DBRS Places 16 Classes of Portuguese ABS, RMBS, Covered Bonds and SME CLO SF Transactions Under Review with Negative Implications

DBRS, Inc. (DBRS) has today placed Under Review with Negative Implications 16 ratings for Portuguese asset-backed securities (ABS), residential mortgage-backed securities (RMBS), covered bonds, and small to medium sized enterprises collateral loan obligations (SME CLOs) transactions.

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.

For a more detailed discussion of the rating actions taken on the transactions listed below, please refer to their respective links.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU

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)

RMBS Transactions

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

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

8. Bocage Mortgages No. 2

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

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

11. Hipototta No. 7 Limited

12. Hipototta No. 11

Covered Bond Transaction

13. Montepio Covered Bond Programme

SME CLO Transaction

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