DBRS Assigns Ratings to Hipototta No. 8 Limited

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the Class A2 note issued by Hipototta No. 8 Limited. At the time of launch, the transaction was a €1.25 billion securitisation is backed by prime, mostly variable rate, first-lien mortgage loans secured by residential properties in Portugal. As of the last Interest Payment Date, the collateral balance stood at €980.59 million. The size of the rated A2 note is € 876,815,625 as at the last interest payment date. The mortgages were originated and serviced by Banco Santander Totta, S.A.

Hipototta No. 8 Limited issued seven classes of mortgaged-backed floating rate notes. The class A1 note has since been redeemed. The A2 is the most senior note in the structure and is supported by 4 classes of subordinated mortgage backed notes, Classes B, C, D and E and one residual note used to fund the reserve fund (Class F Notes). DBRS rates Class A2 only, which has 12.97% of credit support provided by subordination and a cash reserve fund.

The transaction will not have a revolving period and principal will be paid sequentially except in the situation where certain performance triggers are met when principal can be paid pro-rata amongst the classes. The cash reserve fund at the time of DBRS issuing its rating stood at €27.55 million

Interest and principal payments on the notes will be made quarterly on the 30th day of January, April, July and October in each year. The first following the issuance of the DBRS rating will be on the 30th April 2011.

Principal losses will be recorded by debiting the Principal Deficiency Ledger by an amount equal to any Deemed Principal Loss or Principal Draw Amount on each Payment Date as defined in the prospectus. Any interests remaining after paying Class A interest amount will be used to credit the Principal Deficiency Ledger until its balance is reduced to zero.

DBRS conducted loan-level credit analysis and cash flow analysis, as well as a historical performance review of BST’s mortgage portfolio dating back to Quarter 1 2003.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies with adjustments made for the Portuguese mortgages and the originator- and servicer-specific historical performance.

The sources of information used for this rating include data relating to the underlying mortgages provided by Banco Santander Totta, S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European ABS ratings, please refer to the linking document located below.

Alastair Bigley is the lead rating analyst and Claire Mezzanotte is the rating committee chair.