DBRS Finalises Ratings Assigned to Thetis Finance No.1

DBRS Ratings Limited (DBRS) has today finalised the provisional rating of A (sf) assigned to the Class A Notes issued by SAGRES – Sociedade de Titularização de Créditos, S.A (the issuer) and originated by Banco Credibom S.A. (Credibom).

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure, and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination.
• Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at A (sf) of the Class A Notes issued by SAGRES – Sociedade de Titularização de Créditos, S.A. The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have been invested.
• Credibom’s capabilities with respect to originations, underwriting, servicing and financial strength.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral. DBRS conducted an operational risk review of Credibom and deems Credibom to be an acceptable servicer.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in Intex Dealmaker and the default rates at which the rated notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in euros unless otherwise noted. The principal methodology applicable is: “Rating European Consumer and Commercial Asset-Backed Securitisations.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance and portfolio data relating to the receivables sourced by Banco Credibom. DBRS received historical gross loss data from Q1 2007 to Q2 2015, and historical recovery data from Q1 2007 to Q2 2015. In addition, DBRS received portfolio stratification tables related to the portfolio, selected by Credibom as at 30 June 2015.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

• Probability of Default Rate Used: Base Case PD of 16.47%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 39.05%.
• Loss Given Default (LGD): Base Case LGD of 60.95%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to B (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 13 July 2015
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Rating European Consumer and Commercial Asset-Backed Securitisations
Operational Risk Assessment for European Structured Finance Servicers
Legal Criteria for European Structured Finance Transactions.

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375