Frankfurt am Main, December 06, 2018 -- Moody's Investors Service ("Moody's") has today upgraded the rating of
the Class A2 Notes in Closed Joint Stock Company Mortgage Agent of AHML
2013-1, a securitization of Russian mortgages:
....RUB 4,978M Class A2 Notes,
Upgraded to Baa2 (sf); previously on January 30, 2018 Affirmed
Ba1 (sf)
Closed Joint Stock Company Mortgage Agent of AHML 2013-1 ("AHML
2013-1") is a static cash securitisation of Russian mortgage loans
serviced by JSC DOM.RF ("DOM.RF", Ba1(cr)) to borrowers
located in Russia. The Notes were issued in September 2013 and
the underlying portfolio of loans has since amortised to RUB 5.7bn
from an original balance of RUB 14.9bn.
RATINGS RATIONALE
The rating action on the Class A2 Notes has been prompted by the deleveraging
of the transaction through paydown of the Class A1 Notes (fully repaid)
and Class A2 Notes, from repayments of the underlying loan portfolio.
Scheduled repayments on the portfolio have been supplemented by a strong
level of prepayments, with annualised CPR rates, as calculated
by Moody's, of 19.0%,17.8% and
17.0% in the last 3 quarterly reporting periods.
The rating action also reflects the correction of an error in the modelling
of the waterfall. The cash flow allocation following a trigger
breach was incorrectly modelled as pro rata between all classes of Notes
including unrated Class B, whereas the pro rata allocation should
have applied only to the two senior Notes A1 and A2, leading to
positive rating impact. The error has now been corrected,
and today's action incorporates that change.
Increase in Available Credit Enhancement:
The amortisation of the pool has increased the credit enhancement of the
Class A2 Notes which are the subject of today's rating action.
The Notes amortise sequentially and as of September 2018 the Class A2
Notes have reduced from an original balance of RUB 5.0bn to a current
outstanding balance of RUB 4.5bn whereby the Class A1 Notes have
already been fully repaid. As a result, credit enhancement
for Class A2 Notes has increased from 7.2% at closing to
23.2%.
The surety provider for the Class A2 Notes, DOM.RF (previously
AHML), is currently rated Ba1(cr) and Ba1 (senior unsecured (domestic))
and thus two notches lower than the rating of Baa2 (sf) assigned to the
Class A2 Notes.
Correction of an input in the cash-flow model:
The rating action also reflects the correction of an error in the modelling
of the waterfall. The cash flow allocation following a trigger
breach was incorrectly modelled as pro rata between all classes of Notes
including unrated Class B, whereas the pro rata allocation should
have applied only to the two senior Notes A1 and A2, leading to
positive rating impact. The correction to this input has a positive
impact on the Class A2 Notes given the more sustained credit enhancement
provided by Class B Notes.
Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its default probability
for the portfolio reflecting the collateral performance to date.
The portfolio has performed better than Moody's initial default expectations
and as a result Moody's has reduced its expected loss rate as a percentage
of original balance for the transaction to 5.0% from 6.0%.
Portfolio credit enhancement (PCE) remains unchanged at 18%.
The recovery rate assumption has also remained unchanged at 60%.
The principal methodology used in this rating 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 Rating for AHML 2013-1, Class A2 Notes,
was 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 RMBS Using the
MILAN Framework. If the revised Methodology is implemented as proposed,
the Credit Rating on the Class A2 Notes may be NEUTRALY affected.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's 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 a rating
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 rating:
Factors or circumstances that could lead to a upgrade of the rating include:
(1) performance of the underlying collateral that is better than Moody's
expected; (2) deleveraging of the capital structure; (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 rating
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.
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.
Johann Grieneisen
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Gaby Trinkaus
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
