NOTE: On May 25, 2022, the press release was corrected as follows: In the first sentence of the methodology paragraph, the link to the principal methodology was changed to https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1278125. Revised release follows.
London, March 10, 2022 -- Moody's Investors Service, (Moody's) has today downgraded the ratings of three notes in Closed Joint Stock Company Mortgage Agent of AHML 2013-1, Closed Joint Stock Company Mortgage agent of AHML 2014-1 and Closed Joint Stock Company Mortgage Agent of AHML 2014-2, and placed the ratings on review for further downgrade. The rating actions are prompted by the lowering of Russia's local-currency country ceiling to Caa2 from B2 and the high uncertainty relating to continuity of note payments in case of operational disruption.
Today's rating action follows the downgrade of the Government of Russia's ratings to Ca with negative outlook from B3 on 6 March 2022. For additional information on the sovereign action, please refer to the related rating action published on 6 March 2022: ‘Moody's downgrades Russia's ratings to Ca from B3; the outlook is negative' (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_463675).
Issuer: Closed Joint Stock Company Mortgage Agent of AHML 2013-1
....RUB4978M Class A2 Notes, Downgraded to Caa2 (sf) and Remains On Review for Possible Downgrade; previously on Mar 4, 2022 Downgraded to B2 (sf) and Placed On Review for Possible Downgrade
Issuer: Closed Joint Stock Company Mortgage agent of AHML 2014-1
....RUB6323M Class A3 Notes, Downgraded to Caa2 (sf) and Remains On Review for Possible Downgrade; previously on Mar 4, 2022 Downgraded to B2 (sf) and Placed On Review for Possible Downgrade
Issuer: Closed Joint Stock Company Mortgage Agent of AHML 2014-2
....RUB6459M Class A3 Notes, Downgraded to Caa2 (sf) and Remains On Review for Possible Downgrade; previously on Mar 4, 2022 Downgraded to B2 (sf) and Placed On Review for Possible Downgrade
The rating action is prompted by the lowering of Russia's local-currency country ceiling to Caa2 from B2 and the high uncertainty relating to continuity of note payments in case of operational disruption.
Increased Country Risk
The government of Russia's long-term issuer (local- and foreign-currency) and senior unsecured (local- and foreign-currency) debt ratings were downgraded to Ca with a negative outlook on 6 March 2022. Concurrently, Moody's lowered Russia's local- currency country ceiling to Caa2 from B2. The two-notch gap between the local-currency ceiling and the sovereign ratings at Ca reflects the elevated unpredictability of the government's actions and high political risk following the invasion of Ukraine that could affect all Russian issuers.
As a result, the maximum rating that Moody's can assign to a domestic Russian issuer under its methodologies, including structured finance transactions backed by Russian receivables, is Caa2 (sf).
Moody's notes the high uncertainty relating to continuity of note payments, in case of operational disruption affecting key transaction counterparties. During the review period Moody's will reassess the exposure of the transactions to the various counterparties.
The performance of the transactions has been stable since the last review in December 2021. However there remains significant uncertainty around the future performance of mortgage loans in the transactions due to the negative financial impact on the borrowers following the imposition of sanctions. During the review period Moody's will reassess the impact on expected loss as well as MILAN CE assumptions in consideration of uncertainties posed by the current macroeconomic environment.
The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in February 2022 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1278125. Alternatively, please see the Rating Methodologies 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 an upgrade of the ratings include (1) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties.
For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security 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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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.
The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.
Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.
The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.
The person who approved these credit ratings is Ifigenia Palimeri.
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.
Moody's Investors Service Ltd.
One Canada Square
London, E14 5FA
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454