DBRS Assigns Ratings to IRS Payments of TAGUS – STC, S.A. (EnergyOn No. 1)

DBRS Ratings Limited (“DBRS”) has today assigned BBB (high) (sf) ratings to the likelihood of the interest rate swap counterparty (“Swap Counterparty”) receiving the payments under the swap agreement. The rating addresses the probability that an Event of Default, where TAGUS – SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No. 1) is the sole defaulting party due to a Failure to Pay or Deliver as defined in Section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on 5 March 2009 between EnergyOn No. 1 and the Swap Counterparty will not occur.

The interest rate swap payments to the Swap Counterparty are senior to the Class A1 Notes in the priority of payments, and, based on the DBRS Portuguese Electricity Tariff methodology, the rating of the Class A1 Notes and the rating of the above mentioned instrument are limited to a two notch increase above the current local currency sovereign rating of the Republic of Portugal. To assess the impact of changing the transaction parameters on the rating, DBRS generally considers the stress case scenarios, as compared to the parameters used to determine the rating. However, in this case based on the above-mentioned rationale of sovereign ceiling, DBRS did not conduct any sensitivity analysis. The DBRS Sovereign Group confirmed the Republic of Portugal Long-Term Issuer Rating at BBB (low) and changed the trend from Negative to Stable (for more information, please see the press release issued on May 23, 2014, titled “DBRS Confirms the Republic of Portugal at BBB (low), Changes Trend from Negative to Stable”).

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisation in the EURO Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

This rating is based on information provided by the Swap Counterparty. 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.

Information regarding DBRS ratings, including definitions, policies and methodologies is available on http://www.dbrs.com.

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

This rating concerns an existing financial instrument but this is the first DBRS rating on this financial instrument.

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/cerepweb/statistics/defaults.xhtml.

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The principal methodology is Rating Portuguese Electricity Tariff Securitisations, which can be found on our website under Methodologies.

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.
• Rating Portuguese Electricity Tariff Securitisations
• Derivative Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.

Lead Analyst: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Rating Date: 26 September 2014