3% 6.2% 7.3% 7.9% 7.8% Net interest income after provision for impairment 227.3 317.8 406.8

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index 2017 2018 2019 The financial model of VTB Group also assumes a significant growth of other Net fee and commission income 109.6 130.8 145.9 Trading and revaluation gain 17.5 29.6 60.7 non-interest income in relation to the Bank's assets. Other income 36.3 27.8 18.0 Non-interest income 53.8 57.4 78.8 Exhibit 48 Historical and forecasted changes in other non-interest income Staff costs and administrative expenses -255.4 -291.2 -320.3 Index 2014 2015 2016 6m 17 2017 2018 2019 Profit/(loss) before tax 135.3 214.7 311.2 Other non-interest income, Income tax expense -29.5 -52.6 -68.5 119.9 43.3 21.5 6.2 53.8 57.4 78.8 RUR bln. Net profit/(loss) after tax 105.8 162.1 242.7 Growth rate, % 1.14% 0.34% 0.16% 0.10% 0.41% 0.40% 0.50% Source: Bank’s data Source: Bank’s data, calculations of the Consultant

Management of the Bank assumes a significant growth in net interest income At the same time the financial model (development strategy) of VTB Group over 2018-2019, which is primarily due to the growth of the Bank's interest for 2017-2019 assumes significant optimization of the Group's operating margin. expenses which will lead to an increase in the Bank's operational efficiency and a decrease in the cost-to-income ratio (CIR) from 44.4% (as of the valuation Exhibit 46 Historical and forecasted changes in net interest income of the Bank Index 2014 2015 2016 6m 17 2017 2018 2019 date) to 38.0%. Net interest income, RUR bln. 347.3 289.1 415.0 227.1 416.4 521.2 619.3 Growth rate, % - -16.8% 43.5% - 0.3% 25.2% 18.8% Source: Bank’s data, calculations of the Consultant A large contribution to improving the efficiency of VTB Group's operations will be provided by the merger of VTB Bank and VTB24. According to the financial model the Bank will actively increasing its net fee and commission income over the period 2017-2019. As a result the ratio of According to the development strategy merging VTB Bank and VTB24 into net fee and commission income to the average annual assets of the Bank will an integrated bank is a key strategic project in the new three-year strategy. The grow to 0.93% by the end of 2019, while in the analyzed historical period this initiative is expected to improve the Group’s management structure ratio was about 0.63%. by creating a single, highly-competitive entity, efficiently leveraging its business lines to deliver common objectives. The merger will also enable the Group According to the development strategy in working with medium- to streamline costs and improve its overall financial results. sized corporate customers the strategic objectives for the Group are to grow the customer base by three times and expand the transactions segment by four Based on the context for determining the market value of the valuation object times, including current account balances and risk-free fees, to exceed average and the technical assignment to the Agreement №17 BI 125 RO, the Bank's market growth rate. valuation was carried out without taking into account the synergies effect from the merger of the two banks. Exhibit 47 Historical and forecasted changes in net fee and commission income Index 2014 2015 2016 6m 17 2017 2018 2019 Net fee and commission Thus, the Bank's operating expenses starting from 2017 was determined based 63.1 76.2 81.8 43.1 109.6 130.8 145.9 income, RUR bln. on the CIR (cost-to-income ratio) of 44.7% (average for 2016-6 m 2017). Growth rate, % - 20.8% 7.3% - 34.0% 19.4% 11.5% Source: Bank’s data, calculations of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 49 Historical and forecasted changes in operating expenses As of the valuation date VTB Bank (PJSC) occupies a 24.0% share of Index 2014 2015 2016 6m 17 2017 2018 2019 Operating expenses, RUR bln. 222.6 221.9 233.9 122.6 255.4 291.2 320.3 corporate lending market and 20.8% share of retail lending market. CIR in the financial model of the Bank,% 42.0% 54.3% 45.1% 44.4% 44.1% 41.1% 38.0% CIR with adjustments, % 42.0% 54.3% 45.1% 44.4% 44.7% 44.7% 44.7% Source: Bank’s data, calculations of the Consultant In accordance with the development strategy, the Bank's financial model assumes a significant growth in the retail loan portfolio for 2017-2019, which To conclude, the Bank's financial model is based on conservative assumptions will allow the Bank to increase its share in the retail lending market to 25.5%. in comparison with the historical dynamics of the Bank's key indicators. The growth of most indicators is justified by the Group's development strategy for At the same time, the growth of the Bank’s corporate loan portfolio will 2017-2019. correspond to the growth of the whole Russian corporate lending market (in accordance with the Consultant's assumptions about the growth of the lending However, as was mentioned above the Bank's valuation was carried out market), which will allow the Bank to keep its share at the average level of without taking into account the synergies effect from the merger of the two 24.0% for 2017-2018 and increase its share up to 25.0% by the end of 2019. banks. According to this operating expenses were adjusted by the Consultant. In accordance with the financial model, by 2019 the provision rate for the The Bank's balance sheet forecast Bank’s retail loan portfolio will be 9.8% and for the corporate loan portfolio – 7.0%. Starting from 2020 provision rates were taken at the level of 2019. The The Bank’s income cannot be projected without a detailed forecast of the amount of provision for impairment was calculated on the basis of the Bank’s Bank’s active-passive operations. This valuation is based on the Bank’s gross loans and provision rates. financial model (development strategy) for 2017-2019. Analysis of the Bank’s allowances for impairment showed that during 2014-6m Assets 2017 VTB Bank (PJSC) was making significant write-offs on the loan Loans and advances to customers portfolio. At the same time, in 2018-2019 the Bank's management also expects write-offs on loans to legal entities and individuals. This major asset item was projected according to the Bank’s financial model Exhibit 50 The Bank's loan portfolio and allowances for impairment in 2014-2019, RUR (development strategy) for 2017-2019 and included the following: loans to bln. legal entities, loans to individuals and impairment provisions. Index 2014 2015 2016 6m 17 2017 2018 2019 Loans to legal entities Loans to legal entities (gross) 7,205.3 8,150.0 7,311.4 7,194.2 7,892.3 8,310.1 9,147.3 Starting from 2020 loans to legal entities were projected by multiplying the Provision for impairment -180.3 -102.3 -99.9 -45.7 -105.5 -102.3 -82.1 Write-offs (+) / Recoveries (-) 1.5 80.0 132.3 48.8 -7.2 79.2 22.4 Bank’s share of corporate lending market as of the end 2019 and volume of Allowance for impairment -457.0 -479.3 -446.9 -443.8 -559.6 -582.7 -642.4 the Russian corporate lending market. Loans to individuals were projected by Loans to legal entities (net) 6,748.3 7,670.7 6,864.5 6,750.4 7,332.7 7,727.4 8,504.9 Provision for impairment, % 2.9% 1.3% 1.3% 1.3% 1.4% 1.3% 0.9% multiplying the Bank’s share of retail lending market as of the end 2019 and from gross loans volume of the Russian retail lending market. Write-offs, % from gross loans 0.0% 1.0% 1.7% 1.4% - 1.0% 0.3% Provision rate,% 6.3% 5.9% 6.1% 6.2% 7.1% 7.0% 7.0% Loans to individuals

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index 2014 2015 2016 6m 17 2017 2018 2019 For the period 2017-2019 cash and short-term assets were projected according Loans to individuals (gross) 1,945.1 1,960.0 2,175.6 2,321.6 2,648.0 3,226.1 3,820.9 Provision for impairment -75.0 -67.1 -55.8 -26.7 -83.6 -101.1 -130.4 to the financial model of the Bank. Write-offs (+) / Recoveries (-) 1.8 30.0 63.4 24.4 -35.2 100.1 59.5 Allowance for impairment -156.1 -193.2 -185.6 -187.9 -304.4 -305.4 -376.3 Loans to individuals (net) 1,789.0 1,766.8 1,990.0 2,133.7 2,343.7 2,920.7 3,444.7 Consultant’s analysis concluded that the ratio of cash to current customer Provision for impairment, % 4.3% 3.4% 2.7% 2.4% 3.5% 3.4% 3.7% deposits will rise from 22.9% (as of the valuation date) to 35.1% by the end of from gross loans Write-offs, % from gross loans 0.1% 1.5% 3.1% 2.2% - 3.4% 1.7% 2017, and then will gradually decline and reach 29.8% by the end of 2019, Provision rate.% 8.0% 9.9% 8.5% 8.1% 11.5% 9.5% 9.8% assuming that the Bank will most effectively manage its liquid assets. From Source: Bank’s data, Consultant calculations 2020 this article was forecasted as the ratio of cash to current customer deposits at the level of 2019 (29.8%). Considering the constant and significant amounts of the loan portfolio write- offs in the historical period, as well as write-offs for the period 2018-2019 Due from other banks forecasted in the financial model, the Consultant made the assumption that starting from 2020 the Bank will annually write-off the part of its loan Analysis of the historical and forecasted changes in the item ‘Due from other portfolio. banks’ is presented below.

The amount of annual write-offs was determined as a percentage of gross loan Exhibit 52 Historical and forecasted changes in due from other banks Index Unit 2014 2015 2016 6m 17 2017 2018 2019 portfolio at the level of 2019 (0.3% for the loans to legal entities and 1.7% for Due from other banks RUR bln. 814.5 1,358.2 1,051.2 1,046.5 771.6 805.0 829.3 the loans to individuals). Due from other banks, % from customer % 14.4% 18.7% 14.3% 12.3% 9.0% 8.3% 7.3% deposits Thus, amount of provision for impairment of loans and advance to customers Source: Bank’s data, Consultant calculations over the period is determined as an increase in the allowance for impairment, taking into account the amount of forecasted write-offs for the same period. For the period 2017-2019 due from other banks were projected according to the financial model of the Bank. Overall, the Bank’s management is planning Cash and short-term funds to reduce the amount of funds deposited in other banks.

