Chaves SME CLO No.1

This is the first SME CLO from originator Banco Portugues de Negocios, although BPN has been a
regular user of the ABS market via its subsidiary BPN Credito, which has conducted four securitisations
of consumer loans via its Chaves Funding programme.

The underlaying collateral consists of 12,069 loans to 11, 406 individuals and small/medium sized
enterprises. The weighted average seasoning is an impressive 1.55yrs, with the average loan size of
just Eur49,800. The largest obligor accounts for 1.5% of the pool, with the top 10 obligors accounting
for 11.27% of the pool. There will be a 3yr replenishment period, hence the initial portfolio could
change significantly (subject to various eligability criteria)

Geographical diversity is never going to be a strong-point of Portugese transactions and this deal is
no exception, with the four main areas being: Lisbon (19.8%), Leiria (17.6%), Oporto (11.0%) and
Greater Lisbon (10.9%).

Chaves priced on its +17-18/25a guidance for the top two tranches, although further down the capital
structure the C and D tranches were unable to match the guidance of mid/hi 30s and mid/hi 40s respectively.


Compare/contrast: Lusitano SME No.1, IM Grupo Banco Popular FTPYME 1 FTA