DBRS Downgrades Banco Comercial Portugues Covered Bonds

DBRS Ratings Limited (DBRS) has today downgraded all series of notes issued by Banco Comercial Portugues Covered Bonds programme to BBB (high) from ‘A’ (low) upon implementation of the updated Rating European Covered Bonds methodology published on 16 January 2013.

The rating action reflects the following analytical considerations:

•DBRS Legal and Structuring Framework assessment for Portugal of “Adequate”.
•The senior unsecured debt rating of Banco Comercial Portugues of BBB (low) with Negative Trend.
•A Cover Pool Credit Assessment of ‘BB(high)’, and an Issuer Commitment Over-collateralisation level of 26.5%. The Cover Pool credit assessment was ‘BBB’ before the application of the updated market value spreads included in the Rating European Covered Bonds methodology.

The total outstanding amount of securities under the Programme is €9.250bn. The aggregate balance of mortgages in the cover pool is €11.750 billion while the total amount of substitution assets is €572 million as of September 30, 2012.

The Nominal Over-collateralisation level as of September 30, 2012 is of 27.02%.

On 13 March 2023, DBRS Morningstar amended the above press release to correct the Initial Rating Date.

Notes:
The principal methodologies applicable are:
• 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
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. 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”.

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

For additional information on this rating, please see linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 28 February 2012
Most Recent Rating Date: 14 December 2012