London, 16 July 2015 -- Moody's Investors Service has today upgraded the ratings of 26 tranches
and affirmed 14 tranches in 10 Portuguese RMBS transactions. Today's
rating actions conclude the review that Moody's initiated on 20 March
2015 (see "Moody's takes actions on multiple EMEA RMBS and ABS notes'
ratings"). In addition, Moody's Investors Service is
taking actions on Magellan Mortgages No. 1 plc and Magellan Mortgages
No. 4 plc following completion of rating review actions of banks
and assignment of Counterparty Risk Assessment ("CR Assessment").
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating actions reflect (1) the update of several of Moody's cross-sector,
primary and secondary rating methodologies for structured finance securities,
to incorporate the new Counterparty Risk (CR) Assessment that it introduced
for banks as part of its revised bank rating methodology (see "Banks"
published on March 16, 2015) and (2) completion of rating review
actions of banks and the assignment of its Counterparty Risk Assessment
to the relevant Portuguese and other banks acting as counterparties to
the affected transactions, following the application of Moody's
bank methodology.
Moody's has also affirmed or confirmed the ratings of the notes where
the current Credit Enhancement was commensurate with the current ratings.
APPLICATION OF MOODY'S STRUCTURED FINANCE RATING METHODOLOGIES
Moody's updated several of its cross-sector methodologies to incorporate
the CR Assessments in its analysis of structured finance transactions
in March 2015 (see "Banks"). Moody's now matches banks' exposure
in structured finance transactions to one of three reference points:
the CR Assessment, bank deposit rating or senior unsecured rating.
Moody's has used CR Assessments in its analysis to measure the risk of
default for (1) operational risk exposures (specifically exposures to
servicers); (2) exposures to swap counterparties; and (3) exposures
to servicers in relation to commingling risk.
Moody's has used the bank deposit rating to measure the default risk for
exposures associated with account banks. Additionally, for
bank-related exposures (e.g., deposits held
at a defaulting bank) Moody's has assumed a recovery rate of 45%
in instances when the risk is measured or modelled.
REVISION OF KEY COLLATERAL ASSUMPTIONS
The key collateral assumptions for all transactions remain unchanged as
part of this review. The performance of the underlying asset portfolios
remain in line with Moody's assumptions. Moody's also has
a stable outlook (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF387952)
for Portuguese RMBS transactions. The ratings were not subject
to an analysis on the sensitivity of key collateral assumptions.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework", published in January
2015. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
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 (1) lower sovereign risk; (2) better-than-expected
performance of the underlying collateral; (3) deleveraging of the
capital structure; and (4) improvements in the credit quality of
the transaction's counterparties.
Conversely, factors or circumstances that could lead to a downgrade
of the ratings include (1) higher sovereign risk; (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available credit enhancement; and (4) deterioration in the
credit quality of the transaction's counterparties.
List of Affected Ratings:
Issuer: Lusitano Mortgages No. 1 plc
....EUR915M Series A Notes, Affirmed
A1 (sf); previously on Jan 23, 2015 Upgraded to A1 (sf)
....EUR32.5M Series B Notes,
Upgraded to A1 (sf); previously on Mar 20, 2015 A3 (sf) Placed
Under Review for Possible Upgrade
....EUR25M Series C Notes, Upgraded
to Baa2 (sf); previously on Mar 20, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
....EUR22.5M Series D Notes,
Upgraded to B1 (sf); previously on Jan 23, 2015 Affirmed B2
(sf)
....EUR5M Series E Notes, Affirmed Caa1
(sf); previously on Jan 23, 2015 Affirmed Caa1 (sf)
Issuer: Lusitano Mortgages No. 2 plc
....EUR920M Series A Notes, Affirmed
A1 (sf); previously on Jan 23, 2015 Upgraded to A1 (sf)
....EUR30M Series B Notes, Upgraded
to A1 (sf); previously on Mar 20, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR28M Series C Notes, Upgraded
