Press Release

DBRS Morningstar Comments on Structured Finance and Covered Bond Transactions Following Republic of Portugal Upgrade

Auto, RMBS, Other

October 14, 2019

DBRS Morningstar is currently undertaking a review of all the structured finance and covered bond transactions it rates that could be affected by DBRS Morningstar’s recent upgrade of the Republic of Portugal (Portugal) to BBB (high) with a Stable Trend on 4 October 2019.

DBRS Morningstar currently rates 32 Portuguese structured finance transaction and covered bond programs. Structured finance transactions include several asset classes such as residential mortgage-backed securities (RMBS), small and medium-sized enterprises (SMEs), non-performing loans (NPLs), auto and commercial loans and electricity tariff transactions. Please find the list of all the related rated notes at the end of this press release. The review is being conducted in accordance with the sovereign risk impact on Structured Finance ratings, as described in “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

DBRS Morningstar anticipates some upgrades as a result of the Portugal sovereign rating upgrade, mainly on seasoned transactions with senior tranches rated in the AA (sf) range. DBRS Morningstar structured finance ratings within countries belonging to a monetary union may be up to three rating categories above the sovereign (e.g. from BBB to AAA). DBRS Morningstar currently expects that most of the current ratings as listed below are unlikely to be changed.

For deals where there is a rating impact, DBRS Morningstar expects to publish the related rating actions within the next couple of weeks.

Notes:
DBRS methodologies are publicly available on its website http://www.dbrs.com under Methodologies & Criteria.

For more information on this methodology or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

Ratings

Ares Lusitani STC, S.A. (Gaia)

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
31-May-19	Class A Notes	BBB (low) (sf)	--	Provis.-Final	UK U
31-May-19	Class B Notes	CCC (sf)	--	Provis.-Final	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (high) (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (high) (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (high) (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (high) (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
29-Mar-19	OH 12 Tranche 1 - PTBBWAOE0024	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 16 Tranche 1 - PTBBP7OE0022	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 18 Tranche 1 - PTBBBJOM0020	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 19 Tranche 1 - PTBPITOM0017	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 21 Tranche 1 - PTBPIZOM0027	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 14 Tranche 1 - PTBBRROE0048	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 17 Tranche 1 - PTBBBGOE0023	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 20 Tranche 1 - PTBPIYOM0028	AA (low)	--	Confirmed	UK U
29-Mar-19	OH 9 Tranche 1 - PTBBP6OE0023	AA (low)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Jun-19	Series 5 - PTBIPGOE0061	A	--	Confirmed	UK U
10-Jun-19	Series 6 - PTBCSFOE0024	A	--	Confirmed	UK U
10-Jun-19	Series 7 - PTBCS3OE0028	A	--	Confirmed	UK U
10-Jun-19	Series 8 - PTBCQLOE0036	A	--	Confirmed	UK U
10-Jun-19	Series 9 - PTBCPIOM0057	A	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
04-Jul-19	Series 10 - PTCMGTOM0029	A	--	Confirmed	UK U
04-Jul-19	Series 5 - PTCMGROE0021	A	--	Confirmed	UK U
04-Jul-19	Series 6 - PTCMGEOE0034	A	--	Confirmed	UK U
04-Jul-19	Series 8 - PTCMGFOE0033	A	--	Confirmed	UK U
04-Jul-19	Series 9 - PTCMGSOM0020	A	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
06-Jun-19	Series 10	AA (low)	--	Upgraded	UK U
06-Jun-19	Series 14	AA (low)	--	Upgraded	UK U
06-Jun-19	Series 17	AA (low)	--	Upgraded	UK U
06-Jun-19	Series 18	AA (low)	--	Upgraded	UK U
06-Jun-19	Series 4	AA (low)	--	Upgraded	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
18-Feb-19	Class A	AA (high) (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes (PTGMMBOM0001)	A (sf)	--	Confirmed	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
16-Nov-18	Class A	BBB (low) (sf)	--	Provis.-Final	UK U
16-Nov-18	Class B	CCC (sf)	--	Provis.-Final	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
07-Nov-18	Class A Notes	BBB (sf)	--	Confirmed	UK U
07-Nov-18	Class B Notes	B (low) (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Aug-19	Class A Notes	AA (high) (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
16-Sep-19	OH 1 Tranche 1 - PTNOBAOE0012	A	--	Confirmed	UK U
16-Sep-19	OH 2 Tranche 1 - PTNOBBOE0011	A	--	Confirmed	UK U
16-Sep-19	OH 3 Tranche 1 - PTNOBCOE0010	A	--	Confirmed	UK U
16-Sep-19	OH 4 Tranche 1 - PTNOBDOE0019	A	--	Confirmed	UK U
16-Sep-19	OH 5 Tranche 1 - PTNOBEOE0018	A	--	Confirmed	UK U
16-Sep-19	OH 5 Tranche 2 - PTNOBEOE0018	A	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
14-Nov-18	Class B Asset-Backed Floating Rate Notes	AA (high) (sf)	--	Upgraded	UK
14-Nov-18	Class C Asset-Backed Floating Rate Notes	AA (sf)	--	Upgraded	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
14-Nov-18	Class A (PTSSCMOM0000)	AA (sf)	--	Confirmed	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-Jul-19	Class A Notes (PTSSCAOM0012)	AA (low) (sf)	--	Upgraded	EU U
08-Jul-19	Class B Notes (PTSSCBOM0011)	A (sf)	--	Upgraded	EU U
08-Jul-19	Class C Notes (PTSSCCOM0010)	BBB (low) (sf)	--	Upgraded	EU U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
09-Apr-19	Class A Notes	AA (sf)	--	Upgraded	EU U

