DBRS Confirms Banco Popular Español Cedulas Hipotecarias

DBRS Rating Limited (DBRS) has today confirmed the rating on the outstanding Banco Popular Español (BPE or “Issuer”) single Cedulas Hipotecarias (CH) following the spin-off of assets to Banco Pastor, a newly constituted Spanish bank 100% owned by BPE.

Banco Popular Español has transferred EUR10.5bln of assets to Banco Pastor on 9/December/2013; out of this, only EUR3bln is composed of mortgage loans. Following the transfer, the total outstanding amount of Banco Popular Español CH is EUR22.5bln while the aggregate balance of mortgages in the cover pool is EUR56.04bln resulting in a nominal over-collateralisation (OC) of 149%.

The ratings are based on the following analytical considerations:
• The senior unsecured long debt and deposit rating of BPE ‘A’ (low) with Negative Trend
• DBRS Legal and Structuring Framework assessment of “Modest”.
• Cover Pool Credit Assessment of BBB
• BPE’s capabilities with respect to origination of the cover assets and servicing of the cover pool

The transaction was modelled in DBRS European Covered Bond Cash Flow Model. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses and market value spreads to calculate liquidation values on the cover pool.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is: “Rating European Covered Bonds”. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data and cover pool stratification tables that allowed DBRS to further assess the portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 13 September 2013, when DBRS assigned ratings to BPE Cedulas Hipotecarias new issuance.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

All else equal, a downgrade of the Issuer rating by one notch would lead to a downgrade of the covered bonds by an equal number of notches.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Vito Natale
Initial Rating Date: 24 April 2013
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 12 December 2013
Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanote

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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

• 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