to Baa1 (sf); previously on Mar 20, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
....EUR16M Series D Notes, Upgraded
to Ba2 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under
Review for Possible Upgrade
....EUR6M Series E Notes, Upgraded to
B3 (sf); previously on Jan 23, 2015 Affirmed Caa2 (sf)
Issuer: Lusitano Mortgages No. 3 plc
....EUR1140M Series A Notes, Upgraded
to A2 (sf); previously on Mar 20, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
....EUR27M Series B Notes, Upgraded
to Ba2 (sf); previously on Mar 20, 2015 B1 (sf) Placed Under
Review for Possible Upgrade
....EUR18.6M Series C Notes,
Upgraded to B1 (sf); previously on Jan 23, 2015 Upgraded to
B3 (sf)
....EUR14.4M Series D Notes,
Upgraded to B3 (sf); previously on Jan 23, 2015 Upgraded to
Caa1 (sf)
Issuer: Lusitano Mortgages No. 4 plc
....EUR1134M Series A Notes, Upgraded
to A1 (sf); previously on Mar 20, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
....EUR22.8M Series B Notes,
Upgraded to Ba1 (sf); previously on Mar 20, 2015 B3 (sf) Placed
Under Review for Possible Upgrade
....EUR19.2M Series C Notes,
Upgraded to B3 (sf); previously on Jan 23, 2015 Affirmed Caa1
(sf)
....EUR24M Series D Notes, Affirmed
Caa3 (sf); previously on Jan 23, 2015 Affirmed Caa3 (sf)
Issuer: Lusitano Mortgages No. 6 Limited
....EUR943.25M Series A Notes,
Upgraded to A1 (sf); previously on Mar 20, 2015 Baa3 (sf) Placed
Under Review for Possible Upgrade
....EUR65.45M Series B Notes,
Upgraded to Baa3 (sf); previously on Mar 20, 2015 Ba3 (sf)
Placed Under Review for Possible Upgrade
....EUR41.8M Series C Notes,
Upgraded to B3 (sf); previously on Jan 23, 2015 Affirmed Caa1
(sf)
....EUR17.6M Series D Notes,
Affirmed Caa3 (sf); previously on Jan 23, 2015 Affirmed Caa3
(sf)
Issuer: Magellan Mortgages No. 1 plc
....EUR942.5M Series A Notes,
Affirmed A1 (sf); previously on Jan 23, 2015 Upgraded to A1
(sf)
....EUR37M Series B Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Affirmed Baa2 (sf)
....EUR20.5M Series C Notes,
Affirmed Ba3 (sf); previously on Jan 23, 2015 Upgraded to Ba3
(sf)
Issuer: Magellan Mortgages No. 3 plc
....EUR1413.75M Series A Notes,
Upgraded to A3 (sf); previously on Mar 20, 2015 Baa3 (sf) Placed
Under Review for Possible Upgrade
....EUR33.75M Series B Notes,
Upgraded to Ba2 (sf); previously on Feb 6, 2015 Affirmed B1
(sf)
....EUR15.75M Series C Notes,
Upgraded to B2 (sf); previously on Feb 6, 2015 Affirmed B3
(sf)
....EUR36.75M Series D Notes,
Affirmed Caa1 (sf); previously on Feb 6, 2015 Affirmed Caa1
(sf)
Issuer: Magellan Mortgages No. 4 plc
....EUR1413.75M Series A Notes,
Affirmed Baa1 (sf); previously on May 15, 2015 Upgraded to
Baa1 (sf)
....EUR33.75M Series B Notes,
Upgraded to Ba3 (sf); previously on May 15, 2015 Upgraded to
B1 (sf)
....EUR18.75M Series C Notes,
Affirmed B3 (sf); previously on May 15, 2015 Affirmed B3 (sf)
....EUR33.75M Series D Notes,
Upgraded to Caa2 (sf); previously on May 15, 2015 Affirmed
Caa3 (sf)
Issuer: PELICAN MORTGAGES NO. 1 PUBLIC LIMITED COMPANY
....EUR611M Series A Notes, Affirmed
A1 (sf); previously on Jan 23, 2015 Upgraded to A1 (sf)
....EUR16.25M Series B Notes,
Affirmed A1 (sf); previously on Jan 23, 2015 Upgraded to A1
(sf)
....EUR22.75M Series C Notes,
Upgraded to A1 (sf); previously on Mar 20, 2015 Baa1 (sf) Placed
Under Review for Possible Upgrade
Issuer: PELICAN MORTGAGES NO. 3 PUBLIC LIMITED COMPANY
....EUR717.375M Series A Notes,
Upgraded to Baa1 (sf); previously on Mar 20, 2015 Baa3 (sf)
Placed Under Review for Possible Upgrade
....EUR14.25M Series B Notes,
Upgraded to Ba3 (sf); previously on Mar 20, 2015 B1 (sf) Placed
Under Review for Possible Upgrade
....EUR12M Series C Notes, Affirmed
B3 (sf); previously on Jan 23, 2015 Upgraded to B3 (sf)
....EUR6.375M Series D Notes,
Affirmed Caa2 (sf); previously on Jan 23, 2015 Upgraded to
Caa2 (sf)
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 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.
Cristina Quintana
Associate 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
Carole Bernard
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Christophe Larpin
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 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
SUBSCRIBERS: 44 20 7772 5454
Moody's upgrades 26 tranches' ratings in 10 Portuguese RMBS deals