Show More Issuers

Ares Lusitani STC, S.A. (Gaia)

Class A Notes

Date Issued:May 31, 2019
Rating Action:Provis.-Final
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Class B Notes

Date Issued:May 31, 2019
Rating Action:Provis.-Final
Ratings:CCC (sf)
Trend:--
Rating Recovery:
Issued:UKU

Atlantes Mortgage N º 2

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:EUU

Atlantes Mortgage N º 3

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Atlantes Mortgage N º 4

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Atlantes Mortgage N º 5

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Atlantes Mortgage N º 7

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Banco BPI S.A. Covered Bonds (Obrigações Cobertas - Mortgages)

OH 12 Tranche 1 - PTBBWAOE0024

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 16 Tranche 1 - PTBBP7OE0022

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 18 Tranche 1 - PTBBBJOM0020

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 19 Tranche 1 - PTBPITOM0017

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 21 Tranche 1 - PTBPIZOM0027

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 14 Tranche 1 - PTBBRROE0048

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 17 Tranche 1 - PTBBBGOE0023

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 20 Tranche 1 - PTBPIYOM0028

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

OH 9 Tranche 1 - PTBBP6OE0023

Date Issued:Mar 29, 2019
Rating Action:Confirmed
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

Banco Comercial Português S.A. Covered Bonds (Obrigações Hipotecárias - Mortgages)

Series 5 - PTBIPGOE0061

Date Issued:Jun 10, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 6 - PTBCSFOE0024

Date Issued:Jun 10, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 7 - PTBCS3OE0028

Date Issued:Jun 10, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 8 - PTBCQLOE0036

Date Issued:Jun 10, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 9 - PTBCPIOM0057

Date Issued:Jun 10, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Caixa Economica Montepio Geral Covered Bonds (Obrigações Hipotecárias - Mortgages - CPT)

Series 10 - PTCMGTOM0029

Date Issued:Jul 4, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 5 - PTCMGROE0021

Date Issued:Jul 4, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 6 - PTCMGEOE0034

Date Issued:Jul 4, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 8 - PTCMGFOE0033

Date Issued:Jul 4, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Series 9 - PTCMGSOM0020

Date Issued:Jul 4, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

Caixa Geral De Depósitos S.A. Covered Bonds (Obrigações Cobertas - Mortgages)

Series 10

Date Issued:Jun 6, 2019
Rating Action:Upgraded
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

Series 14

Date Issued:Jun 6, 2019
Rating Action:Upgraded
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

Series 17

Date Issued:Jun 6, 2019
Rating Action:Upgraded
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

Series 18

Date Issued:Jun 6, 2019
Rating Action:Upgraded
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

Series 4

Date Issued:Jun 6, 2019
Rating Action:Upgraded
Ratings:AA (low)
Trend:--
Rating Recovery:
Issued:UKU

GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2)

Class A

Date Issued:Feb 18, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UKU

GAMMA - Sociedade de Titularização de Créditos, S.A. (Hipototta No. 13)

