DBRS Rates Pelican Mortgages No. 6

DBRS Ratings Limited (“DBRS”) has assigned the following rating to the Class A Notes issued by Pelican Mortgages No. 6:

-- €750,000,000 Class A rated AA (sf)

The receivables securitised in the transaction consist of obligations arising under mortgage loans to individuals secured by residential properties in Portugal. The mortgages were originated and are serviced by Caixa Economica Montepio Geral (Montepio).

The ratings are based upon review by DBRS of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination, a reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios for the Series A notes issued by Pelican Mortgages No. 6.
• Montepio capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral and the backup servicer (Whitestar Servicing Company, S.A.).
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria For European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
These can be found on our website under Methodologies.

The sources of information used for this rating include performance data relating to the receivables provided by Montepio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings concern newly issued financial instruments.

This is the first DBRS rating on these financial instruments.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

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