tagus - stc, s.a. sociedade titularização de créditos...

TAGUS - Sociedade de Titularização de Créditos, S.A.

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TAGUS - STC, S.A.

Sociedade Titularização de Créditos

Annual Report 2017


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Pursuant to the applicable provisions of the Commercial Companies Code, we now submit the Annual

Report, Financial Statements and Annex of Tagus – Sociedade de Titularização de Créditos, SA

(“Company” or “Tagus STC, S.A.”) for the year ending the 31 December 2017 for your assessment.

In accordance with applicable legal provisions, the Company's financial statements for the year ending

31 December 2017 have been prepared in accordance with the International Financial Reporting

Standards (“IFRS”) endorsed by the European Union (“EU”) in effect on this date.

In view of the derecognition rules laid out in IAS 39, the transactions being managed, despite their nature

and characteristics, continue to be included in the Company's Balance Sheet since, in accordance with

Portuguese law, the Company is ultimately responsible for any events related to these transactions, which

impedes their derecognition.

1. Establishment and Corporate Purpose

Tagus STC, S.A. began doing business on 11 November 2004. Its corporate purpose is the exercise of

activities permitted by law to securitization companies through the acquisition, management and transfer

of credit and the issuance of securitized bonds to pay for purchased receivables.

2. Business Activity

On 16 February 2017 the Company made the final redemption of the Operation “ Volta Electricity

Receivables Securitisation Notes”.

On 10 July 2017 the society carried out the operation “ Chaves Funding Nº7 “ and on 11 July 2017

operation “ Aqua Finance Nº4” .

On 6 December 2017 carried out the operation “Volta V Electricity Receivables Securitisation Notes”.

3. Securitization transactions on 31 December 2017

On 31 December 2017, the amounts of debt securities issued by each transaction managed by Tagus

STC, S.A. were as follows:


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4. Equity

In view of the securitization transactions and bonds arising from legislation in force, on 31 December

2017 the Company's share capital of €250,000 (two hundred and fifty thousand euros) was fully paid up.

The shareholder Deutsche Bank Aktiengesellschaft made supplementary capital contributions to the

Company totaling €2,397,040 (two million, three hundred and ninety seven and forty euros) and

subordinated supplementary contributions totaling €10,689,553 (ten million, six hundred and eighty nine

thousand, five hundred and fifty three euros).

The subordinated supplementary contributions have a 10-year term, are subject to early repayment with

authorization from the Portuguese Securities Market Commission, and were made by the sole shareholder

with annual remuneration based on results subject to shareholder distribution and generated in the

reference year of the remuneration, at an interest rate corresponding to the 12-month Euribor plus 3%.

Interest will be paid annually.

These amounts correspond to the Company's equity, which is sufficient to meet the prudential ratios

related to equity pursuant to article forty-three of the Securitization Act and the requirements of CMVM

Regulation no. 12/2002 of 18 July.

5. Main indicators

Regarding the main indicators, the total balance sheet decreased 494 million Euros. It is on the

mortgage credit securitization operations where the decrease is bigger (628 million Euros), because of

the natural redemption of the portfolio. In operations regarding consumer credit, was registered an

increase of 240 million Euros, due to new operations, more specifically Aqua Finance (200 million)

and Chaves Funding (80 million). Finally, a decrease in the amount of receivables operations was

registered even though the new operation Volta V offset the decrease of the other operations.

The decrease of net interest income is the result of the decrease of the volume and evolution of the

operations indexing rate.


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The decrease of operating income (by 6 million Euros) results from the decrease of “Net gains/(losses) arising

from financial assets and liabilities at fair value” (5 million Euros), even though a decrease of the impairment

on the operations was registered. It is important to highlight the significant variations that “Nostrum Mortgage”

registered (a decrease of 8 million Euros) and the positive variation of 2.8 million Euros in “Chaves 7”

operation.

The lower result for the year is due to a decrease in the item “Services and Fees”, as a consequence of

the decrease of the operations under management, the increase in interest rates and the increase of the

expenses due to the actual interest rate environment and the increases in administrative costs due to the

update on the SLA with the DBAG.

The impairment of each of the operations, presents the following evolution 2016/2017

(impairments/total portfolio):

The mortgage credit securitization operations present stable impairment ratios. The consumer credit

securitization operations show an increase in the impairment ratios, especially “Chaves Funding No.7”

and “Pelican Finance No.1”.

6. Prospects for 2018

In 2018, the Company will strengthen its business portfolio in the Portuguese securitization market,

even though the domestic and international backdrop does not anticipate a major recovery in the Sector.

7. Risk management

The integrated management of risk – credit, market, liquidity, operational and other – is one of the

primary support vectors for a strategy of sustained growth and to maintain an appropriate relationship

between the level of capital and the activities undertaken, ensuring a proper assessment of the risk/return

ratio of the different business lines.

An analysis of risks arising from the Company's business pointed to the potential of incurring operational

risk. Operational risk is defined as potential losses resulting from failures or shortcomings in internal

processes, persons or systems, or from outside events.

The Deutsche Bank Group has always ensured that its subsidiaries employ principles and practices to

efficiently manage operational risk, namely by defining and documenting these principles and

implementing corresponding control mechanisms such as the segregation of job duties, lines of

responsibility and respective authorizations, limits to exposure, codes of ethics and conduct, key


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indicators, information technology controls, contingency plans, physical and logical access,

reconciliation activities, exception reports and company training on processes, products and systems.

8. Corporate Governance Practices and Structure

The Company is fully owned by Deutsche Bank Aktiengesellschaft.

The rules for amending the Company's articles of association and for appointing or replacing members

of the Board of Directors are those provided for by law.

The Board of Directors has the powers granted by law and by the Company's articles of association,

including the ability to decide on increasing the Company's share capital on one or more occasions, over

a period of five years and up to a maximum of ten million euros; and, pursuant to applicable legal

limitations, to employ low-risk, high-liquidity financial instruments.

As a subsidiary of Deutsche Bank Aktiengesellschaft, Tagus STC, S.A.'s accounts are consolidated with

the accounts of this institution, meaning that monitoring the Company's developments follows the same

parameters as those of Deutsche Bank Aktiengesellschaft. The provision of financial information to

supervisory authorities, namely information to the Portuguese Securities Market Commission (CMVM)

and the preparation of Tagus STC, S.A.'s financial statements and reporting, follows the same criteria of

security and reliability employed by the Group. The Company's accounts are also subject to compliance

with International Financial Reporting Standards.

