DBRS Confirms and Downgrades 8 Ratings from 7 Portuguese SME CLOs

DBRS Ratings Limited and DBRS, Inc. (collectively, “DBRS”) have confirmed and downgraded eight ratings from the following seven Portuguese Issuers:
• 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 occurred between 23 February 2012 and 27 February 2012, and reflect the 30 January 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”). The rating actions above represent a summary of all rating actions taken by DBRS on SME CLOs with public DBRS ratings affected by the 30 January 2012 DBRS downgrade of the Republic of Portugal. Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance due to austerity measures taken by the Republic of Portugal, as well as a heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Portugal) were factored into the rating actions.

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.

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

Note:
All figures are in Euro unless otherwise noted.