DBRS Places Class A Notes Issued by SAGRES – STC, S.A. (DOURO SME No. 2) Under Review Negative

DBRS Ratings Limited (“DBRS”) has today placed the Class A Notes issued by SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (the “Issuer”) Under Review with Negative Implications.

The rating actions reflect the January 30th, 2012 DBRS downgrade of the Republic of Portugal’s Long Term Foreign Currency and Long-Term Local Currency ratings from BBB to BBB (low) with the Negative Trend maintained (see press release “DBRS Downgrades Portugal to BBB (low) on Deteriorating Growth Outlook”).

DBRS will undertake a review to determine the impact of the sovereign downgrade on the transaction and will promptly publish updated rating actions that may either result in a confirmation or a downgrade. 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 it has 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.

The transaction is a cashflow securitisation collateralised primarily by a portfolio of term loans, credit lines and commercial paper facilities originated by Banco BPI, S.A. ("BPI") to Portuguese corporates, small-and medium-sized enterprises (“SMEs”) and self-employed individuals. The portfolio is serviced by BPI.

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 this rating include parties involved in the rating, including but not limited to SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. and Banco BPI, 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: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 11 February 2011
Most Recent Rating Update: 25 October 2011

Notes:
All figures are in Euro unless otherwise noted.