Analysis of the historical and forecasted changes in the item ‘Cash and short- Consultant’s analysis also showed that the ratio of due from other banks to term funds’ is presented below. customer deposits will decline from 12.3% (as of the valuation date) to 9.0% by the end of 2017, and then will gradually decline and reach 7.3% by the end Exhibit 51 Historical and forecasted changes in cash and short-term assets Index Unit 2014 2015 2016 6m 17 2017 2018 2019 of 2019, assuming that the Bank will most effectively manage its liquid assets. Cash and short-term RUR 695.2 570.7 452.9 456.8 630.1 754.5 804.9 From 2020 this article was forecasted as the ratio of due from other banks to investments bln. Cash and short-term customer deposits at the level of 2019 (7.3%). investments, % from % 55.2% 38.7% 26.8% 22.9% 35.1% 34.5% 29.8% customer current deposits Source: Bank’s data, Consultant calculations

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Financial assets at fair value Liabilities and shareholders’ equity

Analysis of the historical and forecasted changes in the item ‘Financial assets at Customer deposits fair value’ is presented below. This major liability item was projected according to the Bank’s financial model Exhibit 53 Historical and forecasted changes in financial assets (development strategy) for 2017-2019 and included the following: Index Unit 2014 2015 2016 6m 17 2017 2018 2019 Financial assets at fair RUR bln. 998.2 966.2 788.3 781.5 994.1 1,171.2 1,275.8 value  term deposits (legal entities); Financial assets at fair value, % from % 17.6% 13.3% 10.7% 9.2% 11.5% 12.0% 11.3%  current deposits (legal entities); customer deposits  term deposits (individuals); Source: Bank’s data, Consultant calculations  current deposits (individuals).

Financial assets at fair value were projected according to the financial model of Starting from 2020 deposits of legal entities were projected by multiplying the the Bank for 2017-2019. Bank’s corporate deposit market share as of the end 2019 and volume of the Russian corporate deposit market. Deposits of individuals were projected by Together with the reduction of funds deposited in other banks, the Bank's multiplying the Bank’s retail deposit market share as of the end 2019 and financial model assumed an increase in financial assets starting from 2017. At volume of the Russian retail deposit market. the same time, the ratio of financial assets to customer deposits will grow from 9.2% (as of the valuation date) to 11.5% by the end of 2017, and then will In 2016, the Bank’s corporate deposit market share was 17.3%, while its retail reach 11.3% by 2019. From 2020 this article was forecasted as the ratio of deposit market share was 12.4%. As of the valuation date VTB Bank (PJSC) financial assets to customer deposits at the level of 2019 (11.3%). occupies a 20.6% share of corporate deposit market and 12.5% share of retail deposit market. Investment assets In accordance with the development strategy, the Bank's financial model According to the Bank's financial model this item will growth to RUR 110.7 assumes that Group VTB will strengthen its position on the retail deposit billion by the end of 2017 and will fixed at this level afterwards. From 2020, market. The integrated VTB Bank (PJSC) and Post Bank are expected to the amount of investment assets has also been assumed to be constant. become leading players in terms of quality of service and customer loyalty in Other assets their respective sectors. With this as a focus, significantly improving the quality, convenience and functionality of digital channels, the mobile and the Other assets were projected according to the financial model of the Bank for online bank, is a key priority. 2017-2019. Starting from 2020 the growth of other assets was projected at the rate of inflation in the Russian Federation. Thus, the Bank’s development strategy assumes a significant growth in deposits of individuals for 2017-2019, which will allow the Bank to increase its

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

40 share in the retail deposit market from 12.5% (as of the valuation date) to Index 2014 2015 2016 6m 17 2017 2018 2019 Current deposits 22.2% 20.3% 23.0% 23.4% 20.8% 22.5% 23.9% 15.8%. Term deposits 77.8% 79.7% 77.0% 76.6% 79.2% 77.5% 76.1% Source: Bank’s data, Consultant calculations At the same time, financial model assumes a slight decrease in corporate deposits by the end of 2017 (compared to the level as of the valuation date), Due to other banks and other borrowed funds followed by a slight increase in 2018-2019. According to this projected the Due to other banks and other borrowed funds were projected according to the Bank’s corporate deposit market share will be about 18.6% by the end of financial model of the Bank for 2017-2019. 2019.

Exhibit 54 Historical and forecasted changes in customer deposits, RUR bln. Starting from 2020 due to other banks liabilities item served as one of a Index 2014 2015 2016 6m 17 2017 2018 2019 balance sheet ‘plug’. In other words, it was assumed that this short-term Corporate deposit 24,442.6 27,923.4 25,148.8 26,246.1 28,502.4 30,230.4 32,011.8 market liquidity source will be used by the Bank to finance part of activity operations - as % from GDP 30.9% 33.5% 29.2% 31.2% 31.2% 31.2% 31.2% that are not covered by own funds (equity), customer accounts or debt VTB Bank’s corporate 14.4% 15.7% 17.3% 20.6% 17.7% 17.4% 18.6% deposit market share,% securities issued. The percentage of funds required from the market (that is, VTB Bank’s corporate 3,520.3 4,383.6 4,342.3 5,398.6 5,043.6 5,247.7 5,951.6 those that are not covered by customer accounts and debt securities issued) deposit market share Retail deposit market 18,552.7 23,219.1 24,200.3 24,897.1 27,037.4 30,255.1 33,801.4 was projected at the level of 2019 (84.7%). - as % from GDP 23.4% 27.9% 28.1% 29.6% 29.6% 31.2% 33.0% VTB Bank’s retail deposit 11.6% 12.4% 12.4% 12.5% 13.2% 14.8% 15.8% Exhibit 56 Due to other banks and other borrowed funds analysis, RUR bln. market share,% Index 2014 2015 2016 6m 17 2017 2018 2019 VTB Bank’s retail deposit 2,149.1 2,883.4 3,004.3 3,111.9 3,570.5 4,483.0 5,355.8 market share + Assets 12,190.8 13,641.9 12,588.2 12,608.9 13,575.5 14,900.6 16,393.4 VTB Bank’s deposit - Equity 1,131.0 1,454.1 1,412.9 1,432.3 1,485.4 1,625.7 1,793.1 13.2% 14.2% 14.9% 16.6% 15.5% 16.1% 17.2% market share,% - Liabilities (without funds required from the 6,676.0 8,218.8 8,259.6 9,399.8 9,660.6 10,728.0 12,373.4 Source: Bank’s data, Consultant calculations market) = funds required from the market (due to other 4,383.8 3,969.0 2,915.7 1,776.8 2,429.4 2,546.8 2,226.9 The ratio between term deposits and current deposits for each group of banks and debt customers for 2014-2019 is presented below. Starting from 2020 the ratio securities issued) Due to other banks 3,462.4 3,345.5 2,516.1 1,413.4 2,070.8 2,206.5 1,885.4 between term deposits and current deposits for each group of customers was Due to other banks, % from total funds required 79.0% 84.3% 86.3% 79.5% 85.2% 86.6% 84.7% fixed at the level of 2019. from the market Source: Bank’s data, Consultant calculations Exhibit 55 Ratio between term deposits and current deposits for each group of customers, % Index 2014 2015 2016 6m 17 2017 2018 2019 Debt securities issued Legal entities

Current deposits 24.7% 23.0% 24.5% 23.9% 21.4% 24.5% 27.6% Term deposits 75.3% 77.0% 75.5% 76.1% 78.6% 75.5% 72.4% Debt securities issued were projected according to the financial model of the Individuals Bank for 2017-2019. Current deposits 18.2% 16.2% 20.9% 22.5% 20.1% 20.0% 19.8% Term deposits 81.8% 83.8% 79.1% 77.5% 79.9% 80.0% 80.2% Total

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Starting from 2020 this item served as one of a balance sheet ‘plug’. In other Shareholders’ equity words, it was assumed that this short-term liquidity source will be used by the Bank to finance part of activity operations that are not covered by own funds The Bank's shareholders’ equity as of the valuation date is represented by (equity), customer accounts or due to other banks. The percentage of funds share capital, retained earnings and other funds. required from the market (that is, those that are not covered by customer accounts and due to other banks) was projected at the level of 2019 (15.3%). The amount of share capital, as well as retained earnings and other funds for 2017-2019 was projected according to the financial model of the Bank. Exhibit 57 Debt securities issued analysis, RUR bln. Index 2014 2015 2016 6m 17 2017 2018 2019 Starting from 2020 retained earnings served as equity “plug”. The amount of + Assets 12,190.8 13,641.9 12,588.2 12,608.9 13,575.5 14,900.6 16,393.4 - Equity 1,131.0 1,454.1 1,412.9 1,432.3 1,485.4 1,625.7 1,793.1 equity was projected with regard to all applicable capital adequacy - Liabilities (without requirements. The Consultant assumed that the capital adequacy of the Bank funds required from the 6,676.0 8,218.8 8,259.6 9,399.8 9,660.6 10,728.0 12,373.4 market) would not fall below the level of 10.00%. Thus, the bank will maintain capital = funds required from the market (due to other at the level of 10.00% - the minimum capital adequacy ratio of 8.00% plus 2% 4,383.8 3,969.0 2,915.7 1,776.8 2,429.4 2,546.8 2,226.9 banks and debt as a "buffer". securities issued) Debt securities issued 921.4 623.5 399.6 363.4 358.6 340.4 341.5 Debt securities issued, For the period 2017-2019 capital adequacy of the Bank was determined on the % from total funds 21.0% 15.7% 13.7% 20.5% 14.8% 13.4% 15.3% required from the market basis of the book value of equity (capital) forecasted according to VTB Bank's Source: Bank’s data, calculations of the Consultant financial model for 2017-2019 and the estimated value of regulatory capital determined in accordance with the Basel capital adequacy requirements and Subordinated debt the new requirements of the Bank of Russia. Over 2017-2019 capital adequacy ratio (H1.0) almost equals to 10.0%. As of the valuation date subordinated debt of the Bank amounts to RUR 195.7 billion. According to the Bank's financial model this item will growth to RUR When the target capital adequacy ratio (10.0%) was determined, the 202.3 billion by the end of 2017 and will fixed at this level afterwards. From Consultant calculated the risk-weighted assets and regulatory capital 2020, the amount of subordinated debt has also been assumed to be constant. determined in accordance with the Basel capital adequacy requirements and Other liabilities the new requirements of the Bank of Russia.

