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Rating Action:

Moody's upgrades 13 ratings in 6 Portuguese RMBS

10 Jul 2018
NOTE: On July 11, 2018, the press release was corrected as follows: In the debt list, for Magellan Mortgages No. 3 plc, the date of the previous rating actions for the A, B, and C Notes was changed to Jul 16, 2015. Revised release follows.

London, 10 July 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of 13 tranches and affirmed 13 tranches in 6 Portuguese RMBS transactions.

The rating action reflects:

- Better than expected collateral performance.

- The increased levels of credit enhancement for the affected Notes.

Moody's affirmed the ratings of the Notes that had sufficient credit enhancement to maintain current rating on the affected Notes.

Issuer: Lusitano Mortgages No. 1 plc

....EUR915.00M A Notes, Affirmed A1 (sf); previously on Dec 21, 2016 Affirmed A1 (sf)

....EUR32.50M B Notes, Affirmed A1 (sf); previously on Dec 21, 2016 Affirmed A1 (sf)

....EUR25.00M C Notes, Affirmed A1 (sf); previously on Dec 21, 2016 Upgraded to A1 (sf)

....EUR22.50M D Notes, Upgraded to Baa2 (sf); previously on Jul 27, 2017 Upgraded to Ba1 (sf)

....EUR5.00M E Notes, Upgraded to B3 (sf); previously on Dec 21, 2016 Affirmed Caa1 (sf)

Issuer: Magellan Mortgages No. 3 plc

....EUR1413.75M A Notes, Upgraded to A2 (sf); previously on Jul 16, 2015 Upgraded to A3 (sf)

....EUR33.75M B Notes, Upgraded to Ba1 (sf); previously on Jul 16, 2015 Upgraded to Ba2 (sf)

....EUR15.75M C Notes, Upgraded to Ba3 (sf); previously on Jul 16, 2015 Upgraded to B2 (sf)

....EUR36.75M D Notes, Affirmed B3 (sf); previously on Jul 27, 2017 Upgraded to B3 (sf)

Issuer: Magellan Mortgages No. 4 plc

....EUR1413.75M A Notes, Upgraded to A3 (sf); previously on Jun 20, 2016 Downgraded to Baa1 (sf)

....EUR33.75M B Notes, Affirmed Ba3 (sf); previously on Jun 20, 2016 Downgraded to Ba3 (sf)

....EUR18.75M C Notes, Affirmed B3 (sf); previously on May 6, 2016 Affirmed B3 (sf)

....EUR33.75M D Notes, Affirmed Caa2 (sf); previously on May 6, 2016 Affirmed Caa2 (sf)

Issuer: PELICAN MORTGAGES NO. 3

....EUR717.38M A Notes, Upgraded to A2 (sf); previously on May 6, 2016 Upgraded to A3 (sf)

....EUR14.25M B Notes, Affirmed Ba1 (sf); previously on Jul 27, 2017 Upgraded to Ba1 (sf)

....EUR12.00M C Notes, Affirmed B2 (sf); previously on May 6, 2016 Upgraded to B2 (sf)

....EUR6.38M D Notes, Affirmed Caa1 (sf); previously on May 6, 2016 Upgraded to Caa1 (sf)

Issuer: Atlantes Mortgages No.1 Plc

....EUR462.50M A Notes, Affirmed A1 (sf); previously on Jan 28, 2016 Affirmed A1 (sf)

....EUR22.50M B Notes, Affirmed A1 (sf); previously on Jan 28, 2016 Affirmed A1 (sf)

....EUR12.50M C Notes, Upgraded to A2 (sf); previously on Jan 28, 2016 Upgraded to Baa2 (sf)

....EUR2.50M D Notes, Upgraded to Ba2 (sf); previously on Jan 28, 2016 Upgraded to B2 (sf)

Issuer: HIPOTOTTA NO. 5 PLC

....EUR1693.00M A2 Notes, Affirmed A1 (sf); previously on May 6, 2016 Affirmed A1 (sf)

....EUR26.00M B Notes, Upgraded to A1 (sf); previously on Jul 27, 2017 Upgraded to A2 (sf)

....EUR24.00M C Notes, Upgraded to A3 (sf); previously on May 6, 2016 Upgraded to Baa2 (sf)

....EUR26.00M D Notes, Upgraded to Baa3 (sf); previously on Jul 27, 2017 Upgraded to Ba1 (sf)

....EUR31.00M E Notes, Upgraded to Ba3 (sf); previously on May 6, 2016 Affirmed B3 (sf)

RATINGS RATIONALE

The rating action is prompted by:

- Decreased key collateral assumptions, namely the portfolio Expected Loss (EL) and Milan assumptions due to better than expected collateral performance.

- Deal deleveraging resulting in an increase in credit enhancement for the affected tranches.

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its lifetime loss expectation for PELICAN MORTGAGES NO. 3 and HIPOTOTTA NO. 5 PLC, reflecting the collateral performance to date.

Moody's decreased the EL assumption to 0.67% and 1.25% as a percentage of original pool balance from 0.86% and 1.63% for PELICAN MORTGAGES NO. 3 and HIPOTOTTA NO. 5 PLC respectively.

Moody's has also assessed loan-by-loan information as a part of its detailed transaction review to determine the credit support consistent with target rating levels and the volatility of future losses. As a result, Moody's has decreased the portfolio credit Milan assumption to 7.5% for HIPOTOTTA NO. 5 PLC. Moody's updated the MILAN CE due to the Minimum EL, Multiple EL, and a floor defined in Moody's updated methodology for rating EMEA RMBS transactions, for Magellan Mortgages No. 3 plc to 7.7%.

The other key collateral assumptions for the other transactions in this action remain unchanged.

Increase in Available Credit Enhancement:

Sequential amortization and non-amortising reserve funds, and trapping of excess spread led to the increase in the credit enhancement available in Lusitano Mortgages No. 1 plc, Magellan Mortgages No. 4 plc, Atlantes Mortgages No.1 Plc and tranches B and C of HIPOTOTTA NO. 5 PLC.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2017. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of these ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to an upgrade of the ratings include (i) performance of the underlying collateral that is better than Moody's expected, (ii) deleveraging of the capital structure and (iii) improvements in the credit quality of the transaction counterparties, and (iv) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the ratings include (i) an increase in sovereign risk (ii) performance of the underlying collateral that is worse than Moody's expected, (iii) deterioration in the Notes' available credit enhancement, and (iv) deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

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

The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead rating analyst and the Moody's legal entity that has issued the ratings.

The person who approved Lusitano Mortgages No. 1 plc, Magellan Mortgages No. 3 plc, Magellan Mortgages No. 4 plc and PELICAN MORTGAGES NO. 3 credit ratings is Michelangelo Margaria, Senior Vice President/Manager, SFG, Journalists: 44 20 7772 5456, Client Services: 44 20 7772 5454. The person who approved Atlantes Mortgages No.1 Plc and HIPOTOTTA NO. 5 PLC credit ratings is Masako Oshima, Associate Managing Director, SFG, Journalists: 44 20 7772 5456, Client Services: 44 20 7772 5454.

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.

Lam Tran Ngoc
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Germain Fargue
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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