DBRS Morningstar Upgrades 12 European Structured Finance Transactions, Following Portugal Sovereign Rating Upgrade

DBRS Ratings GmbH and DBRS Ratings Limited (together, DBRS Morningstar) upgraded 12 tranches across 12 Portuguese structured finance transactions. The upgrades reflect the Republic of Portugal’s (Portugal) Long-Term Foreign and Local Currency – Issuer Rating upgrade to BBB (high) with a Stable trend, from BBB with a Positive trend, on 4 October 2019 (see DBRS Morningstar’s press release titled “DBRS Morningstar Upgrades Republic of Portugal to BBB (high), Stable Trend”).

Following the rating action on the sovereign, the ratings of ten tranches across ten RMBS transactions have been upgraded by one notch, while one tranche of one SME transaction was upgraded by two notches. Lastly, one tranche of one Portuguese electricity tariff securitisation was upgraded by one notch, given the link between the performance of this transaction and the creditworthiness of the Portuguese sovereign.

DBRS Morningstar reviewed the impact of the reduced country risk for all the transactions in accordance with “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

Additionally, the reviews of the transactions incorporated the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults, as of the latest payment date for each transaction;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining collateral portfolios; and
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels.

DBRS Morningstar structured finance ratings within countries belonging to a monetary union may be up to three rating categories above the sovereign (e.g., from BBB to AAA). Following the sovereign upgrade, DBRS Morningstar adjusted the additional stresses applied to account for potential currency depreciation and capital controls in the unlikely scenario of a Portuguese euro zone exit.

The complete list of ratings affected can be found at the end of this press release.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”, except for Lusitano SME No. 3 where the principal methodology applicable to the rating is the “Rating CLOs Backed by Loans to European SMEs” methodology. DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

A review of the transactions legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions for each transaction.

Other methodologies referenced in these transactions are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

Finally, all the rating actions include the impact of the upgrade of the sovereign rating of Portugal, as detailed in the rating action taken on 4 October 2019, as a source of data and information.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments for 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, Azor 2, Lusitano Mortgages No. 7 Limited, Pelican Mortgages No. 5, Pelican Mortgages No. 6, Aqua Mortgage No. 1 and Volta IV Electricity Receivables Securitisation. However, this did not impact the rating analysis.

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessment for Lusitano SME No. 3. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and the information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action date for each transaction is listed at the end of this press release, along with the sensitivity analysis and further analytical information used to take the rating upgrades.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
London EC3M 3BY United Kingdom
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of these transactions can be found at
http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- Rating CLOs Backed by Loans to European SMEs
-- Rating CLOs and CDOs of Large Corporate Credit
-- Rating Portuguese Electricity Tariff Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375

For more information on these credits or on these industries, visit www.dbrs.com or contact us at [email protected].

Atlantes Mortgage N º 2

DBRS Morningstar upgraded its rating on the Class A Notes issued by Atlantes Mortgage N º 2 to AA (high) (sf) from AA (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Atlantes Mortgage N º 2 include investor reports provided by HSBC Bank plc and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019 when DBRS Morningstar confirmed its rating at AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (high) (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to decrease to A (low) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to decrease to A (low) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 17 May 2012

Atlantes Mortgage N º 3

DBRS Morningstar upgraded its rating on the Class A Notes issued by Atlantes Mortgage N º 3 to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Atlantes Mortgage N º 3 include investor reports provided by HSBC Bank plc and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019 when DBRS Morningstar confirmed its rating at AA (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 17 May 2012

Atlantes Mortgage N º 4

DBRS Morningstar upgraded its rating on the Class A Notes issued by Atlantes Mortgage N º 4 to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Atlantes Mortgage N º 4 include investor reports provided by HSBC Bank plc and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019.

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 17 May 2012

Atlantes Mortgage N º 5

DBRS Morningstar upgraded its rating on the Class A Notes issued by Atlantes Mortgage N º 5 to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Atlantes Mortgage N º 5 include investor reports provided by HSBC Bank plc and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019 when DBRS Morningstar confirmed its rating at AA (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 17 May 2012

Atlantes Mortgage N º 7

DBRS Morningstar upgraded its rating on the Class A Notes issued by Atlantes Mortgage N º 7 to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Atlantes Mortgage N º 7 include investor reports provided by Deutsche Bank AG, London branch and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019 when DBRS Morningstar confirmed its rating at AA (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 17 May 2012

GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2)

DBRS Morningstar upgraded its rating on the Class A notes issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2) to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Azor 2 include investor reports provided by HSBC Bank plc, data provided by Banco Santander Totta S.A. and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 18 February 2019 when DBRS Morningstar confirmed its rating on the Class A notes at AA (high) (sf).

