DBRS Places Banco Espirito Santo Covered Bonds Under Review, Negative Implications

DBRS Ratings Limited (DBRS) has today placed the A (low) rating on Banco Espirito Santo SA (“BES”) covered bonds Under Review with Negative Implications. There are EUR 4.040mln of covered bonds outstanding under the programme.

The rating action follows the July 11, 2014 DBRS placement of the BES Senior Long-Term Debt and Deposit Rating of BBB (low) Under Review with Negative implications.

BES covered bonds are rated A (low) by DBRS based on ‘Rating European Covered Bonds Methodology’ and the rating is based on the following analytical considerations:
• The senior unsecured debt rating of BES of BBB (low), now placed Under Review with Negative Implications.
• The Legal and Structuring Framework (LSF) assessment of “Adequate” associated with the BES covered bonds programme.
• The cover pool credit assessment of BBB (low) and the Issuer Commitment Over-collateralisation of 32%.

As of March 2014, the Nominal Over-collateralisation (OC) was 36.7%.

The back-up analytical responsibilities for this transaction have been transferred to Valentina Cicerone.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodologies applicable is: Rating European Covered Bonds.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include data related to the cover pool provided by BES. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The last rating action on this transaction took place on October 7, 2013 when the ‘A (low)’ rating of BES covered bonds was confirmed.

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

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.

This rating is under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90 day period. However, while near-term events could lead to rating actions, DBRS does not expect to complete the review prior to the results of the European Union/European Banking Authority Asset Quality Review (AQR) and stress tests. DBRS reviews and ratings are under regular surveillance.

Everything else equal, should BES rating be downgraded by one notch to BB (high), then the covered bonds ratings would be downgraded by two notches to BBB.

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: Keith Gorman
Initial Rating Date: 7 March 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 7 October 2013

Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

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

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations
Rating European Covered Bonds