DBRS Assigns AAA (sf) Rating to SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (DOURO SME No. 2)

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the €1,819.40 million Class A Notes issued by SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (DOURO SME No. 2) (the “Issuer”). The transaction is a cashflow securitisation collateralised primarily by a portfolio of term loans, credit lines and commercial paper facilities originated by Banco BPI, S.A. ("BPI") to Portuguese corporates, small-and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 25 January 2011, the transaction had a current portfolio notional amount of €3,500.0 million and included 29,630 receivables. The portfolio will be serviced by BPI.

These ratings are based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- DBRS’ consideration of the credit enhancement for the Class A Notes excludes the set-off amount and the Residual Funding Note that is issued to fund it. Thus, the credit enhancement for the Class A Notes is in the form of subordination provided by the Class B Notes and the Cash Reserve Account, funded by the issuance of the Class C Notes. A total current credit enhancement level of €1,370.00 million is sufficient to support the AAA (sf) rating for the Class A Notes. Additional credit enhancement is provided by interest diversions and the early termination of the Revolving Period if defaults are above pre-set levels.
-- The Cash Reserve Account provides additional credit enhancement for the Class A Notes and can be used to pay shortfalls in interest or principal. It is funded at the beginning of the transaction through the issuance of the Class C Notes. The characteristics of the Cash Reserve Account are:
---- The initial level is €52.50 million;
---- The Cash Reserve Account will grow, through excess spread, to up to 5% of the Class A Note outstanding balance during the Revolving Period;
---- The Cash Reserve Account will not amortise during the Revolving Period;
---- After the end of the Revolving Period, the Cash Reserve Account will amortise but only to the extent that it maintain its size at 5.0% of the outstanding balance of the Class A Notes.
-- 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 of the Class A Notes addresses the timely payment, as defined in the transaction documents, of principal and interest. Interest and principal payments on the Notes will be made quarterly, generally on the 21st day of the March, June, September and December, with the first payment date on 21 June 2011.

• 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, amongst other considerations, the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle.

The applicable public methodologies are Master European Granular Corporate Securitisations (SME CLOs) and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for these ratings include parties involved in the rating, including but not limited to SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. and Banco BPI, S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating was disclosed to BNP Paribas and Banco BPI, S.A. and amended following that disclosure before being assigned.
This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Note:
All figures are in Euro unless otherwise noted.