Методика оценки стоимости пула ипотечных закладных

1. Методика оценки стоимости пула ипотечных закладных На базе облигации АИЖК-1

2. Data Feeds

3. Monthly Reports Handling Monthly Report BD Parser

4. Credit enhancement Senior tranche (Baa1/BBB+) Assets Pool yield 10.5% interest Mortgage notes principal 88@6.94% 100@10.5% Mezzaninetranche (Baa1/BBB+) 8@9.5% Equitytranche 4@variable Reserve Fund

5. Quasi Language For waterfall description Transaction Docs Waterfall Software Model BD Collateral Software Model Software Collateral Reports

6. 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); • }

7. Example of Collateral Model Data

8. Delinquencies and Defaults

9. Prepayments

10. Method of Pool Evaluation AHML1 Collateral Collateral Software Model Waterfall Software 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 Security Model Results

11. Implied Market Spread Spread of AHMLover Treasury Yield Curve (ВВВ+) = 186bp Spread of GPB-Ipoteka (ВВВ) = 317bp Credit spread (BBB+ vsBBB) = 75bp

12. Cashflows

13. Sensitivity to Prepayments

14. Влияние просрочек и дефолтов

15. Method of Pool Evaluation AHML1 Collateral Any Pool Collateral Software Model Waterfall Software 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 Security Model Results