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Rating Action:

Moody's downgrades and places on review for possible downgrade several Russian RMBS and ABS transactions

16 Dec 2008
Moody's downgrades and places on review for possible downgrade several Russian RMBS and ABS transactions

London, 16 December 2008 -- Moody's Investors Service has downgraded three classes of Notes backed by USD-denominated collateral originated in Russia and has put these Notes as well as other Notes backed by USD-denominated collateral originated in Russia on review for possible downgrade.

This action results from increased uncertainty related to rapid depreciation of the Rouble against the US Dollar and the resulting low but increased risk, in Moody's opinion, of redenomination of USD mortgages and loan agreements into Rouble. If such redenomination were to occur at an unfavourable exchange rate, this would result in significant immediate losses to the noteholders. In addition, following a redenomination of the portfolio, the transactions would suffer from an unhedged risk with respect to the currency mismatch between the Rouble-denominated portfolio and the foreign-denominated notes.

Moody's treats this risk as a low probability - high severity event and incorporates it into its cash flow analysis. The probability of redenomination is determined by several factors such as, among other things, the government's own rating, the level of country-wide borrowing in hard currencies, and the actual and expected depreciation of the local currency against these foreign currencies. In the case of Russia, Moody's believes the risk of redenomination is impacted by the rapid depreciation of the Rouble against the USD, which results in significant stress on the individuals who borrowed in USD and increases the pressure on the government to redenominate these loans to alleviate the burden on the consumers. The severity assumption in case of redenomination is calculated using historical data from other emerging securitisation markets as well as historical exchange rate fluctuations at times of financial crises, if such has ever occurred in the market. Thus, even though this risk was taken into account at the initial analysis stage and remains low, Moody's believes that recent events have significantly increased the probability of redenomination occurring in this jurisdiction.

Moody's has downgraded the following tranches and further placed them on review for possible downgrade:

Issuer: Russian Mortgage Backed Securities 2006-1 S.A.

- Class A USD 74,200,000 Class A Residential Mortgage Backed Floating Rate Notes due 2034, current rating A1, downgraded to Baa1 on review for possible downgrade

Issuer: Red & Black Prime Russia MBS No. 1 Limited

- Class A USD 173,200,000 Class A Senior Mortgage Backed Floating Rate Notes due 2035, current rating A2, downgraded to Baa1 on review for possible downgrade.

Issuer: Roof Russia S.A.

- Class A USD 130,000,000 Class A Asset Backed Secured Floating Rate Notes due 2017, current rating A3, downgraded to Baa1 on review for possible downgrade

Moody's has placed the following transactions on review for possible downgrade:

Issuer: Russian Mortgage Backed Securities 2006-1 S.A.

- Class B USD 10,600,000 Class B Residential Mortgage Backed Floating Rate Notes due 2034, current rating Baa2, on review for possible downgrade

- Class C USD 3,500,000 Class C Residential Mortgage Backed Floating Rate Notes due 2034, current rating B2, on review for possible downgrade

Issuer: CityMortgage MBS Finance B.V.

- Class A-FL USD 63,127,964 Class A-FL Senior Mortgage-Backed Sequential Capped Floating Rate Pass-through Notes due 2033, current rating Baa2, on review for possible downgrade

- Class A-IIO USD Class A-IIO Senior Mortgage-Backed Inverse Interest-only Notes due 2033, current rating Baa2, on review for possible downgrade

- Class B USD 6,288,610 9.25 per cent. Class B Mezzanine Mortgage-Backed Fixed Rate Pass-through Notes due 2033, current rating B1, on review for possible downgrade

Issuer: Red & Black Prime Russia MBS No. 1 Limited

- Class B USD 14,500,000 Class B Mezzanine Mortgage Backed Floating Rate Notes due 2035, current rating Baa2, on review for possible downgrade

- Class C USD 18,600,000 Class C Junior Mortgage Backed Floating Rate Notes due 2035, current rating Ba2, on review for possible downgrade

Issuer: Moscow Stars B.V.

- Class A USD 159,000,000 Mortgage-Backed Floating Rate Notes Due 2034, current rating Baa2, on review for possible downgrade

- Class B USD 16,200,000 Mortgage-Backed Floating Rate Notes Due 2034, current rating Ba2, on review for possible downgrade

Issuer: Roof Russia S.A.

- Class B USD 13,800,000 Class B Asset Backed Secured Floating Rate Notes due 2017, current rating Baa2, on review for possible downgrade

- Class C USD 17,900,000 Class C Asset Backed Secured Floating Rate Notes due 2017, current rating Ba2, on review for possible downgrade

- Class D USD 3,500,000 Class D Asset Backed Secured Floating Rate Notes due 2017, current rating B2, on review for possible downgrade

Issuer: Taganka Car Loan Finance PLC

- Class C USD 54,800,000 Class C Asset Backed Secured Floating Rate Notes due 2013, current rating Ba2, on review for possible downgrade

Moody's will concentrate during the review process on any further developments of the USD / Rouble exchange rate, resulting performance of the underlying assets, detailed discussions with the sovereign team, and, if necessary, remodeling of redenomination risk with updated assumptions. In the meantime, Moody's will continue to closely monitor the evolution of the Rouble against the USD and the performance of the portfolios in the next quarterly periods.

Moody's previous rating action on notes issued by Russian Mortgage Backed Securities 2006-1 S.A. was on 19 July 2006 when definitive ratings were assigned to the notes.

Moody's previous rating action on notes issued by CityMortgage MBS Finance B.V. was on 10 August 2006 when definitive ratings were assigned to the notes.

Moody's previous rating action on notes issued by Red & Black Prime Russia MBS No. 1 Limited was on 20 July 2007 when ratings were affirmed following a downgrade of DeltaCredit Bank's Local Currency Deposit Rating.

Moody's previous rating action on notes issued by Moscow Stars B.V. was on 19 July 2007 when definitive ratings were assigned to the notes.

Moody's previous rating action on notes issued by Roof Russia S.A. was on 22 May 2007 when definitive ratings were assigned to the notes.

Moody's previous rating action on notes issued by Taganka Car Loan Finance PLC was on 24 October 2006 when definitive ratings were assigned to the notes.

The principal methodologies used in rating the notes issued by Russian Mortgage Backed Securities 2006-1 S.A., CityMortgage MBS Finance B.V., Red & Black Prime Russia MBS No. 1 Limited, Moscow Stars B.V. are "Moody's Approach to Rating RMBS in Emerging Securitisation Markets -- EMEA" dated 8 June 2007, "Key Legal and Structural Rating Issues in Russian Securitisation Transactions" dated 6 June 2007, and "Moody's MILAN Methodology for Rating Russian RMBS" dated 29 July 2008.

The principal methodologies used in rating the notes issued by Roof Russia S.A., and Taganka Car Loan Finance PLC are "The Lognormal Method Applied to ABS Analyst" dated 20 July 2000, "Moody's Approach to rating European Auto ABS: More rubber set to hit European Roads" dated 19 November 2002, "Key Legal and Structural Rating Issues in Russian Securitisation Transactions" dated 6 June 2007.

London
Olga Gekht
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Ning Loh
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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