DBRS Confirms Ratings on Banco Espirito Santo Covered Bonds

DBRS Ratings Limited (DBRS) has today confirmed the rating of the EUR 4.040mln of notes outstanding under Banco Esprito Santo S.A. (BES, or the Issuer) Covered Bond Programme at ‘A’ (low), upon completion of a full review process.

The rating action reflects the following analytical considerations:

• The senior unsecured debt rating of the Issuer of BBB (low) with Negative Trend confirmed on 17 April 2013.
• 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 the Issuer Commitment Over-collateralisation of 32%.

As of June 2013, the Nominal Over-collateralisation (OC) was 37.7%. Everything else equal, should the Issuer rating be downgraded by one notch, the ratings of the covered bonds would be downgraded by two notches.

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
• 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 the Issuer. 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 located at <a href="http://dbrs.com/research/261394/banco-esp-rito-santo-s-a-covered-bonds-programme.pdf" target="_blank">dbrs.com</a>.

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

Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 14 December 2012
Most Recent Rating Update: 22 February 2013

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