Madrid, June 22, 2010 -- Moody's Investors Service has today placed on review for possible
downgrade Aaa and Aa ratings on 23 residential mortgage-backed
securities (RMBS) and 3 asset-backed securities (ABS) backed by
Portuguese asset pools listed at the end of this release. This
review was triggered by Moody's decisions on 5 May 2010 to place
on review for possible downgrade the Aa2 rating on Portugal's government
bonds as well as the ratings of the country's rated banks.
Certain other transactions that have high levels of credit enhancement
or external guarantees are not subject to this review. The completion
of Moody's review of these ABS and RMBS ratings will be driven by
the conclusion of the ongoing review of Portugal's sovereign and
bank ratings.
Benefits of EU Membership Support Ratings Higher than the Sovereign's
Ratings
Securitized transactions can maintain ratings higher than Portugal's
government bond ratings because of two key benefits of EU membership.
Firstly, as a member of the EU, Portugal is unlikely to experience
a disruption to its national payment system. Secondly, membership
in the EU also significantly reduces the risk of non-enforceability
of contractual agreements and mitigates cross-border legal concerns.
Transaction Structures Designed for Severe Stress Scenarios
Moody's rates transactions to the highest rating levels only if
their structural features, including credit enhancement, mitigants
to operational risk, and liquidity support, are sufficient
to withstand extreme scenarios. Portuguese structured finance transactions
could still maintain ratings in the Aaa and Aa categories if the transactions
can survive counterparty downgrades and stresses to collateral performance
that include adjustments reflecting current circumstances.
Credit Enhancement Stress Scenarios
In placing on review certain ratings of the Portuguese ABS and RMBS,
Moody's considered the likely performance of the transactions in
the context of several stress scenarios that assume various combinations
of a restructuring of the government's debt, a banking system
crisis, and a more severe version of the current austerity plan.
Moody's will ultimately determine a probability for these extreme
scenarios in line with the outcome of the Portuguese government and bank
rating reviews.
After applying the stressed scenarios, Moody's identified
certain securities that it would not place under review. RMBS that
have credit enhancement levels above 25% or 40% and ABS
that have credit enhancement levels above 40% or 60% remain
consistent with a Aaa rating. Moody's also did not place
under review ABS notes benefitting from an external guarantee from the
European Investment Fund (rated Aaa).
Operational Risk and Liquidity
Given the ongoing review for possible downgrade of the Portuguese banks'
senior debt ratings, Moody's will also consider the impact
of bank downgrades on a transaction for which one of those banks is a
key party. Risk of a payment disruption on RMBS and ABS arises
if a key party fails to perform its role, including servicing,
cash management, or acting as the liquidity provider to the transaction.
Our review will include an assessment of the structural features that
mitigate the exposure to these banks.
List of rating actions
Issuer: Atlantes Mortgage No. 1 PLC
....EUR462.5M A Certificate,
Aaa Placed Under Review for Possible Downgrade; previously on Feb
19, 2003 Definitive Rating Assigned Aaa
Issuer: Bocage Mortgages No. 1 Limited
....EUR892.1M A Notes, Aaa Placed
Under Review for Possible Downgrade; previously on Dec 19,
2008 Assigned Aaa
Issuer: Bocage Mortgages No. 2 Limited
....EUR1144.95M A Notes, Aaa
Placed Under Review for Possible Downgrade; previously on Dec 4,
2009 Assigned Aaa
Issuer: Caravela SME No.1 Limited
....EUR2184M A Notes, Aaa Placed Under
Review for Possible Downgrade; previously on Nov 28, 2008 Assigned
Aaa
....EUR52.5M B Notes, Aa2 Placed
Under Review for Possible Downgrade; previously on Nov 28,
2008 Assigned Aa2
Issuer: Douro Mortgages No. 1 Notes
....EUR1434M A Certificate, Aaa Placed
Under Review for Possible Downgrade; previously on Nov 23,
2005 Definitive Rating Assigned Aaa
....EUR24.75M B Certificate,
Aa2 Placed Under Review for Possible Downgrade; previously on Nov
23, 2005 Definitive Rating Assigned Aa2
Issuer: Douro Mortgages No. 2
....EUR315M A1 Certificate, Aaa Placed
Under Review for Possible Downgrade; previously on Oct 3, 2006
Definitive Rating Assigned Aaa
....EUR1125M A2 Certificate, Aaa Placed
Under Review for Possible Downgrade; previously on Oct 3, 2006
Definitive Rating Assigned Aaa
....EUR27.75M B Certificate,
Aa3 Placed Under Review for Possible Downgrade; previously on Oct
3, 2006 Definitive Rating Assigned Aa3
Issuer: Douro Mortgages No. 3
....EUR1441.5M A Certificate,
Aaa Placed Under Review for Possible Downgrade; previously on Jul
31, 2007 Definitive Rating Assigned Aaa
Issuer: SAGRES Sociedade de Titularização de Créditos,
