Morningstar DBRS Assigns Credit Ratings to Tagus - Sociedade de Titularizaçao de Créditos, S.A. (Silk Finance No. 6)

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the following classes of notes (collectively, the Rated Notes) issued by Tagus - Sociedade de Titularizaçao de Créditos, S.A. (Silk Finance No. 6) (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at BBB (high) (sf)
-- Class D Notes at BBB (low) (sf)
-- Class E Notes at BBB (sf)

The credit ratings on the Class A Notes and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final legal maturity date. The credit ratings on the Class C Notes and Class D Notes address the ultimate payment of interest (timely when most senior) and the ultimate repayment of principal by the final legal maturity date. The credit rating on the Class E Notes addresses the ultimate payment of scheduled interest and the ultimate repayment of principal by the final legal maturity date.

The transaction represents the issuance of notes backed by auto loans and lease agreements granted by Santander Consumer Finance, S.A. - Sucursal em Portugal (SCF Portugal, or the Originator) to debtors residing or incorporated in Portugal. SCF Portugal also services the receivables (the Servicer).

CREDIT RATING RATIONALE
Morningstar DBRS' credit ratings are based on the following analytical considerations:
-- The transaction's structure, including form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes have been issued;
-- The credit quality of SCF Portugal's portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- SCF Portugal's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of SCF Portugal, which Morningstar DBRS deems to be an acceptable Servicer;
-- The transaction parties' financial strength with regard to their respective roles;
-- The consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions"; and
-- Morningstar DBRS' sovereign credit rating on the Republic of Portugal, currently at A (high) with a Stable trend.

TRANSACTION STRUCTURE
The transaction is subject to a revolving period of seven months, during which time the Originator may offer additional receivables. The Issuer can purchase these receivables so long as the eligibility criteria, global portfolio limits, performance triggers, and other conditions set out in the transaction documents are met.

Interest and principal payments on the Rated Notes will be made quarterly. The transaction has a mixed sequential/pro rata amortisation structure. Initially, all collections from the receivables will pay down the Class A Notes in accordance with the relevant priority of payments. Once the credit enhancement of the Class A Notes reaches 27.0%, the principal payments on the Class A Notes, Class B Notes, Class C Notes, and Class D Notes (the Collateralised Notes) will be allocated on a pro rata basis, unless a subordination event occurs as outlined in the transaction documents. Subordination events include the breach of performance-related triggers, the termination of the servicing agreement, the Originator's default, or the Originator not exercising the call option.

A general reserve has been funded by the proceeds of the Class E Notes, with an initial balance equal to 1.1% of the initial balance of the Collateralised Notes. The general reserve covers senior fees, net swap payments, and interest payment shortfalls on the Class A Notes, and on the Class B Notes, Class C Notes, and Class D Notes if interest is not deferred. The general reserve amortises in line with the outstanding balance of the Collateralised Notes and it is floored at 0.25% of the initial balance of the Collateralised Notes.

All underlying contracts are fixed rate, while the Rated Notes are indexed to three-month Euribor. Interest rate risk is mitigated through an interest rate swap.

COUNTERPARTIES
Citibank Europe plc (Citibank) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS has a public Long-Term Issuer Rating, a Long-Term Senior Debt Rating and a Long-Term Deposits Rating on Citibank of AA (low) with Stable trend, which meet Morningstar DBRS' criteria to act in such capacity. The transaction documents contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

Banco Santander S.A. (Banco Santander) has been appointed as the swap counterparty for the transaction. Morningstar DBRS has a public Long Term Critical Obligations Rating of AA and public Long-Term Issuer Rating and a Long-Term Senior Debt Rating of A (high) on Banco Santander with a Stable trend, which meet Morningstar DBRS' criteria to act in such capacity. The hedging documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest payment amounts and the related principal outstanding balances.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings https://dbrs.morningstar.com/research/454196.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include SCF Portugal and its agents. Morningstar DBRS received the following information:
-- Monthly originations, static default, and recovery data for the SCF Portugal portfolio, starting from January 2016 to December 2024, split by vehicle type (new/used), product type (loan/leasing), and client type (employed/company);
-- Monthly dynamic prepayment data for the SCF Portugal portfolio, covering January 2018 to December 2024;
-- Monthly dynamic delinquency data for the SCF Portugal portfolio, covering January 2017 to December 2024, and
-- Portfolio stratification tables and a loan-by-loan data tape as of 30 April 2025, along with its related amortisation schedule split by vehicle type (new/used).

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

These credit ratings concern newly issued financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com/.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Expected default rate: 4.7%
-- Expected recovery rate: 47.7%
-- Loss given default (LGD): 66.6% for the AAA (sf) scenario, 64.7% for the AA (sf) scenario, 59.9% for the BBB (high) (sf) scenario, 59.0% for the BBB (sf) scenario, and 58.0% for the BBB (low) (sf) scenario.

Scenario 1: 25% increase in LGD
Scenario 2: 50% increase in LGD
Scenario 3: 25% increase in PD
Scenario 4: 50% increase in PD
Scenario 5: 25% increase in PD and 25% increase in LGD
Scenario 6: 25% increase in PD and 50% increase in LGD
Scenario 7: 50% increase in PD and 25% increase in LGD
Scenario 8: 50% increase in PD and 50% increase in LGD

Morningstar DBRS concluded that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AAA (sf), AA (high) (sf), AA (high) (sf), AA (sf), AA (sf), AA (sf), AA (sf), and A (high) (sf)
-- Class B Notes: AA (low) (sf), A (sf), AA (low) (sf), A (sf), A (sf), A (low) (sf), A (low) (sf), and BBB (sf)
-- Class C Notes: BBB (low) (sf), BB (high) (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (sf), BB (sf), and B (high) (sf)
-- Class D Notes: BB (high) (sf), BB (low) (sf), BB (high) (sf), BB (sf), BB (sf), B (sf), B (high) (sf), and below B (low) (sf)
-- Class E Notes: BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (sf), BB (sf), BB (low) (sf), B (high) (sf), and B (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Guglielmo Panizza, Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 28 May 2025

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025),
https://dbrs.morningstar.com/research/454196

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.