DBRS Downgrades Class A Notes Issued by Sagres – STC, S.A. (Pelican SME No. 1) to A (high) (sf)

DBRS Inc. (DBRS) has today downgraded the rating of the Class A Asset Backed Floating Rate Securitisation Notes (“Class A Notes”) issued by Sagres – Sociedade de Titularização de Créditos, S.A. (the “Issuer”) from AA high (sf) to A (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 BBB (high) Negative Trend to BBB 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 collateralized primarily by a portfolio of bank loans originated by Caixa Económica Montepio Geral (“Montepio”) to Portuguese small- and medium-sized enterprises (“SMEs”). The DBRS rating addresses the Issuer’s ability to make timely payments of interest and ultimate payments of principal on or before the legal final maturity date in July 2036.

The principal methodology is the 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 these ratings include parties involved in the rating, including but not limited to Sagres – Sociedade de Titularização de Créditos, S.A. and Caixa Económica Montepio Geral. 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.

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

Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 22 June 2010
Most Recent Rating Update: 20 July 2011

Notes:
All figures are in Euro unless otherwise noted.