DBRS Assigns AAA Rating to the Class A Notes of Pelican SME No. 1

DBRS has today assigned the rating of AAA to the €577.5 Million Class A Asset Backed Floating Rate Securitisation Notes (“Class A Notes”) issued by Pelican SME No. 1 (the “Issuer”). The transaction is a cashflow securitisation collateralized primarily by a portfolio of bank loans originated by Caixa Económica Montepio Geral (“Montepio”) to Portuguese small- and medium-sized enterprises (“SMEs”). The DBRS rating addresses the Issuer’s ability to make timely payments of interest and ultimate payments of principal on or before the legal final maturity date in July 2036.

The rating reflects the following:

(1) The integrity of the transaction structure.

(2) DBRS’s assessment of Montepio’s internal credit risk scoring process.

(3) Collateral eligibility criteria, ongoing covenants and portfolio tests.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

The transaction has a revolving period of 3 years, which could be reduced depending on the delinquency or defaults rise above certain threshold levels, among other conditions.

The applicable public methodologies are Rating Global High Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives and Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.