(The following statement was released by the rating agency)LONDON, June 09 (Fitch) Fitch Ratings has affirmed Lusitano SME No.1 plc's notes as follows:EUR22m class A notes affirmed at 'A+sf'', Outlook revised to Stable from Positive EUR29m class B notes affirmed at 'AAAsf', Outlook StableEUR24m class C notes affirmed at 'CCCsf', Recovery Estimate (RE) 10%Lusitano SME No.1 plc is a cash flow securitisation of a EUR862.6m revolving pool of loans granted to Portuguese small and medium enterprises by Banco Espirito Santo (BES). In accordance with the transaction documents, the revolving period ended in February 2010.KEY RATING DRIVERSThe affirmation reflects the pool's stable performance over the past year. The transaction has continued deleveraging, with the class A notes at 2.8% of their original outstanding balance, down from 8% at last review.The class A notes have been affirmed at 'A+sf' as their rating is capped at six notches above the sovereign rating of Portugal (BB+/Positive/B). The Outlook has been revised to Stable from Positive to reflect the payment interruption risk from the nearly depleted reserve fund.The reserve fund currently stands at EUR32,884, well below its target level of EUR4.3m. It amortised to its floor level (0.5% of the original collateral balance) in August 2013 when it was reduced from its original target level of EUR8.6m. After amortisation it remained volatile before being almost fully drawn in May this year.The class B notes have been affirmed at 'AAAsf' as the tranche is guaranteed by the European Investment Fund (EIF; AAA/Stable/F1+).The class C notes have been affirmed at 'CCCsf'. Their credit enhancement has reduced to 14.6% from 20.8% last year. This is due in part to the amortised and depleted reserve fund but also to the EUR7.2m of currently unprovisioned delinquent loans (EUR5m last year). The transaction staggers provisioning for delinquent loans depending on the number of days they have been in arrears.The class C notes are also exposed to concentration risk. The number of obligors in the pool has decreased to 332 from 545. The top 10 largest obligors account for 31.5% of the transaction compared with 20.3% when our last review.The transaction is currently amortising sequentially but amortised pro-rata as recently as February this year. This is because the conditions under which the notes can amortise pro-rata are loosely defined. Currently, only the drawn reserve fund is effecting sequential amortisation. Given the reserve fund's volatility over the life of the transaction, further pro-rata amortisation is a possibility.RATING SENSITIVITIESFitch has run two sensitivity scenarios. In the first the default probability (PD) was increased by 25% and in the second the recovery rate was reduced by 25%. The increase of the PD resulted in a one-notch downgrade for the B and C notes. The reduction in the recovery rates resulted in a one-notch downgrade for the class B notes.Contacts: Lead Surveillance AnalystAlexander BlishenAnalyst+44 20 3530 1354Fitch Ratings Limited30 North ColonnadeLondon E14 5GN Committee Chairperson Matthias NeugebauerManaging Director+44 20 3530 1099Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com.Additional information is available at 
  www.fitchratings.com.
 Sources of information: Investor reports and loan level dataApplicable criteria: 'Global Structured Finance Rating Criteria', dated 24 May 2013; 'Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs)', dated 5 March 2014; 'Counterparty Criteria for Structured Finance and Covered Bonds', dated 14 May 2014 are available at 
  www.fitchratings.com.
 Applicable Criteria and Related Research: Global Structured Finance Rating Criteria
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821
 Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs)
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=737615
 Counterparty Criteria for Structured Finance and Covered Bonds
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
 Additional Disclosure Solicitation Status 
  http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=833639
 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.