DBRS Rates Bocage Mortgages No. 2

DBRS, Inc. (DBRS) has today assigned a final rating of “AAA” (sf) to the Class A notes issued by Bocage Mortgages No. 2 (Bocage 2). The DBRS rating is a second rating on an existing transaction issued in December 2009. Bocage 2 issued two classes of mortgage-backed floating rate notes (Class A and Class B). DBRS rates Class A notes only. The Class A notes are backed by floating rate and fixed-rate, first lien, mortgage loans secured by properties in Portugal. The mortgages were originated and are serviced by Barclays Bank PLC, Portugal.

The ratings are based upon DBRS review of the following analytical considerations:
• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement is in the form of excess spread, a fully funded reserve fund and subordination.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The financial strength of the swap counterparty.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a Portuguese housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in Portugal and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies, with adjustments made for the Portguguese mortgages.

The sources of information used for this rating include working papers and data on the Portuguese economy and housing market provided by: Bank of Portugal, Instituto Nacional de Estatistica (INE) and European Mortgage Federation (EMF). DBRS conducted an operational review on the origination and servicing practices of Barclays Bank PLC, Portugal. Barclays Bank PLC, Portugal provided loan-level data and historical performance of mortgage portfolio dating back to 2000. 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.

For additional information on this rating, please refer to the linking document located below.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Keith Gorman is the lead rating analyst and Claire Mezzanotte is the rating committee chair.