Statement on Remuneration Policy of the members of managing and supervisory boards

1. Notwithstanding remuneration received through other Deutsche Bank Group entities, the members

of the Board of Directors are not remunerated during the 2016-2018 term of office.

2. The Company's Audit Committee appointed for the 2016-2018 term receive annual compensation

of €10,000 for the time spent carrying out their assigned duties pursuant to the law and articles of

association.

3. For the 2016-2018 term, PricewaterhouseCoopers & Associados - Sociedade de revisores Oficiais

de Contas , Lda. was appointed as Tagus' statutory auditor, with annual remuneration of €15.000

under the terms of the service provision agreement signed with the Company.

The members of the Company's corporate boards are as follows:

Board of Directors

Chairman Bernardo Luis de Lima Mascarenhas Meyrelles do Souto

Member Jerome David Beadle

Member José Francisco Gonçalves de Arantes e Oliveira

General Meeting of Shareholders

Chairman of the Presiding Board Hugo Moredo Santos

Secretary Tiago Correia Moreira

Audit Committee

Chairman of the Audit Committee Leonardo Bandeira de Melo Mathias

Member Pedro António Barata Noronha de Paiva Couceiro

Member João Alexandre Marques de Castro Moutinho Barbosa

Substitute Member Catarina Isabel Lopes Antunes Ribeiro


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Company Secretary Elisa Maria Seara Lucas Vaz

9. Information required by article 448 (4) of the Commercial Companies Code

Shareholders with at least one-tenth, one third or half of share capital on 31 December 2017:

Deutsche Bank Aktiengesellschaft, holder of 50,000 shares corresponding to 100% of share capital and

voting rights.


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10. Proposal for the Allocation of Profits

In 2017, Tagus STC, S.A. had a gross profit of €678,633, together with €152,692 in taxes payable

pursuant to applicable legislation.

The net profit was thus €525,940, which, in accordance with the law and articles of association, will be

allocated as follows:

Lisbon, 19 March 2018

The Board of Directors

Francisco Oliveira Bernardo Meyrelles do Souto

(Member) (Chairman)


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Balance Sheet as at 31 December, 2017 and 2016

Total Operations Tagus Total

Notes 2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 9 447,169,288 549,724,281 14,606,543 14,979,417 461,775,830 564,703,698

Balances due from other Credit Institutions 10 28,412,205 31,822,733 - - 28,412,205 31,822,733

Loans and advances to customers 11 9,116,501,795 9,495,880,547 - - 9,116,501,795 9,495,880,547

Intangible assets 12 - - - - - -

Other assets 13 3,845,680 12,199,835 116,207 126,201 3,961,888 12,326,036

Total Assets 9,595,928,968 10,089,627,395 14,722,750 15,105,618 9,610,651,718 10,104,733,013

Liabilities

Financial liabilities held for trading 14 48,408,316 61,834,952 - - 48,408,316 61,834,952

Debt securities issued 15 9,515,666,756 9,992,599,081 - - 9,515,666,756 9,992,599,081

Other financial liabilities 16 - - 10,935,334 11,215,007 10,935,334 11,215,007

Other liabilities 17 31,853,896 35,193,362 309,178 318,313 32,163,074 35,511,676

Total Liabilities 9,595,928,969 10,089,627,395 11,244,512 11,533,320 9,607,173,481 10,101,160,716

Equity

Share Capital 18 - - 250,000 250,000 250,000 250,000

Other equity instruments 18 - - 2,397,040 2,397,040 2,397,040 2,397,040

Reserves and retained earnings 19 - - 305,257 227,043 305,257 227,043

Net income for the period - 525,940 698,214 525,940 698,214

Total Equity - - 3,478,238 3,572,298 3,478,238 3,572,298

Total Equity and Liabilities 9,595,928,969 10,089,627,395 14,722,750 15,105,618 9,610,651,718 10,104,733,013

The financial statement’s notes are part of the above mentioned financial statements.


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Income Statement

as at 31 December, 2017 and 2016

Total operations Tagus Total

Notas 2017 2016 2017 2016 2017 2016

Interest and similar income 2 185,638,320 192,668,500 - - 185,638,320 192,668,500

Interest expense and similar charges 2 (163,942,886) (167,543,852) (337,553) (305,986) (164,280,439) (167,849,837)

Net interest income 2 21,695,434 25,124,648 (337,553) (305,986) 21,357,881 24,818,662

Results from services and fees 3 - - 1,298,972 1,385,678 1,298,972 1,385,678

Net gains/ (losses) arising from financial assets and liabilities at fair

value through profit or loss4 14,305,238 19,391,378 - - 14,305,238 19,391,378

Staff costs 5 - - (12,030) (10,827) (12,030) (10,827)

General and administrative costs 6 (13,057,828) (12,634,820) (270,757) (170,754) (13,328,585) (12,805,573)

Impairment losses on loans, net of reversals and recoveries 7 (22,942,844) (31,881,206) - - (22,942,844) (31,881,206)

Income before income tax - - 678,633 898,112 678,633 898,112

Income tax 8 - - (152,692) (199,897) (152,692) (199,897)

Net income for the period - - 525,940 698,214 525,940 698,214

The financial statement’s notes are part of the above-mentioned financial statements.


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2017 2016 2017 2016 2017 2016

Operating activities

Other receivables / (payments) associated with the operating activities (12,962,660) (12,273,178) 864,351 1,147,078 (12,098,308) (11,126,100)

Cash flows arising from operating activities (12,962,660) (12,273,178) 864,351 1,147,078 (12,098,308) (11,126,100)

Investing activities

Receivables:

Client loans 1,474,526,829 1,037,447,268 - - 1,474,526,829 1,037,447,268

Interest income 235,350,218 265,158,620 - - 235,350,218 265,158,620

Payments

Loan portfolio acquisition (1,125,216,351) (610,958,845) - - (1,125,216,351) (610,958,845)

Financial Investments - - - - - -

Cash flows arising from investing activities 584,660,696 691,647,044 - - 584,660,696 691,647,044

Financing activities

Receivables:

Debt securities issued 882,221,158 604,016,000 - - 882,221,158 604,016,000

Payments

Debt securities issued (1,367,099,631) (1,069,639,783) - - (1,367,099,631) (1,069,639,783)

