DBRS Upgrades Ratings on Banco Comercial Portugues Covered Bonds Programme

DBRS Ratings Limited (DBRS) has today upgraded the ratings of EUR 9.25 bn of notes outstanding under Banco Comercial Portugues (BCP or the “Issuer”) Covered Bond Programme to ‘A’ (low) from BBB (high).

The rating action follows a full review of the programme and 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 increase the Issuer-Commitment Over-collateralisation level to 32% from 26.5% currently.

As of December 2012, the cover pool amounted to EUR 11.9 bn and BCP’s covered bonds to EUR 9.25bn resulting in a Nominal Over-collateralisation (OC) of 27%. However, the rating action is based on the Issuer’s pledge to increase the public OC commitment to 32%.

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 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 Update: 21 January 2013
Rating Committee Chair: Quincy Tang