Методика оценки стоимости пула ипотечных закладных

На базе облигации АИЖК-1

Data Feeds

N Orig Bal Issue Date Coupon Payment Maturity Town Square Appraisal Date Curr Bal

ИТОГО 2,623,000.00 * * * * * * 4,081,200.00 * 422,210.64

24-24-01/021/2006-619 600,000.00 2/28/2006 13.00 9,033.08 9/30/2007 Красноярск 32.10 872,200.00 2/17/2006 52,188.55

63-63-09/142/2005-533 330,000.00 11/21/2005 14.00 3,959.00 8/31/2007 Самара 29.90 790,000.00 11/15/2005 21,725.00

54-54-01/016/2006-618 783,000.00 12/29/2005 14.00 40,560.00 10/31/2007 Новосибирск 38.90 1,119,000.00 12/13/2005 307,685.00

02-04-10/001/2005-417 910,000.00 4/6/2005 15.00 13,799.00 5/31/2007 Белорецк 95.00 1,300,000.00 2/14/2005 40,612.09

N Issue Maturity Term Coupon Curr Bal Annuity Appraisal Income LTV

                   

1 22.12.2005 22.01.2026 242.00 11.50 45 069.73 490.56 1 748 558.90 1 605.77 73.28

2 30.03.2005 28.06.2016 182.00 11.00 60 217.00 883.14 3 325 344.00 1 913.06 52.82

3 31.05.2004 28.06.2019 182.00 11.00 29 029.67 363.96 1 438 148.75 1 272.37 40.89

5 30.03.2005 28.05.2015 122.00 10.50 38 803.09 607.21 1 975 205.80 2 061.90 26.54

Monthly Reports Handling

mortgage issue_date maturity rate curroriginal_amo

unt term monthly income region propert Originat Pool Prop.area

02-01/02-10 2004-07-01 2010-07-31 15 0 300000 72 6343.5 0 0 880000 3 1 53.2

02-01/02-20 2004-07-13 2023-07-31 15 0 510000 228 6773.81 0 0 820000 3 1 42.4

02-01/02-33 2004-07-12 2015-12-31 15 0 440000 137 5607.94 0 0 680000 3 1 35.5

02-01/02-1 2004-07-16 2016-08-31 15 0 469000 145 6175.74 0 0 679000 3 1 41.5

Monthly Report

Parser BD

mortgage pool originator date loan_age vintage_period monthly_pmnt end_bal

02-01/02-101/2004-230 1 3 2007-04-01 33 87 6343.5 198642

02-01/02-101/2004-230 1 3 2007-05-01 34 88 6343.5 194747

02-01/02-101/2004-230 1 3 2007-06-01 35 89 6343.5 190885

02-01/02-101/2004-230 1 3 2007-07-01 36 90 6343.5 186895

02-01/02-101/2004-230 1 3 2007-08-01 37 91 6343.5 182932

02-01/02-101/2004-230 1 3 2007-09-01 38 92 6343.5 178919

02-01/02-101/2004-230 1 3 2007-10-01 39 93 6343.5 174782

Assets

Pool yield10.5%

Credit enhancement

Mortgagenotes

Senior tranche(Baa1/BBB+)

Mezzanine tranche(Baa1/BBB+)

Equity tranche

interest

principal

Reserve Fund

88@6.94%

8@9.5%

4@variable

100@10.5%

BD

Transaction

Docs

Collateral

Reports

Quasi Language

For waterfall description

Collateral Software Model

Waterfall Software Model

Software

Example of Quasi-Language

• if (A.lastBalance() > 0) {• // Paying Class A interest • double schInterestA = A.startBalance(i)*rateA*accrualDays/365.0;• double interestA = schInterestA;• interestA -= Revenue.debit(interestA);• if (interestA > 0) {• double po = Principal.balance();• interestA -= Principal.debit(interestA);• PAAi += (po - Principal.balance());• }• if (interestA > 0) {• interestA -= SpecialReserve.debit(interestA);• if (interestA > 0)• RAAi += interestA;• }• A.payInterest(i, prevCouponDate, rateA, schInterestA-interestA);• }

Example of Collateral Model DataNumber of Loans

0100200300400500600700800

1 12 23 34 45 56 67 78 89 100 111 122 133 144 155 166 177 188 199 210 221 232 243 254 265 276 287 298 309

