DBRS Confirms Ratings on Banco Espirito Santo Covered Bonds Programmes

DBRS Ratings Limited (DBRS) has today removed from Under Review with Negative Implications the rating of the outstanding Series of notes from the Banco Espirito Santo Covered Bonds Programme and confirmed the ratings of ‘A’ (low).

The rating action reflects the following analytical considerations:

•The recent confirmation by DBRS of the Republic of Portugal’s sovereign at BBB (low) - Negative Trend, removed from Under Review with Negative Implications on November 30, 2012.
•DBRS Legal and Structuring Framework assessment of “Adequate”.
•The senior unsecured debt rating of the issuer Banco Espirito Santo S.A. of BBB (low) with Negative Trend, removed from Under Review with Negative Implications on December 5, 2012
•A Cover Pool Credit Assessment of BBB (low), and an Issuer Commitment Over-collateralisation level of 25%.

The Nominal Over-collateralisation level as of September 28, 2012 is 26.54%. The lead and back-up responsibilities for this transaction have been transferred to Vito Natale and Keith Gorman, respectively.

The covered bonds ratings were placed on Under Review with Negative Implications on May, 25 2012 and then maintained on Under Review with Negative Implications on August 27, 2012, following corresponding rating action on the Republic of Portugal.

Notes:
The principal methodologies applicable are:
• Rating European Covered Bonds
• Global Methodology for Rating Banks & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European RMBS Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

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 a data related to the cover pool provided by Montepio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see linking document.

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

Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: March 7 2012
Most Recent Rating Update: June 19 2012

The lead and back-up responsibilities for this transaction have been transferred to Vito Natale and Keith Gorman, respectively.