DBRS Ratings Limited Rates Aqua Mortgage No. 1

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the €203,176,000 Class A Mortgage-Backed Floating Rate Notes due 2063 issued by TAGUS Sociedade de Titularização de Créditos, S.A. The transaction is a securitisation of variable rate, first-lien mortgage loans secured by residential properties in Portugal that was launched in December 2008. The mortgages were originated and are serviced by Finibanco, S.A.

The final ratings are based upon a review by DBRS of the following analytical considerations:

•Transaction structure, proposed ratings and form and sufficiency of available credit enhancement. TAGUS Sociedade de Titularização de Créditos, S.A. issued three classes of notes. The Class A Notes are the most senior notes in the structure and currently benefit from 14.42% credit enhancement as a result of subordination and the balance on the Cash Reserve Account which currently stands at €3.5 million.
•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 addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date.
•The transaction parties’ capabilities with regards to originations, underwriting and servicing and the ratings of Finibanco, S.A and Deutsche Bank AG, London Branch, as Accounts Bank.
•Soundness of the legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, an evaluation of the housing market and property price trends, and a cash flow simulation to consider the impact of stresses to prepayments, timing of defaults and recoveries and interest rates.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies with adjustments made for the Portuguese mortgages and the originator- and servicer-specific historical performance. This is not a newly created financial instrument.

The sources of information used for this rating include the relevant transaction parties, including data relating to the underlying mortgages provided by Finibanco, S.A., parties not directly involved with the transaction, public information and information which is confidential and proprietary to DBRS. 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.

For additional information on these ratings, please refer to the linking document located below.

Lead Analyst: Richard Hewitt, Senior Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 25 March 2011