DBRS Assigns Ratings to Banco Popular Español Cédulas Hipotecarias New Issuance

DBRS Ratings Limited (DBRS) has today assigned the rating of ‘A’ to a new covered bond issuance “Cedulas Hipotecarias 2014-4 (ES0413790363)” issued by Banco Popular Español (BPE or “Issuer”). The new issuance is a EUR1bn floating rate security maturing in June 2024. At the same time, DBRS has confirmed the ‘A’ rating on the outstanding Cedulas Hipotecarias (CH).

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.

Following the new issuance, the total outstanding amount of CH is EUR20.55bn while the aggregate balance of the mortgages in the cover pool is EUR54.65bn (30/April/2014) resulting in a total over-collateralisation of 165.9%.

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 16 April 2014, when DBRS confirmed the ratings to BPE Cédulas Hipotecarias.

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: 1 July 2014
Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanote

DBRS Ratings Limited
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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
• Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SME)
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations