DBRS Finalises Provisional Ratings Assigned to Volta III Electricity Receivables Securitisation

DBRS Ratings Limited (DBRS) has today finalised its BBB (high) (sf) provisional ratings previously assigned to the Senior Notes issued by Tagus – Sociedade de Titularização de Crédito, SA. The notes are 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 the DBRS methodology Legal Criteria for European Structured Finance Transactions.
-- 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.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Rating Portuguese Electricity Tariff Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

The information used for these ratings was sourced 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 the changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with 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: Eric Levassor
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.