SAGRES (Douro Mortgages No. 3)

This will be the fourth deal under the Douro name, the first being a CDO/SME transaction which
closed in April 2005, and all subsequent transactions being Residential mortgage securitisations.

The originator, Banco BPI is now the fourth largest banking group in Portugal with a 10% market
share. Over the last number of years, BPI has greatly increased its previously limited retail oper-
ations and is successfully transforming itself into a universal banking group. Banco BPI's shares
are traded on the Lisbon exchange and are widely held, but three main parties, Spain’s La Caixa
(with a 25% ownership), Brazil’s Itaú Group (17.5% ownership), and Germany’s Allianz Group
(8.8% ownership together control 51.3% of the capital.

For Douro 3, the loans have been advanced to 20,177 obligors in 28,275 loan claims, with each
loan secured by a first-ranking mortgage on a residential property located in Portugal. All of the
loans have been fully dispursed, and all mortgage loans in the pool will have been current and
performing over the past 18mnths at the collateral determination date. Additionally, any loans with
LTV of higher than 90% is suject to mandatory mortgage credit insurance.

The average loan size per borrower is Eur79,235 and average seasoning is over 3 1/2yrs.
Regional concentration is taken as granted, with 44.31% of the pool allocated to Lisbon and the
surrounding areas. The current WA LTV is 64.63%.

Although there were 5 tranches, only the AAA notes were publicly offered (the other 4 tranches
totalled Eur72mln between them) and hit the higher end of the 15a talk. At +16bps the class A notes
have come 3bps inside the 19a guidance for Lusitano No.6 for a similar average life (5.7yrs vs
5.93yrs), perhaps not too surprising given that the Lusitano pool is considerably more leveraged
than Douro 3 and has a lower level of seasoning (24mths vs 43mnths).


Compare/contrast: Douro 2, Lusitano 6



SAGRES (Douro Mortgages No.2)Lusitano Mortgages No. 6 plc