DBRS Upgrades Rating on the Class A Notes Issued by Sagres – STC, S.A. (Pelican SME No. 1)

DBRS Ratings Limited (“DBRS”) has today upgraded from A (low) (sf) to AA (sf) the rating on the EUR 91,151,184.66 Class A Notes (the “Notes”) issued by Sagres Sociedade de Titularização de Créditos, S.A. (the “Issuer”).

The rating action reflects the higher credit enhancement of the Notes, enough to withstand our stress scenarios under the AA (sf) rating. Since October 2012, the pro-rata triggers have not been met and this has accelerated the amortisation of the Class A Notes, thus increasing the credit enhancement. At the end of the last collection period, 28 June 2013, the aggregate principal balance of the portfolio was € 475,513,297.61, compared to the outstanding balance of the Class A notes mentioned above. In addition, there has been an overall improvement in performance of the underlying collateral since the last review in December 2012.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is “Master European Granular Securitisations (SME CLOs)”. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include Sagres – Sociedade de Titularização de Créditos, S.A., and Caixa Económica Montepio Geral.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

DBRS considers the information made available to it for the purposes of providing this rating to have been of satisfactory quality.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Probability of Default rates used: Base Case PD assumed at 4.20%, a 10% and 20% increase in the base case PD.
• Recovery Rates used: Base Case Recovery Rate of 28.27% at the AA (sf) stress level, a 10% and 20% decrease in the base case Recovery Rate.

DBRS concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, would each not lead to a downgrade of the Notes. A scenario combining both an increase in the PD by 10% and a decrease in the Recovery Rate by 10% would not lead to a downgrade of the Notes either.

The previous rating action on this transaction took place on 24 December 2012, when the rating on the Notes was confirmed and removed from Under Review with Negative Implications.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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 more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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

Initial Lead Analyst: Simon Ross
Initial Rating Date: 22 June 2010
Initial Rating Committee Chair: Jerry Van Koolbergen

Most Recent Rating Update: 24 December 2012

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry Van Koolbergen

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

“Legal Criteria for European Structured Finance Transactions”
“Master European Structured Finance Surveillance Methodology”
“Master European Granular Corporate Securitisations (SME CLOs)”
“Unified Interest Rate Model for US and European Structured Credit”
“Derivative Criteria for European Structured Finance Transactions”