DBRS Downgrades Aqua Mortgage No. 1 Class A Notes issued by TAGUS Sociedade de Titularização de Créditos, S.A., to AA (high) (sf)

DBRS Ratings Limited (DBRS) has today downgraded Class A notes issued by TAGUS Sociedade de Titularização de Créditos, S.A. from AAA (sf) rating to AA (high) (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).

Please refer to the DBRS Commentary entitled The Effect of Sovereign Risk on Securitisations in the Euro Area by clicking the link below.

The applicable methodologies are Master European Structured Finance Surveillance Methodology, Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, with adjustments made for the Portuguese mortgages and the originator- and servicer-specific historical performance data.

The sources of information used for this rating include the relevant transaction parties, including investor remittance reports and data relating to the underlying mortgages provided by Finibanco, S.A. (Montepio took the full control of Finibanco S.A. on 03/12/2010 following the success of a friendly takeover bid), 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 this rating action was of satisfactory quality.

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