DBRS Places Pelican Mortgages No. 5 Under Review with Negative Implications

DBRS, Inc (DBRS) has today placed Under Review with Negative Implications the Class A notes issued by Pelican Mortgages No. 5.

The rating action reflect the January 30th, 2012 DBRS downgrade of the Republic of Portugal’s Long Term Foreign Currency and Long-Term Local Currency ratings from BBB to BBB (low) with the Negative Trend maintained (see press release “DBRS Downgrades Portugal to BBB (low) on Deteriorating Growth Outlook”).

DBRS will undertake a review to determine the impact of the sovereign downgrade on the transaction and will promptly publish updated rating actions that may either result in a confirmation or a downgrade. DBRS employs a case-by-case approach that is jurisdiction-specific and asset-class specific with the risks and protections of each transaction identified and considered. The lower the sovereign rating, the greater relevance and potential impact it has on securitisation ratings due to less favorable macroeconomic conditions, stress factors related to the transaction parties and increased likelihood for unknown events to occur.

The principal methodologies applicable are Master European Structured Finance Surveillance Methodology, Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Operational Risk Assessment for European RMBS Servicers, Unified Interest Rate Model, Swap Criteria for European Structured Finance Transactions and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”, located at http://dbrs.com/research/239786.

For additional information on these ratings, please refer to the linking document.

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