DBRS Assigns Ratings to Caixa Geral de Depositos Covered Bonds Programme Series 15
Covered BondsDBRS Ratings Limited (DBRS) has today assigned a rating of ‘A’ to the EUR 750mln series 15 covered bonds issued under the Caixa Geral de Depositos Covered Bonds Programme and confirmed the rating of ‘A’ of all outstanding series upon implementation of the updated Rating European Covered Bonds methodology published on 16 January 2013. Caixa Geral de Depositos S.A. (“Issuer”) has partially retired EUR 743.55 mln of series 1 covered bonds.
The rating action reflects the following analytical considerations:
•DBRS Legal and Structuring Framework assessment for Portugal of “Adequate”.
•The senior unsecured debt rating of the Issuer of BBB (low) with Negative Trend.
•A Cover Pool Credit Assessment of ‘A’, and an Issuer Commitment Over-collateralisation level of 35%. The Cover Pool credit assessment was ‘AA’ before the application of the updated market value spreads included in the Rating European Covered Bonds methodology.
Following the issuance of the Series 15 covered bonds and partial repayment of the Series 1 covered bonds, the total outstanding amount of securities under the Programme is €7.851bn. The aggregate balance of mortgages in the cover pool is €10.932 billion while the total amount of substitution assets is €111 million as of December 31, 2012.
The Nominal Over-collateralisation level as of December 31, 2012 is of 40.76%, down from 46.19% as of September 30, 2012.
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 Structured Finance 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 Caixa Geral de Depositos. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.
This is the first DBRS rating on this financial instrument.
This is a newly created financial instrument.
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: September 10 2012
Most Recent Rating Date: December 14 2012
Ratings
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