Comments for your selection

• 1: Mortgage Credit Institutions (MCI)
• 2: Mortgage loans (Credit loans guaranteed by first mortgages created upon real-estate; Credits guaranteed by lower ranking mortgages are also elegible provided that all credits benefiting from a higher ranking mortgage on the asset are held by the issuer and assigned to the asset pool and credits guaranteed by surety from a credit institution or by an adequated insurance contrat, counter guaranteed by a mortgage). The Pool may also contain substitution assets up to 20% : Deposits with the Bank of Portugal in the form of cash, government bonds or bonds eligible for credit operations within Central Banks European System ( could include Senior MBS eligible within the scope of credit operation of Eurosystem); Time deposits in credit institutions with a minimum “A-” rating and or Other low risk and high quality assets to be defined by the Bank of Portugal.
• 3: There is no separate methodology used solely for calculating collateralisation rates for the cover pool.
• 4: 80% for residential mortgages and 60% for commercial mortgages.
• 5: An LTV of 80% for residential mortgages and 60% for commercial mortgages is the eligibility limit to enter and /or to stay in the pool, if limits are breached, loans will be removed and substituted for an eligible ones.
• 6: Mitigation of exposure to market risk is not directly required in the Decree-Law or contrat. However secondary legislation states that currency risk hedging is mandatory and aims at mitigating market risk. Each issuer must put in writting the specific policies for risk management, namely exchange risk, liquidity risk and interest rate risk and any other procedures aimed at ensuring compliance with the applicable regulatory regime. When the assets in the cover pool and the Mortgage Bonds are denominated in different currencies it´s mandatory for the issuer to ensure hedging for the currency exchange risk, being the reference exchange rates published by the European Central Bank used for this purpose.
• 7: The law establishes the possibility of credit facilities to be activated as needed, with funds applied solely for redemption and interest payments associated with covered bonds.
• 8: The law establishes the possibility of credit facilities to be activated as needed, as mentioned above, and Covered Bond Programmes may include contractual arrangements, as for example maturity extensions, normally up to one year, in order for that the issuer may manage liquidity risk on principal and interest payments.
• 9: If the limits are breached, the issuer shall settle immediately this situation by assigning new mortgage credits, purchasing outstanding bonds in the secondary market and /or assign other eligible assets. These will, in turn, be exclusively assigned to the debt service of the covered bond. The Bank of Portugal may also make use of its regulatory role to require additional steps by the issuers to meet with all the asset-liability criteria that it sets out.
• 10: Annual Report sent to Supervisory Authorities ( Bank of Portugal and CMVM – Capital Market Regulator).
• 11: The issuer has to send a liquidity map quarterly as well as the exposure to interest rate risk of the aggregated assets and liabilities, in terms of net present value.
• 12: The issuer has to send a liquidity map quarterly as well as the exposure to interest rate risk of the aggregated assets and liabilities, in terms of net present value.
• 13: The independent auditor has two different roles, one for the auditing of the assets and one of verifying of compliance to applicable legal and regulatory requisites regarding mortgages bonds and public sector bonds, and of reporting to the Bank of Portugal on an annual basis.
• 14: Investors may decide at a bondholder’s Assembly a majority of 2/3 to call the mortgage bonds, otherwise the original maturity remains unchanged.
• 15: Investment funds can invest a maximum of 25% of their own funds in a single issuer’s covered bonds. 10% BIS weighting since it meets UCITS 22(4) criteria.