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Fitch Affirms Red & Black Prime Russia No. 1 Limited

February 20, 2008 | Сbonds

Fitch Ratings-London-20 February 2008: Fitch Ratings has today affirmed the notes of Red & Black Prime Russia No. 1 Limited, as follows:

Class A (ISIN XS0294882823): affirmed at 'A'; Outlook Stable

Class B (ISIN XS0294883987): affirmed at 'BBB+'; Outlook Stable

Class C (ISIN XS0294884282): affirmed at 'BB+'; Outlook Stable

Fitch has affirmed the initial rating of class A notes, which were assigned a rating of one notch above the current Country Ceiling of the Russian Federation (affirmed at 'A-' (A minus) in August 2007). The basis for this rating was a liquidity facility, provided by Societe Generale ('AA-' (AA minus)/'F1+'/Outlook Stable), which will be available in case a transfer and convertibility event occurs. During such an event, senior expenses and interest due on the class A notes will be paid using these funds for a period of up to six consecutive months.

The transaction closed in April 2007, and since then the pool of mortgage loans has been amortising at an average annualised rate of 20.33%. The notes are subject to a pro-rata test, which to date has not been satisfied. Instead, they have been redeemed sequentially, and, as of January 2008, their current balance stood at 82.38% of the initial amount. Apart from the subordination, credit enhancement to the senior notes is also provided by the reserve fund, which was at its target amount as of the last reporting period.

The investor reports received to date show a good performance of the portfolio, with loans in arrears by more than one month representing 0.38% of the current loan portfolio, while arrears greater than three months stood at 0.10%.
The originator and servicer of the mortgage portfolio is DeltaCredit CJSC, a financial institution specialised in residential mortgage lending, wholly owned by Societe Generale. 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: DeltaCredit Bank, 2035-A (RMBS, FRN)

StatusCountry of riskMaturity (option)AmountIssue ratings (M/S&P/F)
early redeemedRussia01/19/2035173,200,000 USD-/-/-

Company: DeltaCredit Bank

Full company nameCommercial bank DeltaCredit Joint stock company
Country of riskRussia
Country of registrationRussia
IndustryBanks

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