DBRS Confirms Ratings of the Notes Issued by SAGRES – STC, S.A. (Lusitano SME No.2)

DBRS Ratings Limited (“DBRS”) has today confirmed ratings of the Class A and Class B Notes (the “Notes”) at AA (sf) and at BBB (sf), respectively. Both classes were issued by SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A (Lusitano SME No. 2) (the “Issuer”).

The confirmation of the ratings of the Class A and Class B Notes is based on the assessment of the changes made to the transaction as per the Amendment Agreement dated 17 November 2011. The amendments include changes to the Contingent Liquidity Reserve Required Balance definition, as well as, changes to where it ranks in the Pre-Enforcement Interest Payments Priorities. The amendment also includes the appointment of Finsolutia, Consultoria e Gestão de Créditos, S.A.as a backup servicer.

The Contingent Liquidity Reserve Required Balance definition was amended to cover senior expenses, in addition to the interest amount due on the Class A Notes for two payment dates, as well as covering variations in the interest rate of up to 2%.

DBRS expects that, at its current rate, the Contingent Liquidity Reserve Account Balance would be at its required balance within the next two interest payment dates by trapping excess spread after replenishing the Cash Reserve Account to its required balance. DBRS considers this change in the calculation of Contingent Liquidity Reserve Required Balance to have a positive impact, as it expects Contingent Liquidity Reserve balance to be sufficient to mitigate any shortfalls or disruption in the payments following a servicer default and time required in effective transfer to the backup servicer.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.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 Banco Espírito Santo, S.A. 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: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 3 January 2011
Most Recent Rating Update: 26 October 2011

Notes:
All figures are in Euro unless otherwise noted.