...The average `B' lifetime portfolio loss rate (PLR) for Portuguese residential mortgage cover pools has decreased to 1.3% from 3.5% since March 2017, mainly due to the implementation of European RMBS Rating Criteria and the improved economic environment in Portugal. The macroeconomic environment supports a more confident mortgage and housing markets, which are drivers of the revised loss expectations. The most substantial change in credit assumptions underpinning the revised losses is the improved recovery rate expectation on defaulted loans, with an overall increase in weighted average (WA) RR of roughly 12 percentage points in a `B' stress scenario. This higher WARR is driven by the revised foreclosed sale adjustment and the full credit given to house price indexation. Upon these changes, the credit losses range from 4.5% for CGD OH to 6.3% for Totta OH, at the respective OH rating. Besides the decreased base FF and increased WARR, it reflects loan/obligor specific adjustments, including...
