Press Release

DBRS Morningstar Confirms Rating of Class A Notes Issued by SAGRES - Sociedade de Titularização de Créditos, S.A. (DOURO SME No.2)

Structured Credit
November 13, 2019

DBRS Ratings GmbH (DBRS Morningstar) confirmed its rating of the Class A notes issued by SAGRES - Sociedade de Titularização de Créditos, S.A. (DOURO SME No.2) (the Issuer) at AA (sf).

The rating addresses the timely payment of interest and ultimate payment of principal on or before the final legal maturity date falling in December 2039.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of level of delinquencies and defaults, as of the September 2019 payment date.
-- Base case probability of default (PD) and updated default and recovery rates on the remaining receivables.
-- The fact that no early amortisation event has occurred.
-- Current available credit enhancement to the Class A notes to cover the expected losses assumed in line with the AA (sf) rating level.

The transaction is a cash flow securitisation collateralised primarily by a portfolio of term loans, credit lines and commercial paper facilities originated and serviced by Banco BPI, S.A. (BPI) to Portuguese corporations, small and medium-sized enterprises (SMEs) and self-employed individuals. In February 2017, BPI was acquired by Caixabank, S.A.

The transaction is still in its revolving period, after three amendments of the initial amortisation period start date from March 2014 to March 2017, from March 2017 to December 2018 and from December 2018 to December 2019. During the revolving period, BPI may sell additional portfolios to the Issuer, subject to certain conditions and limitations. To date, all conditions are being met.

As of September 2019, the overall portfolio consisted of 20,058 loans with an aggregate principal balance of EUR 3.3 billion. As of September 2019, 2.1% of the loans in the portfolio by outstanding balance was in arrears for more than 90 days. The net default ratio was at 4.4% in terms of the current outstanding portfolio amount.

Because of the revolving period, DBRS Morningstar maintained its portfolio default rate and recovery assumptions on the outstanding portfolio at 2.8% and 17.6%, respectively.

As of the September 2019 payment date, credit enhancement to the Class A notes was 51.5%, up from 50.2% at the last surveillance review. Credit enhancement of the Class A notes considers the subordination of the Class B notes and the reserve fund. The reserve fund is available to cover missed interest and principal payments on the Class A notes throughout the life of the transaction.

Citibank Europe plc – Netherlands Branch is the Issuer account bank for the transaction. Based on the private rating of Citibank Europe plc – Netherlands Branch, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

The transaction structure was analysed in DBRS Morningstar’s proprietary excel-based cash flow engine.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating CLOs Backed by Loans to European SMEs”.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on at:

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include reports provided by Citigroup, Inc., and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 14 November 2018 when DBRS Morningstar confirmed its rating on the Class A notes at AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on

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

-- Probability of Default Rates Used: Base case PD of 2.8%, a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base case recovery rate of 17.6% at the AA (sf) rating level for the Class A notes, a 10% and 20% decrease in the base case recovery rates. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.

DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class A notes at AA (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10%, ceteris paribus, would also lead to a confirmation of the Class A notes at AA (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 11 February 2011

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at