Regime Jurídico das Obrigações Cobertas - Portugal

1	What type of assets may be included in the cover pool?
	Primary assets Substitution assets Public sector assets Mortgage assets Other 1* Other 2* Other 3*   Exposures to public sector entities x x Exposures to credit institutions x Residential mortgage loans x x Commercial mortgage loans x x Senior MBS issued by third parties x Group originated MBS x x Exposure to Private Participation in Infrastructure (PPI) or Private Finance Initiative (PFI) where public sector is conditional x Exposures to credit institutions which are members of a system of mutual guarantee x Exposures to multilateral development banks x Derivatives x x Substitution assets can be non-primary eligible EEA assets, deposits with Bank of Portugal, bank deposits, or other low-risk highly liquid assets
2	What is the geographical scope of assets?
	Primary assets Substitution assets Public sector assets Mortgage assets Other 1* Other 2* Other 3*   Multilateral development banks x EU x x x x x EEA x
3	Is there a maximum level for substitute assets in the statutory national framework?	Yes, please specifiy Substitution assets are subject to the limits set in Article 129
4	Are there any reporting requirements for covered bond issuers to investors?	Yes, by law and in line with art. 14 of EU Covered Bond Directive Decree-law DL 31/2022 Article 30
5	What is the frequency of reporting to investors?	Quarterly Decree-law DL 31/2022 Article 30

1	What is the basis for property valuation	Market value Also: "Mortgage lending value". DL 31/2022 Article 10 (1) (a) current valuation amount only if no greater than the physical asset’s market value or mortgage lending value, done by qualified, independent and experienced valuer
2	Is a regular update of the property value required?	Yes, new external physical apraisal within a specific time span Yes, automated / indexed valuation sufficient As per DL 59/2006 regulation (applicable until revoked by regulation issued under DL 31/2022), Article 208 CRR (3) and Article 129 (3) of CRR
3	What are the LTV limits (single asset based)? Please specify in %/n.a.	Residential Commercial Agricultural Ships Other assets Residential 80%; Commercial 60%; Agricultural n/a; Ships 60%; Other assets: Commercial 70%, conditional to programme keeping minimum 10% overcolateralisation
4	Are loans in excess of LTV limits eligible for inclusion in the cover pool?	Yes (soft limit)

IV.1 Derivative contracts in the cover pool

1	Are derivative contracts eligible for the inclusion in the cover pool?	Yes, exclusively for hedging purposes (by law)
2	Are there requirements for derivative contracts (e.g. eligibility criteria for hedging counterparties)?	Yes, specified in law
3	Will derivative contracts remain in case of insolvency of the issuer?	Yes
4	If derivatives are permitted in the cover pool, what is their ranking?	Pari passu to covered bond holders

IV.2 Exposure to market risk

1	What is the primary method for the mitigation of market risk?	Use of derivative hedging instruments
2	Are there mitigating provisions for interest rate risk?	No
3	Are there mitigating provisions for foreign exchange risk?	No
4	Are there mitigating provisions for maturity mismatch risk?	No
5	What type of coverage test is applied?	Nominal cover
6	Are there stress scenarios applied?	No

IV.3 Liquidity risk

1	Is exposure to liquidity risk mitigated?	Yes, by law
2	What liquidity risk mitigation requirements are in place (principal)?	180 days liquidity provisions Maturity extension provisions DL 31/2022 Article 19: calculation of principal for issues of extendable maturity bonds is based on final maturity date, subject to the relevant terms and conditions
3	What liquidity risk mitigation requirements are in place (interest)?	180 days liquidity provisions Maturity extension provisions Reserve fund requirements
4	What is the consequence of not fixing a breach of liquidity risk mitigants?	Administrative penalty
5	If 180 days liquidity provisions are in place, what types of liquid assets are eligible	LCR Level 1 LCR Level 2a LCR Level 2b Short term exposures to credit institutions (Credit Quality Step (CQS) 1) Short term exposures to credit institutions (CQS 2) Short term deposits to credit institutions (CQS 1) Short term deposits to credit institutions (CQS 2) Short term deposits to credit institutions (CQS 3)
6	If 180 days liquidity provisions are in place, the calculation of principal is based on:	The (extended) legal final maturity date

