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Announcement:

Moody's updates on several Russian, Kazakh, Ukrainian, Latvian, and UAE RMBS Transactions

18 Jan 2011

London, 18 January 2011 -- Moody's Investors Service conducted a portfolio review of the RMBS transactions backed by the collateral originated in the new securitisation markets, namely Russia, Kazakhstan, Ukraine, Latvia, and the United Arab Emirates. During the analysis, the rating agency took into account the performance of the collateral to date, any deviation from Moody's expectations as well as the levels of credit enhancement available to absorb the future projected losses on the respective portfolios. The rating agency also took into account the current and expected macro-economic developments of the associated markets.

All of the collateral portfolios backing these transactions are currently performing within their expectations, so no rating actions have been taken on any of these transactions as a result of this review. Moody's also notes that, if the delinquencies in the underlying collateral portfolios remain low, the financial strength of the associated counterparties remains stable, and the economic recovery continues over the coming year, the ratings of the junior notes in some well-performing transactions, such as Russian Mortgage Backed Securities 2006-1, may be positively impacted as a result of the increased subordination under these notes.

Below is the list of the reviewed transactions and the associated market descriptions.

RUSSIA

Russian RMBS transactions have experienced no losses so far. The arrears performance has remained relatively stable in 2010 with the highest level of 30+ day delinquencies being observed in the CityMortgage MBS Finance transaction (6.08%) and the highest level of outstanding defaults being observed in the Moscow Stars B.V. transaction (9.79%) as of November 2010. However, it is difficult to accurately assess and compare performance; any transaction comparisons should be made carefully due to differences in delinquency and default definitions and the differing practices of the originators that repurchase defaulted loans. Over the next year, Moody's expects performance to remain stable or to improve as the economy continues to recover and the mortgage market develops further. The operational risks, particularly for the transactions where servicers are lowly rated or where there is a significant reliance on a single counterparty, are expected to remain in Russian RMBS transactions, but may decline over time as economic recovery results in improvement of the financial strength of the market players. The following is the list of the outstanding Russian RMBS transactions rated by Moody's that were assessed during the review.

CityMortgage MBS Finance B.V.

Closed Joint Stock Company First Mortgage Agent of AHML

Closed Joint Stock Company Second Mortgage Agent of AHML

Closed Joint Stock Company Mortgage Agent of AHML 2008-1

Closed Joint Stock Company Mortgage Agent of AHML 2010-1

FINIS Mortgages 2008 Limited/FUNDUS Mortgages 2008 Limited

Gazprombank Mortgage Backed Securities Series 2006-1

Gazprombank Mortgage Backed Securities Series 2007-1

Moscow Stars B.V.

National Mortgage Agent VTB 001

Red & Black Prime Russia MBS No. 1 Limited

Russian Mortgage Backed Securities 2006-1 S.A.

Specialised Mortgage Agent GPB - Mortgage

KAZAKHSTAN

The Kazakh RMBS transaction (Kazakh Mortgage-Backed Securities 2007-1 B.V.) has continued to perform well, with 30+ day delinquencies at 3.7% and 90+ day delinquencies at 0.39% as of December 2010. 0.02% of losses have been realised in the transaction. The transaction still has an element of operational risk with the parent of the originator and servicer in the transaction, BTA Bank, having a Caa3 long-term deposit rating. However this rating is currently on review for upgrade, so the operational risk aspect of the transaction may improve over the next year.

UKRAINE

The performance of the Ukrainian RMBS transaction (Ukraine Mortgage Loan Finance No. 1 Plc) has deteriorated during the crisis with 30+ day delinquencies reaching 7.72% and outstanding defaults reaching 1.67% in December 2010. Depending on the economic situation in Ukraine and the resulting level of unemployment, the performance of the mortgage portfolio may deteriorate further in 2011. The performance of this transaction is also heavily dependent on the USD/Hryvnia exchange rate since mortgages in this transaction are denominated in US Dollar and borrowers' incomes are earned primarily in Hryvnia. This also leads to the increased exposure of this transaction to the risk of redenomination of USD mortgages and loan agreements into Hryvnia at the exchange rate unfavourable for the transaction. This transaction is also exposed to country event risks since the senior note rating, Ba1, is significantly higher than the Ukraine government rating, B2. However, performance of the collateral portfolio in this transaction is still within expectations, there have been no realised losses in the transaction, and the subordination under the rated notes has increased significantly since closing.

LATVIA

The Latvian transaction (Baltic-American Enterprise Fund) is largely repaid, with only 7.5% of the portfolio remaining. The 30+ day delinquencies in the transaction were 3.59% in December 2010 and 90+ day delinquencies were 2.38%. There have been no losses so far in the transaction. This transaction has significant borrower concentration, with top 10 borrowers representing approximately 10% of the remaining pool. It is also exposed to the variation between the Latvian lats and the US Dollar since the mortgages are denominated in US Dollars and the borrowers earn primarily in the Latvian lats, which is reflected by the current assumptions and note ratings for this transaction.

UNITED ARAB EMIRATES ("UAE")

The UAE RMBS transaction (Tamweel ABS (CI) 1) has experienced no losses so far with 90+ arrears performance relatively stable at 0.50% and 30+ day delinquencies volatile around the 2.50% level in 2010. The pool has amortised approximately 80%. Significant for this transaction was the effective administration of the Originator/Servicer Tamweel PJSC by the government in November 2008 due to liquidity issues (Tamweel depended primarily on market funding) and the recent stabilisation of its future following an increase of its ownership stake to approximately 57% in September 2010 by the more established Dubai Islamic Bank PJSC (Baa1), also the back-up servicer for this transaction. There was no servicing disruption during this period and liquidity lines and reserves remain undrawn. The strong pool performance is felt to be driven by the very low Finance-To-Value ratio of the pool at closing of 46% and the strong penalties for default in the jurisdiction.

Moody's will continue to monitor the performance of these RMBS transactions closely. For more information, please see Moody's research on www.moodys.com or contact Moody's Client Service Desk on (+44-20) 7772 5454.

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

London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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 updates on several Russian, Kazakh, Ukrainian, Latvian, and UAE RMBS Transactions
No Related Data.
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