OREANDA-NEWS. Fitch Ratings has published a peer review rating report for the five Portuguese mortgage covered bond programmes (Obrigacoes Hipotecarias, OH) issued by Banco BPI S.A., Banco Comercial Portugues, S.A., Caixa Geral de Depositos, S.A., Caixa Economica Montepio Geral and Banco Santander Totta SA.

Fitch rates the five OH programmes solely on a recovery basis with the ratings benefiting from one to three notches uplift from the respective Long-term Issuer Default Ratings (IDRs) of the issuing banks, which are also the tested rating on a probability of default (PD) basis. The different recovery uplifts depend on the levels of overcollateralisation (OC) which the issuers commit to and which provides more protection than the relevant breakeven OC for the covered bond ratings.

Fitch maintains Discontinuity Caps (D-Cap) of 0 (full discontinuity risk) for all OH programmes. In the agency's discontinuity analysis, the weak link is the liquidity gap and systemic risk component. Fitch believes that the 12-month maturity extension on the covered bonds is not adequate to successfully liquidate the cover pool in order to meet timely payments on the OH once the cover pool becomes the only source of payments.

The average 'B' portfolio loss rate for Portuguese residential mortgage cover pools is one of the lowest among eurozone peripheral countries and reflects Fitch's stable view on the Portuguese residential mortgage market.