![]() The transaction structure was analysed in Intex Calc, considering the default rates at which the rated notes did not return all specified cash flows.Īll figures are in euros unless otherwise noted. Based on the DBRS private rating of DB London and the mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology. The cash reserve account required balance is equal to 3.0% of the portfolio balance, subject to a EUR 1.2 million floor.ĭeutsche Bank AG, London Branch (DB London) acts as the account bank for the transaction. This reserve was funded at closing with EUR 3.5 million through the proceeds from the Class C Notes issuance, and it currently stands at its target level of EUR 2.96 million. The transaction continues to deleverage, with the Class A and B Notes amortising on a pro rata basis on most payment dates.Īn amortising cash reserve is available to cover senior expenses, missed interest payments on the Class A Notes and to cure the Class A principal deficiency ledger. CE to the Class A Notes is provided by the subordination of the Class B Notes and the cash reserve. At the AA (high) (sf) rating level, the PD and LGD assumptions including the sovereign adjustment are 24.8% and 24.1%, respectively.Īs at the March 2019 payment date, the Class A Notes’ CE was 28.9%, up from 28.2% in March 2018. Gross cumulative defaulted loans, as a percentage of the original portfolio and cumulative transferred receivables, were 12.0%, with cumulative recoveries of 72.0%.ĭBRS conducted a loan-by-loan analysis on the remaining pool and updated its base case PD and LGD assumptions to 5.3% and 10.2%, respectively. The EUR 97.4 million securitised portfolio (excluding written-off receivables) consists of first-ranking loans over residential properties located mainly in Lisbon (19.8%), Porto (15.9%), Faro (15.8%), and Aveiro (13.6%).Īs of the March 2019 payment date, delinquencies greater than 90 days represented 0.9% of the portfolio balance. The deal had a two-year revolving period which terminated in January 2011.Īs of March 2019, the balance of the Class A Notes was EUR 72.3 million. The transaction closed in December 2008 and DBRS assigned a rating in March 2011. The Notes have been issued under the Sociedade de Titularização de Créditos regime. (acquired by Caixa Económica Montepio Geral (Montepio) in 2011) and currently serviced by Montepio. The Issuer is a securitisation collateralised by a portfolio of Portuguese first-lien residential mortgage loans originated by Finibanco S.A. Current available credit enhancement (CE) to the Class A Notes to cover expected losses at the AA (high) (sf) rating level. Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables Portfolio performance, in terms of delinquencies, defaults and losses as of the March 2019 payment date The rating action follows an annual review of the transaction and is based on the following analytical considerations: The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Legal Maturity Date in December 2063. ![]() The good performance of the COVID-19 WASH Loan Facility’s portfolio shows that water and sanitation entrepreneurs are creditworthy and reliable customers even in the midst of a crisis. Only three enterprises were unable to repay their loans due to their dependency on subsectors that have experienced slow activity due to COVID-19 restrictions.DBRS Ratings GmbH (DBRS) confirmed its AA (high) (sf) rating on the EUR 203,176,000 Class A Mortgage-Backed Floating Rate Notes (the Class A Notes) issued by Tagus – Sociedade de Titularização de Créditos, S.A. The 368 small water utility companies each received an average loan of 5,814 euro. In terms of social performance, Sidian Bank estimates that these small enterprises reach about 3.1 million people in 21 counties, especially in Nairobi, Isiolo, Kirinyaga and Machakos. In these Kenyan counties, there are many water enterprises, such as water kiosks, providing clean water to households. The COVID-19 WASH Loan Facility has disbursed an amount of over 2.94 million euro in loans to primarily micro and small entrepreneurs. One of the many water kiosks in Kenya that uses the extra financing to meet the increasing water demand.
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