Interest expense (189,374,557) (198,097,810) (617,226) (39,504) (189,991,783) (198,137,313)

Other equity instruments - - (620,000) (450,000) (620,000) (450,000)

Cash flows arising from financing activities (674,253,030) (663,721,593) (1,237,226) (489,504) (675,490,256) (664,211,096)

Net changes in cash and cash equivalents (102,554,993) 15,652,273 (372,874) 657,575 (102,927,867) 16,309,847

Cash and Cash equivalents balance at the beggining of the year 549,724,281 534,072,008 14,979,417 14,321,842 564,703,697 548,393,850

Cash and Cash equivalents balance at the end of the year 447,169,288 549,724,281 14,606,543 14,979,417 461,775,830 564,703,697

Deposits at other Credit Institutions 447,169,288 549,724,281 14,606,543 14,979,417 461,775,830 564,703,698

Cash Flow Statement

for the year ended 31 December, 2017 and 2016

Total Operations Tagus Total



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Statement of Changes in Equity

for the year ended 31 December, 2017 and 2016

Other

Total Share Equity Legal Retained Net income

Notes Equity Capital instruments Reserve Earnings fo the year

Balance on 31 December 2015 18 / 19 3,324,083 250,000 2,397,040 148,018 20,677 508,348

Legal Reserve - - - 50,835 - (50,835)

Retained earnings - - - - 7,513 (7,513)

Dividends (450,000) - - - - (450,000)

Net income for the year 698,214 - - - - 698,214


Legal Reserve - - - 69,821 - (69,821)

Retained earnings - - - - 8,393 (8,393)

Dividends (620,000) - - - - (620,000)

Net income for the period 525,940 - - - - 525,940




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Statement of Comprehensive Income

for the years ended 31 December, 2017 and 2016

2017 2016

Other comprehensive income for the year - -

Net income for the year 525,940 698,214

Total comprehensive income for the year 525,940 698,214



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Table of contents

1 Accounting policies ............................................................................................................................. 19

1.1 Basis of preparation ................................................................................................................... 19

1.2. Derecognition .............................................................................................................................. 20

1.3. Loans and advances to customers ................................................................................................ 20

1.4. Financial instruments ................................................................................................................... 21

1.5. Reclassification between financial instrument categories............................................................ 22

1.6. Equity instruments ....................................................................................................................... 23

1.7. Recognition of interest ................................................................................................................. 23

1.8. Recognition of income from services and fees ............................................................................ 23

1.9. Net gains/ (losses) arising from financial assets and liabilities at fair value ................................ 23

1.10. Intangible Assets........................................................................................................................ 24

1.11. Cash and cash equivalents ......................................................................................................... 24

1.12. Offsetting ................................................................................................................................... 24

1.13. Taxes on profits ......................................................................................................................... 24

1.14. Reporting by segments .............................................................................................................. 24

1.15. Provisions .................................................................................................................................. 25

1.16. Accounting estimates in the use of accounting policies ............................................................ 25

1.17. New standards............................................................................................................................ 26

2 Net interest income ......................................................................................................................... 29

3 Results from services and fees ........................................................................................................ 30

4 Net gains/ (losses) arising from financial assets and liabilities at fair value through profit or loss 30

5 Staff cost .............................................................................................................................................. 31

6 General and administrative costs ......................................................................................................... 31

7 Impairment losses on loans, net of reversals and recoveries ............................................................... 32

8 Income tax ........................................................................................................................................... 32

9 Deposits at other Credit Institutions .................................................................................................... 33

10 Balances due from other Credit institutions ...................................................................................... 33

11 Loans and advances to customers ...................................................................................................... 33

12 Intangible Assets ............................................................................................................................... 34

13 Other Assets....................................................................................................................................... 35

14 Financial liabilities held for trading ................................................................................................... 35

15 Debt Securities Issued ....................................................................................................................... 36

16 Other financial liabilities ................................................................................................................... 36

17 Other liabilities .................................................................................................................................. 37

18 Share capital and other equity instruments ........................................................................................ 37

19 Reserves and retained earnings .......................................................................................................... 40

20 Off-balance sheet elements ................................................................................................................ 40


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21 Fair value ........................................................................................................................................... 40

22 Related parties ................................................................................................................................... 41

23 Risk Management .............................................................................................................................. 42

24 Subsequent Events ............................................................................................................................. 47

25 Detailed analysis of transactions ....................................................................................................... 47

1. Aqua Finance No.4 ......................................................................................................................... 63

1.1 Net interest income ................................................................................................................... 67

1.2 Net gains/ (losses) arising from financial assets and liabilities at fair value through profit or

loss .................................................................................................................................................. 67

1.3 General and administrative costs .............................................................................................. 68

1.4 Impairment losses on loans, net of reversals and recoveries .................................................... 68

1.5 Deposits at other Credit Institutions ......................................................................................... 68

1.6 Loans and advances to customers ............................................................................................. 68

1.7 Other assets ............................................................................................................................... 69

1.8 Debt securities issued ............................................................................................................... 69

1.9 Other liabilities ......................................................................................................................... 70

2 Aqua Mortgage No. 1 ...................................................................................................................... 70


2.2 Net gains/ (losses) arising from financial assets and liabilities at fair value through profit and

loss .................................................................................................................................................. 75





2.7 Other assets ............................................................................................................................... 77



2.10 Off-balance sheet accounts ..................................................................................................... 78

3 Aqua NPL No. 1 .............................................................................................................................. 79







4 BBVA Portugal RMBS no.1............................................................................................................ 85



loss: ................................................................................................................................................. 89


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4.9 Off-balance sheet accounts ....................................................................................................... 92

5 Castilho Mortgages No.1 ................................................................................................................. 92



loss: ................................................................................................................................................. 97





5.7 Other assets ............................................................................................................................... 99


5.9 Other liabilities ....................................................................................................................... 100

5.10 Off-balance sheet accounts ................................................................................................... 100

6 Chaves Funding No. 7 ................................................................................................................... 100

6.1 Net interest income ................................................................................................................. 105


loss: ............................................................................................................................................... 105

6.3 General and administrative costs ............................................................................................ 106

6.4 Impairment losses on loans, net of reversals and recoveries .................................................. 106

6.5 Deposits at other Credit Institutions ....................................................................................... 106

6.6 Loans and advances to customers ........................................................................................... 106

