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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

Moody's upgrades 7 tranches' ratings in 5 Portuguese RMBS deals, 11 affirmed

21 Dec 2016

London, 21 December 2016 -- Moody's Investors Service has today upgraded the ratings of 7 notes in 5 Portuguese RMBS. The rating action reflects:

- 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.

Please refer to the end of the Ratings Rationale section for a list of affected ratings.

RATINGS RATIONALE

The rating action is prompted by:

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

Increase in Available Credit Enhancement

Sequential amortization and non-amortising reserve funds and /or trapping of excess spread led to the increase in the credit enhancement available in these transactions.

Moody's assessed the exposure to Banco Santander S.A. (Spain) and The Royal Bank of Scotland plc acting as swap counterparties, respectively for HIPOTOTTA NO. 1 PLC and Magellan Mortgages No. 2 plc . Moody's analysis considered the risks of additional losses on the notes if they were to become unhedged following a swap counterparty default by using the CR Assessment as reference point for swap counterparties. Moody's concluded that the ratings of the C notes of both transactions are constrained by the swap agreement entered between the issuer and Banco Santander S.A. (Spain) and The Royal Bank of Scotland plc, respectively for HIPOTOTTA NO. 1 PLC and Magellan Mortgages No. 2 plc .

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2016. 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 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) performance of the underlying collateral that is better than Moody's expected, (2) deleveraging of the capital structure and (3) improvements in the credit quality of the transaction counterparties [and (4) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties.

LIST OF AFFECTED RATINGS:

Issuer: Azor Mortgages Public Limited Company

....EUR253M A Notes, Affirmed A1 (sf); previously on Jan 28, 2016 Affirmed A1 (sf)

....EUR19M B Notes, Affirmed A1 (sf); previously on Jan 28, 2016 Affirmed A1 (sf)

....EUR9M C Notes, Upgraded to A3 (sf); previously on Jan 28, 2016 Upgraded to Baa1 (sf)

Issuer: HIPOTOTTA NO. 1 PLC

....EUR1053.2M A Notes, Affirmed A1 (sf); previously on May 6, 2016 Affirmed A1 (sf)

....EUR32.5M B Notes, Affirmed A1 (sf); previously on May 6, 2016 Upgraded to A1 (sf)

....EUR14.3M C Notes, Upgraded to A3 (sf); previously on May 6, 2016 Affirmed Baa1 (sf)

Issuer: Lusitano Mortgages No. 1 plc

....EUR915M A Notes, Affirmed A1 (sf); previously on May 6, 2016 Affirmed A1 (sf)

....EUR32.5M B Notes, Affirmed A1 (sf); previously on May 6, 2016 Affirmed A1 (sf)

....EUR25M C Notes, Upgraded to A1 (sf); previously on May 6, 2016 Upgraded to Baa1 (sf)

....EUR22.5M D Notes, Upgraded to Ba2 (sf); previously on May 6, 2016 Upgraded to Ba3 (sf)

....EUR5M E Notes, Affirmed Caa1 (sf); previously on May 6, 2016 Affirmed Caa1 (sf)

Issuer: Lusitano Mortgages No. 4 plc

....EUR1134M A Notes, Affirmed A1 (sf); previously on Jul 16, 2015 Upgraded to A1 (sf)

....EUR22.8M B Notes, Upgraded to Baa3 (sf); previously on Jul 16, 2015 Upgraded to Ba1 (sf)

....EUR19.2M C Notes, Upgraded to B2 (sf); previously on Jul 16, 2015 Upgraded to B3 (sf)

....EUR24M D Notes, Affirmed Caa3 (sf); previously on Jul 16, 2015 Affirmed Caa3 (sf)

Issuer: Magellan Mortgages No. 2 plc

....EUR930M A Notes, Affirmed A1 (sf); previously on Nov 27, 2015 Affirmed A1 (sf)

....EUR40M B Notes, Affirmed A1 (sf); previously on Nov 27, 2015 Affirmed A1 (sf)

....EUR25M C Notes, Upgraded to A3 (sf); previously on Nov 27, 2015 Upgraded to Baa1 (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 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 analyst and the Moody's legal entity that has issued the ratings.

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
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

Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
Telephone:+39-02-9148-1100

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

No Related Data.
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