DBRS Confirms Rating to Tagus-Sociedade de Titularizacao de Creditos, S.A. (Aqua Finance No. 3)

DBRS Ratings Limited (“DBRS”) has reviewed Aqua Finance No. 3 (“the Issuer”) and confirms the AA (sf) rating to the Class A Notes.

Aqua Finance No. 3 is a securitization issued under Portuguese law of a portfolio of secured consumer leases to retail and small business owners originated and serviced by Finibanco S.A. The Class A and Class B Notes were issued at closing in June 2009 to finance the purchase of the initial portfolio in the amount of EUR 207 million. Proceeds from the issuance of the Class C Notes funded the cash reserve account for EUR 6.2 million.

Confirmation of the ratings for the Class A Notes is based upon the following analytical considerations:

• Performance of the portfolio is within DBRS expectations, in terms of defaults, as of the 24 January 2014 reporting date.
• Incorporation of a sovereign related stress component to address the impact of macroeconomic variables on collateral performance.
• Updated portfolio defaults, recoveries and expected losses for the remaining pool.
• Current available credit enhancement to the Class A Notes to cover the expected losses at the AA (sf) rating.

Delinquencies have been relatively stable since the initial DBRS rating in March 2011. As of 24 January 2014, delinquencies more than 90 days were at 7.30%, cumulative default ratio was 6.20%.

Credit enhancement for the Class A Notes is provided by the subordination of the Class B Notes and the Reserve Fund. The Reserve Fund currently stands at the target level of EUR 6.2 million. The current credit enhancement as a percentage of the receivables for the Class A Notes is 57.56%. The credit enhancement for the Class A Notes has increased since the initial DBRS rating due to the deleveraging of the transaction following the end of the revolving period in September 2012.

Deutsche Bank AG/London holds the Treasury Account for the transaction. The DBRS private ratings of Deutsche Bank AG/London is above the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Montepio Credito. 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.

The last rating action on this transaction took place on 22 January 2013, when DBRS removed the Negative Review and confirmed the Rating at AA (sf) to the Class A Notes.

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 to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the portfolio based on a review of historical data. Adverse changes to asset performance may cause stresses to Base Case assumptions and therefore have a negative effect on credit ratings.

• The Base Case PD and LGD of the portfolio for the Issuer are 15.58% and 85%, respectively.

• The Risk Sensitivity below illustrates the ratings Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumptions. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (sf), all else being equal. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at ‘AA’ (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at ‘AA’ (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (sf).
• 50% increase in LGD, expected rating of AA (sf).
• 25% increase in PD, expected rating of AA (sf).
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf).
• 25% increase in PD and 50% increase in LGD, expected rating of AA (sf).
• 50% increase in PD, expected rating of AA (sf).
• 50% increase in PD and 25% increase in LGD, expected rating of AA (sf).
• 50% increase in PD and 50% increase in LGD, expected rating of AA (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: Alessio Pignataro
Initial Rating Date: 23 March 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 22 January 2013

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

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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 and are as follows:

• Legal 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.
• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Derivative Criteria for European Structured Finance Transactions.