6.7 Other assets ............................................................................................................................. 107

6.8 Financial Assets held for trade ............................................................................................... 107

6.9 Debt securities issued ............................................................................................................. 108

6.10 Other liabilities ..................................................................................................................... 108


7 Lusitano Finance No. 3 .................................................................................................................. 108



loss: ............................................................................................................................................... 113





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7.7 Other assets ............................................................................................................................. 115




8 Pelican Finance No. 1 .................................................................................................................... 116



loss: ............................................................................................................................................... 121





8.7 Other assets ............................................................................................................................. 123



9 Nostrum Mortgages No. 2 ............................................................................................................. 125



loss: ............................................................................................................................................... 129




9.6 Investments at other credit institutions ................................................................................... 130


9.8 Financial Liabilities held for trading ...................................................................................... 131




10 Silk Finance No. 4 ....................................................................................................................... 133

10.1 Net interest income ............................................................................................................... 137


loss: ............................................................................................................................................... 137

10.3 General and administrative costs .......................................................................................... 138

10.4 Impairment losses on loans, net of reversals and recoveries ................................................ 138

10.5 Deposits at other Credit Institutions ..................................................................................... 138

10.6 Loans and advances to customers ......................................................................................... 138

10.7 Other assets ........................................................................................................................... 139

10.8 Debt securities issued ........................................................................................................... 139


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10.10 Off-balance sheet accounts ................................................................................................. 140

11 CMEC Volta Electricity Receivables Notes ................................................................................ 140







12 EnergyOn No. 1 Securitisation Notes .......................................................................................... 147


12.2 Net gains/ (losses) arising from financial assets and liabilities at fair value ......................... 151




12.6 Other assets ........................................................................................................................... 153

12.7 Financial assets held for trade ............................................................................................... 153




13 EnergyOn No. 2 Securitisation Notes .......................................................................................... 154


13.2 Net gains/ (losses) arising from financial assets and liabilities at fair value ......................... 159




13.6 Other assets ........................................................................................................................... 160

13.7 Financial assets held for trade ............................................................................................... 160




14 Volta Electricity Receivables Notes ............................................................................................ 162





14.5 Other assets ........................................................................................................................... 167



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15 Volta II Electricity Receivables Securitisation Notes .................................................................. 168







16 Volta III Electricity Receivables Notes ....................................................................................... 174







17 Volta IV Electricity Receivables Securitisation Notes ................................................................ 180


17.2 General and administrative costs: ......................................................................................... 184

17.3 Deposits at other Credit Institutions: .................................................................................... 184




18 Volta V Electricity Receivables Securitisation Notes.................................................................. 186


18.2 General and administrative costs: ......................................................................................... 190

18.3 Deposits at other Credit Institutions: .................................................................................... 190





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Notes to the Financial Statements

31 December 2017 and 2016

1 Accounting policies 1.1 Basis of preparation

Tagus – Sociedade de Titularização de Créditos, S.A. ("Company") was established on 11 November

2004 under Decree Law no. 453/99 of 05 November, as revised by Decree Law no. 82/2002 of 05

April and by Decree Law no. 303/2003 of 05 December and amended by Decree Law no. 52/2006

of 15 March, which govern securitization companies.

The purpose of the Company is the exercise of activities permitted by law to securitization

companies, namely carrying out securitization transactions through the acquisition, management and

transfer of credit and the issuance of securitized bonds to pay for purchased receivables.

The Company's share capital is €250,000, fully subscribed and paid up in cash by its sole shareholder

Deutsche Bank Aktiengesellschaft, and represented by 50,000 book entry shares with a nominal

value of €5 each.

Under the provisions of Regulation (EC) No 1606/2002 of the European Parliament and of the

Council of 19 July 2002, transcribed into Portuguese legislation through Decree Law no. 35/2005 of

17 February and CMVM Regulation no. 11/2005, the Company's financial statements must be

prepared in accordance with International Financial Reporting Standards ("IFRS") as endorsed by

the European Union ("EU") through 31 December 2017. The IFRS include standards issued by the

International Accounting Standards Board ("IASB"), as well as interpretations issued by the

International Financial Reporting Interpretations Committee ("IFRIC") and their respective

predecessor boards. The financial statements presented here were approved by the Board of

Directors on the 19th of March 2018. The financial statements are presented in euros.

In accordance with applicable legal provisions, the Company's financial statements for the years

ending 31 December 2017 and 31 December 2016 have been prepared in accordance with the IFRS

approved by the EU and in effect on these dates.

The financial statements have been prepared on a historical cost basis, modified by the use of fair

value for financial derivatives, except those for which it is not available. Other financial and non-

financial assets and liabilities are recorded at amortized or historical cost.

The preparation of the annual financial statements in accordance with IFRS requires that the Board

of Directors formulate judgements, estimates and assumptions that affect the application of

accounting policies and the value of assets, liabilities, income and costs. The estimates and

associated assumptions are based on historical experience and other factors considered reasonable

under the circumstances, and form the basis for the judgements on the values of assets and liabilities

whose valuation is not obvious from other sources. Actual results may differ from estimates. The

issues that require a higher degree of judgement or complexity, or for which the assumptions and

estimates are considered significant, are presented in Note 1.16.


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1.2. Derecognition

The Company derecognizes financial assets at the moment of expiry of all rights to future cash flows or

to assets which have been transferred. Within the scope of transferring assets, derecognition cannot occur

until all of the assets' risks and benefits have been substantially transferred, or the Company has no

control over them. The Company derecognizes financial liabilities when they are cancelled or terminated.

The Company's business is governed by Decree Law no. 453/99, which clearly sets the requirement of

autonomous assets for each transaction, which account exclusively for their corresponding liabilities.

The Company's assets may not be allocated to any of the transactions.

Bearing in mind the derecognition rules under IAS 39, paragraphs 16 through 23 and paragraph 36 of

this same standard's Application Guidance, and despite the nature and characteristics of the transactions

under management and transfer of the majority of risks and benefits, the transactions are recognized in

the Balance Sheet and Income Statement, but duly separated and presented as such, since the Company

is ultimately responsible for any events related to these transactions which impede their derecognition

under Portuguese law.

1.3. Loans and advances to customers

The item "Loans and advances to customers" includes assets acquired under securitization transactions

for which there is no intent of a short-term sale. Such assets are recorded on their acquisition date from

the originators.

