...Asset Disposal Loss Remains Driving Factor: The key contributor to the `AAA' breakeven Asset Percentage (AP) of 87.0% is the asset disposal loss component of 10.7%. This improvement from 12.5% a year ago reflects that the programme is in orderly wind-down with only limited expected replenishment of cover assets. This lowered the assets' weighted average life (WAL) and led to a better-matched cash flow profile between assets and liabilities. However, the reduction in the WAL of the assets has a negative effect on the excess spread leading to an increased cash flow valuation component of 3.4% (from 1%). Credit Loss Component Unchanged: The `AAA' credit loss component of 4.2% reflects a weighted average (WA) default rate of 21.4% and an 81.3% WA recovery rate for the cover pool. Unchanged D-Cap of 3: The programme has a dual weak link as the risk components "liquidity gap and systemic risk" and "systemic alternative management" both have a moderate high risk assessment. No worsening to the...
