... mortgage and public-sector covered bonds (CTdulas Hipotecarias and CTdulas Territoriales, CH and CT) show n above are rated at their maximum achievable ratings. Each programme has been granted a one or tw o-notch Issuer Default Rating (IDR) uplift, a zero- notch Payment Continuity Uplift (PCU) and a tw o-or three-notch recovery uplift. The key rating constraint is the lack of liquidity protection to bridge CH and CT payments once recourse to the cover pool is enforced. Bond maturities are hard-bullet w hile cover assets gradually amortise. Persistent Large OC Buffers: Fitch expects the relied upon overcollateralisation (OC) to remain significantly above both the legal minimum and the breakeven OC for each programme. Breakeven OC for the CTdulas is solely driven by the cover pool credit loss expectation for the respective rating scenario. EU Covered Bond Directive Transposition: The EU Covered Bonds Directive, approved by the European Parliament...