Loans and advances to customers are initially recognized at fair value plus transaction costs, and are

subsequently valued at amortized cost based on the effective interest rate method and presented on the

balance sheet minus impairment losses.

Impairment The Company's policy is to regularly assess objective evidence of asset impairment in its transactions.

Identified impairment losses are recorded in Profit and Loss by consideration under the item "Impairment

losses on loans, net of reversals and recoveries" and subsequently reversed through if there is a reduction

in the estimated impairment loss in a subsequent period.

After the initial recognition, an asset or group of assets (defined as a collection of assets with similar risk

characteristics) may be classified as a portfolio with impairment when there is objective evidence of

impairment from one or more events impacting the asset's or group of assets' estimated future cash flows,

which may be reliably estimated.

Whenever information exists from the transactions' originators, the impairment is calculated based on

the rates of impairment provided by them, in accordance with IAS 39 requirements, for the securitized

credit portfolios and/or credit portfolios with characteristics similar to securitized credit.

According to IAS 39, there are two methods for calculating impairment losses: (i) individual analysis;

and (ii) collective analysis.

(i) Individual analysis

The existence of impairment losses in individual terms is assessed by analysing the assets' total exposure

per transaction.

Impairment losses are calculated by comparing the present value of expected future cash flows

discounted of the original effective interest rate of each contract and the asset's carrying value, with losses

recorded against results. The impaired assets' carrying value is shown on the balance sheet net of

impairment losses. For assets with a variable interest rate, the discount rate used is the annual effective

interest rate applicable in the period in which the impairment was found.


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The present value of the expected future cash flows of an asset with real guarantees is calculated by the

cash flows that could result from the recovery and sale of the collateral, minus the costs associated with

its recovery and sale.

Assets without objective evidence of impairment are grouped into portfolios with similar characteristics

of credit risk, which are assessed collectively.

(ii) Collective analysis

Impairment losses based on a collective analysis may be calculated from two perspectives:

- for homogeneous groups of assets not considered individually significant; or

- in relation to losses incurred but not reported ("IBNR") in assets subject to individual impairment

analysis (see paragraph (i) above).

Impairment losses in collective terms are determined taking the following aspects into account:

- historical experience of losses in similar risk portfolios;

- understanding of economic setting and its influence on the degree of historical losses; and

- estimated time period between the loss' occurrence and identification.

Assets analysed individually for which no objective evidence of impairment has been found are grouped

based on similar risk characteristics to determine impairment losses in collective terms.

1.4. Financial instruments

Financial assets and liabilities are recognized on the Company's balance sheet on the date of payment or

receipt, unless an express contractual stipulation or applicable legal or regulatory scheme dictates that

the rights and obligations associated with the transaction amounts must be transferred on a different date,

in which case this date shall prevail.

In addition to the category “Loans and advances to customers and other accounts receivable” and

“Instruments held to maturity”, financial assets and liabilities are subsequently classified into one of four

categories under IAS 39:

- Financial assets and liabilities held for trading;

- Financial assets and liabilities at fair value through profit or loss;

- Financial assets available for sale; and

- Other financial liabilities.

a) Financial assets and liabilities held for trading and other financial assets and liabilities at fair

value through profit or loss

Financial assets held for trading include variable and fixed-income securities transacted in active markets

and acquired for the purpose of short-term sale. Trading derivatives with a net amount receivable

(positive fair value), as well as options purchased, are included in the item "Financial assets held for

trading". Trading derivatives with a net amount payable (negative fair value), as well as options sold, are

included in the item "Financial liabilities held for trading".

Financial assets and liabilities held for trading and financial assets and liabilities at fair value through

profit or loss are initially recognized at fair value. Gains and losses from subsequent valuation at fair

value are recognized in the profit and loss statement.

Interest associated with financial trading derivatives are recorded in the item “Net gains/ (losses) arising

from financial assets and liabilities at fair value”.


22

The fair value of financial assets and liabilities held for trading and transacted in active markets is the

bid price, or closing price on the balance sheet date. If a market price is not available, the instrument's

fair value is estimated based on valuation techniques including price assessment models and discounted

cash flow techniques.

When discounted cash flow techniques are used, future financial flows are estimated in accordance with

management's expectations using the market rate for similar financial instruments as the discount rate.

In price assessment models, the data used corresponds to information on market prices.

(B) Other financial liabilities

Other financial liabilities are all financial liabilities not recorded in the category of financial liabilities at

fair value through profit or loss. This category includes debt securities issued and loans.

Debt security interest is recognized based on the financial liability's effective interest rate.

In situations where there is an associated discount or premium, the discount or premium is included in

calculating the effective interest rate.

Debt securities allocated to transactions also reflect the difference between the carrying value of the

assets and liabilities allocated to the transaction, insofar as any surplus generated by the assets will be

paid to the holder of the issued securities, while any shortcoming will be assumed by the holder on the

transaction cancellation date.

1.5. Reclassification between financial instrument categories

Financial assets recognized in the category of "Financial assets available for sale" may be transferred to

the categories of "Loans and advances to customers - securitized credit" and "Financial assets held to

maturity". Financial assets at fair value through profit or loss - trading may be transferred to financial

asset portfolios available for sale, "Loans and Receivables" or to financial assets held to maturity,

provided that these financial assets match the characteristics of each category.

Transfers to and from financial assets and liabilities at fair value option are prohibited.

The Company did not carry out any reclassifications.


23

1.6. Equity instruments

A financial instrument is classified as an equity instrument when there is no contractual obligation to

settle it through the delivery of cash or other financial asset to third parties, regardless of its legal form,

demonstrating a residual interest in an entity's assets after subtracting all of its liabilities.

Transaction costs directly attributable to the issuance of equity instruments are recorded against equity

as a reduction to the issuance amount. Amounts paid and received for the purchase and sale of equity

instruments are recorded in equity, net of transaction costs.

Distributions made from equity instruments are subtracted from equity as dividends, when declared.

Supplementary capital contributions are classified as capital when the repayment occurs only by decision

of the Company, and dividends are paid by the Company on a discretionary basis; otherwise, they are

classified as financial liabilities.

1.7. Recognition of interest

Results related to interest from financial instruments measured at amortized cost and financial assets and

liabilities recognized at fair value through profit or loss are recognized under the items "Interest and

similar income" or "Interest and similar expenses" using the effective interest rate method.

