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RMBS Green Belém No.1 : 03 May 2020

The source of funds for the payment of principal and, where applicable, interest on the Notes and the Class C Distribution Amount will be the right of the Issuer to receive payments in respect of receivables arising under a portfolio of Portuguese law residential mortgage loans sold to it by Unión de Créditos Inmobiliarios S.A. (UCI Portugal). UCI S.A. is owned by Banco Santander S.A. (50%), BNP Paribas Personal Finance S.A. (40%) and BNP Paribas, S.A (10%).

At the cut-off date (4 March 2020), the portfolio consists of 4,029 first lien mortgage loans which are secured by a mortgage over owner-occupied residential property in Portugal. All of the mortgage loans are fully amortised with monthly instalments. The largest debtor accounts for 0.13% of outstanding balances and the top 20 for 2.19%. The WA current LTV is 60.56% and the original LTV was 67.11%. Regional concentration: Lisboa – 55.39%, Setubal – 12.82% and Porto – 9.32%.

EU Risk Retention: The Originator will retain on an ongoing basis during the life of the transaction a material net economic interest of not less than 5% in the securitisation as required by Article 6(1) of the Securitisation Regulation. Such retention requirement will be satisfied by the Originator retaining, in accordance with Article 6(3)(d) of the Securitisation Regulation, the first loss tranche and, where such retention does not amount to 5% of the of the Mortgage Loans included in the Mortgage Asset Portfolio, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors. As at the Closing Date, the EU Retained Interest will be comprised of the Class C Notes.

Compare/contrast: Hipototta No.13 plc