DBRS Assigns Ratings to Caixa Economica Montepio Geral Covered Bonds Series 4

DBRS Ratings Limited (DBRS) has today assigned a rating of ‘A’ (low) to the Series 4 (Tranche 1) Covered Bonds issued under the Caixa Economica Montepio Geral (Montepio) €5,000,000,000 Covered Bonds Programme. The Series is a €500 million floating rate security maturing in May 2017. At the same time, DBRS has confirmed the ‘A’ (low) rating on all other outstanding series.

The rating action reflects the following analytical considerations:
• The senior unsecured debt rating of the Issuer of BBB (low) with Negative Trend confirmed on 22 February 2013.
• DBRS Legal and Structuring Framework assessment of “Adequate”.
• Montepio capabilities with respect to origination of cover pool assets and servicing of the cover pool.
• A Cover Pool Credit Assessment of BBB (low) and the Issuer-Commitment Over-collateralisation of 35%.

There are EUR2bn of securities currently outstanding under the Programme while the aggregate outstanding balance of the cover pool is EUR2.76bn resulting in a Nominal Over-collateralisation (OC) of 38%.

Notes:
All figures are in Euro unless otherwise noted.

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
• Derivative 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.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

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

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 30 November 2011
Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Most Recent Rating Date: 22 February 2013
Rating Committee Chair: Claire Mezzanotte