![]() Probability of default (PD) and loss given default (LGD): Base Case of 10.4% and 86.8%, respectively, a simultaneous 25% and 50% increase on the Base Case PD and LGD. Information regarding DBRS ratings, including definitions, policies and methodologies, is available on To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case): ![]() This is the first DBRS rating on this financial instrument. These ratings concern a newly issued financial instrument. However, this did not impact the rating analysis.ĭBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.ĭBRS does not audit or independently verify the data or information it receives in connection with the rating process. ĭBRS did not rely upon third-party due diligence in order to conduct its analysis.Īt the time of the initial rating DBRS was supplied with third-party assessments. In addition, DBRS received a loan-level data tape for company borrowers as well as a set of stratification tables as of. DBRS also received quarterly dynamic arrears data from Q1 2009 to Q4 2016 and monthly dynamic prepayment rates from 2009 to 2016. Quarterly static recovery data is provided from Q3 2009 to Q3 2016. Default data is further split by individual and company borrowers for new autos and by lending products (loans, leases and renting). DBRS received historical static default data on the entire portfolio of new autos, used autos and equipment originated by Montepio Crédito on a quarterly basis from Q1 2009 to Q3 2016. The sources of data and information used for these ratings include performance data provided through the arranger, StormHarbour Securities LLP. Other methodologies referenced in this transaction are listed at the end of this press release.įor a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on. Due to the inclusion of a revolving period in the transaction, the analysis is based on the worst-case replenishment criteria set forth in the transaction legal documents. The principal methodology applicable to the rating is Rating European Consumer and Commercial Asset Backed Securitisations.ĭBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.Īn asset and a cash flow analysis were both conducted. The transaction was modelled in Intex DealMaker and with the default rates at which the Senior Notes did not return all specified cash flows in a timely manner.Īll figures are in euros unless otherwise noted. To the extent that the documents and information provided to DBRS as of today’s date differ from the executed version of the governing transaction documents, DBRS may assign a different final rating to the Senior Notes. The ratings will be finalised upon receipt of an execution version of the governing transaction documents. ![]() The above-mentioned ratings are provisional. The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. The capabilities of the Originator with respect to originations, underwriting and servicing. The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Senior Notes according to the terms of the transaction documents. The sufficiency of available credit enhancement in the form of subordination (30.1% for the Class A Notes and 22.6% for the Class B Notes), a cash reserve and excess spread. The ratings are based upon DBRS’s review of the following analytical considerations: (the Originator), a fully owned credit institution of Caixa Económica Montepio Geral. The Senior Notes and Class C Notes are expected to be backed by a pool of receivables related to loan, lease and rental contracts originated by Montepio Crédito – Instituição Financeira de Crédito, S.A. The lowest-ranked Class C Notes will not be rated by DBRS. BBB (low) (sf) on the Class B Notes (collectively, the Senior Notes). DBRS Ratings Limited (DBRS) has today assigned provisional ratings to the following notes to be issued by Tagus - Sociedade de Titularização de Créditos, S.A.
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