Методика оценки стоимости пула ипотечных закладных
DESCRIPTION
Методика оценки стоимости пула ипотечных закладных. На базе облигации АИЖК-1. Data Feeds. Monthly Reports Handling. Monthly Report. BD. Parser. Credit enhancement. Senior tranche ( Baa1/BBB+). Assets Pool yield 10.5%. interest. Mortgage notes. principal. 8 [email protected]%. - PowerPoint PPT PresentationTRANSCRIPT
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
4@variable
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