DBRS Confirms Bocage Mortgages No. 2

DBRS, Inc. (DBRS) has today confirmed the Class A notes issued by Bocage Mortgages No. 2 (Bocage 2) at AA (high) (sf). The rating action reflects the following analytical considerations:

•Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Portugal’s sovereign from BBB (high) Negative Trend to BBB Negative Trend.
•Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance due to austerity measures taken by the Republic of Portugal.

Please refer to the DBRS Commentary entitled The Effect of Sovereign Risk on Securitisations in the Euro Area.

The applicable methodologies are Master European Structured Finance Surveillance Methodology, 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 Portuguese mortgages.

The sources of information used for this rating include investor remittance reports, 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 this rating action was of satisfactory quality.

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

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 18 February 2011