IV.4. Maturity extension

1	Is maturity extension allowed by national law?	Yes, but optional and subject to conditions
2	Is it possible to issue…	Hard bullet Soft bullet Conditional pass-through
3	Which trigger plays a role for maturity extension according to law - independent or alone or in combination?	Issuer failure to pay Other Other: Withdrawal of the issuer's banking licence. CMVM can object to maturity extension
4	Does any competent authority need to give its okay (or non-opposition)?	Yes

IV.5 Overcollateralisation

1

Is mandatory overcollateralisation required in the law ?

Obrigações Cobertas Europeias (Premium) - Mortgages & Public Sector - 5% - Nominal Obrigações Cobertas Europeias - Mortgages - Nominal Obrigações Cobertas Europeias - Public Sector - 10% - Nominal Obrigações Cobertas Europeias (Premium) backed by commercial mortgages allowing maximum LTV of 70% are subject to minimum OC of 10%, as per Article 129

V.1 Cover pool monitor (CPM)

1	Is there a cover pool monitor in addition to national competent authorities in the statutory law?	Yes, by law and in line with Article 13 of EU Covered Bond Directive
2	Is the CPM separate from the issuing credit institution?	No, internal CPM allowed in line with the provisions of Article 13(3) but independent DL 31/2022 Article 17 gives the option of external or internal auditor aligned with CBD Article 13 (3)
3	Is the appointment, dismissal, eligibility criteria and the role of the CPM regulated by the national statutory law?	Yes No regulation has been issued under DL 31/2022 as yet. DL 31/2022 (6) the CPM may only be dismissed for cause, and the dismissal and respective grounds shall be communicated to the CMVM within 10 days of their occurrence.

V.2 Banking supervision

1	Which are the national competent authorities designated to carry out covered bonds public supervision in the law?	Comissão do Mercado de Valores Mobiliários (CMVM) - Website DL 31/2022 sets rules for the cooperation between CMVM and the Bank of Portugal, as well as the ECB and, when applicable, with appointed resolution authorities
2	Is a special permission required for a covered bond programme according to national law?	Yes, licence for institution
3	Is there a covered bond issuance limit in law or regulation? If yes, please specify	No
4	Does the national statutory law provide for the appointment of a dedicated cover pool administrator in case of insolvency/resolution (transfer included acc. to BRRD [Bank Recovery and Resolution Directive])?	Yes
5	Which is the typical frequency in the national statutory law of reporting from the covered bond issuers to the designated competent authorities?	Monthly Montly/Quarterly/Semi-annually. As regulation issued under DL 59/2006 that remains applicable until revoked by regulation issued under DL 31/2022

1	Does the national statutory law meet the requirements laid down in the EU Covered Bond Directive?	Yes
2	Does the statutory law meet the requirements of Article 129 of CRR [Capital Requirement Regulation]? In this case, please specify the collateral types meeting the Art. 129 CRR.	Yes DL 31/2022 Article 8 (1) (a) establishes as eligible all assets listed under Article 129 in the terms set therein
3	Does the statutory law allow covered bonds out of the scope of Art 129 of CRR? In this case, please specify the collateral	Yes DL 31/2022 Article 8 (1) (b) and (c) establishes eligible in the terms set by Article 6 of the CBD
4	Are listed covered bonds eligible in repo transactions with the national central bank?	Yes

Primary Legislation

• Decreto-Lei n.º 31_2022 (PT).pdf (Original language)

European Covered Bond Label (Premium) list

• https://www.cmvm.pt/PInstitucional/Content?Input=CFCEABB643DE15EB21314BF536897B95C15081168D30D973175B240E88586315 (English language)

Hypostat

• Portugal.pdf (English language)

Fact Book

• 3.32 Portugal.pdf (English language)

Intro CB Video

Any further comments/information?

Some of these are subject to changes once regulation issued under previous DL 59/2006 regime is revoked by regulation to be issued under the new DL 31/2022 regime