December 28, 2012 |
|Moody's has assigned definitive ratings to notes issued by Closed Joint Stock Company "Mortgage Agent ATB", Russian RMBS|
Approximately RUB 1,531.863 million of Debt Securities affected
London, 28 December 2012 -- Moody's Investors Service has assigned
definitive long-term credit ratings to Notes issued by Closed Joint Stock
Company "Mortgage Agent ATB":
RUB 1,531.863M Class A Residential Mortgage Backed Fixed Rate Bonds due
2045, Definitive Rating Assigned Baa3 (sf)
RUB 510.622M Class B Notes were not rated by Moody's.
This transaction is the first securitisation of mortgages originated by
Asian-Pacific Bank (B2). The portfolio consists of the Russian
residential mortgage loans serviced by Asian-Pacific Bank. DeltaCredit
Bank (Baa3/P-3) will be acting as back-up servicer in the transaction.
Moody's assigned provisional ratings to these notes on 24 December 2012.
The rating takes into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Credit
Enhancement and the portfolio expected loss, as well as the transaction
structure and legal considerations. The expected portfolio loss of 7.5%
and the MILAN required credit enhancement of 30% serve as input
parameters for Moody's cash flow model and tranching model, which is
based on a probabilistic lognormal distribution as described in the
report "The Lognormal Method Applied to ABS Analysis", published in July
The most significant driver for the MILAN Credit Enhancement number,
which is slightly higher than other MILAN CE numbers in the Russian RMBS
transactions was the limited amount of historical information available
from the originator, the regional distribution of the portfolio (the
highest proportion of mortgages is granted in Republic of Sakha (Yakutia)
(19%) and Amur Region (13%)), the high concentration of the portfolio
(top 20 borrowers represent about 5.9% of the portfolio), and the fact
that, for about 19% of the borrowers, income was verified using forms
provided by the bank rather than official tax forms. The main driver for
the expected loss, which is also in line with expected losses assumed for
other Russian RMBS transactions, was the limited historical data
available on the originator's portfolio. The weighted average current
loan-to-value (LTV) of 65.4% based on minimum of the estimated purchase
price and valuation or 62.1% based on valuation alone is slightly higher
than the LTV observed in other Russian RMBS transactions.
The transaction benefits from an amortising reserve fund initially sized
at 2.5% of the notes at closing and building up to 5% of the outstanding
notes balance with the excess spread. The reserve fund is replenished
before the interest payment on the unrated Class B notes. Subject to
conditions such as cumulative defaults being below 5%, no unpaid
principal deficiency, and servicer rating being at least B2, the reserve
fund may amortise at 5% of the outstanding notes down to a floor of 1.5%
of initial note balance.
Ratings address the expected loss posed to investors by the legal final
maturity of the notes. Moody's ratings only address the credit risk
associated with the transaction. Other non-credit risks have not been
addressed, but may have a significant effect on yield to investors.
The V Score for this transaction is High, which is in line with the score
assigned for the Russian RMBS sector. The High V-Score reflects
uncertainty associated with legal and regulatory environment in the
sector, limited experience of the originator in the securitisation
market, and limited performance data available for the book of the
originator. V-Scores are a relative assessment of the quality of
available credit information and of the degree of dependence on various
assumptions used in determining the rating. High variability in key
assumptions could expose a rating to more likelihood of rating changes.
The V-Score has been assigned accordingly to the report "V-Scores and
Parameter Sensitivities in the Major EMEA RMBS Sectors" published in
Moody's Parameter Sensitivities: Even if the portfolio expected loss was
increased from 7.5% to 15% and MILAN Credit Enhancement was increased
from 30% to 48%, the model output indicates that the Class A notes would
have achieved Baa3.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has not aged
and is not intended to measure how the rating of the security might
migrate over time, but rather how the initial rating of the security
might have differed if key rating input parameters were varied. Parameter
Sensitivities for the typical EMEA RMBS transaction are calculated by
stressing key variable inputs in Moody's primary rating model.
The principal methodology used in this rating was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa published in June 2012.
Please see the Credit Policy page on www.moodys.com for a copy of this
Other Factors used in this rating are described in Key Legal and
Structural Rating Issues in Russian Securitisation Transactions published
in June 2007.
In rating this transaction, Moody's used a cash flow model to model the
cash flows and determine the loss for each tranche. The cash flow model
evaluates all default scenarios that are then weighted considering the
probabilities of the lognormal distribution assumed for the portfolio
default rate. In each default scenario, the corresponding loss for each
class of notes is calculated given the incoming cash flows from the
assets and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum product
of (i) the probability of occurrence of each default scenario; and (ii)
the loss derived from the cash flow model in each default scenario for
each tranche. Moody's also considered scenarios where the Mortgage Agent
has defaulted as a result of nonpayment of senior fees or interest on the
notes, asset-liability mismatch, or insufficient mortgage coverage. In
this case, Moody's assumed that the liquidation of assets occurred and
the notes were repaid according to the post-enforcement waterfall using
the proceeds of the asset liquidation assuming a recovery rate of 50%.
As such, Moody's analysis encompasses the assessment of stressed
Issue: Mortgage Agent ATB, class A
|Status||Country of risk||Maturity (option)||Amount||Issue ratings (M/S&P/F)|
|early redeemed||Russia||04/26/2045||1,531,863,000 RUB||-/-/-|
Company: Mortgage Agent ATB
|Full company name||ZAO Mortgage Agent ATB|
|Country of risk||Russia|
|Country of registration||Russia|