DBRS Assigns AA (high) (sf) Rating to the Class A Notes issued by Caravela SME No. 1 Limited

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AA (high) (sf) to the €2,184.0 million Class A Notes issued by Caravela SME No. 1 Limited (the “Issuer”). The transaction is a cashflow securitisation collateralised primarily by a portfolio of loans and commercial paper originated by Banco Comercial Português, S.A. ("Millennium bcp") to Portuguese small-and medium-sized enterprises (“SMEs”). As of 20 December 2010, the transaction has a current portfolio notional amount of €3,014.33 million and includes 12,039 loans. The portfolio will be serviced by Millennium bcp.

This rating is based upon 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, Class C, Class D, Class E, Class F and the Cash Reserve Account, funded through the issuance of the Class G Notes. The current asset balance of €3,014.33 million plus the Cash Reserve Account Balance of €60.00 million is sufficient to support the AA (high) (sf) rating of the Class A Notes.
-- Funded at the beginning of the transaction through the issuance of the Class G Notes, the Cash Reserve Account covers shortfalls in the expenses and interest and principal payments of the Notes. In addition, it is available to reduce the Principal Deficiency ledgers of the Class A to Class E Notes inclusive, in so doing so, paying down any defaulted assets.
-- The Revolving Period will end in November 2011 at the latest and earlier if the default rate in the portfolio exceeds a pre-set limit.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. 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 quarterly, generally on the 20th day of March, June, September and December, with the next payment date being on 20 March 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 primary public methodology is Master European Granular Corporate Securitisations (SME CLOs) 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 this rating include parties involved in the rating, including but not limited to Caravela SME No. 1 Limited, Banco Comercial Português, S.A. and Deutsche Bank AG. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument. This rating concerns an existing financial instrument; the Class A Notes were originally issued on 28 November 2008.

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

Notes:
All figures are in Euro unless otherwise noted.