S.A. (Douro SME Series 1)
....EUR445M A Notes, Aaa Placed Under
Review for Possible Downgrade; previously on Apr 12, 2005 Definitive
Rating Assigned Aaa
Issuer: Hipototta No1. PLC
....EUR1053.2M A Bond, Aaa Placed
Under Review for Possible Downgrade; previously on Aug 5, 2003
Assigned Aaa
Issuer: Hipototta NO. 4 PLC
....EUR2349.6M A Notes, Aaa Placed
Under Review for Possible Downgrade; previously on Feb 22,
2007 Assigned Aaa
Issuer: Hipototta No 5 plc
....EUR1693M A2 Notes, Aaa Placed Under
Review for Possible Downgrade; previously on Mar 23, 2007 Definitive
Rating Assigned Aaa
....EUR26M B Notes, Aa2 Placed Under
Review for Possible Downgrade; previously on Mar 23, 2007 Definitive
Rating Assigned Aa2
Issuer: Hipototta No.7 Limited
....EUR1596M A2 Notes, Aaa Placed Under
Review for Possible Downgrade; previously on Mar 10, 2008 Assigned
Aaa
....EUR60M B Notes, Aa2 Placed Under
Review for Possible Downgrade; previously on Mar 10, 2008 Assigned
Aa2
Issuer: Hipototta No. 8 Limited
....EUR1021.9M A2 Notes, Aaa
Placed Under Review for Possible Downgrade; previously on Jul 28,
2008 Assigned Aaa
....EUR40.6M B Notes, Aa3 Placed
Under Review for Possible Downgrade; previously on Jul 28,
2008 Assigned Aa3
Issuer: Hipototta NO. 10 LIMITED
....EUR927.5M A Notes, Aaa Placed
Under Review for Possible Downgrade; previously on Aug 5, 2009
Assigned Aaa
....EUR20M B Notes, Aa3 Placed Under
Review for Possible Downgrade; previously on Aug 5, 2009 Assigned
Aa3
Issuer: Lusitano Mortgages No. 1 PLC
....EUR915M A Bond, Aaa Placed Under
Review for Possible Downgrade; previously on Dec 16, 2002 Definitive
Rating Assigned Aaa
....EUR32.5M B Bond, Aa3 Placed
Under Review for Possible Downgrade; previously on Dec 16,
2002 Definitive Rating Assigned Aa3
Issuer: Lusitano Mortgages No. 2 PLC
....EUR920M A Bond, Aaa Placed Under
Review for Possible Downgrade; previously on Nov 4, 2003 Definitive
Rating Assigned Aaa
....EUR30M B Bond, Aa3 Placed Under
Review for Possible Downgrade; previously on Nov 4, 2003 Definitive
Rating Assigned Aa3
Issuer: Lusitano Mortgages No. 3 PLC
....EUR1140M A Bond, Aaa Placed Under
Review for Possible Downgrade; previously on Sep 29, 2008 Confirmed
at Aaa
....EUR27M B Bond, Aa2 Placed Under
Review for Possible Downgrade; previously on Sep 29, 2008 Confirmed
at Aa2
Issuer: Lusitano Mortgages No.6 Limited
....EUR943.25M A Certificate,
Aaa Placed Under Review for Possible Downgrade; previously on Jul
30, 2007 Definitive Rating Assigned Aaa
....EUR65.45M B Certificate,
Aa3 Placed Under Review for Possible Downgrade; previously on Jul
30, 2007 Definitive Rating Assigned Aa3
Issuer: Magellan Mortgages No. 1 Public Limited Company
....EUR942.5M A Bond, Aaa Placed
Under Review for Possible Downgrade; previously on Dec 19,
2001 Definitive Rating Assigned Aaa
Issuer: Magellan Mortgages No. 2 PLC
....EUR930M A Bond, Aaa Placed Under
Review for Possible Downgrade; previously on Oct 27, 2003 Definitive
Rating Assigned Aaa
Issuer: Magellan Mortgages No. 3 plc
....EUR1413.75M A Certificate,
Aaa Placed Under Review for Possible Downgrade; previously on Jul
1, 2005 Definitive Rating Assigned Aaa
Issuer: Magellan mortgages no. 4 plc
....EUR1413.75M A Certificate,
Aaa Placed Under Review for Possible Downgrade; previously on Jul
18, 2006 Definitive Rating Assigned Aaa
....EUR33.75M B Certificate,
Aa3 Placed Under Review for Possible Downgrade; previously on Jul
18, 2006 Definitive Rating Assigned Aa3
Issuer: NOVA Finance No. 4 Limited
....EUR644M A Certificate, Aaa Placed
Under Review for Possible Downgrade; previously on Dec 21,
2007 Assigned Aaa
....EUR14M B Certificate, Aa2 Placed
Under Review for Possible Downgrade; previously on Dec 21,
2007 Assigned Aa2
Issuer: Nostrum Mortgages 2003-1 PLC
....EUR980M A Bond, Aaa Placed Under
Review for Possible Downgrade; previously on Nov 20, 2003 Definitive
Rating Assigned Aaa
Issuer: Pelican Mortgages No. 2 Plc
....EUR659.75M A Bond, Aaa Placed
Under Review for Possible Downgrade; previously on Sep 29,
2003 Definitive Rating Assigned Aaa
Issuer: Pelican Mortgages No.3 plc
....EUR717.375M A Notes, Aaa
Placed Under Review for Possible Downgrade; previously on Mar 30,
2007 Definitive Rating Assigned Aaa
....EUR14.25M B Notes, Aa2 Placed
Under Review for Possible Downgrade; previously on Mar 30,
2007 Definitive Rating Assigned Aa2
All principal methodologies that Moody's applies when rating structured
finance transactions are available on www.moodys.com in
the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in this Rating Methodologies sub-directory. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
For further information, please visit our website directly or contact
Moody's Client Service Desk (+44 20) 7772 5454.
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Madrid
Maria Turbica Manrique
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places on review for downgrade 26 Portuguese ABS/RMBS ratings