The effective interest rate is the rate which discounts the estimated future payments or receipts over the

financial instrument's expected lifetime (or for a shorter time period, when appropriate) for the present

net balance sheet value of the financial asset or liability.

To determine the effective interest rate, future cash flows are estimated considering all of the financial

instrument's contractual terms (e.g. early payment options), but not including potential impairment

losses. The calculation includes fees paid or received comprising an integral part of the effective interest

rate, transaction costs and all discounts or premiums directly related to the transaction.

In the case of financial assets or groups of similar financial assets for which impairment losses have been

recognized, the interest recorded in the results is determined based on the interest rate used to subtract

future cash flows in measuring the impairment loss.

For financial derivatives, except for those classified as interest rate risk hedging instruments from an

accounting standpoint, the accrued interest component is not disassociated from changes in its fair value,

and is classified under Net gains/ (losses) arising from financial assets and liabilities at fair value.

1.8. Recognition of income from services and fees

Income from services and fees is recognized according to the following criteria:

when obtained as the services are being provided, they are recognized in the results in their

corresponding period;

when resulting from the provision of services, they are recognized when the service in question

is complete.

When part of a financial instrument's effective interest rate, income from services and fees is recorded

using the effective interest rate method under Net interest income.

1.9. Net gains/ (losses) arising from financial assets and liabilities at fair value

Net gains/ (losses) arising from financial assets and liabilities at fair value record gains and losses,

changes in fair value and accrued interest from derivatives.


24

1.10. Intangible Assets

Software

Costs incurred for the acquisition of software are capitalized, as well as additional expenses incurred by

the Company for its deployment. These costs are amortized using the straight-line method over these

assets' expected lifetime (3 years) sees.

The costs of maintaining computer programs are recognized as expenses when they are incurred.

Research and development expenses

The Company did not incur any expenses from research and development.

1.11. Cash and cash equivalents

For the purposes of the cash flow statement, cash and cash equivalents include amounts recorded on the

balance sheet with a maturity of less than three months from the balance sheet date, including cash on

hand at credit institutions.

1.12. Offsetting

Financial assets and liabilities are offset, with their net value recorded in the balance sheet, when the

Company is legally entitled to offset the amounts recognized and the transactions may be settled at their

net value.

1.13. Taxes on profits

Taxes on profits recorded in the results include the effects of current taxes and deferred taxes. The tax is

recognised in the profit and loss statement, except when it relates to items that are moved around in

equity, which implies its recognition in equity.

Current taxes correspond to the expected amount payable for taxable income in the period, using the tax

rate in force or substantially approved by the authorities on the balance sheet date, together with any

adjustments to taxes from previous periods.

Deferred taxes are calculated according to the liability method, based on the balance sheet, against

temporary differences between the carrying values of assets and liabilities and their tax base, using tax

rates approved or substantially approved on the balance sheet date in each jurisdiction, and which are

expected to apply when the temporary differences are reversed.

Deferred tax assets are recognized when future taxable profits will likely absorb deductible temporary

differences for tax purposes (including reportable tax losses).

Pursuant to IAS 12, paragraph 74, the Company offsets deferred tax assets and liabilities whenever: (i)

it is legally entitled to offset current tax assets and current tax liabilities; and (ii) the deferred tax assets

and liabilities are related to income tax posted by the same tax authority against the same taxable entity

or different taxable entities intending to settle current tax assets and liabilities on a net basis, or realize

the assets and settle the liabilities simultaneously, in each future period in which the deferred tax assets

and liabilities are expected to be settled or recovered.

1.14. Reporting by segments

A business segment is an identifiable component of the Company aimed at providing an individual

product or service or group of related products or services, and which is subject to risks and benefits

which differ from other business segments.


25

Each of the transactions, separated for accounting purposes with clearly differentiated risks and benefits,

together with the component of the Company not directly affecting any of the transactions, are identified

as distinct segments of the Company. 31 December 2017, these segments were as follows:

- Tagus – Sociedade de Titularização de Créditos, S.A.;

- Aqua Finance No. 4

- Aqua Mortgage No. 1;

- Aqua NPL No. 1;

- BBVA Portugal RMBS No. 1;

- Castilho Mortgages No 1;

- Chaves Funding No. 7;

- Lusitano Finance No. 3;

- Pelican Finance No. 1;

- Nostrum Mortgages No. 2;

- Silk Finance No. 4;

- CMEC Volta Electricity Receivables Notes;

- EnergyOn No. 1 Securitisation Notes;

- EnergyOn No. 2 Securitisation Notes;

- Volta Electricity Receivables Securitisation Notes;

- Volta II Electricity Receivables Securitisation Notes;

- Volta III Electricity Receivables Notes;

- Volta IV Electricity Receivables Securitisation Notes;

- Volta V Electricity Receivables Securitisation Notes;

The detail of each transaction is shown in note 25.

1.15. Provisions

Provisions are recognized when (i) the Company has a present obligation (legal or arising from past

practices or published policies entailing the recognition of certain responsibilities), (ii) it is likely that

their payment will be demanded, and (iii) when the value of the obligation can be reliably estimated.

Provisions are revised at the end of each reporting date and adjusted to reflect the best estimate, then

reversed from results proportionally for payments which are not likely.

Provisions are derecognized through their use or reversal for the obligations for which they were initially

established.

1.16. Accounting estimates in the use of accounting policies

The IFRS have established a collection of accounting procedures requiring that the Board of Directors

make judgements and estimates as needed to decide on the most appropriate accounting method. The

main accounting estimates and judgements employed in applying the Company's accounting principles

are analysed as follows, in order to provide a better understanding of how they affect the results reported

by the Company and their disclosure.

Whereas in some situations accounting standards allow for an alternative accounting procedure vis-à-vis

that used by the Board of Directors, the results reported by the Company could differ if a different method

was chosen. The Board of Directors believes that the criteria employed are appropriate, and that the

financial statements provide a true and fair view of the Balance Sheet of the Company and its transactions

in all materially relevant aspects.

The results of alternatives subsequently analysed are shown merely to assist the reader in understanding

the financial statements, and are not intended to suggest that other alternatives or estimates are more

appropriate.


26

Impairment losses on Loans and advances to customers

The Company determines impairment losses based on rates and information furnished by the originators

and/or servicers of the assets related to the securitized portfolios and portfolios with similar

characteristics, together with market information, as described in accounting policy 1.3.

