DBRS Confirms Ratings on Banco Espirito Santo Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today confirmed the rating of the EUR 4.765mln of notes outstanding under Banco Esprito Santo S.A. (BES) Covered Bond Programme at ‘A’ (low), upon 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.
•BES capabilities with respect to origination of cover pool assets and servicing of the cover pool.
•DBRS Legal and Structuring Framework assessment of “Adequate”.
•A Cover Pool Credit Assessment of BBB (low) and BES pledge to increase the Commitment Over-collateralisation to 32% from 25% currently.

As of December 2012, the Nominal Over-collateralisation (OC) was 25.22%. However, the confirmation of the rating is based on Issuer’s pledge to increase the OC commitment from 25% to 32%.

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
• 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: 7 March 2012
Most Recent Rating Update: 14 December 2012