moodys 1

50 %
50 %
Information about moodys 1

Published on October 26, 2007

Author: Columbia


Securitisation and ABS in Russia:  Securitisation and ABS in Russia Viktoria Baklanova, CFA AVP - Analyst Structured Finance Group Overview:  Overview Overview: Securitisation in Russia Moody’s Rating: Change in “Sovereign Ceiling” Methodology Case Study Slide3:  Overview: Securitisation in Russia Securitisation in Russia: Success Story:  Securitisation in Russia: Success Story Volume has spiked in 2006 with six public deals to date, and several more expected, compared with two deals in 2004 and two in 2005. Average deal size: 2005 - $104mm; 2006 - $229mm *2004 excludes Gazprom’s $1.5B DPR Growth Story: Securitisation in Russia :  Growth Story: Securitisation in Russia Total volume of securitised transactions in Russia to date is $3.2 Billion Reasons For Securitisation Growth:  Reasons For Securitisation Growth Macro economic strength and stability Growth of consumer spending followed by demand for loans Legal and regulatory improvements Growing investor’s interest Greater awareness of local issuers Tremendous Growth of Consumer Loans…:  Tremendous Growth of Consumer Loans… Growth of Outstanding Consumer Loans (excl. Mortgages) Source: Central Bank of Russia … And Enormous Potential for the Future:  … And Enormous Potential for the Future Loans to Households as Percent of GDP Russia Slovakia Czech Poland Hungary Estonia Germany Euro-Zone Source: Central Bank of Russia CIS Summary:  Russia – RMBS, ABS, future flow, SQ - Continued clarifications on local legal issues Kazakhstan – 4 future flow ABS, first RMBS assessment Ukraine – several proposed transactions; development of securitization laws under way Georgia – preliminary discussions CIS Summary Slide10:  Moody’s Rating: Change in “Sovereign Ceiling” Methodology Risk Layers and Typical Issues In New Markets:  Risk Layers and Typical Issues In New Markets Assets Origination Serivicng History Structure Systemic risks Political risk Cashflow Currency swap IR swap Liquidity Back-up servicing Legal Enforcement Fraud risk Payment systems Quality of data/IT Overall stability ------------ Local Currency Guidelines Transferability Convertibility Expropriation -------------------- OLD “SOV. CEILING” Reasons for Sovereign Ceiling Change?:  Reasons for Sovereign Ceiling Change? Currency convertibility and transferability risks are based on the low probability of the combined event of: Sovereign bond default Foreign currency payments moratorium no exemption available to the underlying security Change of Sovereign Ceiling Methodology:  Change of Sovereign Ceiling Methodology 1) Due to joint default method, structured deal could exceed the sovereign rating due to highly rated LC obligation combined with low moratorium risk. 2) Otherwise through liquidity facility or political risk insurance Country’s foreign currency rating (“old sovereign ceiling”) Baa2 for Russia Country’s local currency Guidelines (LCG) A1 for Russia Aaa A rating can exceed the LCG only by an external guarantee or insurance “wrap” Assets Credit Quality Credit Enhancement: subordination, reserve, excess spread S Y S T EMI C R I S K S LEGA L RI S K S NEW SOVEREIGN CEILING A2 for Russia Case Study: Russian Mortgage Backed Securities 2006-1 S.A.:  Case Study: Russian Mortgage Backed Securities 2006-1 S.A. Russian Mortgage Backed Sec: Transaction in Brief:  Russian Mortgage Backed Sec: Transaction in Brief Originator/Servicer: JSC Vneshtorgbank (Baa2/P-2) Issuer: Russian Mortgage Backed Securities 2006-1, S.A. Rating: A1 to Senior Notes Trustee: Bank of New York, London Branch Issued amount: $88.3 mm Assets: Russian Mortgage Loan Receivables Structure: True sale; seq. amortization switching to pro rata subject to certain triggers Credit enhancement: excess spread, reserve fund, subordination, international payment facility Russian Mortgage Backed Sec - Structure Diagram:  Russian Mortgage Backed Sec - Structure Diagram Russian MBS - Strengths and Weaknesses:  Russian MBS - Strengths and Weaknesses Strengths: Moderate LTV (65.4%) Borrower notification of sale and title transfer Strong underwriting and servicing standards Financially sound transaction parties Class A and B notes are supported by IPF and guaranteed by IFC Weaknesses Uncertain real estate market, mortgage market and the overall political and economic environment Rating volatility based on possible country ceiling change Lack of diversification – loans are concentrated in Moscow area – 91% and St. Petersburg area – 9%) Limited historical performance data Legal uncertainties of some legal concepts Currency mismatch b/w loan payment in USD and borrowers’ income in RUR Slide18:  Final Thoughts Difficulties for Local Securitisation in Russia:  Difficulties for Local Securitisation in Russia Legal framework is currently only available for mortgage assets Depth of local market and counterparties (swaps, trustee, escrow, liquidity, clearing) Banks’ preference to issue off-shore Small investor base (though int’l investors may be interested) Suggestions – Early Preparation For a Transaction:  Suggestions – Early Preparation For a Transaction Discuss legal issues with lawyers & rating agency Decide and discuss rating target See what enhancement/structure may be needed Prepare portfolio data, including data format Prepare historical performance data Consider back-up servicer Determine structure Moody’s Offices and Affiliates:  Brazil Cyprus Australia Japan Hong Kong Germany Singapore United Kingdom Italy United States Canada France Spain Mexico China Korea India Argentina Chile Czech Republic Russia Taiwan South Africa Egypt Israel Moody’s Offices and Affiliates Bulgaria Slide22: Contact: 212-553-4697 © Copyright 2006, Moody’s Investors Service, Inc. and/or its licensors including Moody’s Assurance Company, Inc. (together, “MOODY’S”). All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

