DBRS Assigns Provisional Rating of BBB (high) (sf) to Volta IV

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of BBB (high) (sf) to the Senior Notes (collectively with the unrated Class R and Liquidity Notes, the Notes) to be issued by Tagus – Sociedade de Titularização de Crédito, SA. (the Issuer) in the Volta IV Electricity Receivables Securitisation.

The Notes are backed by the credit rights recognised under Portuguese laws and assigned by EDP - Serviço Universal, S.A. to the Issuer.

The finalisation of the rating is contingent upon receipt of final documents conforming to information already received.

The rating is based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of subordination and reserve funds.
-- The transaction parties’ capabilities and financial strength to perform their respective duties.
-- Satisfactory legal and regulatory support for the transaction which allows the repayment of the Senior Notes according to the terms of the transaction documents.
-- The legal structure and the presence of legal opinions that address the true sale of the Credit Rights to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

There is no cash flow model performed for this transaction.

Notes:
All figures are in euros unless otherwise noted.

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

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the 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 data relating to the receivables provided by EDP - Serviço Universal, S.A. via the Arranger, StormHarbour Securities LLP.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third party assessments. This did not impact the rating analysis.

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 was disclosed to the Arranger, StormHarbour Securities LLP.

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

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:

-- 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: Kevin Chiang, Senior Vice President, Global Structured Finance
Initial Rating Date: 18 July 2016
Initial Rating Committee Chair: Chuck Weilamann, Managing Director, US ABS, Global Structured Finance

DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies:

Legal Criteria for European Structured Finance Transactions

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375