On 22 October 2019, DBRS Morningstar transferred the ongoing coverage of the rating assigned to Volta IV to DBRS Ratings GmbH from DBRS Ratings Limited. The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.

Both DBRS Ratings Limited and DBRS Ratings GmbH are registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and are registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliates in the United States and Designated Rating Organization (DRO) affiliates in Canada.

Ratings issued and monitored by DBRS Ratings GmbH are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuer.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Petter Wettestad, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 8 July 2011

Lusitano Mortgages No. 7 Limited

DBRS Morningstar upgraded its rating on the Class A Notes issued by Lusitano Mortgages No. 7 Limited to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Lusitano Mortgages No. 7 Limited include investor reports provided by Citibank N.A., London branch and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 August 2019 when DBRS Morningstar confirmed its rating on the Class A Notes at AA (high) (sf).

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 February 2011

SAGRES - Sociedade de Titularização de Créditos, S.A (Lusitano SME No. 3)

DBRS Morningstar upgraded its rating on the Class C Asset-Backed Floating Rate Notes (Class C Notes) issued by SAGRES - Sociedade de Titularização de Créditos, S.A. (Lusitano SME No. 3) to AAA (sf) from AA (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Lusitano SME No. 3 include investor reports provided by U.S. Bank and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 24 October 2019 when DBRS Morningstar discontinued its rating of the Class B Notes following their repayment. The last rating action on the Class C Notes took place on 14 November 2018 when DBRS Morningstar upgraded its rating to AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- A hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class C Notes at AAA (sf).
-- A scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10%, ceteris paribus, would also lead to a confirmation of the Class C Notes at AAA (sf).

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 7 November 2016

Sagres STC (Pelican Mortgages No. 5)

DBRS Morningstar upgraded its rating on the Class A Notes issued by Sagres STC (Pelican Mortgages No. 5) to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Pelican Mortgages No. 5 include investor reports provided by Citibank N.A., London branch and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 April 2019 when DBRS Morningstar confirmed its rating on the Class A Notes at AA (high) (sf).

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 February 2011

Sagres STC (Pelican Mortgages No. 6)

DBRS Morningstar upgraded its rating on the Class A Notes issued by Sagres STC (Pelican Mortgages No. 6) to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Pelican Mortgages No. 6 include investor reports provided by Citibank N.A., London branch and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 9 April 2019 when DBRS Morningstar confirmed its rating on the Class A Notes at AA (high) (sf).

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 March 2012

TAGUS Sociedade de Titularização de Créditos, S.A (Aqua Mortgage No. 1)

DBRS Morningstar upgraded its rating on the EUR 203,176,000 Class A Mortgage-Backed Floating Rate Notes issued by Tagus – Sociedade de Titularização de Créditos, S.A. (Aqua Mortgage No. 1) to AAA (sf) from AA (high) (sf) following a review of the transaction prompted by the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019.

The sources of data and information used for the rating on Aqua Mortgage No. 1 include investor reports provided by Deutsche Bank AG, London branch, servicer reports provided by Caixa Económica Montepio Geral and loan-level data from the European DataWarehouse GmbH.

The last rating action on this transaction took place on 5 April 2019 when DBRS Morningstar confirmed its rating on the Class A Notes at AA (high) (sf).

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 March 2011

Volta IV Electricity Receivables Securitisation (Volta IV)

DBRS Morningstar upgraded its rating on the Senior Notes issued by Volta IV Electricity Receivables Securitisation to A (sf) from A (low) (sf) following the DBRS Morningstar sovereign upgrade of Portugal on 4 October 2019, given the specific nature of this asset class, with strong linkage between the performance of the sovereign and the performance of securities issued by Portuguese electricity tariff transactions.

Based on DBRS Morningstar’s “Rating Portuguese Electricity Tariff Securitisations” methodology, the ratings on securities issued by Portuguese electricity tariff transactions are limited to a two-notch increase above the current local currency sovereign rating of Portugal.

The sources of data and information used for the rating on Volta IV include investor reports provided by Citibank N.A., London branch.

The last rating action on this transaction took place on 9 May 2019 when DBRS Morningstar confirmed the rating of the Senior Notes at A (low) (sf).

The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered several sovereign downgrade stress scenarios as compared to the current rating (the Base Case):

-- A hypothetical downgrade of the sovereign rating of Portugal by one notch, ceteris paribus, would lead to a decrease in the rating of the Senior Notes to A (low) (sf).
-- A hypothetical downgrade of the sovereign rating of Portugal by two notches, ceteris paribus, would lead to a decrease in the rating of the Senior Notes to BBB (high) (sf).

Lead Analyst: Petter Wettestad, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 18 July 2016