DBRS Confirms Ratings on Caixa Economica Montepio Geral Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today confirmed the ‘A’ (low) rating on all outstanding series of obrigações hipotecárias (the Portuguese legislative covered bonds) issued under Caixa Economica Montepio Geral Covered Bonds Programme. The confirmation follows the completion of a full review of the programme.

The rating action reflects the following analytical considerations:
• The senior unsecured debt rating of the issuer of BBB (low) with Negative Trend.
• DBRS Legal and Structuring Framework (LSF) assessment of “Adequate”.
• DBRS Cover Pool Credit Assessment of BBB (low) and Montepio over- collateralization commitment of 35%.

The transaction was modeled in DBRS European Covered Bond Cash Flow Model. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses and market spread values to calculate liquidation values on the cover pool.

There are EUR2bn of covered bonds outstanding under the programme. The cover assets as of September-2013 amount to EUR2.72bn, resulting in an over-collateralisation of 36.1%.

For further information on Montepio Covered Bond Programme please refer to the ratings report that can be found on www.dbrs.com

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is: “Rating European Covered Bonds”. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data spanning from 2002 to August 2013, investor reports and loan by loan level information on the cover pool that allowed DBRS to further assess the portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this programme took place on 23 May 2013, when DBRS assigned the rating of ‘A’ (low) to the Series 4.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

All else equal, a one-notch downgrade of the Issuer rating would lead to two notches of downgrade of the covered bonds.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

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

Last Rating Date: 23 May 2013

Lead Analyst: Vito Natale
Rating Committee Chair: Quincy Tang
The back-up analyst responsibilities for this programme have been transferred to Covadonga Aybar.

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

• 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