The process of assessing the asset portfolio to determine whether an impairment loss must be recognized

is subject to a number of different estimates and judgements. This process includes factors such as the

probability of default, risk ratings, the amount of collateral associated with each transaction, recovery

rates and estimates of both future cash flows and their time of receipt.

Alternative methodologies and the use of other assumptions and estimates could result in different levels

of impairment losses recognized.

Fair value of financial derivatives

Fair value is based on market prices, when available; otherwise, it is determined using prices from recent

similar transactions performed under market conditions, or based on assessment methodologies which

use future discounted cash flow techniques which consider market conditions, the effect of time, the yield

curve and volatility factors. These methodologies may require the use of assumptions or judgements in

estimating fair value.

Consequently, the use of different methodologies, assumptions or judgements in applying a given model

could produce financial results differing from those reported.

Taxes on profits

Certain interpretations and estimates had to be made to determine the total amount of taxes on profits.

There are various transactions and calculations for which determining taxes payable is uncertain during

the normal business cycle.

Other interpretations and estimates could result in a different level of taxes on profits recognized in the

year, both current and deferred.

The tax authorities have the power to review the taxable amount calculated by the Company for four

years, or six years in the case of reportable tax losses.

As such, there may be corrections to the taxable amount, primarily resulting from differences in

interpreting tax legislation. However, the Company's Board of Directors is confident that there will be

no major corrections to the taxes on profits recorded in the financial statements.

1.17. New standards

In 2017, the Company adopted the following changes to standards becoming effective on 01 January

2017:

a) IAS 7 (amendment), ‘Cashflow statement – Disclosure initiative’ (effective for annual periods

beginning on or after 1 January 2017). This amendment introduces an additional disclosure about

the changes in liabilities arising from financing activities, disaggregated between cash changes and

non-cash changes and how it reconciles with the reported cash flows from financing activities, in

the Cash Flow Statement.

b) IAS 12 (amendment),’Income taxes – Recognition of deferred tax assets for unrealized losses’

(effective for annual periods beginning on or after 1 January 2017). This amendment clarifies how

to account for deferred tax assets related to assets measured at fair value, how to estimate future


27

taxable profits when temporary deductible differences exist and how to assess recoverability of

deferred tax assets when restrictions exist in the tax law.

The adoption of the above-mentioned rules did not reproduce any negative impact on the financial

statements.

The following standards (new and amendments) have been published and are mandatory for the

accounting periods beginning on or after 1 January 2018, endorsed by the EU:

a) IFRS 9 (new), ‘Financial instruments’ (effective for annual periods beginning on or after 1 January 2018). IFRS 9 replaces the guidance in IAS 39, regarding: (i) the classification and measurement of financial assets and liabilities; (ii) the recognition of Impairment losses on loans, net of reversals and recoveries (through the expected credit losses model); and (iii) the hedge accounting requirements and recognition.

Classification and measurement:

Taking into account financial assets and liabilities in the Company's Balance Sheet as of 31 December,

2017, no impact is expected on the classification and measurement of these financial instruments arising

from the adoption of IFRS 9.

Impairment

Under IFRS 9, impairment losses should be recognized on the basis of expected credit losses (ECL)

instead of the recognition of losses incurred, as provided for in IAS 39, and applies to financial assets

classified as amortized cost, of debt measured to FVOCI, loan agreements and certain financial guarantee

contracts, contractual assets covered by IFRS 15 and lease receivables.

The Company will apply the new rules retrospectively as from January 1, 2018, in accordance with the

adoption rules set forth in IFRS 9, so that the comparative balances for 2017 will not be restated. The

new standard also introduces new disclosure requirements, which will be presented in the 2018 financial

statements.

As of January 1, 2018, the new requirements of IFRS 9 in terms of hedge accounting are not applicable

to the Company.

During the year 2018, the Company will continue to develop the model for calculating impairment losses

in accordance with IFRS 9, together with the servicers / originators of the securitization operations. ee

impact of the initial adoption of IFRS 9, as of January 1, 2018 in the Company's financial statements.

However, it should be noted that this initial impact will have an impact on the estimate of losses that will

be borne by the holders of the bonds issued by the securitization operations, in the light of the rules set

out in the respective issue prospectus.

a) IFRS 15 (new), ‘Revenue from contracts with customers’ (effective for annual periods beginning on

or after 1 January 2018). This new standard, applies only to contracts with customers to provide goods

or services, and requires an entity to recognise revenue when the contractual obligation to deliver the

goods or services is satisfied and by the amount that reflects the consideration the entity is expected to

be entitled to, following a five step approach.

b) IFRS 16 (new), ‘Leases’ (effective for annual periods beginning on or after 1 January 2019). Thi s

new standard replaces the IAS 17 with a significant impact on the accounting by lessees that are now

required to recognise a lease liability reflecting future lease payments and a “right-of-use asset” for all

lease contracts, except for certain short-term leases and for low-value assets. The definition of a lease

contract also changed, being based on the “right to control the use of an identified asset”.


28

c) IFRS 4 (amendment), ‘Insurance contracts (Applying IFRS 4 with IFRS 9)’ transactions’ (effective

for annual periods beginning on or after 1 January 2018). This amendment allows companies that issue

insurance contracts the option to recognise in Other Comprehensive Income, rather than Profit or Loss

the volatility that could rise when IFRS 9 is applied before the new insurance contract standard is issued.

Additionally, it is given an optional temporary exemption from applying IFRS 9 until 2021, to the

companies, whose activities are predominantly connected with insurance, not being applicable at

consolidated level.

e) Amendments to IFRS 15 ‘Revenue from contracts with customers’ (effective for annual periods

beginning on or after 1 January 2018). These amendments refer to additional guidance for determining

the performance obligations in a contract, the timing of revenue recognition from a license of

intellectual property, the review of the indicators for principal versus agent classification, and to new

practical expedients to simplify transition.

The Company did not adopt these standards in advance and there are no significant impacts resulting

from the adoption of the abovementioned standards, except for IFRS 9, for which the Company does not

yet have the information to estimate this impact.

Standards (new and amendments) and interpretations that have been published and are mandatory for the

accounting periods beginning on or after 1 January 2017, but are not yet endorsed by the EU:

Annual Improvements 2014 - 2016, (generally effective for annual periods beginning on or after 1

January 2017). The 2014-2016 annual improvements impacts: IFRS 1, IFRS 12 and IAS 28.

a) IAS 40 (amendment), ‘Transfers of Investment property’ (effective for annual periods beginning on

or after 1 January 2018). This amendment is still subject to endorsement by the European Union.

