DBRS Confirms Ratings on Banco Comercial Português Covered Bonds

DBRS Ratings Limited (DBRS) has today confirmed the ‘A’ (low) rating of EUR 8.85bn notes outstanding under Banco Comercial Português (BCP or the “Issuer”) Covered Bonds Programme following the amendments to Series 5.

The rating action reflects the following analytical considerations:
• The senior unsecured debt rating of the Issuer of BBB (low) with Negative Trend confirmed on 5 December 2012.
• DBRS Legal and Structuring Framework assessment of “Adequate”.
• BCP capabilities with respect to origination of cover pool assets and servicing of the cover pool.
• A Cover Pool Credit Assessment of BBB (low) and BCP pledge to set the Issuer-Commitment Over-collateralisation level at 34% from 32%.

According to its restated terms, Series 5 EUR 1.35bn outstanding now matures on 18 May 2016 and pays a floating coupon linked to 1 month Euribor plus 200 basis points. The new terms imply a lower volume and a higher tenor and spread.

Following the amendments to terms of series 5, the total outstanding amount of securities under the Programme is EUR8.85bn while the aggregate balance of mortgages in the cover pool is EUR12.38 resulting in a Nominal Over-collateralisation (OC) of 39%.

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

Notes:
All figures are in Euros unless otherwise noted.

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 data related to the cover pool provided by BCP. 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 the related linking document.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 28 February 2012
Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Vito Natale
Most Recent Rating Date: 25 February 2013
Rating Committee Chair: Claire Mezzanotte