Number of Loans

2 Q 2007 12 13 13.5 14 15 3 Q 2007 12 13 13.5 14 15

108 122 76 8 210 1521 108 90 41 4 136 993

120 88 47 2 97 546 120 86 45 2 93 505

168 80 58 12 108 806 168 77 55 11 103 751

180 422 292 3 118 576 180 415 281 3 112 536

228 0 12 16 89 575 228 0 12 16 87 542

360 0 64 183 394 1868 360 0 59 176 372 1735

0 712 549 224 1016 5892 0 668 493 212 903 5062

Delinquencies and Defaults

Balance of loans in foreclosure

0

5 000 000

10 000 000

15 000 000

1 2 3 4 5 6 7 8 9 10 11

Months

RU

RForeclosureAverage

Monthly Delinquencies

100 000

200 000

300 000

400 000

1 2 3 4 5 6 7 8 9 10 11Months

RUR

Delinquencies

Averaged

PrepaymentsPrepayment Rate

0%5%

10%15%20%

25%30%35%40%

12 15 18 21 24 27 30 33 36 39 42 45

Loan Age

Impl

ied

1Y C

PR

AHML

Prepayment Rate

0%5%

10%15%20%

25%30%35%40%

12 16 20 24 28 32 36 40

Loan age

Impl

ied

1Y C

PR

GPB-Ipoteka

Method of Pool Evaluation

AHML1 Collateral

Waterfall Software Model

Collateral Software Model

Security Model

Market Data Assumptions

YTM: Treasury YC

AHML price: 99.43

BB rating: 250bp

PP and Defaults Assumptions

Prepayments Implied CPR

Defaults: hist AHML

Recovery: hist AHML

Results

Implied Market Spread

Spread over AHML GPB-Ipoteka

Treasury Yield Curve A B A251 99.43 97.16 101.25626 94.90 86.26 95.50

Spread of AHML over Treasury Yield Curve (ВВВ+) = 186bp

Spread of GPB-Ipoteka (ВВВ) = 317bp

Credit spread (BBB+ vs BBB) = 75bp

Cashflows

Bond Cashflows

0

50

100

150

200

250

3 6 9 12 15 18 21 24 27 30 33 36 39 42 45 48 51 54 57 60 63 66 69 72 75 78 81

RUR

(Mln

.)

Months

C (interest)C (principal)B (interest)B (principal)A (interest)A (principal)

Sensitivity to Prepayments

  Tranche A Tranche B Tranche C Pool

PP Price Wal Price Wal Price Wal Wal

80% 99.09 1.78 96.19 5.31 165.07 6.34 103.12

Base 99.43 1.52 97.16 4.50 150.83 5.34 102.57

120% 99.69 1.17 97.78 3.90 140.37 4.59 102.15

Влияние просрочек и дефолтовMTR

MDR

Severity Rate

0% 10% 50%

120.6% 99.51 102.23 116.09 99.47 102.17 109.27 99.25 82.76 36.26

0.9% 99.58 102.29 101.31 99.52 102.20 92.55 99.19 56.61 20.67

180.6% 99.39 102.19 107.56 99.36 102.14 101.07 99.18 81.80 33.58

0.9% 99.41 102.24 89.27 99.36 102.15 84.54 99.07 54.88 18.09

240.6% 99.28 102.15 99.42 99.26 102.11 95.53 99.12 80.47 31.77

0.9% 99.25 102.18 82.85 99.21 102.10 79.50 98.97 52.89 16.69

MTRMDR

Severity Rate

0% 10% 50%

120.2% 98.87 125.70 98.86 123.93 98.68 114.99

0.5% 98.92 116.08 98.90 111.80 98.64 92.57

180.2% 98.83 122.43 98.82 120.98 98.65 113.45

0.5% 98.82 108.42 98.80 104.90 98.45 88.35

240.2% 98.66 117.98 98.66 116.74 98.63 111.79

0.5% 99.60 100.17 98.58 97.14 98.39 84.68

Method of Pool Evaluation

AHML1 Collateral

Waterfall Software Model

Collateral Software Model

Security Model

Market Data Assumptions

YTM: Treasury YC

AHML price: 99.55

BB rating: 250bp

PP and Defaults Assumptions

Prepayments Implied CPR

Defaults: as in AHML

Recovery: as in AHML

Any Pool

Results