Press Release

DBRS Morningstar Upgrades Ratings on Caixa Geral Depósitos S.A. Covered Bonds (Obrigações Hipotecárias - Mortgages) to AA (high)

Covered Bonds
June 08, 2023

DBRS Ratings GmbH (DBRS Morningstar) upgraded its ratings on the Obrigações Hipotecárias (OH; the Portuguese legislative covered bonds) issued under Caixa Geral de Depósitos, S.A.’s (CGD or the Issuer) covered bond programme (the Programme) to AA (high) from AA.

This rating action reflects the upgrade on the Issuer’s Long Term Critical Obligations Rating (COR) to “A” from A (low) on 24 May 2023. CGD’s COR is the Covered Bond Attachment Point (CBAP) of the Programme.

As of the date of this press release, the total amount of bonds outstanding under the Programme was EUR 3 billion spread across two series, both retained.

The ratings are based on the following analytical considerations:
-- A CBAP of “A”, which is the Long Term Critical Obligation Rating on CGD. CGD is the Issuer and the Reference Entity (RE) for the Programme. DBRS Morningstar considers the assets in the Programme to be strategic to the core activity of the RE.
-- A Legal and Structuring Framework (LSF) Assessment of “Adequate” assigned to CGD’s OH programme.
-- A cover pool credit assessment (CPCA) of BBB, being the lowest CPCA in line with the LSF-L.
-- An LSF-Implied Likelihood (LSF-L) of AA (low).
-- A two-notch uplift for high recovery prospects.
-- A level of overcollateralisation (OC) of 28% to which DBRS Morningstar gives credit, which is the level of OC the Issuer commits to maintain as stated in its quarterly investor reports. This level is not subject to haircut, as DBRS Morningstar considers it to be persistent based on historically observed levels.
-- The sovereign rating on the Republic of Portugal, rated A (low) with a Stable trend by DBRS Morningstar, as of the date of this press release.

DBRS Morningstar analysed the transaction with its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults, recoveries of the assets and interest rate stresses, as well as market value spreads to calculate liquidation values on the cover pool (CP).

Everything else equal, a one-notch downgrade of the CBAP would lead to a one-notch downgrade of the LSF-L, resulting in a one-notch downgrade of the covered bonds (CBs) rating. In addition, the ratings on the OH would be downgraded if any of the following occurred: (1) the sovereign rating on the Republic of Portugal was downgraded below A (low); (2) the CPCA was downgraded below BBB; (3) the quality of the CP and the level of OC were no longer sufficient to support a two-notch uplift for high recovery prospects; (4) the relative amortisation profile of OH and CP moved adversely; (5) the LSF Assessment associated with the Programme was downgraded; or (6) volatility in the financial markets caused the currently estimated market value spreads to increase.

As of March 2023, the total CP balance was EUR 3.94 billion, including EUR 3.91 billion of mortgages and EUR 35.58 million of eligible securities and cash. There are currently EUR 3 billion in CBs outstanding under CGD’s OH Programme, giving an estimated total OC of 31.4%.

As of March 2023, the mortgage CP comprised 76,944 residential mortgages granted to individuals with an average loan amount of EUR 50,774. The weighted-average (WA) unindexed loan-to-value ratio of the mortgages was 48.4% with a WA seasoning of 161.3 months. The CP was mainly distributed in Lisbon (37.1% by outstanding balance), northern Portugal (24.2%), and central Portugal (20.9%).

The majority of the loans in the CP (98.9%) pay a floating interest rate indexed to Euribor while 100% of the CBs are floating rate. The interest rate mismatch in this transaction is negligible, but DBRS Morningstar accounted for this in its analysis.

The CP assets and the OH are all denominated in euros. As such, investors are not currently exposed to any foreign exchange risk.

The DBRS Morningstar-calculated WA life of the mortgage assets is about 14.4 years based on a 0% prepayment rate, which is longer than the 4.2 years of WA life on the OH, not accounting for any maturity extension. The resulting asset-liability maturity mismatch is mitigated by the OC available, a liquidity cushion available to cover three months of interest payments on the bonds and a 12-month extendable maturity feature by which, should the Issuer default on its payment on the CBs at the respective expected maturity date, the CB maturities are automatically extended on a monthly basis up to 12 months.

DBRS Morningstar assessed the LSF related to the Programme as “Adequate” according to its rating methodology. For more information, please refer to DBRS Morningstar’s commentaries, “DBRS Assigns LSF Assessment to Portuguese Covered Bonds” and “Portuguese Covered Bonds: Legal and Structuring Framework Review,” both available at

For further information on the Programme, please refer to the rating report at

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Global Methodology for Rating and Monitoring Covered Bonds” (8 May 2023),

Other methodologies referenced in this transaction are listed at the end of this press release.

In DBRS Morningstar’s opinion, the changes under consideration do not require the application of the entire principal methodology. Therefore, DBRS Morningstar focused on the cash flow analysis.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The sources of data and information used for these ratings include stratification tables as of March 2023, dynamic performance data from 2011 to 2022 and loan-by-loan-level information on the CP as of September 2022 provided by the Issuer.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 6 January 2023, when DBRS Morningstar confirmed its AA ratings on all outstanding OH issued under CGD’s Programme.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Antonio Laudani, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 10 September 2012

DBRS Ratings GmbH, Sucursal en España
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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Global Methodology for Rating and Monitoring Covered Bonds (8 May 2023),
-- Global Methodology for Rating and Monitoring Covered Bonds Addendum: Market Value Spreads (8 May 2023),
-- Global Methodology for Rating Banks and Banking Organisations (23 June 2022),
-- Legal Criteria for European Structured Finance Transactions (22 July 2022),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (28 November 2022) and European RMBS Credit Model v,
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022),
-- Global Methodology for Rating Sovereign Governments (29 August 2022),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at