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

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.

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