DBRS Downgrades Class A Notes Issued by TAGUS - STC, S.A. (BST SME No. 1) to AA (sf)

DBRS, Inc. (“DBRS”) has today downgraded the rating of 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”) from AAA (sf) to AA (sf).

The rating action reflects the following analytical considerations:

• Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Portugal’s sovereign from A (low) Negative Trend to BBB (high) Negative Trend.
• Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance due to austerity measures taken by the Republic of Portugal.
• Heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Portugal).

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”, located at http://dbrs.com/research/239786.

The transaction 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 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.

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.

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.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 17 March 2011