DBRS Assigns Rating to Atlantes Mortgage N º 2 (Atlantes 2) Notes

DBRS Ratings Limited (DBRS) has assigned ratings to the following notes issued under Atlantes Mortgage N º 2 (Atlantes 2, issuer):

• AA (sf) rating to the Class A notes aggregating EUR 251,345,036 paying a margin of 0.33% over 3 months Euribor;

The Class B and Class C notes, which are junior to the above class of note, are not rated.

Atlantes 2 is a securitisation of a portfolio of first ranking Portuguese residential mortgages funded by the issuance of three classes of mortgage backed notes. The mortgages were originated and are to be serviced by Banco Internacional do Funchal, S.A (Banif). Atlantes 2 originally closed in March 2008.

The rating is based upon review by DBRS of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination, a reserve fund and the possibility of excess spread. The Class A is the senior class of notes in the structure and will be supported by Class B and C subordinated notes and an amortising reserve fund of EUR16.125m at the date of DBRS assigning its rating.

• The credit quality of the mortgages backing the notes and ability of the Servicer to perform collection activities on the mortgages.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

• The ability of counterparties, including the collections account and reserve fund bank to fulfil their obligations.

• As the transaction documents do not allow for replacement of the swap provider in the event of certain downgrade events, DBRS analysed the transaction without giving any benefit to the interest rate swap that exists within the transaction.

DBRS applied its Portuguese RMBS Criteria to assess the mortgage loss on the underlying mortgage portfolio for Atlantes 2.

Note:
All figures are in EUR unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include data relating historical performance and repossession data from Banif, performance history of the transaction since close of the transaction and performance history of publicly rated Portuguese RMBS deals. 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.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

For additional information on these ratings, please refer to the linking document.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: May 14, 2012