Other liabilities were projected according to the financial model of the Bank Non-controlling interests for 2017-2019. Starting from 2020 the growth of other liabilities was projected Non-controlling interests were projected according to the financial model of at the rate of inflation in the Russian Federation. the Bank for 2017-2019. From 2020, the amount of non-controlling interests has been assumed to be constant.

Results and supporting calculations are presented further.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 58 Projected balance of VTB Bank (PJSC), RUR billion Index 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Cash and short-term funds 630.1 754.5 804.9 868.2 937.5 1,010.3 1,086.3 1,168.5 1,257.8 1,354.9 Due from other banks 771.6 805.0 829.3 898.4 974.4 1,054.8 1,139.2 1,230.9 1,330.9 1,440.1 Loans and advances to customers 9,676.3 10,648.1 11,949.6 12,787.8 13,697.2 14,637.3 15,603.6 16,636.4 17,746.0 18,938.7 Investment assets 110.7 110.6 110.7 110.7 110.7 110.7 110.7 110.7 110.7 110.7 Financial assets at fair value 994.1 1,171.2 1,275.8 1,382.1 1,499.1 1,622.6 1,752.5 1,893.6 2,047.4 2,215.4 Other assets 1,392.7 1,411.2 1,423.1 1,482.2 1,545.0 1,606.8 1,671.0 1,737.9 1,807.4 1,879.7 Total assets 13,575.5 14,900.6 16,393.4 17,529.5 18,763.9 20,042.5 21,363.3 22,777.9 24,300.2 25,939.4 Due to other banks and other borrowings 2,070.8 2,206.5 1,885.4 1,902.2 1,926.7 1,935.2 1,926.6 1,903.2 1,863.3 1,804.2 Customer deposits 8,614.1 9,730.7 11,307.4 12,250.1 13,286.8 14,381.8 15,532.9 16,783.2 18,147.0 19,635.5 Debt securities issued 358.6 340.4 341.5 344.5 349.0 350.5 348.9 344.7 337.5 326.8 Subordinated debt 202.3 202.3 202.3 202.3 202.3 202.3 202.3 202.3 202.3 202.3 Other liabilities 844.2 795.1 863.7 899.5 937.6 975.1 1,014.1 1,054.7 1,096.9 1,140.7 Total liabilities 12,090.1 13,274.9 14,600.3 15,598.6 16,702.3 17,844.9 19,024.8 20,288.0 21,646.8 23,109.4 Share capital 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 1,093.3 Retained earnings and other 390.4 530.7 698.1 835.9 966.6 1,102.6 1,243.6 1,395.0 1,558.4 1,735.0 Total shareholders’ equity 1,483.7 1,624.0 1,791.4 1,929.2 2,059.9 2,195.9 2,336.9 2,488.3 2,651.7 2,828.3 Non-controlling interests 1.7 1.7 1.7 1.7 1.7 1.7 1.7 1.7 1.7 1.7 Total equity 1,485.4 1,625.7 1,793.1 1,930.9 2,061.6 2,197.6 2,338.5 2,490.0 2,653.4 2,830.0 Total liabilities and equity 13,575.5 14,900.6 16,393.4 17,529.5 18,763.9 20,042.5 21,363.3 22,777.9 24,300.2 25,939.4 Source: calculations of the Consultant

Exhibit 59 Supporting charts for projection balance sheet calculations, RUR billion Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Cash and short-term funds bln. RUB 630.1 754.5 804.9 868.2 937.5 1,010.3 1,086.3 1,168.5 1,257.8 1,354.9 Current deposits bln. RUB 1,795.7 2,184.7 2,702.4 2,914.8 3,147.6 3,391.9 3,647.0 3,923.0 4,222.9 4,548.9 Cash and short-term investments, % from current customer deposits % 35.1% 34.5% 29.8% 29.8% 29.8% 29.8% 29.8% 29.8% 29.8% 29.8% Due from other banks bln. RUB 771.6 805.0 829.3 898.4 974.4 1,054.8 1,139.2 1,230.9 1,330.9 1,440.1 Customer deposits bln. RUB 8,614.1 9,730.7 11,307.4 12,250.1 13,286.8 14,381.8 15,532.9 16,783.2 18,147.0 19,635.5 Due from other banks, % from customer deposits % 9.0% 8.3% 7.3% 7.3% 7.3% 7.3% 7.3% 7.3% 7.3% 7.3% Financial assets at fair value 994.1 1,171.2 1,275.8 1,382.1 1,499.1 1,622.6 1,752.5 1,893.6 2,047.4 2,215.4 Financial assets at fair value, % from customer deposits % 11.5% 12.0% 11.3% 11.3% 11.3% 11.3% 11.3% 11.3% 11.3% 11.3% Loans and advances to customers (net) bln. RUB 9,676.3 10,648.1 11,949.6 12,787.8 13,697.2 14,637.3 15,603.6 16,636.4 17,746.0 18,938.7 Loans and advances to customers (gross) bln. RUB 10,540.3 11,536.2 12,968.2 13,882.1 14,873.7 15,899.5 16,954.3 18,082.3 19,294.5 20,597.9 Allowance for impairment bln. RUB -864.0 -888.1 -1,018.6 -1,094.2 -1,176.5 -1,262.1 -1,350.7 -1,445.8 -1,548.5 -1,659.2 Provision for impairment bln. RUB -189.1 -203.4 -212.5 -167.6 -182.9 -195.5 -208.3 -225.3 -244.3 -265.0 Legal entities bln. RUB -105.5 -102.3 -82.1 -60.0 -63.7 -65.2 -66.3 -69.4 -72.9 -76.5 Individuals bln. RUB -83.6 -101.1 -130.4 -107.6 -119.2 -130.3 -142.0 -155.9 -171.4 -188.5 Other bln. RUB

Loans to legal entities (net) bln. RUB 7,332.7 7,727.4 8,504.9 8,979.7 9,485.4 9,991.9 10,494.9 11,019.8 11,571.0 12,149.8 Loans to legal entities (gross) bln. RUB 7,892.3 8,310.1 9,147.3 9,658.0 10,201.9 10,746.7 11,287.6 11,852.2 12,445.0 13,067.5 Provision for impairment bln. RUB -105.5 -102.3 -82.1 -60.0 -63.7 -65.2 -66.3 -69.4 -72.9 -76.5 Write-offs (+) / Recoveries (-) bln. RUB -7.2 79.2 22.4 24.2 25.5 26.9 28.3 29.7 31.2 32.8 Allowance for impairment bln. RUB -559.6 -582.7 -642.4 -678.3 -716.5 -754.7 -792.7 -832.4 -874.0 -917.7 Loans to legal entities (net) bln. RUB 7,332.7 7,727.4 8,504.9 8,979.7 9,485.4 9,991.9 10,494.9 11,019.8 11,571.0 12,149.8 Provision for impairment, % from gross loans % 1.4% 1.3% 0.9% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% Write-offs, % from gross loans % - 1.0% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3%

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Provision rate,% % 7.1% 7.0% 7.0% 7.0% 7.0% 7.0% 7.0% 7.0% 7.0% 7.0% Loans to individuals (net) bln. RUB 2,343.7 2,920.7 3,444.7 3,808.1 4,211.8 4,645.4 5,108.7 5,616.6 6,175.0 6,788.9 Loans to individuals (gross) bln. RUB 2,648.0 3,226.1 3,820.9 4,224.1 4,671.8 5,152.8 5,666.7 6,230.1 6,849.5 7,530.4 Provision for impairment bln. RUB -83.6 -101.1 -130.4 -107.6 -119.2 -130.3 -142.0 -155.9 -171.4 -188.5 Write-offs (+) / Recoveries (-) bln. RUB -35.2 100.1 59.5 67.9 75.1 82.9 91.3 100.4 110.4 121.4 Allowance for impairment bln. RUB -304.4 -305.4 -376.3 -415.9 -460.0 -507.4 -558.0 -613.5 -674.5 -741.5 Loans to individuals (net) bln. RUB 2,343.7 2,920.7 3,444.7 3,808.1 4,211.8 4,645.4 5,108.7 5,616.6 6,175.0 6,788.9 Provision for impairment, % from gross loans % 3.5% 3.4% 3.7% 2.7% 2.7% 2.7% 2.6% 2.6% 2.6% 2.6% Write-offs, % from gross loans % - 3.4% 1.7% 1.7% 1.7% 1.7% 1.7% 1.7% 1.7% 1.7% Provision rate.% % 11.5% 9.5% 9.8% 9.8% 9.8% 9.8% 9.8% 9.8% 9.8% 9.8% Other assets bln. RUB 1,392.7 1,411.2 1,423.1 1,482.2 1,545.0 1,606.8 1,671.0 1,737.9 1,807.4 1,879.7 The growth rate of other assets % 3.3% 1.3% 0.8% 4.2% 4.2% 4.0% 4.0% 4.0% 4.0% 4.0% Other assets,% of total assets % 11.4% 10.5% 9.5% 9.2% 9.0% 8.7% 8.5% 8.3% 8.0% 7.8% Other liabilities bln. RUB 844.2 795.1 863.7 899.5 937.6 975.1 1,014.1 1,054.7 1,096.9 1,140.7 Growth rate of other liabilities % 22.5% -5.8% 8.6% 4.2% 4.2% 4.0% 4.0% 4.0% 4.0% 4.0% Customer deposits bln. RUB 8,614.1 9,730.7 11,307.4 12,250.1 13,286.8 14,381.8 15,532.9 16,783.2 18,147.0 19,635.5 Legal entities bln. RUB 5,043.6 5,247.7 5,951.6 6,283.9 6,637.8 6,992.2 7,344.2 7,711.5 8,097.3 8,502.3 Current deposits bln. RUB 1,079.3 1,287.2 1,643.7 1,735.4 1,833.2 1,931.0 2,028.2 2,129.7 2,236.2 2,348.1 Term deposits bln. RUB 3,964.3 3,960.5 4,308.0 4,548.5 4,804.6 5,061.2 5,315.9 5,581.8 5,861.0 6,154.2 Individuals bln. RUB 3,570.5 4,483.0 5,355.8 5,966.1 6,649.0 7,389.6 8,188.8 9,071.6 10,049.7 11,133.2 Current deposits bln. RUB 716.4 897.6 1,058.8 1,179.4 1,314.4 1,460.8 1,618.8 1,793.3 1,986.7 2,200.9 Term deposits bln. RUB 2,854.1 3,585.5 4,297.1 4,786.7 5,334.6 5,928.8 6,570.0 7,278.3 8,063.0 8,932.4 Total

