Approximately RUB [1,531.863] million of Debt Securities affected
London, 24 December 2012 -- Moody's Investors Service has assigned provisional long-term credit
ratings to Notes to be issued by Closed Joint Stock Company "Mortgage
Agent APB":
RUB [1,531.863]M Class A Residential Mortgage Backed
Fixed Rate Bonds due 2045, Assigned (P)Baa3 (sf)
RUB [510.622]M Class B Notes were not rated by Moody's.
RATINGS RATIONALE
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.
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 2000.
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.
The provisional ratings address the expected loss posed to investors by
the legal final maturity of the Notes. Moody's issues provisional
ratings in advance of the final sale of securities, but these ratings
represent only Moody's preliminary credit opinions. Upon a conclusive
review of the transaction and associated documentation, Moody's
will endeavour to assign definitive ratings to the Notes. A definitive
rating may differ from a provisional rating. 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 April 2009.
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 methodology.
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
scenarios.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments in this transaction
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF311099.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
two years preceding the credit rating action. Please see the special
report "Ancillary or other permissible services provided to entities
rated by MIS's EU credit rating agencies" on the ratings disclosure
page on our website www.moodys.com for further information.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Olga Gekht
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Telephone:+39-02-9148-1100
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns provisional ratings to notes to be issued by Closed Joint Stock Company "Mortgage Agent APB", Russian RMBS
