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Rating Action:

Moody's places on review for downgrade four tranches in three Russian RMBS transactions originated by Investment Trade Bank

07 Sep 2015

London, 07 September 2015 -- Moody's Investors Service has today placed on review for downgrade all rated notes in three Russian RMBS transactions: Closed Joint Stock Company Mortgage Agent ITB 1, Closed Joint Stock Company Mortgage Agent ITB 2013, and Closed Joint Stock Company Mortgage Agent ITB 2014.

Please refer to the end of the Ratings Rationale section for a list of affected ratings.

RATINGS RATIONALE

The rating action follows Moody's decision to downgrade the deposit ratings and Counterparty Risk Assessment of Investment Trade Bank to Ca and Caa3(cr) respectively (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_333424), following the announcement on 27 August 2015 that the state Deposit Insurance Agency (DIA) had taken Investment Trade Bank into temporary administration.

In our view, the lack of precedent of a local originator going into insolvency in a context of rated securitisation in this market creates potential uncertainties with regards to operational risk in the affected transactions. In addition, the lack of such precedent in a legal framework in the Russian securitisation market creates further uncertainties with regards to true sale and claw-back risks in these three transactions.

While DeltaCredit Bank (Ba2/NP) is standing-by to perform its responsibilities as a back-up servicer and a back-up calculation agent, uncertainties remain with regards to timeliness and transitional impact of such servicer transfer. DeltaCredit Bank is an established mortgage lender, but it had not taken over the servicing of a securitized pool of mortgages from other lenders in the past and financial stress on Investment Trade Bank could increase the possibility of operational disruption.

During the transfer period, deterioration of performance is possible in all three transactions. This is partly mitigated by the high levels of credit enhancement (63.5% for tranche A in Closed Joint Stock Company Mortgage Agent ITB 1, 32.7% for tranche A in Closed Joint Stock Company Mortgage Agent ITB 2013, 21.8% for tranches A and B in Closed Joint Stock Company Mortgage Agent ITB 2014), as well as by the availability of reserve funds which are currently at target level for all three transactions.

Principal Methodology:

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework", published in January 2015. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Moody's Approach to Rating RMBS Using the MILAN Framework for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

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

Factors or circumstances that could lead to confirmation of the ratings include (1) reduction in possibility of operational disruption or legal risk related to temporary administration of Investment Trade Bank, (2) performance of the underlying collateral that remains stable or becomes better than Moody's expected, and (3) 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 of the operational or legal risk in these transactions, (2) increase in sovereign risk, (3) performance of the underlying collateral that is worse than Moody's expects, (4) deterioration in the notes' available credit enhancement, and (5) further deterioration in the credit quality of the transaction counterparties.

LIST OF AFFECTED RATINGS

Issuer: Closed Joint Stock Company Mortgage Agent ITB 1

....RUB 2399.952M A Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 27, 2012 Definitive Rating Assigned Baa3 (sf)

Issuer: Closed Joint Stock Company Mortgage agent ITB 2013

....RUB 3000.5M A Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 12, 2013 Definitive Rating Assigned Baa3 (sf)

Issuer: Closed Joint Stock Company Mortgage Agent ITB 2014

....RUB 2300M A Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 10, 2014 Definitive Rating Assigned Baa3 (sf)

....RUB 1150M B Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 10, 2014 Definitive Rating Assigned Baa3 (sf)

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.

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.

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

Masako Oshima
Senior Vice President
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 places on review for downgrade four tranches in three Russian RMBS transactions originated by Investment Trade Bank
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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​
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