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PRESS RELEASE: Fitch Affirms Pelican Deals; Revises Outlooks

Fitch Ratings-London-26 October 2009: Fitch Ratings has today affirmed 18 tranches of five Portuguese RMBS transactions from the Pelican Mortgages Plc series, comprising loans originated by Caixa Economica Montepio Geral ('A-'/ 'F2'/Outlook Stable). The Outlooks were revised on two junior tranches of Pelican 3 and 4. A full rating breakdown is provided at the end of this comment.

The note redemption in the first two transactions of the series is fully sequential, while the reserve funds in these two deals are non-amortising. These features have led to the strong credit enhancement growth of the notes issued in Pelican 1, which has resulted in the affirmation of the deal, despite the high portion of loans in arrears by more than three months. The investor report for September 2009 showed loans in arrears by more than three months at 10.8% of the current portfolio (net of provisions), but in volume terms the arrears have remained fairly stable over the past few quarters, indicating that the increasing rate of arrears is mainly driven by the de-leveraging of the pool ( currently at 18.5% of the balance at close). Similarly, the strong credit enhancement support available to the notes of Pelican 2 led to the affirmation of the notes. Unlike the more seasoned Pelican 1 transaction, the deal contains more than 70% of subsidised loans which to some extent explains the somewhat better performance of the deal.

As Pelican 3 is still considered to be a fairly recent transaction, rising arrears rates are to be expected at this stage in the transaction's life. The agency does, however, have concern over the declining excess spread levels seen in the past few quarters. As further arrears are expected to occur, the deal is likely to see higher volumes of deemed principal losses being realised each period. This is likely to put more pressure on the available excess spread, and may eventually lead to reserve fund draws. Although Fitch expects these to be limited in size, as seen in other Pelican deals to date, the combination of rising arrears and limited excess revenue causes some concern for the most junior tranche. For this reason, the agency has revised the Outlook on the junior tranche to Negative.

The more recent Pelican deals - Pelican 4 and 5 - contain loans with negative amortisation features. At close the portions of such loans were approximately 71% and 39% of Pelican 4 and 5 respectively. Fitch expects this type of loan to see worse performance and therefore these transactions have higher levels of credit enhancement to receive the same rating as the earlier deals in the series. In the last two payment dates, both transactions have seen reserve fund draws and in September 2009 their balances were at 96.6% (Pelican 4) and 95.4% ( Pelican 5) of their target amount.

Fitch has particular concern with Pelican 4 and 5, as the gross excess spread generated by the deals is not sufficient to meet quarterly payments due. In September 2009, Pelican 4 realised first deemed principal losses, which was one of the factors that caused the EUR0.3m reserve fund draw, while the EUR0.5m reserve fund draw of Pelican 5 was solely caused by the insufficient revenue generated by the deal, mainly caused by the swap payments made to the swap counterparty. In June 2009 Fitch identified the rapid decline in interest rates as the main cause for the mismatch in payments received from the swap counterparty (based on the three-month Euribor rates) and the payments made to the counterparty (based on six- and three-month Euribor received from the borrowers) in Pelican 4. The agency believes that this is still occurring in Pelican 4 and is also evident in Pelican 5. The Negative Outlook on class E of Pelican 4 reflects Fitch's view about future reserve fund draws the agency is expecting to see. The agency expects further reserve fund draws to occur in Pelican 5 as well, and unless interest rates stabilise, or start rising, the transaction will be put under further pressure once the first provisions start coming through. Despite Fitch's expectations, the rating of class C of Pelican 5 was affirmed with a Stable Outlook due to the presence of an unrated collateralised tranche, which is providing credit support to the 'B' rated tranche.

Fitch has also received further data on deemed principal losses which have also been factored in the rating actions. The data shows that a high portion of loans that have been provisioned either fully or partially have either reverted to performing or have prepaid out of the pool. This was one of the factors that led to the Stable Outlooks in the two more seasoned deals (Pelican 1 and 2).

The rating actions are as follows:

Pelican Mortgages No. 1 plc:Class A (ISIN XS0159861078) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass B (ISIN XS0159861409) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass C ( ISIN XS0159862472) affirmed at 'BBB+'; Outlook Stable; Loss Severity Rating 'LS- 1' assigned

Pelican Mortgages No. 2 plc:Class A (ISIN XS0177081634) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass B (ISIN XS0177083259) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass C ( ISIN XS0177083689) affirmed at 'A-'; Outlook Stable; Loss Severity Rating 'LS-1' assigned

Pelican Mortgages No. 3 plc:Class A (ISIN XS0293657416) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass B (ISIN XS0293657689) affirmed at 'AA-'; Outlook Stable; Loss Severity Rating 'LS-2' assignedClass C ( ISIN XS0293657846) affirmed at 'A'; Outlook Stable; Loss Severity Rating 'LS-2' assignedClass D (ISIN XS0293657929) affirmed at 'BBB'; Outlook revised to Negative from Stable; Loss Severity Rating 'LS-2' assigned

Pelican Mortgages No. 4 plc:Class A (ISIN XS0365137990) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass B (ISIN XS0365138295) affirmed at 'AA'; Outlook Stable; Loss Severity Rating 'LS-2' assignedClass C ( ISIN XS0365138964) affirmed at 'A-'; Outlook Stable; Loss Severity Rating 'LS-2' assignedClass D (ISIN XS0365139004) affirmed at 'BBB'; Outlook Stable; Loss Severity Rating 'LS-3' assignedClass E (ISIN XS0365139699) affirmed at 'BB'; Outlook revised to Negative from Stable; Loss Severity Rating 'LS-3' assigned

Pelican Mortgage No. 5:Class A (ISIN XS0419743033) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1' assignedClass B (ISIN XS0419743389) affirmed at 'BBB-'; Outlook Stable; Loss Severity Rating 'LS-2' assignedClass C (ISIN XS0419743462) affirmed at 'B'; Outlook Stable; Loss Severity Rating 'LS-4' assigned

Fitch used its EMEA RMBS surveillance criteria, employing its credit cover multiple methodology in reviewing the deals to assess the level of credit support available to each class of notes.

Further commentary and performance data on the transaction are available on the agency's public website, www.fitchratings.com.

Applicable criteria 'EMEA RMBS Surveillance Criteria,' dated 9 April 2009 and 'Global Structured Finance Rating Criteria', dated 30 September 2009" are available at www.fitchratings.com:

Contact: Sanja Paic, London, Tel: +44 (0) 20 7682 7330; Peter Dossett, +44 (0) 20 7682 7427; Lara Patrignani, +44 (0) 20 7417 4262.

Media Relations: Julian Dennison, London, Tel: +44 020 7682 7480, Email: julian.dennison@fitchratings.com; Peter Fitzpatrick, London, Tel: + 44 (0)20 7417 4364, Email: peter.fitzpatrick@fitchratings.com.

Additional information is available on www.fitchratings.com.

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP:// FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

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