Morningstar DBRS Sees No Impact on Caixa Geral De Depósitos S.A. Covered Bonds Credit Ratings Following Issuer Upgrade

DBRS Ratings GmbH (Morningstar DBRS) notes that its AA (high) credit ratings on the Covered Bonds (CB) issued under the Caixa Geral De Depósitos S.A. Covered Bonds Programme (Obrigações Cobertas - Mortgages) remain unchanged following Morningstar DBRS' credit rating upgrades on Caixa Geral De Depósitos S.A. (the Issuer or CGD).

On 30 October 2024, Morningstar DBRS upgraded CGD's Long-Term Issuer Rating (LTIR) to A (low) from BBB (high) and its Long-Term Critical Obligations Rating (LT COR) to A (high) from "A". The trends on the credit ratings remain Positive. For more information, please refer to the relevant press release at https://dbrs.morningstar.com/research/442278/morningstar-dbrs-upgrades-cgds-long-term-issuer-rating-to-a-low-trend-remains-positive.

The CB Attachment Point (CBAP) for the programme is CGD's LT COR, which is A (high) following the upgrade. The Legal and Structuring Framework (LSF) Assessment remains at "Strong". In this matrix, the LSF Implied Likelihood (LSF-L) with the current Cover Pool Credit Assessment (CPCA) of BBB assigned to the programme is AA (low), the current one, which is the same for a CBAP of A (high) as it is for "A". Therefore, the upgrade on the CBAP did not trigger an upgrade on the CB credit ratings.

Morningstar DBRS' credit ratings on the outstanding CB series address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest payment amounts and the related principal amount.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings" (13 August 2024) at https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: Global Methodology for Rating and Monitoring Covered Bonds (2 April 2024) https://dbrs.morningstar.com/research/430636.

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 Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

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A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/278375.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.