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Moody's reports: Russian and CIS deal performances depend on portfolios and transaction structures

February 06, 2008 | Cbonds

H2 2007 Russian and CIS Securitisation Performance Indices

Frankfurt, February 05, 2008 -- The Russian and CIS securitisation market
has grown substantially since its inception in 2004. However, the second
half of 2007 witnessed a decline in issuance activity, with only four
transactions closing and total issuance volume falling 18% year-on-year,
says Moody's Investors Service in its latest Russia and CIS
Securitisation Performance index report. This report mainly addresses the
performance of outstanding Russian and CIS RMBS and Auto ABS transactions.

Since the first Russian securitisation transaction closed at the end of
2004, the market has grown substantially, with the original balance of
all the notes issued to date totalling almost USD 9 billion. The market
grew steadily and at high rates up to H1 2007, when issuance peaked at
nine transactions with USD 2.57 billion issuance volume. However, H2 2007
witnessed a decline in issuance activity, with only four transactions
closing and total issuance volume falling to USD 1.86 billion.

"RMBS delinquency levels have been low so far, with four out of ten
transactions having delinquency levels below 0.30%" says Maria Divid of
Moody's, author of the report. As for ABS Auto Loans, delinquency levels
vary significantly from transaction to transaction, from under 0.2% for
ROOF RUSSIA to over 5% for Taganka Car Loan Finance in H2 2007, according
to Moody's. "The lack of clear definitions and uniform reporting with
respect to delinquencies and defaults constitutes a key reason for the
differences in the levels of these performance indicators between
transactions," Ms Divid advises.

Currently, five RMBS transactions have reported zero or less than 0.2%
defaults; the other transaction have experienced higher default levels.
The outstanding Auto ABS transactions show negligible default rates on
the one side (Roof Russia). On the other side, transactions such as
Russian Car Loans have displayed cumulative defaults of up to 4% . At
this stage, no information on losses or recoveries is currently provided
for the Auto ABS transactions.

The CPR for the RMBS transactions have been averaging 20% during H2
2007.This rather high level of prepayment can be explained by borrowers
repaying their mortgage loans as quickly as possible as interest rates
are also rather high. The Total Redemption Rate for the Auto ABS
transactions in H2 2007 was as high as 40%, resulting in high note
repayments for static transactions or high asset replenishments for
revolving transactions.

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