DBRS Assigns “A” Rating to Caixa Económica Montepio Geral Covered Bonds (Obrigações Hipotecárias - Mortgages - CPT) Series 9

DBRS Ratings Limited (DBRS) has today assigned an “A” rating to the Series 9 Obrigações Hipotecárias (OH; the
Portuguese legislative Covered Bonds) issued under the Caixa Económica Montepio Geral (Montepio or the Issuer)
CPT Covered Bonds programme (the Programme). Series 9 is a EUR 500 million floating-rate OH, paying a margin
of 85 basis points (bps) over three-month Euribor and maturing in May 2024.

Concurrently, DBRS has discontinued its rating on Series 4, which was redeemed in full, and has confirmed the “A”
ratings on the other OH outstanding under the Programme. Following the issuance of Series 9 and the repayment of
Series 4, there are five series of OH for a nominal amount of EUR 2.3 billion outstanding under the Programme.

The ratings are based on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of BB, being the Senior Unsecured Long-Term Debt & Deposit rating
of Montepio. Montepio is the Issuer and Reference Entity for the Programme.
-- A Legal and Structuring Framework (LSF) Assessment of “Adequate” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of A (low), being the lowest CPCA in line with the LSF-Implied
Likelihood (LSF-L).
-- An LSF-L of BBB (high).
-- A two-notch uplift for high recovery prospects.
-- A committed minimum overcollateralisation (OC) of 18%. DBRS gives full credit to such commitment in
accordance with its principal methodology. Such a level is not subject to haircut as DBRS considers it to be persistent based on historically observed levels.

The transaction was modelled with the DBRS European Covered Bond Cash Flow Model. The main assumptions
focused on the timing of defaults and recoveries of the assets and interest rate stresses to calculate liquidation values on the cover pool (CP).

Everything else being equal, a downgrade of the CBAP by one notch would lead to a downgrade of the LSF-L by one
notch, resulting in a downgrade of the CB rating by one notch. In addition, everything else being equal, the ratings of the Programme would be downgraded if any of the following occurred: (1) the CPCA was downgraded below A (low);
(2) the LSF Assessment associated with the Programme was downgraded; or (3) the quality and consistency of the
cover pool was no longer sufficient to support a two-notch uplift for high recovery prospects.

The aggregated outstanding balance of the cover pool (as of 31 March 2017) backing Montepio’s OH was EUR 2.73
billion, including EUR 2.72 billion of mortgages and EUR 6.4 million of cash. The total amount of liabilities
outstanding is EUR 2.3 billion, yielding a current OCratio of 18.7%. The Issuer has publicly committed to maintain
an OC level of 18.0%.

As of March 2017, the cover pool comprised 58,755 residential mortgage loans with a weighted-average (WA) current
unindexed loan-to-value ratio of 52.8%. It is geographically concentrated in Lisbon (37%) and northern Portugal
(28%). The pool is 10.8 years seasoned.

The vast majority of the loans in the cover pool (approximately 94%) are floating-rate, while all OH Series are floating rate, indexed to three-month Euribor.

A CP swap entered into between the Issuer and The Royal Bank of Scotland plc partly hedges the basis risk. However,
no credit was given to such a swap in DBRS’s analysis, as the swap documentation does not comply with DBRS’s
“Derivative Criteria for European Structured Finance Transactions” methodology.

As of today, the DBRS-calculated WAlife of the CP was roughly 13 years based on a 0% prepayment rate, which is
longer than the 6.4 years’ WA life on the OH, not accounting for any extension of maturity. This is mitigated by the
conditional pass-through (CPT) nature of the OH. All CP assets and OH are denominated in euros. As such, investors
are not currently exposed to any foreign-exchange risk.

DBRS has assessed the LSF related to the programme as Adequate according to its rating methodology. For more
information, please refer to DBRS’s commentaries, “DBRS Assigns LSF Assessment to Portuguese Covered Bonds,”
“Portuguese Covered Bonds: Legal and Structuring Framework Review” and “DBRS Upgrades Caixa Económica
Montepio Geral Covered Bonds to A (high) Upon Restructuring in CPT, Removes UR-D,” which are available at
www.dbrs.com.

For further information on the Programme, please refer to the rating report at www.dbrs.com.

Notes:
All figures are in euros unless otherwise noted.

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

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology.

Therefore, DBRS focused on the Cash Flow analysis. A review of the transaction legal documents was limited to the
documentation pertaining to the issuance of Series 9. All the other documents have remained unchanged since the
most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the 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 data and information used for this rating include investor reports provided by Montepio. DBRS
considers the data and information available to it for the purposes of providing this rating to be of satisfactory
quality.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact
the rating analysis.

DBRS does not audit or independently verify the data or information it receives in connection with the rating
process.

The last rating action on this transaction took place on 27 February 2017 when DBRS confirmed the “A” ratings on
the OH outstanding under the Programme.

The lead analyst responsibilities for this transaction have been transferred to Roger Bickert.

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

For further information on DBRS historical default rates published by the European Securities and Markets
Authority (“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.

Lead Analyst: Roger Bickert, Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 30 November 2011

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

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

-- Rating European Covered Bonds
-- Rating European Covered Bonds Addendum: Market Value Spreads Range (Midpoints)
-- Global Methodology for Rating Banks and Banking Organisations
-- Critical Obligations Rating Criteria
-- DBRS Criteria: Support Assessments for Banks and Banking Organisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- The Effect of Sovereign Risk on Securitisations in the Euro Area

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively
applied can be found at: http://www.dbrs.com/research/278375