Class A Notes (PTGMMBOM0001)

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:EUU

Hefesto STC, S.A. (Project Guincho)

Class A

Date Issued:Nov 16, 2018
Rating Action:Provis.-Final
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Class B

Date Issued:Nov 16, 2018
Rating Action:Provis.-Final
Ratings:CCC (sf)
Trend:--
Rating Recovery:
Issued:UKU

Hefesto, STC, S.A. (Evora Finance)

Class A Notes

Date Issued:Nov 7, 2018
Rating Action:Confirmed
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:UKU

Class B Notes

Date Issued:Nov 7, 2018
Rating Action:Confirmed
Ratings:B (low) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Lusitano Mortgages No. 7 Designated Activity Company

Class A Notes

Date Issued:Aug 9, 2019
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Novo Banco S.A. Covered Bonds (Obrigações Hipotecárias - Mortgages - CPT)

OH 1 Tranche 1 - PTNOBAOE0012

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

OH 2 Tranche 1 - PTNOBBOE0011

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

OH 3 Tranche 1 - PTNOBCOE0010

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

OH 4 Tranche 1 - PTNOBDOE0019

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

OH 5 Tranche 1 - PTNOBEOE0018

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

OH 5 Tranche 2 - PTNOBEOE0018

Date Issued:Sep 16, 2019
Rating Action:Confirmed
Ratings:A
Trend:--
Rating Recovery:
Issued:UKU

SAGRES - Sociedade de Titularização de Créditos, S.A (Lusitano SME No. 3)

Class B Asset-Backed Floating Rate Notes

Date Issued:Nov 14, 2018
Rating Action:Upgraded
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

Class C Asset-Backed Floating Rate Notes

Date Issued:Nov 14, 2018
Rating Action:Upgraded
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

SAGRES - Sociedade de Titularização de Créditos, S.A. (DOURO SME No.2)

Class A (PTSSCMOM0000)

Date Issued:Nov 14, 2018
Rating Action:Confirmed
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

SAGRES - Sociedade de Titularização de Créditos, S.A. (Ulisses Finance No. 1)

Class A Notes (PTSSCAOM0012)

Date Issued:Jul 8, 2019
Rating Action:Upgraded
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Class B Notes (PTSSCBOM0011)

Date Issued:Jul 8, 2019
Rating Action:Upgraded
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:EUU

Class C Notes (PTSSCCOM0010)

Date Issued:Jul 8, 2019
Rating Action:Upgraded
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:EUU

Sagres STC (Pelican Mortgages No. 4)

Class A Notes

Date Issued:Apr 9, 2019
Rating Action:Upgraded
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:EUU

Show More Issuers

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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DBRS Morningstar Comments on Structured Finance and Covered Bond Transactions Following Republic of Portugal Upgrade

Ratings

Ares Lusitani STC, S.A. (Gaia)

Atlantes Mortgage N º 2

Atlantes Mortgage N º 3

Atlantes Mortgage N º 4

Atlantes Mortgage N º 5

Atlantes Mortgage N º 7

Banco BPI S.A. Covered Bonds (Obrigações Cobertas - Mortgages)

Banco Comercial Português S.A. Covered Bonds (Obrigações Hipotecárias - Mortgages)

Caixa Economica Montepio Geral Covered Bonds (Obrigações Hipotecárias - Mortgages - CPT)

Caixa Geral De Depósitos S.A. Covered Bonds (Obrigações Cobertas - Mortgages)

GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2)

GAMMA - Sociedade de Titularização de Créditos, S.A. (Hipototta No. 13)

Hefesto STC, S.A. (Project Guincho)

Hefesto, STC, S.A. (Evora Finance)

Lusitano Mortgages No. 7 Designated Activity Company

Novo Banco S.A. Covered Bonds (Obrigações Hipotecárias - Mortgages - CPT)

SAGRES - Sociedade de Titularização de Créditos, S.A (Lusitano SME No. 3)

SAGRES - Sociedade de Titularização de Créditos, S.A. (DOURO SME No.2)

SAGRES - Sociedade de Titularização de Créditos, S.A. (Ulisses Finance No. 1)

Sagres STC (Pelican Mortgages No. 4)

Download This Press Release

DBRS Morningstar Comments on Structured Finance and Covered Bond Transactions Following Republic of Portugal Upgrade

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