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Fitch Upgrades 2 Tranches of Atlantes Mortgages No.1 and No.2 RMBS; Affirms 5.

London: Fitch Ratings has upgraded two tranches of Atlantes Mortgage No.1 Plc (AM1) and Atlantes Mortgages No.2 Plc (AM2) and affirmed the others. A full list of rating actions is at the end of this rating action commentary.

The transactions are securitisations of seasoned Portuguese residential mortgages serviced by Banco Santander Totta, S.A.


Sovereign Rating Cap

Portuguese securitisations can achieve a maximum rating of 'AAsf', six notches above Portugal's Issuer Default Rating (IDR) of 'BBB.' Consequently, AM1's class A and B notes and AM2's class A notes are capped at 'AAsf'. The Stable Outlook on these notes is aligned with that on the sovereign rating.

Increased Credit Enhancement (CE)

Fitch views the CE across the transactions as sufficient to withstand the associated rating stresses, which is reflected in the upgrades and affirmations. CE for AM1's class C notes has increased to 20.2% from 16.5% and for AM2's class B notes to 14.7% from 13.8%.

AM2 includes amortisation mechanisms that allow the notes to be paid down pro-rata rather than sequentially. However, performance triggers are not currently fulfilled and the transaction is paying sequentially. AM1 pays fully sequentially.

AM1 Class D Notes' Rating Capped

CE available to support AM1's class D notes is provided solely by the reserve fund, which is held with Citibank N.A., London branch (A+/F1). The class D notes' rating will be limited by the application of a cap at the account bank rating.


Changes to Portugal's IDR and the rating cap for Portuguese structured finance transactions, currently 'AAsf', could trigger rating changes on the notes rated at this level.

The rating of AM1's class D notes' is capped at the rating of the account bank. Therefore, a change in the account bank's rating could trigger rating action on the notes.

Deterioration in asset performance beyond Fitch's assumptions could also trigger negative rating action on the notes.


Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.


Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.


The information below was used in the analysis.

- Loan-by-loan data obtained from the European DataWarehouse and provided by Banco Santander Totta SA as at 30 June 2018 for AM1 and as at 31 August 2018 for AM2.

- Transaction investor report provided by Deutsche Bank as at 17 July 2018 for AM1 and by HSBC Bank plc as at 18 September 2018 for AM2.


The models below were used in the analysis. Click on the link for a description of the model.


EMEA Cash Flow Model.

The rating actions are as follows:


Class A (ISIN XS0161394324): affirmed at 'AAsf'; Outlook Stable

Class B (ISIN XS0161394910): affirmed at 'AAsf'; Outlook Stable

Class C (ISIN XS0161395305): upgraded to 'AAsf' from 'A+sf'; Outlook Stable

Class D (ISIN XS0161395560): affirmed at 'A+sf'; Outlook Stable


Class A (ISIN XS0348690651): affirmed at 'AAsf'; Outlook Stable

Class B (ISIN XS0348690735): upgraded to 'A+sf' from 'Asf'; Outlook Stable

Class C (ISIN XS0348691972): affirmed at 'BBB+sf'; Outlook Stable
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Publication:Daily the Pak Banker (Lahore, Pakistan)
Date:Jan 16, 2019
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