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Moody's has assigned definitive ratings to notes issued by Closed Joint Stock Company "Mortgage Agent NOMOS", Russian RMBS

December 20, 2012 Moody's Investors Service
Approximately RUB 3,753.253 million of Debt Securities affected


London, 19 December 2012 -- Moody's Investors Service has assigned
definitive long-term credit ratings to Notes issued by Closed Joint Stock
Company "Mortgage Agent NOMOS":

....Ru.Ruble 3,753.253M Class A Residential Mortgage Backed Fixed Rate
Bonds due 2045, Assigned Baa3 (sf)

....Ru.Ruble 1,251.084M Class B Notes were not rated by Moody's.

RATINGS RATIONALE

This transaction is the first securitisation of mortgages originated by
Nomos Bank (Ba3). The portfolio consists of the Russian residential
mortgage loans serviced by Nomos 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 10 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%
and the MILAN required credit enhancement of 26% 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 fact that for about 34% of the borrowers income
was verified using forms provided by the bank rather than official tax
forms, and presence of large loans in the portfolio, where the top 20
borrowers represent approximately 5.2% of the pool and the current
balance of the largest 20 loans ranges from RUB29.6mil to RUB9.4mil. 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 63.8% based on minimum of the
estimated purchase price and valuation or 60.6% 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 2.1% of the notes at closing and building up to 3.8% 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 3.8% 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
April 2009.

Moody's Parameter Sensitivities: Even if the portfolio expected loss was
increased from 7% to 14.5% and MILAN Credit Enhancement was increased
from 26% to 41.6%, 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.
  • Status
    early redeemed
  • Country of risk
    Russia
  • Redemption (put/call option)
    *** (***)
  • Amount
    3,753,253,000 RUB
  • М/S&P/F
    — / — / —
  • Full name
    ZAO Mortgage Agent NOMOS
  • Registration country
    Russia
  • Industry
    Financial institutions