London, 25 September 2017 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
2 notes in Closed Joint Stock Company "Mortgage agent MTSB" and Moscow
Stars B.V. The rating action reflects:
- better than expected collateral performance for Closed Joint
Stock Company "Mortgage agent MTSB".
- the increased levels of credit enhancement for the affected notes.
Issuer: Closed Joint Stock Company "Mortgage agent MTSB"
....RUB 3432.641M Class A Notes,
Upgraded to Baa3 (sf); previously on Apr 29, 2016 Confirmed
at Ba1 (sf)
Issuer: Moscow Stars B.V.
....USD 16.2M Class B Notes,
Upgraded to Ba1 (sf); previously on Apr 29, 2016 Confirmed
at Ba2 (sf)
RATINGS RATIONALE
Revision of Key Collateral Assumptions
Moody's updated the MILAN CE of Closed Joint Stock Company "Mortgage agent
MTSB" due to stable performance and lower expected volatility.
The MILAN CE has been decreased to 31% from 35%.
Moody's maintained the key collateral assumptions in Moscow Stars
B.V unchanged.
Increase in Available Credit Enhancement
Sequential amortization and non-amortising reserve funds led to
the increase in the credit enhancement available in Moscow Stars B.V.
The tranche B is now the most senior tranche in this deal following the
full redemption of tranche A notes (rated Ba1 (sf) before withdrawal)
in October 2015. For instance, the credit enhancement for
the tranche B affected by today's rating action increased from 8.0%
to 114.0% since closing consisting of subordination and
USD 10.9 million reserve funds. Reserve funds are kept in
the account at The Bank of New York Mellon under the name of the Dutch
SPV. Considering the mortgages denominated in US dollars taken
out by borrowers based in Russia, the rating of the tranche B takes
into consideration the risk associated to possible shortage of foreign
exchange in the country, which could result in payment in Rubles
instead of US dollars.
Sequential amortization led to the increase in the credit enhancement
available in Closed Joint Stock Company "Mortgage agent MTSB".
The credit enhancement level for the most senior notes affected by today's
rating action increased from 34.2% to 42.0%
since the last rating action.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in September 2017.
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 these
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) performance of the underlying collateral that is better than
Moody's expected, (2) deleveraging of the capital structure and
(3) improvements in the credit quality of the transaction counterparties
and (4) 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.
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 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.
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 rating 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, CFA
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Lam Tran Ngoc
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454