DBRS Places 8 Ratings from 7 Portuguese SME CLOs Under Review with Negative Implications

DBRS Ratings Limited (“DBRS”) has today placed eight ratings from the following seven Portuguese Issuers Under Review with Negative Implications.
• GAMMA - Sociedade de Titularização de Créditos, S.A. (ATLANTES No. 1)
• SAGRES SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (DOURO SME No.2)
• Caravela SME No. 1 LTD
• TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (Caravela SME No.2)
• SAGRES SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (Lusitano SME No.2)
• TAGUS - Sociedade de Titularização de Créditos, S.A. (BST SME No. 1)
• Sagres Sociedade de Titularização de Créditos, S.A. (Pelican SME No. 1)

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 principal methodology is the Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

For additional information on DBRS European SME CLOs, 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: Mike Moriarty
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 21 April 2011
Most Recent Rating Update: 25 October 2011

Note:
All figures are in Euro unless otherwise noted.