DBRS Confirms Ratings on Caixa Economica Montepio Geral Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today confirmed the ‘A’ (low) ratings on the EUR 1.5bn bonds outstanding under the Caixa Economica Montepio Geral (Montepio) Covered Bonds Programme. The confirmation follows a full review of the programme and the implementation of the updated Rating European Covered Bonds methodology published on16 January 2013.

The rating action reflects the following analytical considerations:
• The senior unsecured debt rating of the Issuer of BBB (low) with Negative Trend confirmed on 5 December 2012.
• DBRS Legal and Structuring Framework assessment of “Adequate”.
• Montepio’s capabilities with respect to origination of cover pool assets and servicing of the cover pool.
• A Cover Pool Credit Assessment of BBB (low), and an Issuer Commitment Over-collateralisation level of 35%

As of December 2012, the cover pool amounted to EUR2,83 bn and Montepio’s covered bonds to EUR1,5 bn resulting in a Nominal Over-collateralisation (OC) of 88.80%.

Notes:
The principal methodologies applicable are:
• Rating European Covered Bonds
• Global Methodology for Rating Banks & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• 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 data related to the cover pool provided by Montepio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see the related linking document.

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

Lead Analyst: Vito Natale
Rating Committee Chair: Quincy Tang
Initial Rating Date: 1 December 2011
Most Recent Rating Update: 14 December 2012