Mock nested dependencies with MOQ

I assumed that MOQ would automatically create Mocks for any nested dependencies.

I am unit testing an ASP.Net MVC Controller:

public class TransactionController : Controller
{
    private readonly ITransactionService _transactionService;
    private readonly SearchPanelVmBuilder _searchPanelVmBuilder;
    private readonly TransactionVmsBuilder _transactionVmsBuilder;

    public TransactionController(TransactionVmsBuilder transactionVmsBuilder, ITransactionService transactionService, SearchPanelVmBuilder searchPanelVmBuilder)
    {
        _transactionVmsBuilder = transactionVmsBuilder;
        _transactionService = transactionService;
        _searchPanelVmBuilder = searchPanelVmBuilder;
    }

    // other methods omitted for brevity

    public PartialViewResult SearchPanel()
    {
        var vm = _searchPanelVmBuilder.BuildVm();

        return PartialView("_SearchPanel", vm);
    }
}

The unit test code:

[Fact]
public void SeachPanel_Calls_BuildSearchPanelVm()
{
    // Arrange
    var mockTransService = new Mock<ITransactionService>();
    var mockTransVmsBuilder = new Mock<TransactionVmsBuilder>();
    var mockSearchPanelVmBuilder = new Mock<SearchPanelVmBuilder>();
    var controller = new TransactionController(mockTransVmsBuilder.Object, mockTransService.Object, mockSearchPanelVmBuilder.Object);

    // Act
    controller.SearchPanel();

    // Assert
    mockSearchPanelVmBuilder.Verify(x => x.BuildVm());
}

MOQ complains:

Can not instantiate proxy of class: MCIP.Web.UI.ViewModelBuilders.Singular.SearchPanelVmBuilder. Could not find a parameterless constructor.

The class it can't instantiate a proxy for:

public class SearchPanelVmBuilder
{
    private readonly ITransactionTypeService _transactionTypeService;
    private readonly TransactionTypeVmBuilder _transactionTypeVmBuilder;
    private readonly UserProvider _userProvider;

    public SearchPanelVmBuilder(
        UserProvider userProvider,
        ITransactionTypeService transactionTypeService,
        TransactionTypeVmBuilder transactionTypeVmBuilder
        )
    {
        _userProvider = userProvider;
        _transactionTypeService = transactionTypeService;
        _transactionTypeVmBuilder = transactionTypeVmBuilder;
    }

    public virtual SearchPanelVm BuildVm()
    {
        return new SearchPanelVm
        {
            Userlist = _userProvider.GetOperators(),
            TransactionTypes =
                _transactionTypeService.GetAll().Select(x => _transactionTypeVmBuilder.BuildVmFromModel(x)).ToList()
        };
    }
}

Its corresponding dependencies:

public class UserProvider
{
    private static int retryCount;

    public virtual List<string> GetOperators()...

    public virtual List<string> GetGroupsForUser(WindowsIdentity identity)...
}

public interface ITransactionTypeService
{
    List<TransactionType> GetAll();
}

public class TransactionTypeVmBuilder
{
    public virtual TransactionTypeVm BuildVmFromModel(TransactionType transactionType)...
}

Am I doing something wrong?

Do I have to explicitly tell MOQ to have a go at auto-mocking nested dependencies?

Or do i have to explicitly set up the nested Mocks - like this:

var mockUserProvider = new Mock<UserProvider>();
var mockTransTypeService = new Mock<ITransactionTypeService>();
var mockTransactionTypeVmBuilder = new Mock<TransactionTypeVmBuilder>();
var mockSearchPanelVmBuilder = new Mock<SearchPanelVmBuilder>(mockUserProvider.Object, mockTransTypeService.Object, mockTransactionTypeVmBuilder.Object);