DBRS Confirms Pelican Mortgages No. 4

DBRS, Inc. (DBRS) has today confirmed the Class A notes issued by Pelican Mortgages No. 4 (Pelican 4) at ‘A’ (sf). This rating was also removed from Under Review with Negative Implications (see “DBRS Places Pelican Mortgages No. 4 Under Review with Negative Implications”, published on February 1, 2012).

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 Negative Trend to BBB (low) Negative Trend.
•Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance due to austerity measures taken by the Republic of Portugal.
•Heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Portugal).

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
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com 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”.

The sources of information used for this rating include monthly remittance reports and data relating to the underlying mortgages provided by Caixa Economica Montepio Geral. 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.

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
Surveillance Analyst(s) – Mark Zelmanovich, Lain Gutierrez
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: February 24, 2011

The lead and back-up responsibilities for this transaction have been transferred to Alastair Bigley and Kali Sirigudi, respectively.