DBRS Confirms Tagus Leasing No. 1

DBRS, Inc. (DBRS) has today confirmed the Class A notes issued by Tagus Leasing No. 1 at AA (sf). This rating was also removed from Under Review with Negative Implications (see “DBRS Ratings Limited Puts 23 Classes from 16 European ABS Structured Finance Transactions Under Review with Negative Implications”, published on May 25, 2012).

The rating action reflects the following analytical considerations:

• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance. The additional stress was prompted by the recent confirmation by DBRS of the Republic of Portugal’s sovereign rating at BBB (low), with a Negative Trend which occurred on November 30, 2012.
• Upon incorporation of the sovereign related stress component, the transaction is performing within DBRS expectations and available credit enhancement for the notes is sufficient to cover DBRS stressed assumptions.

Notes:
The principal methodologies applicable are:
• Master European Structured Finance Surveillance Methodology
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations
• Operational Risk Assessment for European Structured Finance Servicers

These can be found on dbrs.com under Methodologies. 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”.

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by Banco Comercial Portugues, S.A. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on these ratings, please refer to the linking document.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Lain Gutierrez
Rating Committee Chair: Keith Gorman
Initial Rating Date: February 10, 2011
Most Recent Rating Update: May 25, 2012