DBRS Places 13 Classes of Portuguese ABS, RMBS and SME CLO SF Transactions Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today taken rating actions on 13 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 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 the links below.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

ABS Transactions

1. Totta Consumer No. 1

RMBS Transactions

2. Magellan Mortgages No. 5 Limited

3. Magellan Mortgages No. 6 Limited

4. Lusitano Mortgages No. 7 Limited

5. TAGUS Sociedade de Titularização de Créditos, S.A., Aqua Mortgage No. 1

6. GAMMA - Sociedade de Titularização de Créditos, S.A. (Azor 2)

SME CLO Transactions

7. GAMMA - Sociedade de Titularização de Créditos, S.A. (ATLANTES No. 1)

8. SAGRES SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (DOURO SME No.2)

9. TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (Caravela SME No.2)

10. Caravela SME No. 1 Limited

11. SAGRES – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (Lusitano SME No.2)

12. Sagres – Sociedade de Titularização de Créditos, S.A. (Pelican SME No. 1)