DBRS Downgrades Class A Notes Issued by Caravela SME No. 1 Limited to A (sf)

DBRS Ratings Limited (“DBRS”) has today downgraded the rating of Class A Notes issued by Caravela SME No. 1 Limited (the “Issuer”) from AA (high) (sf) to A (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 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”). The portfolio is serviced by Millennium bcp.

The principal 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 TAGUS – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A., 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.

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

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 24 February 2011