DBRS Discontinues Ratings on the Series 4, 5, and 7 OH Issued under Novo Banco Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today discontinued its ratings on the Series 4, 5, and 7 obrigações hipotecárias (OH, the Portuguese legislative covered bonds) issued under Novo Banco (NB or the Issuer) Covered Bonds Programme (the Programme).

The rating action reflects the payment in full of the Series 4, 5, and 7 OH. The combined outstanding balance of all Series before the payment in full was EUR 3,000,000,000 and the rating was BBB (low) Under Review with Developing Implications.

DBRS continues to rate the following Notes in the same transaction:
-- Series 6 OH, rated BBB (low) Under Review with Developing Implications.

On 29 September 2015, following finalisation of the review of the credit DBRS gives to sovereign support in its financial institution analysis, as a result of the recent developments in European regulation and legislation regarding the BRRD (Bank Recovery and Resolution Directive), the rating of the Issuer was downgraded to “B” from BB (low). On 8 September 2015, DBRS published the updated “Rating European Covered Bonds” methodology.

There is only one series of covered bonds outstanding under the Programme for a total amount of EUR 40 million. The vast majority of the cover pool assets have been removed from this Programme and have been pledged to a separate OH Programme. DBRS understands that the two programmes are not cross-collateralised.

DBRS will resolve the review on the Series 6 OH in the next few days, once it has more clarity on the cover pool assets that remain pledged to this programme.

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.

In DBRS’s opinion, a discontinued-repaid rating action does not require the application of the entire principal methodology.
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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for these ratings include periodic reporting from NB. 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.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

The last rating action on this Programme took place on 23 July 2015, when DBRS maintained the rating of all outstanding Series Under Review with Developing Implications.

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

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: 24 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 23 July 2015

Lead Analyst: Vito Natale

DBRS Ratings Limited
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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

-- Rating European Covered Bonds
-- Global Methodology for Rating Banks and 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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375