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Rating Action:

Moody's downgrades ratings of senior tranches in four Russian RMBS transactions and places on review for downgrade ratings of one RMBS transaction

29 Dec 2014

London, 29 December 2014 -- Moody's Investors Service has today downgraded the ratings of the senior tranches in four domestic RUB-denominated Russian residential mortgage-backed securities (RMBS) transactions and put on review for downgrade the ratings of one offshore USD-denominated Russian RMBS transaction, Red & Black Prime Russia MBS No. 1 Limited.

The rating action follows Moody's decision on Monday 22 December to lower Russia's foreign currency bond ceiling to Baa2 from A3, foreign currency deposit ceiling to Ba1 from Baa2 and local currency bond and deposit ceilings to Baa1 from A3. For additional information on the changes to the country ceilings, please refer to the related announcement "Moody's lowers ceilings on non-sovereign ratings in Russia" (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_315606), published on 22 December 2014.

LIST OF AFFECTED RATINGS

Issuer: Closed Joint Stock Company Mortgage Agent of AHML 2010-1

....Ru.Ruble6,096M A2 Notes, Downgraded to Baa1 (sf); previously on Oct 1, 2013 Upgraded to A3 (sf)

Issuer: Closed Joint Stock Company Mortgage Agent of AHML 2012-1

....Ru.Ruble5,932M A1 Notes, Downgraded to Baa1 (sf); previously on Oct 1, 2013 Upgraded to A3 (sf)

Issuer: Closed Joint Stock Company Mortgage Agent Raiffeisen 01

....Ru.Ruble4,070M A Notes, Downgraded to Baa1 (sf); previously on Jun 21, 2013 Definitive Rating Assigned A3 (sf)

Issuer: Closed Joint Stock Company Second Mortgage Agent of AHML

....Ru.Ruble9,440M A Notes, Downgraded to Baa1 (sf); previously on Jun 14, 2013 Upgraded to A3 (sf)

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

....US$173.2M A Notes, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 20, 2010 Confirmed at Baa1 (sf)

....US$14.5M B Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 20, 2010 Confirmed at Baa2 (sf)

....US$18.6M C Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 20, 2010 Confirmed at Ba2 (sf)

RATINGS RATIONALE

Moody's downgraded the ratings of the class A2 notes issued by CJSC Mortgage Agent of AHML 2010-1, the ratings of the class A1 notes issued by CJSC Mortgage Agent of AHML 2012-1, the ratings of the class A notes issued by CJSC Mortgage Agent Raiffeisen 01 and the ratings of the class A notes issued by CJSC Second Mortgage Agent of AHML, following the decrease in the local-currency bond ceiling of Russia. The local-currency bond ceiling is the highest structured finance rating achievable in the country.

The decision to lower the local currency bond and deposit ceilings in Russia to Baa1 reflects the rating agency's view that the coexistence of geopolitical tension and weakening economic growth outlook implies that the impact on all local currency obligations including structured finance instruments of any political, economic or financial dislocation accompanying a material deterioration in Russia's credit environment would likely be greater than previously assumed.

Therefore, the ratings of the notes of the transactions rated above the ceiling have been downgraded to the new ceiling level.Moody's has also placed on review for downgrade the ratings of the notes issued by the USD-denominated transaction, Red & Black Prime Russia MBS No. 1 Limited. This action is driven by the aforementioned decrease in ceilings as well as by this transaction's exposure to rouble depreciation, since the portfolio backing the transaction is denominated in USD. As a result, the recent severe depreciation of rouble against the US Dollar may lead to an increase in delinquencies and defaults in this transaction, which would not be mitigated by the level of credit enhancement and liquidity, which in this transaction are lower than in other USD-denominated Russian RMBS transactions.

FACTORS TO BE CONSIDERED IN THE RATING REVIEW

During the review process Moody's will concentrate on reviewing further developments of the USD / rouble exchange rate, resulting performance of the underlying assets, and, if necessary, will remodel the transaction with updated assumptions.

Moody's will continue to closely monitor the evolution of the rouble against the USD and the performance of the USD-denominated portfolios in the next quarterly periods.

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.

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.

The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead analyst and the Moody's legal entity that has issued the ratings.

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.

Ruslan Akhmetshin
Associate 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

Michelangelo Margaria
VP - Sr Credit Officer/Manager
Structured Finance Group
Telephone:+39-02-9148-1100

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 ratings of senior tranches in four Russian RMBS transactions and places on review for downgrade ratings of one RMBS transaction
No Related Data.
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