Current deposits bln. RUB 1,795.7 2,184.7 2,702.4 2,914.8 3,147.6 3,391.9 3,647.0 3,923.0 4,222.9 4,548.9 Term deposits bln. RUB 6,818.4 7,546.0 8,605.0 9,335.2 10,139.2 10,990.0 11,885.9 12,860.2 13,924.1 15,086.6 Legal entities

Current deposits % 21.4% 24.5% 27.6% 27.6% 27.6% 27.6% 27.6% 27.6% 27.6% 27.6% Term deposits % 78.6% 75.5% 72.4% 72.4% 72.4% 72.4% 72.4% 72.4% 72.4% 72.4% Individuals

Current deposits % 20.1% 20.0% 19.8% 19.8% 19.8% 19.8% 19.8% 19.8% 19.8% 19.8% Term deposits % 79.9% 80.0% 80.2% 80.2% 80.2% 80.2% 80.2% 80.2% 80.2% 80.2% Total

Current deposits % 20.8% 22.5% 23.9% 23.8% 23.7% 23.6% 23.5% 23.4% 23.3% 23.2% Term deposits % 79.2% 77.5% 76.1% 76.2% 76.3% 76.4% 76.5% 76.6% 76.7% 76.8% Share capital calculation

Regulatory capital bln. RUB 1,023.6 1,107.3 1,241.2 1,345.1 1,438.4 1,534.8 1,634.3 1,740.6 1,854.9 1,977.8 Equity bln. RUB 1,485.4 1,625.7 1,793.1 1,930.9 2,061.6 2,197.6 2,338.5 2,490.0 2,653.4 2,830.0 Regulatory capital / Equity % 68.9% 68.1% 69.2% 69.7% 69.8% 69.8% 69.9% 69.9% 69.9% 69.9% Equity/Assets % 10.9% 10.9% 10.9% 11.0% 11.0% 11.0% 10.9% 10.9% 10.9% 10.9% Capital adequacy ratio % 9.9% 9.7% 9.9% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0%

Assets bln. RUB 13,575 14,901 16,393 17,530 18,764 20,042 21,363 22,778 24,300 25,939 RWA bln. RUB 10,383 11,377 12,591 13,451 14,384 15,348 16,343 17,406 18,549 19,778 RWA / Assets % 76.5% 76.4% 76.8% 76.7% 76.7% 76.6% 76.5% 76.4% 76.3% 76.2%

Nominal value of preferred shares bln. RUB 521.4 521.4 521.4 521.4 521.4 521.4 521.4 521.4 521.4 521.4 - issue 2014 bln. RUB 214.0 214.0 214.0 214.0 214.0 214.0 214.0 214.0 214.0 214.0 - issue 2015 bln. RUB 307.4 307.4 307.4 307.4 307.4 307.4 307.4 307.4 307.4 307.4 Perpetual loan participation notes bln. RUB 132.9 132.9 132.9 132.9 132.9 132.9 132.9 132.9 132.9 132.9

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Balance sheet ‘plug’ calculation

+ Assets bln. RUB 13,575.5 14,900.6 16,393.4 17,529.5 18,763.9 20,042.5 21,363.3 22,777.9 24,300.2 25,939.4 - Equity bln. RUB 1,485.4 1,625.7 1,793.1 1,930.9 2,061.6 2,197.6 2,338.5 2,490.0 2,653.4 2,830.0 - Liabilities (without funds required from the market) bln. RUB 12,090.1 13,274.9 14,600.3 13,351.8 14,426.6 15,559.2 16,749.3 18,040.1 19,446.1 20,978.5 =Funds required from the market bln. RUB 0.0 0.0 0.0 2,246.8 2,275.7 2,285.7 2,275.5 2,247.9 2,200.7 2,130.9

Funds required from the market bln. RUB 2,429.4 2,546.8 2,226.9 2,246.8 2,275.7 2,285.7 2,275.5 2,247.9 2,200.7 2,130.9 Funds required from the market (current funds) bln. RUB 2,429.4 2,546.8 2,226.9 ------Due to other banks bln. RUB 2,070.8 2,206.5 1,885.4

Debt securities issued bln. RUB 358.6 340.4 341.5

Due to other banks % 85.2% 86.6% 84.7% 84.7% 84.7% 84.7% 84.7% 84.7% 84.7% 84.7% Debt securities issued % 14.8% 13.4% 15.3% 15.3% 15.3% 15.3% 15.3% 15.3% 15.3% 15.3% Funds required from the market (additional funds) bln. RUB 0.0 0.0 0.0 2,246.8 2,275.7 2,285.7 2,275.5 2,247.9 2,200.7 2,130.9 Due to other banks bln. RUB 0.0 0.0 0.0 1,902.2 1,926.7 1,935.2 1,926.6 1,903.2 1,863.3 1,804.2 Debt securities issued bln. RUB 0.0 0.0 0.0 344.5 349.0 350.5 348.9 344.7 337.5 326.8 Off-balance sheet assets (loan commitments) 1,103.2 1,214.0 1,362.4 1,458.0 1,561.7 1,668.8 1,779.0 1,896.8 2,023.3 2,159.2 % from the loan portfolio % 11.4% 11.4% 11.4% 11.4% 11.4% 11.4% 11.4% 11.4% 11.4% 11.4% Source: calculations of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

The Bank's income statement forecast Index 2014 2015 2016 6m 17 2017 2018 2019 Interest income on financial 38.8 37.7 42.0 19.9 32.8 42.8 47.6 assets, RUR bln Forecast of the Bank’s income statement is based on the projected balance effective interest rate,% 4.5% 3.8% 4.8% 5.1% 3.7% 3.9% 3.9% sheet. The Bank’s income statement was forecasted according to the financial Source: Bank’s data, calculations of the Consultant model of VTB Bank for 2017-2019 with some adjustments. Interest expenses Interest income Projection of interest expenses included forecast of the following items: Projection of interest income included forecast of the following items:  interest expenses on term deposits (legal entities);  interest income on loans to legal entities;  interest expenses on current deposits (legal entities);  interest income on loans to individuals;  interest expenses on term deposits (individuals);  interest income on due from banks;  interest expenses on current deposits (individuals).  interest income on financial assets.  interest expenses on issued debt securities;  interest expenses on due to banks; Each interest income item was projected as an average annual value of the  interest expenses on subordinated loans. relevant type of assets (projection of which is described in the section above) multiplied by corresponding effective interest rate calculated according to the Each interest expenses item was projected as an average annual value of the financial model of VTB Bank (PJSC) for 2017-2019. From 2020 effective relevant type of liabilities (projection of which is described in the section interest rate for each item was calculated as effective interest rate for the above) multiplied by corresponding effective interest rate calculated according previous period, adjusted for inflation change in the Russian Federation. to the financial model of VTB Bank (PJSC) for 2017-2019. From 2020 effective interest rate for each item was calculated as effective interest rate for Exhibit 60 Dynamics of interest rates (lending) over 2014-2019 the previous period, adjusted for inflation change in the Russian Federation. Index 2014 2015 2016 6m 17 2017 2018 2019 Loans to legal entities (mid-year), 5,785.0 7,209.5 7,267.6 6,807.5 7,098.6 7,530.0 8,116.1 Exhibit 61 Dynamics of interest rates (borrowing) over 2014-2019 RUR bln. Index 2014 2015 2016 6m 17 2017 2018 2019 Interest income on loans to legal 525.5 726.0 716.4 326.3 656.2 660.8 672.9 Term deposits of individuals entities, RUR bln. 1,607.5 2,088.2 2,397.1 2,394.4 2,615.3 3,219.8 3,941.3 (mid-year), RUR bln. effective interest rate,% 9.1% 10.1% 9.9% 9.6% 9.2% 8.8% 8.3% Interest expenses on term Loans to individuals (mid-year), -99.0 -156.0 -162.3 -72.9 -160.5 -184.9 -204.4 1,613.5 1,777.9 1,878.4 2,061.9 2,166.8 2,632.2 3,182.7 deposits (individuals), RUR bln. RUR bln. effective interest rate,% 6.2% 7.5% 6.8% 6.1% 6.1% 5.7% 5.2% Interest income on loans to 267.3 285.7 301.4 159.6 334.9 386.4 442.5 Current deposits of individuals individuals, RUR bln. 363.8 428.1 546.8 663.8 672.1 807.0 978.2 (mid-year), RUR bln. effective interest rate,% 16.6% 16.1% 16.0% 15.6% 15.5% 14.7% 13.9% Interest expense on current Due from banks (mid-year), RUR -2.1 -2.2 -2.4 -1.9 -7.6 -13.1 -16.9 630.4 1,086.4 1,204.7 1,048.9 911.4 788.3 817.1 deposits of individuals bln effective interest rate,% 0.6% 0.5% 0.4% 0.6% 1.1% 1.6% 1.7% Interest income on due from 12.5 51.5 48.0 24.1 35.0 37.8 37.0 Term deposits of legal entities banks, RUR bln 2,181.4 3,013.3 3,327.9 3,693.9 3,622.4 3,962.4 4,134.2 (mid-year) effective interest rate,% 2.0% 4.7% 4.0% 4.6% 3.8% 4.8% 4.5% Interest expense on term Financial assets (mid-year), RUR -165.7 -277.8 -305.0 -142.9 -283.9 -228.9 -203.1 863.8 982.2 877.3 784.9 891.2 1,082.6 1,223.5 deposits of legal entities bln

