Press Release

DBRS Morningstar Assigns AA Credit Rating to Santander Totta S.A. Covered Bonds (Obrigações Cobertas - Mortgages) Series 33

Covered Bonds
December 28, 2023

DBRS Ratings GmbH (DBRS Morningstar) assigned a AA credit rating to the Series 33 (ISIN PTBSRQOM0024) Obrigações Cobertas (formerly designated Obrigações Hipotecárias; the Portuguese legislative covered bonds) issued under the Banco Santander Totta S.A. (Totta or the Issuer) EUR 12.5 billion programme (the programme).

Series 33 is a EUR 16.9 million fixed-rate bond that pays a coupon of 3.05% and matures on 28 December 2028.

Following the issuance of Series 33, there are 14 series of covered bonds (CBs) outstanding under the programme, totalling a nominal amount of EUR 9.770 billion. All CBs issued under the programme rank pari passu with each other and DBRS Morningstar currently rates them AA.

The credit rating is based on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of A (high). Totta is the Issuer of and Reference Entity for the programme. There is no Critical Obligations Rating assigned to Totta, but DBRS Morningstar considers Portugal a jurisdiction for which CBs are a particularly important financing tool. As such, the CBAP is set at the level of the Issuer Rating plus one notch.
-- A Legal and Structuring Framework (LSF) Assessment of “Strong” associated with the programme.
-- A Cover Pool Credit Assessment (CPCA) of BBB (low), which is the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of AA (low).
-- A one-notch uplift for good recovery prospects.
-- A committed minimum overcollateralisation (OC) of 15%. DBRS Morningstar gives full credit to such commitment in accordance with its principal methodology. Such level is not subject to a haircut as DBRS Morningstar considers it to be persistent based on historically observed levels.
-- The sovereign credit rating on the Republic of Portugal, rated “A” with a Stable trend by DBRS Morningstar as of the date of this press release.

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

Everything else being 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 CB credit ratings.

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

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

The vast majority of the loans in the CP (99%) are floating rate, indexed to different bases, and they reset at different times, while all CB series are fixed rate. The resulting interest rate mismatch is mitigated by intra-group swap agreements that contain downgrade and collateral-posting language in line with DBRS Morningstar’s criteria and have been given full credit in DBRS Morningstar’s analysis.

The DBRS Morningstar-calculated weighted-average (WA) life of the mortgage assets is about 17 years based on a 0% prepayment rate, which is longer than the 4.0 years of WA life on the CBs, not accounting for any maturity extension. This risk is mitigated by the extended maturity dates, which fall one year after the maturity dates, and by the OC in place.

All CP assets and CB are denominated in euros. As such, investors are not currently exposed to any foreign exchange risk.

DBRS Morningstar has assessed the LSF related to the programme as “Strong” according to its credit rating methodology. For more information, please refer to DBRS Morningstar’s publication “Portuguese Covered Bonds: Legal and Structuring Framework Review”, available at

DBRS Morningstar’s credit rating on Series 33 addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for Series 33 are the related Interest Payment Amounts and the related Principal Balance.

DBRS Morningstar’s credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

Credit rating actions on the Issuer are likely to have an impact on this credit rating.

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 credit rating 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 limited to the final terms of Series 33.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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 credit ratings include investor reports and loan-by-loan data on the CP, static delinquencies (90 days+) by vintage of origination, spanning from 2003 to Q1 2016, and dynamic arrears data on the vintages 2000 to Q1 2023, 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 credit rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

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

This credit rating concerns a newly issued financial instrument. This is the first DBRS Morningstar credit rating on this financial instrument.

The last credit rating action on this transaction took place on 16 November 2023, when DBRS Morningstar assigned a AA credit rating to the Series 32.

Information regarding DBRS Morningstar credit 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

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Marcos Meier, Senior Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 February 2012

DBRS Ratings GmbH, Sucursal en España
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Tel. +34 (91) 903 6500

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Geschäftsführer: Detlef Scholz
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The credit 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 (22 June 2023),
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023),
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (13 September 2023) and European RMBS Credit Model version,
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
-- Global Methodology for Rating Sovereign Governments (6 October 2023),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (4 July 2023),

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 [email protected].