DBRS Assigns Provisional Rating to Volta III Electricity Receivables Securitisation

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of BBB (high) (sf) to the Senior Notes to be issued by Tagus – Sociedade de Titularização de Crédito, SA. The notes are expected to be backed by a pool of Portuguese electricity tariff receivables recognised under Portuguese laws and originated by EDP - Serviço Universal, SA (EDP SU).

The ratings are based upon review by DBRS of the following analytical considerations:

-- Legal and regulatory support for the transaction which ensures the timely payment of interest and full payment of principal of the securities.
-- The legal structure, the assessment of a satisfactory legal and regulatory framework and presence of legal opinions addressing the existence, validity and assignment to the issuer of the assets.
-- The transaction parties’ capabilities and financial strength to perform their respective duties.
-- Assessment of Portugal’s sovereign risk and respective mitigants.
-- The credit quality of the collateral and ability of the Portuguese distribution grid operator and the transaction servicer respectively to perform collection activities on the collateral and supervise/control the process of collection.
-- The consistency with DBRS’s “Legal Criteria For European Structured Finance Transactions” methodology
-- Linkage between the probability of default of a sovereign’s rating and the rating of the securities issued resulting in up to a two notch uplift above the sovereign rating.

The above-mentioned ratings are provisional. Finalised ratings will be issued upon receipt of execution version of the governing Transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Senior Notes or may avoid assigning final ratings to the Senior Notes altogether.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating Portuguese Electricity Tariff Securitisations”.

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 these ratings include performance data relating to the receivables provided by EDP - Serviço Universal, S.A. via the Arranger, StormHarbour Securities. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting DBRS at info@dbrs.com.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating:

DBRS concludes that for the Senior Notes:
-- A hypothetical downgrade of the sovereign rating of the Portuguese Republic by one notch, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (sf).
-- A hypothetical downgrade of the sovereign rating of the Portuguese Republic by two notches, ceteris paribus, would lead to a downgrade of the Senior Notes to BBB (low) (sf).

For further information on DBRS 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.

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

Initial Lead Analyst: Paolo Conti
Initial Back-up Analyst: Alexander Garrod
Initial Rating Date: 9 March 2015
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable as this is a new rating.

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

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.

Rating Portuguese Electricity Tariff Securitisations.
Legal Criteria for European Structured Finance Transactions.
Operational Risk Assessment for European Structured Finance Servicers.
Unified Interest Rate Model for European Securitisations.