DBRS Takes Rating Actions on Portuguese RMBS Transactions

DBRS Ratings Limited (DBRS) has today taken rating actions on 16 classes from 16 Portuguese RMBS transactions. From the 16 classes, 15 classes were confirmed and the remaining 1 class remains Under Review with Negative Implications. Additionally, DBRS has removed all confirmed Notes from Under Review with Negative Implications. The Class A notes of Lusitano Mortgages No.7 Limited Under Review with Negative Implications owing to an observed rise in late stage delinquencies and uncured PDL balances. DBRS will undertake a detailed analysis of this transaction as soon as possible. The notes of all other transactions listed below have been confirmed.

The rating actions are based upon the following analytical considerations:
• Confirmation of the Republic of Portugal’s sovereign rating at BBB (low), with the Negative Trend maintained (see “DBRS Confirms Portugal at BBB (low) with Negative Trend”).
• The transaction parties continue to meet DBRS criteria.

The following transactions were reviewed:
• Atlantes Mortgage N º 2
• Atlantes Mortgage N º 3
• Atlantes Mortgage N º 4
• Atlantes Mortgage N º 5
• Atlantes Mortgage N º 7
• Bocage Mortgages No. 2
• GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2)
• Hipototta No. 7 Limited
• Lusitano Mortgages No.7 Limited
• Nostrum Mortgages No. 2
• Pelican Mortgages No. 4
• Pelican Mortgages No. 5
• Pelican Mortgages No. 6
• Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 4
• Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 5
• TAGUS Sociedade de Titularização de Créditos, S.A (Aqua Mortgage No. 1)

Notes:
The principal methodologies applicable are:
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology 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 investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please see linking document

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Erin Stafford