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