London, 14 February 2019 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
25 tranches in 21 Russian RMBS deals following the upgrade of the Government
of Russia ("Russia") issuer and unsecured senior debt ratings
to Baa3 from Ba1 and its other short-term rating to Prime-3
(P-3) from Not Prime.
In a related decision, Moody's also raised Russia's country ceiling
for local currency debt ("Local Currency Ceiling") to Baa1
from Baa2.
As a result, the maximum rating that Moody's will assign to a domestic
Russian issuer, including structured finance transactions backed
by Russian receivables, is Baa1.
For additional information on the sovereign action, please refer
to the related announcement "Moody's upgrades Russia's rating to
Baa3 from Ba1; changes outlook to stable from positive",
published on 8th of February 2019, (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_394165).
The decrease in sovereign risk is also reflected in Moody's quantitative
analysis for mezzanine and junior tranches. Moody's Individual
Loan Analysis Credit Enhancement (MILAN CE) for RMBS transactions represents
the required credit enhancement under the senior tranche for it to achieve
the Local Currency Ceiling. Increasing the maximum achievable rating
for a given MILAN CE alters the loss distribution curve and implies decreased
probability of high loss scenarios which may impact the rating of mezzanine
and junior Notes as well.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF478139
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF478139
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Key Rationale for Action and Constraining Factor(s)
Upgrades are prompted by higher Local Currency Ceiling in most of the
transactions, together with overall increase in the credit enhancement
available for the affected tranches.
Increased levels of credit enhancement:
Moody's considered the credit enhancement available for each class of
Notes. Sequential amortisation driven by high prepayment rates
led to the increase in the credit enhancement available for some transactions.
Counterparty exposure
Following the upgrade of the Government of Russia, some Russian
banks' long-term deposit bank ratings, senior unsecured ratings
and Counterparty Risk Assessments (CR assessments) were also upgraded.
Full details of the banks' ratings upgrades can be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_202654.
The ratings upgrade to both Tranche A3 issued by Closed Joint Stock Company
Mortgage agent of AHML 2014-1 and Tranche A3 issued by Closed Joint
Stock Company Mortgage Agent of AHML 2014-2 follow the ratings
upgrade of JSC DOM.RF (Baa3(cr) and Baa3, senior unsecured),
the surety provider.
Moody's notes that JSC DOM.RF is also surety provider for
the Tranche A2 issued by Closed Joint Stock Company Mortgage Agent of
AHML 2013-1 and Tranche A2 issued by Closed Joint Stock Company
Mortgage Agent of AHML 2014-2. For these tranches however,
the ratings of JSC DOM.RF as surety provider do not have a direct
impact due to the strength of the underlying transactions. Nevertheless,
the upgrade of JSC DOM.RF and the resulting decrease in counterparty
risk for the transaction contributed in part to the upgrade of Tranche
A2 of Closed Joint Stock Mortgage Agent of AHML 2014-2.
Principal Methodology
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 Credit Ratings in the List of Affected Credit Ratings were assigned
in accordance with Moody's existing Methodology entitled "Moody's Approach
to Rating RMBS Using the MILAN Framework" dated 11 September 2017.
Please note that on 14 November 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for rating RMBS using the MILAN Framework.
If the revised Methodology is implemented as proposed, the Credit
Ratings in the List of Affected Credit Ratings may be neutrally affected.
Please refer to Moody's Request for Comment, titled "Proposed Update
to Moody's Global Approach to Rating RMBS Using the MILAN Framework" for
further details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
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) further decrease in sovereign risk; (2) deleveraging
of the capital structure; (3) improvements in the credit quality
of the transaction counterparties; and (4) performance of the underlying
collateral that is better than Moody's expected.
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
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF478139
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Lead Analyst
• Rating Analyst
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.
Lisa Macedo
Vice President - Senior 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
Johann Grieneisen
VP - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Yulia Vasilyeva
Associate Lead 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
