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Rating Action:

Moody's downgrades mezzanine notes in Atlantes Mortgages and Azor Mortgages Portuguese RMBS transactions

05 Jul 2013

NOTE: On July 10, 2013, the press release was revised as follows: In the first sentence of the fourth paragraph of the Ratings Rationale section, corrected "Italian receivables" to "Portuguese receivables." Revised release follows.

Frankfurt am Main, July 05, 2013 -- Moody's Investors Service has today downgraded the ratings of three mezzanine and one junior notes in two Portuguese residential mortgage-backed securities (RMBS) transactions: Atlantes Mortgages No.1 Plc and Azor Mortgages Public Limited Company. At the same time, Moody's confirmed the rating of junior note in Atlantes Mortgages No.1 Plc. Insufficiency of credit enhancement to address sovereign risk and counterparty exposure have prompted today's downgrade.

Today's rating action concludes the review of five notes placed on review on 11 September 2012, following Moody's adjustment of the Portuguese country ceiling to Baa3.

For a detailed list of affected ratings, see towards the end of the ratings rationale section.

RATINGS RATIONALE

Today's rating action primarily reflects the insufficiency of credit enhancement to address sovereign risk and counterparty exposure. Moody's confirmed the ratings of securities whose credit enhancement and structural features provided enough protection against sovereign and counterparty risk.

The determination of the applicable credit enhancement driving today's rating actions reflects the introduction of additional factors in Moody's analysis to better measure the impact of sovereign risk on structured finance transactions (see "Structured Finance Transactions: Assessing the Impact of Sovereign Risk", 11 March 2013). This report is Available on www.moodys.com and can be accessed via the following link: (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF319988).

-- Additional Factors Better Reflect Increased Sovereign Risk

Moody's has supplemented its analysis to determine the loss distribution of securitised portfolios with two additional factors, the maximum achievable rating in a given country (the Local Currency Country Risk Ceiling) and the applicable portfolio credit enhancement for this rating. With the introduction of these additional factors, Moody's intends to better reflect increased sovereign risk in its quantitative analysis, in particular for mezzanine and junior tranches.

The Portuguese country ceiling, and therefore the maximum rating that Moody's will assign to a domestic Portuguese issuer including structured finance transactions backed by Portuguese receivables, is Baa3. Moody's Individual Loan Analysis Credit Enhancement (MILAN CE) represents the required credit enhancement under the senior tranche for it to achieve the country ceiling. By lowering the maximum achievable rating for a given MILAN, the revised methodology alters the loss distribution curve and implies an increased probability of high loss scenarios.

-- Exposure to Counterparty Risk

The downgrades of Class B notes in both transactions reflects the set-off risks due to exposure to Banif SGPS SA (Caa1) acting as originator in both deals. Majority of obligors have a deposit or current account with the originator resulting in set-off exposure of 3.5% in Atlantes Mortgages and 4.1% in Azor Mortgages. Moody's took into account the presence of the Portuguese Government deposit guarantee scheme as loan by loan data was provided by the originator. Set-off exposure has been taken into account in the downgrade of the notes by reducing the amount of available credit support with the expected loss due to set-off.

The downgrades of Class C notes in both transaction reflects commingling risk due to exposure to Banif SGPS SA (Caa1) acting as servicer in both deals. Mortgages receipts in both deals are received into a collections account with Deutsche Bank AG, London branch and are transferred daily to the issuer account with Deutsche Bank AG. Despite these mitigants Moody's' assumed that one month of collections will be post upon Banif SGPS SA default.

OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES

In consideration of Moody's new adjustments, any further sovereign downgrade would negatively affect structured finance ratings through the application of the country ceiling or maximum achievable rating, as well as potentially increased portfolio credit enhancement requirements for a given rating.

As the euro area crisis continues, the ratings of structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could further negatively affect the ratings of the notes.

The methodologies used in these ratings were Moody's Approach to Rating RMBS Using the MILAN Framework published in May 2013 and The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

In reviewing these transactions, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

In the context of the rating review, the transactions have been remodelled and some inputs have been adjusted to reflect the new approach described above.

LIST OF AFFECTED RATINGS

Issuer: Atlantes Mortgages No.1 Plc

....EUR22.5M B Notes, Downgraded to Ba2 (sf); previously on Sep 11, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

....EUR12.5M C Notes, Downgraded to B3 (sf); previously on Sep 11, 2012 B2 (sf) Placed Under Review for Possible Downgrade

....EUR2.5M D Notes, Confirmed at Caa1 (sf); previously on Sep 11, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Azor Mortgages Public Limited Company

....EUR19M B Notes, Downgraded to Ba1 (sf); previously on Sep 11, 2012 Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade

....EUR9M C Notes, Downgraded to Ba3 (sf); previously on Sep 11, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

In conducting surveillance of this credit, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on this transaction on a periodic basis, at least annually.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Sebastian?Schranz
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Christophe?de Noaillat
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Lyudmila Udot
Asst Vice President-Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades mezzanine notes in Atlantes Mortgages and Azor Mortgages Portuguese RMBS transactions

No Related Data.
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