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index 2014 2015 2016 6m 17 2017 2018 2019 From 2020 net fee and commission income was projected as average annual effective interest rate,% 7.6% 9.2% 9.2% 7.8% 7.8% 5.8% 4.9% Current deposits of legal entities assets of the Bank multiplied by the ratio NFCI/ Assets of 2019 (0.93%). 873.8 938.7 1,035.1 1,176.6 1,070.6 1,183.3 1,465.4 (mid-year) Interest expense on current -3.1 -14.4 -17.2 -5.1 -12.4 -11.8 -14.7 deposits of legal entities Exhibit 62 Net fee and commission income analysis effective interest rate,% 0.4% 1.5% 1.7% 0.9% 1.2% 1.0% 1.0% Index Unit 2017 2018 2019 Due to banks and other borrowed Net fee and commission income RUR bln. 109.6 130.8 145.9 2,786.5 3,404.0 2,930.8 1,964.8 2,293.5 2,138.6 2,045.9 funds (mid-year) Average annual assets RUR bln. 13,081.8 14,238.0 15,647.0 Interest expense on due to banks -156.5 -287.5 -151.9 -58.8 -141.9 -140.9 -115.1 NFCI/ Assets % 0.84% 0.92% 0.93% effective interest rate,% 5.6% 8.4% 5.2% 6.0% 6.2% 6.6% 5.6% Source: Bank’s data, calculations of the Consultant Debt securities issued (mid-year) 829.8 772.5 511.6 381.5 379.1 349.5 340.9 Interest expense on debt -50.9 -49.9 -32.4 -13.0 -20.8 -12.0 -11.6 securities issued Other non-interest income effective interest rate,% 6.1% 6.5% 6.3% 6.9% 5.5% 3.4% 3.4% Subordinated loans (mid-year) 278.1 264.0 243.5 209.9 213.2 202.3 202.3 Other non-interest income was forecasted according to the financial model of Interest expense on subordinated -19.3 -24.1 -21.5 -8.3 -15.3 -15.0 -15.0 loans VTB Bank for 2017-2019. Starting from 2020 other non-interest income (net effective interest rate,% 6.9% 9.1% 8.8% 8.0% 7.2% 7.4% 7.4% of expenses) was projected as a percentage of the average annual assets of the Source: Bank’s data, calculations of the Consultant Bank at 0.50% (level of 2019). Provisions for assets impairment Exhibit 63 Other non-interest income analysis Index Unit 2017 2018 2019 Provision charge for assets impairment was forecasted according to the Other non-interest income RUR bln. 53.8 57.4 78.8 Average annual assets RUR bln. 13,081.8 14,238.0 15,647.0 financial model of VTB Bank for 2017-2019. Other non-interest income / Assets % 0.41% 0.40% 0.50% Source: Bank’s data, calculations of the Consultant Starting from 2020 provision charge for impairment of assets was projected as an increase in allowance for impairment of interest-bearing assets (loans and Staff costs and administrative expenses advances to customers), taking into account forecasted write-offs of loans for the relevant period. As was mentioned above the financial model (development strategy) of VTB Group for 2017-2019 assumes significant optimization of the Group's Net fee and commission income operating expenses.

Net fee and commission income was projected according to the financial A large contribution to improving the efficiency of VTB Group's operations model of the Bank for 2017-2019. The financial model (development strategy) will be provided by the merger of VTB Bank and VTB24. of VTB Group assumes a significant growth of net fee and commission income. According to the development strategy merging VTB Bank and VTB24 into an integrated bank is a key strategic project in the new three-year strategy. The As a result the ratio of net fee and commission income to the average annual initiative is expected to improve the Group’s management structure assets of the Bank will grow to 0.93% by the end of 2019, while in the by creating a single, highly-competitive entity, efficiently leveraging its business analyzed historical period this ratio was about 0.63%.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

47 lines to deliver common objectives. The merger will also enable the Group to streamline costs and improve its overall financial results.

Based on the context for determining the market value of the valuation object and the technical assignment to the Agreement №17 BI 125 RO, VTB Bank's valuation was carried out without taking into account the synergies effect from the merger of the two banks.

Thus, VTB Bank's operating expenses starting from 2017 was determined based on the CIR (cost-to-income ratio) of 44.7% (average for 2016-6 m 2017, since the value only for 6m 2017 is not indicative).

Exhibit 64 CIR analysis, % Index 2014 2015 2016 6m 2017 CIR (cost-to-income ratio), % 42.0% 54.3% 45.1% 44.4% Source: Bank’s data, calculations of the Consultant

Net income

Income tax expenses for 2017-2019 were projected according to the effective income tax rate from the financial model of the Bank. Starting from 2020 the effective income tax rate is set at 20% in accordance with the legislation of the Russian Federation.

Results of the Bank's income statement forecast and supporting calculations are presented further.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Exhibit 65 Projected income statement of VTB Bank (PJSC), RUR billion Index 2H 2017 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Interest income 528.9 1,058.8 1,127.7 1,200.0 1,304.1 1,417.5 1,486.6 1,596.4 1,712.6 1,838.1 1,973.7 Interest expenses -339.6 -642.4 -606.5 -580.7 -607.1 -662.2 -670.5 -715.8 -763.4 -814.5 -869.4 Net interest income 189.3 416.4 521.2 619.3 697.0 755.3 816.0 880.6 949.2 1,023.6 1,104.3 Provision charge for impairment of assets -113.1 -189.1 -203.4 -212.5 -167.6 -182.9 -195.5 -208.3 -225.3 -244.3 -265.0 Net interest income after provisions for impairment 76.2 227.3 317.8 406.8 529.3 572.4 620.6 672.3 723.9 779.3 839.4 Net fee and commission income 66.5 109.6 130.8 145.9 158.1 169.2 180.9 193.0 205.8 219.4 234.2 Non-interest gains 47.6 53.8 57.4 78.8 85.4 91.4 97.7 104.3 111.1 118.5 126.5 Staff costs and administrative expenses -136.8 -259.4 -317.4 -377.6 -420.8 -454.5 -489.8 -527.0 -566.5 -609.2 -655.5 Profit/(loss) before tax 53.5 131.3 188.6 253.9 352.1 378.4 409.4 442.6 474.3 508.1 544.6 Income tax expense -8.7 -28.6 -46.2 -55.9 -70.4 -75.7 -81.9 -88.5 -94.9 -101.6 -108.9 Net profit/(loss) after tax 44.7 102.6 142.4 198.0 281.6 302.7 327.5 354.1 379.5 406.5 435.7 Source: calculations of the Consultant

Exhibit 66 Supporting calculations for projected income statement Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Net interest income bln. RUB 416.4 521.2 619.3 697.0 755.3 816.0 880.6 949.2 1,023.6 1,104.3 Interest income bln. RUB 1,058.8 1,127.7 1,200.0 1,304.1 1,417.5 1,486.6 1,596.4 1,712.6 1,838.1 1,973.7 Loans to individuals bln. RUB 334.9 386.4 442.5 500.3 556.5 604.3 665.5 731.7 804.5 884.5 Loans to legal entities bln. RUB 656.2 660.8 672.9 715.4 763.2 782.3 822.8 864.1 907.4 952.8 Due from other banks bln. RUB 35.0 37.8 37.0 38.2 42.1 43.3 46.8 50.6 54.6 59.1 Financial assets bln. RUB 32.8 42.8 47.6 50.3 55.7 56.7 61.3 66.2 71.6 77.4 Effective interest rates (interest income)

Loans to individuals % 15.5% 14.7% 13.9% 13.8% 13.9% 13.6% 13.6% 13.6% 13.6% 13.6% Loans to legal entities % 9.2% 8.8% 8.3% 8.2% 8.3% 8.0% 8.0% 8.0% 8.0% 8.0% Due from other banks % 3.8% 4.8% 4.5% 4.4% 4.5% 4.3% 4.3% 4.3% 4.3% 4.3% Financial assets % 3.7% 3.9% 3.9% 3.8% 3.9% 3.6% 3.6% 3.6% 3.6% 3.6% Interest expenses bln. RUB -642.4 -606.5 -580.7 -607.1 -662.2 -670.5 -715.8 -763.4 -814.5 -869.4 Deposits to individuals bln. RUB -168.1 -198.0 -221.3 -248.7 -282.4 -297.9 -330.6 -366.3 -405.8 -449.5 Current deposits bln. RUB -7.6 -13.1 -16.9 -18.2 -21.3 -20.4 -22.7 -25.1 -27.8 -30.8 Term deposits bln. RUB -160.5 -184.9 -204.4 -230.6 -261.1 -277.5 -307.9 -341.1 -377.9 -418.7 Deposits to legal entities bln. RUB -296.3 -240.7 -217.7 -227.8 -246.0 -243.5 -256.2 -269.0 -282.5 -296.6 Current accounts bln. RUB -12.4 -11.8 -14.7 -15.1 -17.4 -14.0 -14.7 -15.5 -16.2 -17.0 Urgent accounts bln. RUB -283.9 -228.9 -203.1 -212.7 -228.5 -229.5 -241.4 -253.6 -266.2 -279.6 Due to banks and other borrowed funds bln. RUB -141.9 -140.9 -115.1 -104.5 -107.3 -103.7 -103.7 -102.8 -101.1 -98.5 Debt securities issued bln. RUB -20.8 -12.0 -11.6 -11.3 -11.7 -11.0 -11.0 -10.9 -10.7 -10.4 Subordinated debt bln. RUB -15.3 -15.0 -15.0 -14.7 -14.9 -14.4 -14.4 -14.4 -14.4 -14.4 Effective interest rates (interest expenses)

