DBRS Confirms 14 Classes of Portuguese ABS, RMBS and SME CLO SF Transactions

DBRS Inc. (DBRS) has today taken rating actions on 14 ratings 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 confirms of six classes of debt from six discrete transactions. The RMBS rating actions consist of confirms of seven classes of debt from seven discrete transactions. The SME CLOs rating actions consist of a confirm of one class of from one discrete transaction.

The above rating actions reflect the October 19th, 2011 DBRS downgrade of the Republic of Portugal’s Long Term Foreign Currency and Long-Term Local Currency ratings from BBB (high) to BBB and maintained the Negative Trend (see press release “DBRS Downgrades Republic of Portugal to BBB on Fiscal Risks”). The DBRS downgrade of the Republic of Portugal reflects the assessment that risks to fiscal consolidation have increased since our last review. The Negative trend reflects downside risks to growth, particularly given the heightened uncertainty over the economic outlook in Europe and the United States and the ongoing turbulence in financial markets. 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 their respective links.

ABS Transactions

1.Tagus Leasing No. 1

2.Leasetotta No. 1

3.Tagus-Sociedade de Titularizacao de Creditos, S.A. (Aqua Finance No. 3)

4.TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No. 1)

5.TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No. 2)

6.Totta Consumer No. 1

RMBS Transactions

7.Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 5

8.Sociedade de Titularização de Créditos, S.A. Douro Mortgages No. 4

9.Bocage Mortgages No. 2

10.Sociedade de Titularização de Créditos, S.A., Pelican Mortgages No. 4

11.Sociedade de Titularização de Créditos, S.A., Pelican Mortgages No. 5

12.Hipototta No. 7 Limited

13.Hipototta No. 11

SME CLO Transactions

14.TAGUS - Sociedade de Titularização de Créditos, S.A. (BST SME No. 1)