DBRS Rates Montepio Covered Bonds Programme

DBRS, Inc. (DBRS) has today assigned a rating of A (low) to the Series 1, Series 2 and Series 3 covered bonds issued under the Montepio Covered Bonds Programme. The Series 1 (€708.3 million) covered bonds have a coupon rate of 3.25% and a maturity date of 27 July 2012. The Series 2 (€1,000 million) covered bonds have a coupon rate of 3-month EURIBOR + 0.75% and a maturity date of 16 December 2016. The Series 3 (€1,000 million) covered bonds have a coupon rate of 3-month EURIBOR + 2.50% and a maturity date of 5 November 2015. All covered bonds issued under the Programme rank pari passu with each other and are currently rated A (low).

The ratings are based on the following factors:
1)The Covered Bonds are senior unsecured direct deposit obligations of Caixa Económica Montepio Geral, which is rated BBB (low) with Negative trends by DBRS.
2)Portuguese Covered Bonds Laws which in case of issuer insolvency give the holders of the Covered Bonds recourse to the cover pool in priority to other creditors.
3)DBRS Legal and Structuring Assessment of “Adequate”.
4)Issuer Commitment Overcollateralisation level of 35%.
5)Montepio’s capabilities with respect to origination of cover pool assets and servicing of the cover pool.
6)The credit quality of the collateral and structural features of the Programme (Extendable Maturity, collateral eligibility criteria, and interest rate derivatives).

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 DBRS and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Rating European Covered Bonds, Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment for European RMBS Servicers, Swap Criteria for European Structured Finance Transactions and Unified Interest Rate Model for European Securitisations.

This is the first DBRS rating on this financial instrument.

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

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

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