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Related Issuers
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Rating Action:

Moody's downgrades notes in two Russian RMBS deals following downgrade of AHML

29 Oct 2014

Only rating impact of the reduction of sovereign ceiling and downgrades of Russian financial institutions on Russian ABS and RMBS transactions

London, 29 October 2014 -- Moody's Investors Service has downgraded the ratings of two notes and affirmed the ratings of three notes in two Russian residential mortgage backed securities (RMBS): Closed Joint Stock Company Mortgage Agent of AHML 2013-1 ("AHML 2013-1") and Closed Joint Stock Company Mortgage Agent of AHML 2014-1 ("AHML 2014-1"). The rating action follows the downgrade of the Agency for Housing Mortgage Lending OJSC ("AHML") from Baa1 to Baa2. For details please refer to "Moody's take rating actions on seven Russian financial institutions" published on 20 October 2014.

Issuer: CJSC MORTGAGE AGENT OF AHML 2013-1

....RUB 8916M Class A1 Notes, Affirmed Baa1 (sf); previously on Jul 10, 2014 Confirmed at Baa1 (sf)

....RUB 4978M Class A2 Notes, Downgraded to Baa2 (sf); previously on Jul 10, 2014 Confirmed at Baa1 (sf)

Issuer: CJSC MORTGAGE AGENT OF AHML 2014-1

....RUB 6323M Class A1 Notes, Affirmed Baa1 (sf); previously on Jul 10, 2014 Confirmed at Baa1 (sf)

....RUB 6323M Class A2 Notes, Affirmed Baa1 (sf); previously on Jul 10, 2014 Confirmed at Baa1 (sf)

....RUB 6323M Class A3 Notes, Downgraded to Baa2 (sf); previously on Jul 10, 2014 Confirmed at Baa1 (sf)

RATINGS RATIONALE

Moody's downgraded the ratings of the class A2 notes in AHML 2013-1 and the class A3 notes in AHML 2014-1 to Baa2 (sf) because of reliance on the irrevocable and unconditional surety provided by AHML (Baa2/P-2). If the issuer fails to pay interest on an interest payment date or principal on the legal final maturity AHML is obligated to pay these amounts within a grace period. As such, the ratings of the notes rely on the benefit of the surety and are directly linked to the Senior Unsecured debt ratings of AHML: all things being equal, a downgrade of AHML current rating leads to a downgrade of the notes.

Moody's affirmed the ratings of the class A1 notes in AHML 2013-1 and the classes A1 and A2 notes in AHML 2014-1 at Baa1(sf) because funds generated by the collateral partially mitigate the linkage to the ratings of AHML. In absence of mortgage agent default principal repayments are allocated to the affirmed notes in priority to the downgraded notes. Moody's has assessed the probability and impact of the mortgage agent default and concluded that funds generated by the collateral to make senior payments are sufficient to maintain the current ratings of the affirmed notes.

OTHER RUSSIAN ABS AND RMBS RATINGS

The highest outstanding note rating in a Russian securitisation transaction is currently A3(sf), therefore the reduction of the local currency debt ceiling of Russia from A2 to A3 on 17 October 2014 did not have a direct impact on the senior notes. In addition fast deleveraging and strong collateral performance have helped to offset the increased country and counterparty risk of other subordinated notes.

Principal Methodology

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to an upgrade of the ratings include (1) reduction in sovereign risk, (2) performance of the underlying collateral that is better than Moody's expected, (3) deleveraging of the capital structure and (4) improvements in the credit quality of the transaction counterparties.

Factors or circumstances that could lead to a downgrade of the ratings include (1) further increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expects, (3) deterioration in the notes' available credit enhancement and (4) further deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

As the section on loss and cash flow analysis describes, Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Lyudmila Udot
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades notes in two Russian RMBS deals following downgrade of AHML
No Related Data.
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