DBRS Assigns AAA (sf) Rating to TAGUS - Sociedade de Titularização de Créditos, S.A. (BST SME No. 1)

DBRS, Inc. (“DBRS”) has today assigned a rating of AAA (sf) to the Class A Asset-Backed Floating Rate Securitisation Notes (the “Class A Notes”) issued by TAGUS - Sociedade de Titularização de Créditos, S.A. (the “Issuer”). The rating addresses the timely payment of interest and ultimate payment of principal on or before the Legal Final Maturity of June 2041. The €1,020,000,000 Class A Notes will be supported by the €980,000,000 Class B Notes and the €40,800,000 Class C Notes. DBRS does not rate the Class B or Class C Notes.

The Issuer is a cash flow securitisation collateralized by a revolving portfolio of loans originated by Banco Santander Totta, S.A. (“BST”) to Portuguese small-and medium-sized enterprises (“SMEs”). The portfolio consists of approximately 68% term loans, and 32% commercial paper, which on average mature within 30 to 90 days. The transaction has an initial portfolio notional amount of €2,038,543,876. The transaction includes a revolving period, which will end on the earlier of the interest payment date in March 2013 and the occurrence of certain early amortisation events. Banco Santander Totta, S.A. acts as the originator, servicer and investment manager of the SMEs.

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 and the Cash Reserve Account, which is funded through the issuance of the Class C Notes. A current credit enhancement level of approximately 50.0% is sufficient to support the AAA (sf) rating of the Class A Notes.

• 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 Notes addresses the timely payments of interest on each Payment Date and the ultimate payment of principal as defined in the transaction documents, in any case, at their Legal Final Maturity of June 2041. Interest and principal payments on the Notes will be made quarterly, generally on the 30th day of March, June, September and December, with the first payment date on 30 June 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 the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

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’ 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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

The sources of information used for these ratings include parties involved in the rating, including but not limited to Banco Santander Totta, 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 SME CLO. This is the first DBRS rating on this SME CLO.

For additional information on DBRS European SME CLOs, please see the DBRS European Disclosure Requirements for SME CLOs, located at http://www.dbrs.com/research/235269.

Glen Leppert
Lead Analyst
Senior Vice President - U.S. & European Structured Credit
+1 212-806-3274
gleppert@dbrs.com

Jerry van Koolbergen
Rating Committee Chair
Managing Director - U.S. & European Structured Credit
+1 212-806-3260
jvankoolbergen@dbrs.com

Note:
All figures are in Euro unless otherwise noted.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.