S&P: Rating On Russian RMBS Transaction CJSC 'Mortgage Agent AHML 2011-2' Placed On CreditWatch Positive

S&P Global Ratings today placed on CreditWatch positive its 'BB+ (sf)' credit rating on the class A2 notes issued by CJSC 'Mortgage Agent of AHML 2011-2'.

Today's CreditWatch positive placement follows our Feb. 23, 2018 raising of our long-term foreign currency sovereign credit rating on Russia to 'BBB-' from 'BB+' and the subsequent raising of our issuer credit rating (ICR) on VTB Bank JSC on March 6, 2018 (see "Russia-Based VTB Bank JSC Upgraded To 'BBB-/A-3' Following Similar Rating Action On The Sovereign; Outlook Stable," and "Russia Ratings Raised To 'BBB-/A-3' On Prudent Policy And Improved Monetary Transmission; Outlook Stable").

The March 2018 upgrade of VTB Bank raised the effective counterparty cap in this transaction to 'BBB' from 'BB+', according to the contractual replacement language in the transaction documents and following the application of our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). The transaction is also capped at our ICR on DPM. RF JSC (previously Agency for Housing Mortgage Lending OJSC; BB+/Positive/B) acting as a master servicer and a financial aid provider to the issuer (see "Rating Lowered In Russian RMBS Transaction CJSC 'Mortgage Agent of AHML 2011-2' Following Sovereign Downgrade," published on Feb. 10, 2015). We will review the scope of the transaction's dependency on DOM. RF, considering the significant increase in the available credit enhancement for the class A2 notes and the changes in the fast-evolving mortgage market in Russia since our previous review.

We aim to resolve the CreditWatch placement in the course of a full surveillance review within the next 90 days.
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