DBRS Downgrades 13 and Confirms 1 Class(es) of Portuguese ABS, RMBS and SME CLO SF Transactions

DBRS Inc. (DBRS) has today downgraded 13 ratings and confirmed 1 rating for Portuguese asset-backed securities (ABS), residential mortgage-backed securities (RMBS) and small to medium sized enterprises collateral loan obligations (SME CLOs) transactions. The ABS rating actions include downgrades of 5 classes of debt from 5 discrete transactions. The RMBS rating actions consist of downgrades of 6 classes of debt from 6 discrete transactions and confirmation of 1 class of debt from 1 transaction. The SME CLOs rating actions consist of downgrades of 2 classes of debt from 2 discrete transactions. In addition, one Class A Notes placed under review negative.

The above rating actions reflect the May 24th, 2011 DBRS downgrade of the Republic of Portugal’s Long Term Foreign Currency and Long-Term Local Currency ratings from A (low) to BBB (high) and maintained the Negative Trend (see press release “DBRS Downgrades Portugal to BBB (high) with a Negative Trend on Weaker Outlook”). The DBRS downgrade of the Republic of Portugal reflects significantly weaker than expected growth outlook and larger than expected fiscal imbalances. Consequently, prospects for Portuguese debt stabilisation are more challenging. The above rating actions also reflect the subsequent downgrades taken on DBRS public ratings and internal assessments for certain Portuguese banks.

As part of the monitoring process for outstanding securitisations, DBRS incorporates changes to the level of sovereign risk and subsequent changes to the level of risks related to transaction parties and counterparties into its analysis. DBRS employs a case-by-case approach that is jurisdiction-specific and asset-class specific with the risks and protections of each transaction identified and considered. The lower the sovereign rating, the greater relevance and potential impact on securitisation ratings due to less favorable macroeconomic conditions, stress factors related to the transaction parties and increased likelihood for unknown events to occur.

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.

For a more detailed discussion of the rating actions taken on the transactions listed below, please refer to the links below.

ABS Transactions

1.Tagus Leasing No. 1
---- Class A Notes Downgraded from AAA (sf) to AA (sf)

2.Leasetotta No. 1
---- Class A Notes Downgraded from AAA (sf) to AA (high) (sf)

3.Tagus-Sociedade de Titularizacao de Creditos, S.A. (Aqua Finance No. 3)
---- Class A Notes Downgraded from AAA (sf) to AA (sf)

4.TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No. 1)
---- Class A1 Notes Downgraded from AA (low) (sf) to A (high) (sf)

5.TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No. 2)
----Class A Notes Downgraded from AA (low) (sf) to A (high) (sf)

RMBS Transactions

6.Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 5
---- Class A Notes Downgraded from AAA (sf) to AA (sf)

7.Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 4
---- Class A Notes Downgraded from AAA (sf) to AA (sf)

8.Bocage Mortgages No. 2
---- Class A Notes Downgraded from AAA (sf) to AA (high) (sf)

9.Sociedade de Titularização de Créditos, S.A., Pelican Mortgages No. 4
---- Class A Notes Downgraded from AA (sf) to A (sf)

10.Sociedade de Titularização de Créditos, S.A., Pelican Mortgages No. 5
---- Class A Notes Downgraded from AAA (sf) to AA (high) (sf)

11.Hipototta No. 7 Limited
---- Class A2 Notes Downgraded from AA (high) (sf) to AA (low) (sf)

12.Hipototta No. 11
---- Class A Notes Confirmed at AA (high) (sf)

SME CLO Transactions

13.TAGUS - Sociedade de Titularização de Créditos, S.A. (BST SME No. 1)
---- Class A Notes Downgraded from AAA (sf) to AA (sf)

14.Sagres – Sociedade de Titularização de Créditos, S.A. (Pelican SME No. 1)
---- Class A Notes Downgraded from AAA (sf) to AA (high) (sf)
---- Class A Notes placed Under Review with Negative Implications