Madrid, August 01, 2022 — Moody’s Investors Service (“Moody’s”) today upgraded the ratings of three notes and affirmed the ratings of five notes in two Portuguese RMBS transactions. The rating action reflects the increased levels of credit enhancement for the relevant notes.

Issuer: Lusitano Mortgages No. 4 plc

….€1,134m Class A bonds, confirmed Aa2 (sf); Previously Sep 22, 2021 Upgraded to Aa2 (sf)

….€22.8m Class B bonds, confirmed A2 (sf); Previously Sep 22, 2021 Upgrade to A2 (sf)

….€19.2m C-grade bonds, upgrades to Baa3 (sf); previously on Sep 22, 2021 Upgrade to Ba1 (sf)

….€24m Class D Notes, Caa1 Confirmed (sf); previously on Sep 22, 2021 Upgrade to Caa1 (sf)

Issuer: PELICAN MORTGAGES NO. 3

….€717.4m Class A Notes, Confirmed A1 (sf); Previously Sep 22, 2021 Upgrade to A1 (sf)

….€14.3m Class B Notes, Baa3 Confirmed (sf); Previously Sep 22, 2021 Upgraded to Baa3 (sf)

….€12m C-grade bonds, upgrades to Ba2(sf); previously on Sep 22, 2021 Upgrade to Ba3 (sf)

….€6.4m Class D bonds, upgrades to B1 (sf); previously on Sep 22, 2021 Upgrade to B3 (sf)

Moody’s affirmed the ratings of five notes that had sufficient credit enhancement to maintain their current ratings.

The maximum rating that can be achieved is Aa2 (sf) for structured finance transactions in Portugal, depending on the ceiling corresponding to the local currency of the country.

RATINGS RATIONALE

The rating actions are driven by an increase in credit enhancement for the relevant notes.

Moody’s affirmed the ratings of the Notes which exhibited sufficient credit enhancement to maintain their current ratings.

Increased credit enhancement available

In Lusitano Mortgages No. 4 plc (“Lusitano 4”) and PELICAN MORTGAGES NO. 3 (“Pelican 3”), reserve funds are at their low levels, which, combined with the amortization of the notes, has resulted in an increase in credit enhancement for the affected tranches.

In Lusitano 4, the credit enhancement for Class C notes has increased from 8.0% to 8.3% since the last rating action in September 2021.

In Pelican 3, the credit enhancement for Class C and D notes increased from 3.7% and 2.6% respectively to 4.1% and 3.0% since the last rating action in September 2021.

The main methodology used in these ratings is “Moody’s Approach to Rating RMBS Using the MILAN Framework” published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390481. You can also visit the Scoring Methodologies page at https://ratings.moodys.com for a copy of this methodology.

The analysis undertaken by Moody’s when initially assigning ratings of RMBS securities may focus on areas that become less relevant or generally remain unchanged during the monitoring phase. Please see “Moody’s Approach to Rating RMBS Using the MILAN Framework” for more information on Moody’s analysis at initial rating assignment and ongoing monitoring in RMBS.

Factors that would lead to an upgrade or downgrade of ratings:

Factors or circumstances that could cause ratings to improve include (1) performance of the underlying collateral better than expected by Moody’s, (2) an increase in available credit enhancement, (3) improvement in the quality of the counterparties to the transaction and (4) a reduction in sovereign risk.

Factors or circumstances that could cause ratings to downgrade include (1) an increase in sovereign risk, (2) performance of the underlying collateral below Moody’s expectations, (3) deterioration in available credit enhancement of notes and (4) deterioration in the credit quality of the counterparties to the transaction.

REGULATORY INFORMATION

For details on key rating assumptions and Moody’s sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections in the Disclosure Form. Rating symbols and definitions from Moody’s are available at https://ratings.moodys.com/rating-definitions.

The analysis relies on an assessment of the characteristics of the collateral to determine the distribution of collateral losses, ie the function correlated to an assumption about the probability of occurrence of each level of possible collateral losses. Secondly, Moody’s assesses each possible collateral loss scenario using a model that reproduces the relevant structural characteristics to deduce the payouts and therefore the ultimate potential losses for each rated instrument. The loss incurred by a rated instrument 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 involves an evaluation of scenarios that focus on factors contributing to rating sensitivity and consider the likelihood of material collateral losses or impaired cash flows. Moody’s weights the impact on rated instruments based on its assumptions of the likelihood of events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security, this announcement provides certain regulatory information regarding each rating of a subsequently issued bond or note of the same series, category/class of debt, security or under a program for which ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a media provider, this announcement provides certain regulatory information relating to the credit rating action on the media provider and each particular credit rating action for securities whose credit ratings are derived from the support provider’s credit rating. For the provisional ratings, this press release provides certain regulatory information relating to the provisional rating assigned, and to a final rating that may be assigned after the final issuance of the debt, in each case where the structure and conditions of the transaction n have not changed prior to the final rating being assigned in a way that would have affected the rating. For more information, please see the issuer/transaction page of the respective issuer at https://ratings.moodys.com.

For all relevant securities or rated entities receiving direct credit support from the lead entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action , the associated regulatory information will be that of the guarantor entity. Exceptions to this approach exist for the following information, if applicable to the jurisdiction: Ancillary services, Information to be provided to the rated entity, Information to be provided by the rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued without modification as a result of such disclosure.

These notes are solicited. Please refer to Moody’s Policy for the Designation and Assignment of Unsolicited Credit Ratings available on its website. https://ratings.moodys.com.

The regulatory information contained in this press release applies to the credit rating and, if applicable, the outlook or rating revision relating thereto.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis are available at https://ratings.moodys.com/documents/PBC_1288235.

The worldwide credit rating on this credit rating announcement has been issued by one of Moody’s affiliates outside the UK and is approved by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the United Kingdom. . Further information on the UK endorsement status and the Moody’s office that issued the credit rating can be found at https://ratings.moodys.com.

Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and Moody’s legal entity that issued the rating.

Please see the issuer/transaction page at https://ratings.moodys.com for additional regulatory information for each credit rating.

Maria Turbica Manrique
VP – Senior Credit Officer
Structured Finance Group
Moody’s Investors Service Spain, SA
Calle Principe de Vergara, 131, 6 Planta
Madrid, 28002
Spain
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454

Gaby Trinkaus, CFA
VP – Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454

Release Office:
Moody’s Investors Service Spain, SA
Calle Principe de Vergara, 131, 6 Planta
Madrid, 28002
Spain
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454

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