VTB Capital structured the first rated cash CLO of non-SME corporate loans and bonds with the ultimate risk located in the Russian Federation.

At closing, the portfolio of assets comprised 20 senior loans and nine publicly-rated loan participation notes that relate to metals and mining, banking, telecommunication and other industrial sectors.

Moody's Investor's Service said that the issuer is one of four special purpose vehicles incorporated in Ireland and functioning in operational alignment with three other issuers (Amicitia Finance Limited, Gaudium Finance Limited and Opes Finance Limited).

The four vehicles are not cross-collateralized and do not operate as a master trust structure. However, the notes issued by each of four vehicles are collateralized by equal exposures to the identical obligors.

Moody's has been advised that the four-SPV structure was designed to ensure compliance with certain regulatory limitations regarding single counterparty exposures.

The simultaneous issuance by each SPV was analyzed on a standalone basis while the inter-relationships between the four vehicles were also taken into account. The rating agency has assigned credit estimates to all non-publicly rated loans in the portfolio.

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