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

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the €1,026.0 million Class A Notes issued by TAGUS – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A., (the “Issuer”). The transaction is a cashflow securitisation collateralised primarily by a portfolio of credit facilities loans originated by Banco Comercial Português, S.A. ("Millennium investment banking") to Portuguese small-and medium-sized enterprises (“SMEs”). As of 22 November 2010, the transaction has a current portfolio notional amount of €2,703.78 million and includes 10,204 loans. The portfolio will be serviced by Millennium investment banking.

This rating is based on 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, provided by the Class B and Residual Notes. A current credit enhancement level of 47.5% is sufficient to support an AAA (sf) rating of the Class A Notes. Additional credit enhancement is provided by interest diversions and the early termination of the Revolving Period if the default level is above pre-set levels.
--- Funded at the beginning of the transaction through the issuance of the Residual Note, the Cash Reserve is there to provide protection against interest rate shortfalls due to the longer maturities interest rate reference indices of some of the SME receivables as compared to the monthly reset 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 Note addresses the timely payment, as defined in the transaction documents, of principal and interest. Interest and principal payments on the notes will be made monthly, generally on the 23rd day of the month, with the first payment date on 23 February, 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 TAGUS – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. and Banco Comercial Português, S.A.. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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 CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Notes:
All figures are in Euro unless otherwise noted.