DBRS Rates SAGRES – Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 5

DBRS, Inc. (DBRS) has today assigned an “AAA” rating to the Class A notes issued by SAGRES – Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 5. The €1.4 billion securitisation is backed by prime, mostly variable rate, first-lien mortgage loans secured by residential properties in Portugal. The mortgages were originated and serviced by Banco BPI.

Sagres issues two classes of mortgaged-backed floating rate notes (Class A and Class B notes) and one residual interest notes (Class C Notes). Class C proceeds will be used to fund the initial cash reserve amount. DBRS rates Class A only, which has 23.00% of credit support provided by subordination and a cash reserve fund.

The transaction will generally have a revolving period of three years unless certain triggers are breached. Prior to the end of the revolving period, the required cash reserve amount will be approximately 1.5% of the initial note balance. Afterwards, it is allowed to step down provided that certain trigger events are not in effect. It can also step up if a portfolio trigger event has occurred.

Interest and principal payments on the notes will be made quarterly on the 21st day of January, April, July and October in each year, commencing in October 2010. Payment priorities are generally sequential but will differ prior to and after the occurrence of an enforcement event, as described in more details in the prospectus. Principal losses will be recorded by debiting the Principal Deficiency Ledger by an amount equal to any Deemed Principal Loss or Principal Draw Amount on each Payment Date as defined in the prospectus. Any interests remaining after paying Class A interest amount will be used to credit the Principal Deficiency Ledger until its balance is reduced to zero.

DBRS conducted loan-level credit analysis and cash flow analysis, as well as a historical performance review of BPI’s mortgage portfolio dating back to June 1999. The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are U.K. Residential Mortgage Credit Criteria and U.K. Residential Mortgage Loan Analysis Criteria: Credit, Prepayment and Loan Aggregation, which can be found on our website under Methodologies, with adjustments made for the Portuguese mortgages.

This is a Structured Finance rating.