Deposits to individuals % 5.1% 4.9% 4.5% 4.4% 4.5% 4.2% 4.2% 4.2% 4.2% 4.2% Current deposits % 1.1% 1.6% 1.7% 1.6% 1.7% 1.5% 1.5% 1.5% 1.5% 1.5% Term deposits % 6.1% 5.7% 5.2% 5.1% 5.2% 4.9% 4.9% 4.9% 4.9% 4.9% Deposits to legal entities % 6.3% 4.7% 3.9% 3.7% 3.8% 3.6% 3.6% 3.6% 3.6% 3.6% Current accounts % 1.2% 1.0% 1.0% 0.9% 1.0% 0.7% 0.7% 0.7% 0.7% 0.7% Urgent accounts % 7.8% 5.8% 4.9% 4.8% 4.9% 4.7% 4.7% 4.7% 4.7% 4.7% Due to banks and other borrowed funds % 6.2% 6.6% 5.6% 5.5% 5.6% 5.4% 5.4% 5.4% 5.4% 5.4% Debt securities issued % 5.5% 3.4% 3.4% 3.3% 3.4% 3.1% 3.1% 3.1% 3.1% 3.1% Subordinated debt % 7.2% 7.4% 7.4% 7.3% 7.4% 7.1% 7.1% 7.1% 7.1% 7.1%

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index Unit 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Net fee and commission income bln. RUB 109.6 130.8 145.9 158.1 169.2 180.9 193.0 205.8 219.4 234.2 Average annual assets bln. RUB 13,081.8 14,238.0 15,647.0 16,961.5 18,146.7 19,403.2 20,702.9 22,070.6 23,539.1 25,119.8 NFCI/ Assets % 0.84% 0.92% 0.93% 0.93% 0.93% 0.93% 0.93% 0.93% 0.93% 0.93% Staff costs and administrative expenses bln. RUB -259.4 -317.4 -377.6 -420.8 -454.5 -489.8 -527.0 -566.5 -609.2 -655.5 CIR (cost-to-income ratio), % % 44.7% 44.7% 44.7% 44.7% 44.7% 44.7% 44.7% 44.7% 44.7% 44.7% Other non-interest income bln. RUB 53.8 57.4 78.8 85.4 91.4 97.7 104.3 111.1 118.5 126.5 Average annual assets bln. RUB 13,081.8 14,238.0 15,647.0 16,961.5 18,146.7 19,403.2 20,702.9 22,070.6 23,539.1 25,119.8 Other non-interest income / Assets % 0.41% 0.40% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% Income tax expense

Profit before taxation bln. RUB 131.3 188.6 253.9 352.1 378.4 409.4 442.6 474.3 508.1 544.6 Income tax expense bln. RUB -28.6 -46.2 -55.9 -70.4 -75.7 -81.9 -88.5 -94.9 -101.6 -108.9 Effective tax rate % 21.8% 24.5% 22.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% Source: calculations of the Consultant

Exhibit 67 Analysis of key indicators of the projection income statement, % Index 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 ROE 7.08% 9.15% 11.58% 15.13% 15.17% 15.38% 15.61% 15.72% 15.81% 15.89% ROA 0.78% 1.00% 1.27% 1.66% 1.67% 1.69% 1.71% 1.72% 1.73% 1.73% Net interest margin 3.76% 4.33% 4.64% 4.79% 4.84% 4.87% 4.92% 4.96% 5.01% 5.05% Interest spread 3.65% 4.26% 4.61% 4.69% 4.73% 4.77% 4.81% 4.86% 4.90% 4.94% Lending cost 9.62% 9.36% 9.01% 8.95% 9.07% 8.87% 8.91% 8.95% 8.99% 9.02% Borrowing cost 5.98% 5.11% 4.40% 4.26% 4.34% 4.10% 4.10% 4.09% 4.09% 4.08% CIR (cost-to-income ratio) 44.74% 44.74% 44.74% 44.74% 44.74% 44.74% 44.74% 44.74% 44.74% 44.74% Source: calculations of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Discount rate calculation Beta

Cost of equity is calculated according to Capital Asset Pricing Model (CAPM). In CAPM model risk is divided into two categories: systematic and non- Within the CAPM the required rate of return on equity is calculated based on systematic. Systematic risk includes risks of stock market changes, analysis of the following components: macroeconomic and political risks, such as interest rates fluctuations, inflation, changes in government policy etc.  risk free rate;  beta; CAPM model accounts for systematic risk using beta coefficient, which  market risk premium; reflects the magnitude of share price fluctuations of a particular bank in  other additional premiums (e.g. small stock). comparison with market fluctuations.

Thus, return on equity may be expressed by the following equation: In the calculations Consultant used the actual Bank’s beta from Bloomberg (weekly average for the period 01.07.2012-01.07.2017) that equalled to 0.91. Re  Rf    (Rm  Rf )  RiskA RiskB , where: Size premium

 Re - required return on equity; Premium for investing in a bank with relatively small capitalization is  Rf - risk free rate; calculated as difference between average historical return on investing in US  β - beta; stock market and average historical return on investing in low-capitalization  Rm-Rf - market risk premium; banks.  Risk A - small stock risk. According to «2016 Valuation Handbook - Guide to Cost of Capital Risk-free rate (Duff&Phelps)» size of the premium can be derived from the following table:

As a risk-free rate Consultant used a 5 year average yield on 30-year Russian Exhibit 68 Size premiums according to «2016 Valuation Handbook - Guide to Cost of sovereign Eurobonds. According to Bloomberg the yield was 3.51% as of Capital (Duff&Phelps)» Lower boundary Upper boundary Calculated premium valuation date. 2.0 209.4 5.60% 209.9 448.1 2.54% Market risk premium (Rm - Rf) 448.5 844.5 2.04% 845.5 1,400.2 1.62% 1,400.9 2,083.6 1.63% Market risk premium represents an extra return that should be added to the 2,090.6 3,187.5 1.49% 3,195.9 5,200.0 0.99% risk-free rate in order to compensate for an additional investment risk. 5,205.8 9,611.2 0.86% According to «2016 Valuation Handbook - Guide to Cost of Capital 9,618.1 21,809.4 0.57% (Duff&Phelps)» investors expect on average a 6.90% excess return above the 22,035.3 629,010.3 -0.36% Source: «2016 Valuation Handbook - Guide to Cost of Capital (Duff&Phelps)» yield on long-term US treasury bonds.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Premium of VTB Bank (PJSC) was calculated based on the latest 3 months Exhibit 70 Calculation of the Bank specific risk premium, % Risk level Result Specific risk premium market capitalization (01.04.2017-01.07.2017) and amounted to 0.57%. Low 1.00 1.50 0.50 2.00 Medium 1.50 2.50 2.00 4.00 Bank-specific risk premium High 2.50 3.00 4.00 5.50 Specific risk of VTB Bank (PJSC) 2.00 Source: Consultant analysis This premium reflects additional risk arising from investing in a particular bank that was not accounted for by beta coefficient. Thus, the Bank's specific risk premium was determined at 2.00%.

Major factors influencing Bank’s specific risk: Transition to ruble-denominated discount rate

 corporate governance; Since cash flows for in this valuation report are denominated in Russian ruble,  reliance on government support. a dollar-denominated discount rate should be adjusted. Transfer is based on yield differences between ruble and dollar long-term Russian government Exhibit 69 Analysis of specific risks bonds and is calculated with the following formula: Risk level Risk factor Result Low Medium High RUB Corporate governance 1 2 3 2 (1 YUSD ) (1 R f ) Reliance on government support 1 2 3 1 YRUB  USD 1 Total sum 3 (1 R f ) Calculated risk level 1.50 Source: Consultant analysis Exhibit 71 Yields on long-term dollar and ruble bonds Index Value A more detailed analysis of the risk factors is presented further: Long-term currency-denominated government bond (USD) 3.51% Long-term ruble denominated government bond (RUR) 8.93% Source: Bloomberg  Reliance on government support. During 2014-2015 Bank has received a significant amount of state funds in the form of investment in preference The following table present discount rate calculation. shares. Thus, in case of deterioration of economic situation in Russia, Bank’s

financial stability may be a subject to significant risk. Exhibit 72 Discount rate calculation for VTB Bank (PJSC) (CAPM), % Index Value  The financial model of the Bank assumed a quite optimistic growth of the Risk-free rate (including country-specific risk), $ 3.51% ratio of net commission income to the Bank's assets and other non-interest Market risk premium, $ 6.90% Beta, $ 0.91 income to the Bank's assets for 2017-2019. According to this the Consultant took into account the risk of corporate governance associated Size premium, $ 0.57% Bank-specific risk premium, $ 2.00% with the risk of failure in achieving targets within the development strategy of the VTB Group for 2017-2019. Discount rate, $ 12.35% Risk-free rate, $ 3.51% Risk-free rate, RUR 8.93%

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Index Value Index Unit Value Discount rate, RUR 18.24% long-term growth rate % 4.00% Source: calculations of the Consultant RWA, end of 2027 RUR bln. 20,568.9 RWA / Assets % 76.25% Н1.0 % 10.00% Calculation of Terminal value Regulatory capital / Equity % 69.89% Required level of equity RUR bln. 2,943.2 Investments in maintaining capital adequacy (terminal period) RUR bln. -113.2 An essential part of the DCF method is the calculation of the Bank’s value in Free cash flow (terminal period) RUR bln. 345.7 post-projection period (Terminal value, reversion value). Value of all income Source: calculations of the Consultant received in the post-projection period results in Terminal value. This calculation is based on a premise that Bank is able to generate income for an Assets at the end of 2027 were calculated taking into account the long-term infinite period of time. It is assumed that cash flows will stabilize after the growth rate of 4.00%. Risk-weighted assets (RWA) at the end of 2027 were projection period, and a long-term stable growth rate will be applied. calculated by multiplying assets at the end of 2027 by the ratio of RWA/Assets Generally, the Gordon Growth model is used to calculate the post-projection for 2026 (76.25%). period value. The model is described with the following formula: The required level of equity (RUR 2,943.2 billion) was obtained by multiplying CF (1 g) the RWA at the end of 2027 (RUR 20,568.9 billion) by the Equity/RWA ratio TV  n (R  g)(1 R)n (H1.0) (10.0%), and then adjusted for the ratio Regulatory capital / Equity (69.89%). where: The difference between required level of equity and actual level of equity in the terminal period amounted to RUR 113.2 billion. Free cash flow of the  CFn – normalized cash flow that is projected to be received in the final year terminal period was calculated by subtracting the necessary investments to of the projection period; maintain capital adequacy from the net profit of 2027.  R – discount rate;  g - expected long-term growth rate of cash flows in post-projection period.  n – number of years in projection period.

