DBRS Confirms Ratings on Banco de Investimento Imobiliario Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today confirmed the rating of the EUR 964 mln of notes outstanding under Banco de Investimento Imobiliario (BII) Covered Bond Programme at BBB (high). The confirmation follows a full review of the programme and the implementation of the updated Rating European Covered Bonds methodology published on16 January 2013.

The rating action reflects the following analytical considerations:

• The covered bonds are a direct, unconditional and senior obligation of BII, a wholly owned subsidiary of Banco Comercial Portugues S.A. (BCP), which is rated BBB (low) with Negative Trend by DBRS, as confirmed on 5 December 2012. BCP directly controls BII and is liable for BII’s obligations
• DBRS Legal and Structuring Framework assessment of “Adequate”.
• BII capabilities with respect to origination of cover pool assets and servicing of the cover pool.
• A Cover Pool Credit Assessment of BB and BII pledge to incorporate a public Issuer-Commitment Over-collateralisation of 29%. The Cover Pool credit assessment was BB (high) before the application of the updated market value spreads included in the Rating European Covered Bonds methodology.

As of December 2012, the EUR 964 mln covered bonds outstanding were secured by EUR 1,19 bn of residential mortgage assets resulting in a the Nominal Over-collateralisation (OC) of 27.51%. However, the confirmation of the rating is based on Issuer’s pledge to incorporate a public OC commitment of 29%.

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
• 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 data related to the cover pool provided by BII. 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 the related linking document.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 28 February 2012
Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Most Recent Rating Update: 14 December 2012
Rating Committee Chair: Quincy Tang