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

DBRS Ratings Limited (“DBRS”) has today confirmed the rating of A (sf) to the €1,374,000,000 Class A Notes issued by Caravela SME No. 1 Limited following the replacement of the Swap Counterparty and changes made to the swap agreements.

The swap has been novated to Royal Bank of Scotland Plc (“RBS”) currently rated A (high)/R-1 (middle) Stable by DBRS, which is higher than Millennium bcp rating of BBB (high)/R-2 (high) Negative, which DBRS considers beneficial to the transaction. Given the rating for Class A Notes is A (sf), RBS will remain an eligible counterparty, under the DBRS swap criteria, if its long term rating does not fall below BBB. The new swap agreements do not, however, fully conform to DBRS criteria for mitigating counterparty credit risk. DBRS will monitor the basis between DBRS swap counterparty criteria and the counterparty posting and replacement provisions in the current documents, which may introduce additional volatility to the rating of the notes to the extent RBS is downgraded below BBB by DBRS.

An additional change to the swap documents requires the counterparty to pay 0.40% of outstanding Notes plus the weighted average spread of the outstanding Notes, multiplied by the outstanding notional of the Performing small and medium sized enterprises (“SME”) Receivables, as compared to outstanding notional of the Notes in the pre-amendment documents. This will not have a negative impact on the transaction, since the counterparty will not make payments over the defaulted assets or on assets which are three months or more in arrears.

The transaction is a cashflow securitisation collateralised primarily by a portfolio of loans and commercial paper originated by Millennium bcp to Portuguese SMEs and corporates. The portfolio continues to be serviced by Millennium bcp. The rating addresses timely payment of interest and principal on or before the Final Legal Maturity Date in June 2038.

The rating confirmation by DBRS does not signify the approval of the amendment by DBRS or an opinion by DBRS as to whether the amendment is beneficial or detrimental to the holders of the securities.

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 this rating include Royal Bank of Scotland plc. Caravela SME No. 1 Limited and Banco Comercial Português, S.A.

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

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 24 February 2011
Most Recent Rating Update: 20 September 2011

Notes:
All figures are in Euro unless otherwise noted.