Calculation of the Bank’s terminal value is presented in the table below. Consultant applied a long-term growth rate of 4.00% (Russia’s CPI for 2026).

Exhibit 73 Calculation of the Bank’s terminal value Index Unit Value Assets, mid 2027 RUR bln. 26,458.2 ROA, % % 1.73% Net profit in 2027 RUR bln. 458.9

Assets, end of 2027 RUR bln. 26,977.0

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Equity value calculation Cash flow calculation

Value of the Equity calculated under the Discounted Cash Flows (DCF) Cash flow of a financial organization consists of net income less investments, method equals the sum of projection period cash flows present values and which shareholders are making in order to preserve capital adequacy of the reversion value in post-projection period. Value of 100% of shares is Bank. Positive difference between these two values forms free-funds that may established with the following equation: be distributed as dividends. Negative difference forms an additional capitalization requirement from the shareholders. While calculating Bank’s n CF V cash flow in this report, perpetual loan participation notes were also deducted PV t  tn0,5 VTB Bank t1 11RR   from the equity. The following table contains calculation of the , where (PJSC) cash flows:

 PV - present market value of the Bank calculated using the Discounted cash flows method;  CFt - cash flow in year t of projection period;  V - total cash flow value in post-projection period;  R - discount rate;  n - last year of the projection period.

According to valuation theory, discounting of cash flows in projection and post-projection periods is calculated using the mid-year factor, meaning that an assumption about income being received evenly throughout a year was made.

Exhibit 74 Discounted cash flows of VTB Bank (PJSC) Index Unit 2H 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Net income in the period RUR bln. 44.7 142.4 198.0 281.6 302.7 327.5 354.1 379.5 406.5 435.7 Investments in Bank’s equity RUR bln. -53.1 -140.3 -167.4 -137.8 -130.7 -135.9 -141.0 -151.4 -163.5 -176.5 Payments on perpetual loan participation notes RUR bln. -6.6 -12.6 -12.6 -12.6 -12.6 -12.6 -12.6 -12.6 -12.6 -12.6 Free Cash Flow (FCF) RUR bln. -15.0 -10.6 17.9 131.2 159.4 178.9 200.5 215.4 230.4 246.5 discount rate % 18.24% 18.24% 18.24% 18.24% 18.24% 18.24% 18.24% 18.24% 18.24% 18.24% Present value of future cash flows RUR bln. -14.3 -8.9 12.8 79.4 81.6 77.4 73.4 66.7 60.3 54.6 Source: calculations of the Consultant

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

In order to find share of equity value attributed to shareholders of ordinary Treasury shares in the amount of 31,708,010,055 shares were excluded from shares, the resulting value should be adjusted for the value of Type 1 the total number of issued ordinary shares of VTB Bank (PJSC). preference shares and Type 2 preference shares and for minority interest (less RUR 10.0 billion). Exhibit 75 VTB Bank (PJSC) equity value calculation Index Unit Value Sum of present values of future cash flows RUR billion 482,8 Consultant assumed that market value of Type 1 preference shares and Type 2 Plus: present value of post-projection value RUR billion 537,4 Equity value on 100% level of control RUR billion 1,020,2 preference shares equals their respective book value because of the following Type 1 preference shares RUR billion 214,0 reasons: Type 2 preference shares RUR billion 307,4 Non-controlling interest RUR billion 10,0 Equity value attributed to ordinary shares RUR billion 488,8  These preferred shares represent a type of government financial aid Number of shares shares 12,928,833,327,283 Value of 1 ordinary share kopecks 3,8 to the Bank. Source: calculations of the Consultant  These shares do not pay a fixed rate dividend. Thus, market value of one ordinary share of VTB Bank (PJSC), subject  These preferred shares are owned by the state institutions of the to all assumptions and limiting condition and calculated under Income Russian Federation, while the majority shareholder of the VTB Bank approach as of 1 July 2017 amounts to, rounded: 3.8 kopecks. is the Russian Government, which owns 60.9% of issued shares. Thus, decision on preferred dividends is based on non-market Market value of one Type 1 preference share of VTB Bank (PJSC), decision-making mechanisms. subject to all assumptions and limiting conditions, as of 1 July 2017 equals to 1.0 kopeck. Therefore, future cash flows (dividends) from Type 1 preference shares and

Type 2 preference shares could not be reliably estimated as of the valuation Market value of one Type 2 preference share of VTB Bank (PJSC), date. Thus, they are valued at fair value. subject to all assumptions and limiting conditions, as of 1 July 2017 equals to 10.0 kopeck. Final results of VTB Bank (PJSC) equity value calculation are presented further.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Market approach information about comparable banks that have actively traded stock. Comparison is also based on stock prices public data and bank financial General provisions indicators (such as net income etc.), that will be further used to compute ratios, or «multiples». Market Approach to valuation assumes that asset value is determined by the amount for which it can be sold on the open market, provided that there Consultant used the following criteria while selecting peer banks from the exists a sufficiently mature financial market. stock market:

The following basic assumptions form the theoretical foundation for Market  peer banks operate within Russia; Approach, proving its suitability and fairness of the resulting value:  peer banks operate within same banking segments;  peer banks do not posses any restrictions on operations with their stock;  First, the Consultant refers to stock prices of similar banks as a  peer banks issue IFRS financial statements. benchmark. In a mature financial market, an actual sale price of the entire business (or price per share) incorporates numerous factors Applying this criteria (leading position in the banking industry, government that affect value of the bank. stake, similar business features etc.), the closest and sole peer of VTB Bank  Second, the Market Approach is based on alternative investments (PJSC) is Sberbank. principle. The strive to earn maximum investment return with adequate risk and unrestricted capital flow ensures the levelling of Sberbank financial indicators calculated on the basis of its financial statement market prices; for 6 month 2017 are presented in table below.  Third, share price reflects financial capabilities, market reputation and growth perspectives of the bank. Consequently, the ratio of price to Exhibit 76 Sberbank core financial indicators, RUR bln. Equity as of Net income for the most important financial indicators of similar companies should Current market Market cap. 30.06.2017, the 1H 2017, Name Country cap. (01.04.17- with control coincide. ordinary LTM, ordinary 01.07.17), premium shares shares Sberbank Russia 3,357.7 4,249.0 3,039.2 631.5 The following Market approach methods were applied in this report: Source: MICEX, financial statement of the bank

 Capital market method (peer-banks); Consultant calculated values of the following multiples:  Previous deals method;  Market quotes method.  P/E – ratio of market capitalization to net income over 6m 2017 (last 12 months basis); Capital market method  P/BV – ratio of market capitalization to book value of equity as of the end of 6m of 2017. Capital market method is based on market prices and is used to value a non- controlling stake (shares, stock). Under this method valuation is based on

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

The values of the chosen multiples are presented in the following table: Market quotes method

Exhibit 77 Multiples calculation This method is applicable when Bank’s shares are actively traded on the stock Name Country P/BV 1H 2017 P/E 1H 2017 LTM ROE 1H 2017 market and trading volume is big enough to consider Bank’s shares as a liquid Sberbank Russia 1.40x 6.73x 20.8% financial instrument. However, quote could differ from fundamental market Source: Consultant calculations value of the underlying asset. Market quotes are often influenced by such VTB Bank’s one ordinary share market value calculation under Capital market factors as market sentiment, speculation, seasonality, political agenda etc. method is presented in the table below. Therefore, a weighted average value of quotes should be used in the valuation. Treasury shares in the amount of 31,708,010,055 shares were excluded from the total number of issued ordinary shares of VTB Bank (PJSC). The following chart contains information about market quotes of VTB Bank (PJSC). To smooth influence of speculative factors, the Consultant used average quote values weighed by their respective trading volumes for 3 VTB Bank’s equity as of the valuation date was determined by the Consultant months prior to the valuation date. as the carrying amount of equity (RUR 1,433.3 billion) net of the nominal value of Type 1 and Type 2 preference shares (RUR 214.0 billion and RUR Exhibit 79 Equity value calculation under Market quotes method 307.4 billion), book value of Perpetual Loan Participation Notes (RUR 132.9 Trading volume, Weighted average Date Last price, kopecks billion) and non-controlling interest (RUR 10.0 billion). number of shares price, kopecks 03.04.2017 6.69 8,138,210,000 0.087 04.04.2017 6.71 7,294,030,000 0.078 Exhibit 78 One ordinary share market value calculation under Capital market method 05.04.2017 6.69 7,928,640,000 0.085 P/E 1H 2017 06.04.2017 6.62 8,582,490,000 0.090 Index Unit P/BV 1H 2017 LTM 07.04.2017 6.56 10,601,680,000 0.111 Multiple (Sberbank) - 1.40x 6.73x 10.04.2017 6.47 15,312,500,000 0.158 Corresponding financial indicator of VTB Bank (PJSC) RUR bln. 768.0 93.7 11.04.2017 6.49 25,594,240,000 0.265 Market value of equity RUR bln. 1,073.7 630.5 12.04.2017 6.41 9,794,220,000 0.100 Number of shares mln.shares 12 928 833 12 928 833 13.04.2017 6.40 16,434,830,000 0.168 Market value of one ordinary share in a controlling kopecks 8.3 4.9 14.04.2017 6.41 5,405,230,000 0.055 interest 17.04.2017 6.42 3,211,550,000 0.033 weight of the multiple % 50% 50% 18.04.2017 6.40 7,021,540,000 0.072 Market value of one ordinary share in a controlling kopecks 6.6 19.04.2017 6.40 7,625,710,000 0.078 interest 20.04.2017 6.44 11,808,460,000 0.121 Source: Consultant calculations 21.04.2017 6.50 10,809,740,000 0.112 24.04.2017 6.52 6,166,940,000 0.064 25.04.2017 6.61 13,045,070,000 0.137 Due to the fact that the sample is presented only by the one bank 26.04.2017 6.84 14,608,810,000 0.159 27.04.2017 6.67 9,711,130,000 0.103 (Sberbank) and is not representative, the Consultant concluded that the 28.04.2017 6.67 8,418,780,000 0.089 results obtained under Capital market method can be used only 02.05.2017 6.74 5,980,540,000 0.064 03.05.2017 6.75 9,043,810,000 0.097 indicatively. 04.05.2017 6.71 9,299,890,000 0.099 05.05.2017 6.57 13,328,620,000 0.140 10.05.2017 6.69 6,805,220,000 0.073

