Standard & Poor’s has placed on negative review AA+ rated mortgage covered bonds issued by Spain’s Banca Cívica to reflect a CreditWatch negative placement of the issuer’s rating on 31 January.

S&P has assessed Banca Cívica’s mortgage covered bond programme as having “low” asset-liability mismatch. Combined with a Category 1 programme classification, this means that the cédulas hipotecarias can be rated up to seven notches higher than the issuer.

The rating agency said that because the AA+ rating assigned to the covered bonds incorporates a seven notch uplift a downgrade of Banca Cívica’s issuer rating would directly affect the covered bonds’ rating, all else being equal.

S&P said that the assumptions it uses to calculate the target credit are not dependent on the issuer credit rating or the ratings of the covered bonds themselves.

“Therefore, all other aspects remaining the same, a downgrade of the issuer or a downgrade of the covered bonds will not affect the target credit enhancement level we deem commensurate with our ratings on the covered bonds,” it said.

S&P rates Banca Cívica BBB, and said that it expects to affirm or lower by one notch its rating of the issuer’s mortgage covered bonds.