DBRS Correction: DBRS Publishes Updated Rating European Covered Bonds Methodology

Today, DBRS Ratings Limited (DBRS) has published a corrected version of its Rating European Covered Bonds methodology published by DBRS on January 10, 2013. DBRS has corrected the Tiers assigned to Italy and Portugal. In the table on page 19, Italy is now classified as Tier 2 and Portugal as Tier 3.

Italy, which up until the October 2011 version of the methodology was listed as Tier 1, has been moved to Tier 2 with the current methodology update, with a ‘AAA’ market value spread assumption correctly indicated at 500 basis points.

Portugal, which up until the October 2011 version of the methodology was listed as Tier 2, has been moved to Tier 3 with the current methodology update, with a ‘AAA’ market value spread assumption correctly indicated at 800 basis points.

DBRS assigns Tiers based on the range and standard deviation of weekly market spreads for senior RMBS securities from Ireland, Italy, Netherlands, Portugal, Spain and the UK.

All other sections of the methodology remain unchanged from the version originally published on January 10, 2013. As noted on the same date, DBRS is currently conducting a review of all outstanding European Covered Bonds with rating actions to be published as soon as possible.

DBRS criteria and methodologies are publicly available on its website www.dbrs.com under Methodologies.