DBRS Places Banco Comercial Português Covered Bonds Under Review, Negative Implications

DBRS Rating Limited (DBRS) has today placed the ‘A’ (low) rating on all outstanding series of obrigações hipotecárias (the Portuguese legislative covered bonds) issued under Banco Comercial Português (BCP or the “Issuer”) EUR 12,500,000,000 Covered Bonds Programme Under Review with Negative Implications.

The rating action follows the October 28, 2014 DBRS placement of the BCP Senior Long-Term Debt and Deposit Rating of BBB (low) Under Review with Negative Implications (see the related press release regarding the rating action of BCP ratings in the “Related Research” section).

BCP Covered Bonds are rated ‘A’ (low) by DBRS based on ‘Rating European Covered Bonds Methodology’ and the rating is based on the following analytical considerations:
•The senior unsecured debt rating of the Issuer of BBB (low) Under Review with Negative Implications.
•DBRS Legal and Structuring Framework assessment of “Adequate”.
•BCP capabilities with respect to origination of cover pool (CP) and servicing of the CP.
•A Cover Pool Credit Assessment of BBB (low) along with an Issuer commitment Over-Collateralization (OC) level of 34%.

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 methodology applicable is: “Rating European Covered Bonds”.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release. This can be found on www.dbrs.com at: http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data and loan by loan level information on the CP provided by BCP that allowed DBRS to further assess the portfolio. 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.

The last rating action on this Programme took place on 24 February 2014, when DBRS confirmed the rating of all outstanding Series following the completion of a full review of the Programme.

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

This rating is Under Review. The review on the covered bonds will be resolved only once the conditions that lead to the assignment of review on the Issuer rating are resolved.

All else equal, a downgrade of the issuer rating by one notch would lead to a downgrade of the covered bonds by two notches.

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: 28 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 24 February 2014

Lead Analyst: Valentina Cicerone
Rating Committee Chair: Claire Mezzanotte

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 & 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