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Fitch Affirms Russian Mortgage Backed Securities 2006-1 S.A.

February 20, 2008 | Cbonds

Fitch Ratings-London-20 February 2008: Fitch Ratings has today affirmed the notes of Russian Mortgage Backed Securities 2006-1 S.A. as follows:

Class A (ISIN XS0254447872): affirmed at 'A-' (A minus); Outlook Stable

Class B (ISIN XS0254451395): affirmed at 'BBB'; Outlook revised to Positive from Stable

Class C (ISIN XS0254451551): affirmed at 'BB-' (BB minus); Outlook revised to Positive from Stable

Although the class A notes have the potential for an upgrade given the seasoning of the pool and the good performance to date, the upgrade is prevented by the current Country Ceiling of the Russian Federation (affirmed at 'A-' (A minus) in August 2007) and the rating of various counterparties as envisaged by the transaction documentation.

Since close, the pool of mortgage loans has been amortising at an average annualised rate of 24.3%. As a result, the notes have been redeemed accordingly, and the outstanding balance stood at 64.1% of the initial amount as of February 2008. Apart from the subordination, credit enhancement to the senior notes is also provided by the non-amortising reserve fund, which was fully funded as of the last reporting period. Given the continued strong performance of the transaction Fitch has revised the outlooks on the class B and class C tranches.

Performance of the transaction to date has been good, with loans in arrears by more than one month representing 0.26% of the current loan portfolio. As of February 2008, no loan was in arrears by more than three months. To prevent the occurrence of delinquent loans, the debt service division of JSC Vneshtorgbank (VTB) contacts borrowers, and third party guarantors if necessary, within the three days leading up to the due date. Most arrears are cured within two business days.
The transaction also benefits from an international payment facility that will cover senior expenses and pay interest to class A noteholders for 18 consecutive months in case a transfer restriction and/or convertibility event occurs.

The originator of the mortgage portfolio is VTB ('BBB+'/'F2'/Outlook Stable), the second largest bank in the Russian Federation by assets and equity. The transaction is a securitisation of first lien US dollar-denominated residential mortgage loans secured on property located in the Russian Federation ('BBB+'/'F2'/Outlook Stable). The ratings address the timely payment of interest and ultimate payment of principal in accordance with the terms of the notes.
Fitch has employed its credit cover multiple methodology in reviewing this transaction to assess the credit support available to each class of notes.
Rating Outlooks for European Structured Finance tranches provide forward-looking information to the market. An Outlook indicates the likely direction of any rating change over a one- to two-year period. For further information on Rating Outlooks, refer to "Scanning the Horizon - Rating Outlooks in European Structured Finance", dated 1 June 2007 on www.fitchratings.com.

Issue: VTB, 2034-A (RMBS, FRN)

StatusCountry of riskMaturity (option)AmountIssue ratings (M/S&P/F)
early redeemedRussia05/15/203474,200,000 USD-/-/Withdrawn

Company: VTB

Full company nameBank VTB (PJSC)
Country of riskRussia
Country of registrationRussia


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