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Trading volume, Weighted average Exhibit 80 One ordinary share market value calculation under Market quotes method Date Last price, kopecks number of shares price, kopecks Index Unit Value 11.05.2017 6.59 5,138,640,000 0.054 Number of shares mln.shares 12,928,833 12.05.2017 6.57 3,725,660,000 0.039 Market value of one ordinary share kopecks 6.5 15.05.2017 6.66 5,925,380,000 0.063 Control premium % 26.55% 16.05.2017 6.70 20,242,920,000 0.216 Market value of one ordinary share in a controlling interest kopecks 8.2 17.05.2017 6.66 8,437,710,000 0.090 Market value of equity RUR bln. 1,066.4 18.05.2017 6.55 11,370,370,000 0.119 Source: Consultant calculations 19.05.2017 6.64 14,208,280,000 0.150 22.05.2017 6.57 7,469,410,000 0.078 23.05.2017 6.72 6,669,520,000 0.071 Thus, market value of one ordinary share of VTB Bank (PJSC), subject 24.05.2017 6.70 16,316,290,000 0.174 25.05.2017 6.69 4,208,120,000 0.045 to all assumptions and limiting condition and calculated under Market 26.05.2017 6.64 6,080,450,000 0.064 quotes method as of 1 July 2017 amounts to, rounded: 8.2 kopecks. 29.05.2017 6.60 1,835,610,000 0.019 30.05.2017 6.59 4,215,700,000 0.044 31.05.2017 6.62 7,957,120,000 0.084 Previous deals method 01.06.2017 6.47 9,317,140,000 0.096 02.06.2017 6.52 10,717,760,000 0.111 05.06.2017 6.51 5,672,460,000 0.059 The following chart contains information about deals involving major stakes 06.06.2017 6.44 3,210,560,000 0.033 in different Russian and CIS banks. 07.06.2017 6.41 5,520,590,000 0.056 08.06.2017 6.45 8,017,090,000 0.082 09.06.2017 6.53 7,626,260,000 0.079 Exhibit 81 Major deals involving stakes in Russian and CIS banks since 2015 Deal size, 13.06.2017 6.45 6,602,720,000 0.068 Control Bank Year Country USD Stake P, RUR 14.06.2017 6.40 8,543,920,000 0.087 premium 15.06.2017 6.39 43,916,940,000 0.447 million 16.06.2017 6.39 27,985,350,000 0.285 BTA Bank JSC 2015 Kazakhstan 397 47.42% 9.93% 920 19.06.2017 6.32 9,883,190,000 0.100 MDM Bank 2015 Russia 239 58.30% 9.39% 448 20.06.2017 6.39 20,204,100,000 0.206 Credit Bank of Moscow 2015 Russia 237 18.80% 14.42% 1,442 21.06.2017 6.33 5,467,680,000 0.055 Bank Vozrozhdenie 2015 Russia 200 70.86% 9.39% 309 22.06.2017 6.39 18,900,530,000 0.192 MTS Bank 2016 Russia 121 26.07% 9.93% 509 23.06.2017 6.40 14,029,370,000 0.143 Far Eastern Bank 2016 Russia 69 70.40% 9.39% 107 26.06.2017 6.35 4,325,340,000 0.044 Ukrsotsbank 2016 Ukraine 323 99.80% 2.21% 331 27.06.2017 6.34 13,012,970,000 0.131 Source: Bloomberg, KPMG, Consultant calculations 28.06.2017 6.38 9,983,180,000 0.101 29.06.2017 6.39 9,944,390,000 0.101 30.06.2017 6.40 9,058,950,000 0.092 Within the Previous deals method Consultant used only P/BV multiple, since Total over 3 627,713,550,000 6.518 month P/E multiple for most banks demonstrate negative values. Source: MICEX, Consultant calculations Exhibit 82 Calculation of P/E multiple E (latest reporting Bank P (USD million) P/E Thus, market value of VTB Bank’s one ordinary share is 6.5 kopecks. date) Adjusting it for the degree of control (for a 100% stake premium is 26.55%) BTA Bank JSC 920 -634 -1.45x results in a value of 8.2 kopeck per 1 ordinary share. MDM Bank 448 -98 -4.59x Credit Bank of Moscow 1,442 88 16.45x Bank Vozrozhdenie 309 -5 -67.93x MTS Bank 509 -46 -11.15x

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

E (latest reporting Exhibit 84 Market value of one ordinary share under Previous deals method Bank P (USD million) P/E date) Index Unit Value Far Eastern Bank 107 11 9.43x Multiple - 1.17x Ukrsotsbank 331 -47 -6.98x Corresponding financial indicator RUR bln. 768.0 Market value of equity RUR bln. 897.5 Source: Bloomberg, bank’s financial statement, Consultant calculations Number of shares mln.shares 12,928,833 Market value of one ordinary share in a controlling kopecks 6.9 interest Calculation of P/BV multiple under Previous deals method is presented in the Source: Consultant calculations table below.

Exhibit 83 Calculation of P/BV multiple Considering the circumstances mentioned above the Consultant BV (latest reporting concluded that the results obtained under Previous deals method Bank P (USD million) P/BV date) can be used only indicatively. BTA Bank JSC 920 632 1.46x MDM Bank 448 569 0.79x Credit Bank of Moscow 1,442 1,046 1.38x Reconciliation of valuation results under Market approach Bank Vozrozhdenie 309 420 0.73x MTS Bank 509 435 1.17x Far Eastern Bank 107 60 1.77x As mentioned above, results of Previous deals and Capital market methods Ukrsotsbank 331 682 0.48x were presented only for indicative purposes. The following table sums up the Median 1.17x results of the Market approach valuation. Source: Consultant calculations

Exhibit 85 Calculation of market value of one ordinary share of VTB Bank (PJSC) under According to the table above, several values of P/BV demonstrate significant Market approach Value of 1 ordinary share on 100% Method Weight fluctuation from the mean considering that the sample consists of only 7 level of control banks. Peer bank 6.6 0% Market quotes 8.2 100% Previous deals 6.9 0% At the same time, it is not always clear under what conditions each deal Source: Consultant calculations occurred. The Consultant does not have all the details about deals and admits that additional key factors could have influenced the selling price of a Thus, market value of one ordinary share of VTB Bank (PJSC), subject particular package. to all assumptions and limiting condition and calculated under Market approach as of 1 July 2017 amounts to, rounded: 8.2 kopecks

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL

Reconciliation of VTB Bank (PJSC) valuation results  These shares do not pay a fixed rate dividend.  Income approach is the most significant for the current valuation, since it These preferred shares are owned by the state institutions of the accounts for Bank’s growth perspectives, changes of market conditions and etc. Russian Federation, while the majority shareholder of the VTB Bank Discounted cash flows method within Income approach produced the most is the Russian Government, which owns 60.9% of issued shares. conservative valuation and therefore was used to set the lower limit of the Thus, decision on preferred dividends is based on non-market range. decision-making mechanisms. Market value of one Type 1 preference share of VTB Bank (PJSC), Method of market quotes within the Market approach produced the highest subject to all assumptions and limiting conditions, as of 1 July 2017 value in comparison to other methods and approaches. Thus, this value was set equals to 1.0 kopeck. as an upper limit of the range. Market value of one Type 2 preference share of VTB Bank (PJSC), The final reconciliation of one ordinary share value of VTB Bank (PJSC) is subject to all assumptions and limiting conditions, as of 1 July 2017 presented below: equals to 10.0 kopeck.

Exhibit 86 VTB Bank (PJSC) valuation results Valuation results Valuation Method Value of 100% of Value of 1 ordinary approach equity, RUR billion share, kopeck Income approach DCF method 488.8 3.8 market quotes method 1,066.4 8.2 peer bank method, indicative 852.1 6.6 Market approach previous deals method, 897.5 6.9 indicative Cost approach Net assets method Not applicable Not applicable Source: Consultant calculations

Consultant assumed that market value of Type 1 preference shares and Type 2 preference shares equals their respective book value because of the following reasons:

 These preferred shares represent a type of government financial aid to the Bank.

Report on valuation of one ordinary share, one Type 1 preference share and one Type 2 preference share of VTB Bank (PJSC) RUSSIAN APPRAISAL