Add a comment

Related presentations

Related pages

Moody's - credit ratings, research, tools and analysis for ...

Moody's Credit Outlook - 1 September 2016. ... This page highlights Moody's research on the credit implications of these developing environmental trends.
Read more

Moody’s – Wikipedia Stand: 31. Dezember 2015 : Moody’s Corporation (NYSE: MCO) ist die ... damit waren etwa je Agentur 1.000 Analysten befasst.
Read more

Research & Ratings - Moody's

Moody’s Methodology Development Group (MDG) ... 1-866-330-MDYS (6397) Browse By Home Research & Ratings Products & Solutions News & Events Careers.
Read more

Rating – Wikipedia

R-1 (low) Upper Medium grade: Sichere Anlage, sofern keine unvorhergesehenen Ereignisse die Gesamtwirtschaft oder die Branche beeinträchtigen: A2: A: A: A ...
Read more

Moody's Investors Service - Wikipedia, the free encyclopedia

Moody's credit ratings; Investment grade; Rating Long-term ratings Short-term ratings; Aaa: Rated as the highest quality and lowest credit risk. Prime-1
Read more

MOODYS AKTIE | Aktienkurs | Nachrichten | Kurs | (915246 ...

MOODYS AKTIE und aktueller Aktienkurs. Nachrichten zur Aktie Moodys Corp. | 915246 | MCO
Read more

Moody's Analytics | Risk Management, Credit Ratings ...

Moody’s Analytics helps capital markets and credit risk management professionals worldwide respond to an evolving marketplace with confidence. We offer ...
Read more

Moody's Corporation - Wikipedia, the free encyclopedia

Moody's Corporation, often referred to as Moody's, is an American business and financial services company. It is the holding company for Moody's Investors ...
Read more

Welcome to Moody's Diner - Moody's Diner, Motel, & Gifts

Welcome to Moody's Diner! In 1927, it looked as though Waldoboro, Maine might be getting some automobile traffic from folks headed north up US Route 1.
Read more

Moodys (1) | Level OfficeLandscape

This website uses cookies to improve your experience. We'll assume you're ok with this, but you can opt-out if you wish. Accept or Read More
Read more