Press Release

DBRS Places 12 European Programmes’ Covered Bonds Under Review

Covered Bonds

February 09, 2016

DBRS Ratings Limited (DBRS) has today placed the covered bonds (CB) issued under 11 European programmes Under Review with Positive implications and another programme has been placed Under Review with Negative Implications.

The rating actions reflect both (1) the new Critical Obligation Rating assigned to the Reference Entities of the Programmes, and (2) the publication on 4 February 2016 of a Request of Comments for the “Rating European Covered Bonds” methodology that proposes a new analysis for the determination of the Covered Bonds Attachment Point (CBAP) for those Reference Entities (RE) that have been assigned a COR.

The proposed changes to the Methodology are deemed material. DBRS proposes a new analysis for deriving the CBAP of all European Covered Bonds programmes that have a RE that is subject to the Bank Recovery and Resolution Directive (BRRD), enacted on 15 May 2014. The proposed method involves the use of the RE’s Critical Obligations Rating (COR) alongside the current senior unsecured rating (RE-SUR) as a reference rating for the CBAP and the possibility of notching the rating of CBAP down by up to one notch from the COR, or up by up to two notches above RE-SUR in certain circumstances.

If the Request For Comments commentary published on 4 February 2015 were approved in the proposed form, this would have a positive impact on the rating of the covered bonds issued under 11 CB programmes, which could be subject to un upgrade of up two notches; and a negative effect on the rating of the covered bonds issued under one CB programme, which could be subject to a downgrade of up to two notches. As such, the Covered Bonds ratings of twelve European have been placed Under Review today. DBRS will conclude its review on the CB ratings only once the proposed changes to its “Rating European Covered Bonds” methodology are finalised.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating European Covered Bonds” (December 2015). This can be found 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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

DBRS is undertaking a review and will remove the rating from this status as soon as it is appropriate.

The sources of information used for these ratings include historical default performance data and cover pool stratification tables provided by the issuers that allowed DBRS to further assess the portfolio.

DBRS considers the information available to it for the purposes of providing these ratings was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was supplied with third-party assessments for the analysis of Unione di Banche Italiane S.p.A Covered Bonds Programme guaranteed by UBI Finance CB2 S.r. l and Unione di Banche Italiane SPA Covered Bonds Programme 1; however, this did not impact the rating analysis. DBRS was not supplied with third-party assessments for the analysis of the remaining ten programmes; however, this did not impact the rating analysis.

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 the programmes took place on:
-- Intesa Sanpaolo Covered Bond Programme Guaranteed by ISP OBG S.r.l.: 16 November 2015
-- Unione di Banche Italiane SPA Covered Bonds Programme 1: 14 December 2015
-- Unione di Banche Italiane SPA Covered Bonds Programme guaranteed by UBI Finance CB2 S.r.l: 27 October 2015
-- Banco de Investimento Imobiliário Covered Bond Programme: 26 May 2015
-- Banco Comercial Português Covered Bond Programme: 23 July 2015
-- Montepio Covered Bonds Programme: 10 December 2015
-- Caixa Geral Depósitos Covered Bond Programme: 12 January 2016
-- Banco Bilbao Vizcaya Argentaria (BBVA) Covered Bond Programme: 19 October 2015
-- Banco Popular Español Cédulas Hipotecarias Covered Bonds: 20 October 2015
-- Banco Pastor Cédulas Hipotecarias: 20 October 2015
-- Banco Sabadell Cédulas Hipotecarias: 5 November2015
-- Caixabank Cedulas Hipotecarias: 8 February 2016

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

These ratings are Under Review with Positive and Negative implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90 day period.

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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.

INTESA SANPAOLO COVERED BOND PROGRAMME GUARANTEED BY ISP OBG S.R.L.
Initial Lead Analyst: Valentina Cicerone
Initial Rating Date: 7 November 2014
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang
The backup responsibilities for this transaction have been transferred to Alessandra Maggiora.

UNIONE DI BANCHE ITALIANE SPA COVERED BONDS PROGRAMME 1
Initial Lead Analyst: Vito Natale
Initial Rating Date: 24 August 2015
Rating Committee Chair: Quincy Tang

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang

UNIONE DI BANCHE ITALIANE S.p.A COVERED BONDS PROGRAMME GUARANTEED BY UBI FINANCE CB2 S.r.L.
Initial Lead Analyst: Vito Natale
Initial Rating Date: 27 October 2015
Rating Committee Chair: Quincy Tang

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang
The backup responsibilities for this transaction have been transferred to Alessandra Maggiora.

BANCO DE INVESTIMENTO IMOBILIÁRIO COVERED BOND PROGRAMME
Initial Lead Analyst: Keith Gorman
Initial Rating Date: 28 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang
The backup responsibilities for this transaction have been transferred to Alessandra Maggiora.

BANCO COMERCIAL PORTUGUÊS COVERED BOND PROGRAMME
Initial Lead Analyst: Keith Gorman
Initial Rating Date: 24 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang
The backup responsibilities for this transaction have been transferred to Alessandra Maggiora.

MONTEPIO COVERED BONDS PROGRAMME
Initial Lead Analyst: Keith Gorman
Initial Rating Date: 30 November 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang
The backup responsibilities for this transaction have been transferred to Alessandra Maggiora.

CAIXA GERAL DEPÓSITOS COVERED BOND PROGRAMME
Initial Lead Analyst: Keith Gorman
Initial Rating Date: 10 September 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Back-up Analyst: Alessandra Maggiora
Rating Committee Chair: Quincy Tang

BANCO BILBAO VIZCAYA ARGENTARIA (BBVA) COVERED BOND PROGRAMME
Initial Lead Analyst: Vito Natale
Initial Rating Date: 20 February 2013
Initial Rating Committee Chair: Claire Mezzanotte