DBRS Rates SAGRES – Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 4

DBRS, Inc. (DBRS) has today assigned a AAA (sf) rating to the Class A notes issued by SAGRES – Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 4 (Douro 4). The DBRS rating is a second rating on an existing transaction issued in January 2009. Douro 4 issued three classes of mortgage-backed floating rate notes (Class A, Class B and Class C). DBRS rates Class A notes only. The Class A notes, approximately €1.25 billion as of the date of this release, are backed by mostly variable rate, first-lien mortgage loans secured by residential properties in Portugal. The mortgages were originated and serviced by Banco BPI.

Sagres issued three classes of mortgaged-backed floating rate notes (Class A, Class B and Class C notes) and one residual interest notes (Class D Notes). Class D proceeds were used to fund the initial cash reserve amount. DBRS rates Class A only, which has 18.0% of credit support provided by subordination and a cash reserve fund.

The final ratings are based upon DBRS review of the following analytical considerations:
•Transaction structure, the form and sufficiency of available credit enhancement.
Credit enhancement is in the form of subordination and an amortizing cash reserve. A current credit enhancement level of 18.0% is sufficient to support a “AAA” rating of the Class A notes. The cash reserve is allowed to step down after three years of the establishment of the fund, unless certain triggers are breached.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the rating addresses the payment of timely interest on a quarterly basis and the payment of principal by the legal final maturity date. Interest and principal payments on the notes will be made quarterly, generally on the 21st day of March, June, September and December in each year, with the first payment date occurred in March 2009.

•The transaction parties’ financial strength and capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

•Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a Portuguese housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in Portugal and the historical performance data provided by the originator and servicer.

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 Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies, with adjustments made for the Portuguese mortgages and the originator- and servicer-specific historical performance data.

The sources of information used for this rating include working papers and data on the Portuguese economy and housing market provided by: Bank of Portugal, Instituto Nacional de Estatistica (INE) and European Mortgage Federation (EMF). DBRS conducted an operational review on the origination and servicing practices of Banco BPI. Banco BPI provided loan-level data and historical performance of mortgage portfolio dating back to 1999.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality due to our review of this data at the time of its use.

For additional information on this rating, please refer to the linking document located below.