This amendment clarifies when assets are transferred to, or from investment properties, the evidence

of the change in use is required. A change of management intention in isolation is not enough to

support a transfer.

b) IFRS 2 (amendment), ‘Classification and measurement of share-based payment transactions’

(effective for annual periods beginning on or after 1 January 2018). This amendment is still subject

to endorsement by the European Union. This amendment clarifies the measurement basis for cash-

settled, share-based payments and the accounting for modifications to a share-based payment plan

that change the classification an award from cash-settled to equity-settled. It also introduces an

exception to the principles in IFRS 2 that will require an award to be treated as if it was wholly

equity-settled, where an employer is obliged to withhold an amount for the employee’s tax obligation

associated with a share-based payment and pay that amount to the tax authority.

c) IFRS 9 (amendment), ‘Prepayment features with negative compensation’ (effective for annual

periods beginning on or after 1 January 2019). This amendment is still subject to endorsement by

the European Union. The amendment introduces the possibility to classify certain financial assets

with negative compensation features at amortized cost, provided that specific conditions are fulfilled,

instead of being classified at fair value through profit or loss.

d) IAS 28 (amendment), ‘Long-term interests in Associates and Joint Ventures’ (effective for annual

periods beginning on or after 1 January 2019). This amendment is still subject to endorsement by

the European Union. The amendment clarifies that long-term investments in associates and joint

ventures (components of an entity’s investments in associates and joint ventures), that are not being

measured through the equity method, are to be measured in accordance with IFRS 9, being subject

to impairment expected credit loss model, prior to any impairment test of the investment as a whole.


29

Annual Improvements 2015 - 2017, (generally effective for annual periods beginning on or after 1

January 2019). These improvements are still subject to endorsement by the European Union. The

2015-2017 annual improvements impact: IAS 23, IAS 12, IFRS 3 and IFRS 11.

a) IFRS 17 (new), ‘Insurance contracts’ (effective for annual periods beginning on or after 1

January 2021). This standard is still subject to endorsement by European Union. This new

standard replaces IFRS 4 and applies to all entities issuing insurance contracts, reinsurance

contracts and investment contracts with discretionary participation characteristics. IFRS 17 is

based on the current measurement of technical liabilities at each reporting date. The current

measurement can be based on a complete "building block approach" or "premium allocation

approach". The recognition of the technical margin is different depending on whether it is

positive or negative. IFRS 17 is of retrospective application.

Interpretations

b) IFRIC 22 (new), "Transactions in foreign currency and early consideration" (applicable to years

beginning on or after 01 January 2018). This interpretation is still undergoing the European

Union endorsement process. This is an interpretation of IAS 21 "Effects changes in foreign

exchange rates", and refers to the determination of the "transaction date" when an entity pays or

receives advance consideration for contracts denominated in foreign currency. The “transaction

date” determines the exchange rate to be used to convert transactions in foreign currency.

c) IFRIC 23 (new), ‘Uncertainty over income tax treatment’ (effective for annual periods

beginning on or after 1 January 2019). This interpretation is still subject to endorsement by

European Union. This is an interpretation of IAS 12 - 'Income tax', referring to the measurement

and recognition requirements to be applied when there is uncertainty as to the acceptance of an

income tax treatment by the tax authorities. In the event of uncertainty as to the position of the

tax authority on a specific transaction, the entity shall make its best estimate and record the

income tax assets or liabilities under IAS 12, and not under IAS 37 - "Provisions, contingent

liabilities and contingent assets ", based on the expected value or the most probable value. The

application of IFRIC 23 may be retrospective or retrospective modified.

These standards and interpretations have not been adopted in advance by the Company. No major

impacts are anticipated from adopting the above standards and interpretations.

2 Net interest income

At 31 December 2017 and 2016, this heading was made up as follows:


30

2017 2016

Total Operations Tagus Total Total Operations Tagus Total

Interest and similar income

Interest from loans and advances 206,518,035 - 206,518,035 226,197,598 - 226,197,598

Interest from deposits - - - 15,511 - 15,511

Portfolio acquistion premium (20,879,715) - (20,879,715) (33,544,609) - (33,544,609)

185,638,320 - 185,638,320 192,668,500 - 192,668,500

Interest expense and similar charges

Interest from debt securities issued (163,770,235) - (163,770,235) (167,560,623) - (167,560,623)

Interest from deposits (746,445) - (746,445) (557,742) - (557,742)

Interest from other financial liabilities - (337,553) (337,553) - (305,986) (305,986)

Premium bond issue 573,793 - 573,793 574,513 - 574,513

(163,942,886) (337,553) (164,280,439) (167,543,852) (305,986) (167,849,837)

Net interest income 21,695,434 (337,553) 21,357,881 25,124,648 (305,986) 24,818,662


3 Results from services and fees At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Fee and Comission Income:

Management fees:

Aqua Mortgage No. 1 - 17,669 17,669 - 21,885 21,885

Aqua NPL No. 1 - 50,000 50,000 - 50,000 50,000

Aqua Finance No.4 - 37,528 37,528 - -

BBVA Portugal RMBS No. 1 - 218,844 218,844 - 236,662 236,662

Castilho Mortgages No 1 - 204,667 204,667 - 244,762 244,762

Chaves Funding No. 7 - 35,000 35,000 - -

Lusitano Finance No. 3 - 8,163 8,163 - 12,572 12,572

Pelican Finance No. 1 - 62,234 62,234 - 63,111 63,111

Nostrum Mortgages No. 2 - 292,988 292,988 - 314,757 314,757

Silk Finance No. 4 - 62,643 62,643 - 62,484 62,484

CMEC Volta Electricity Receivables Notes - 50,000 50,000 - 50,000 50,000

EnergyOn No. 1 Securitisation Notes - 67,903 67,903 - 80,798 80,798

EnergyOn No. 2 Securitisation Notes - 41,409 41,409 - 46,469 46,469

Volta Electricity Receivables Securitisation Notes - (70) (70) - 19,504 19,504

Volta II Electricity Receivables Securitisation Notes - 25,898 25,898 - 71,244 71,244

Volta III Electricity Receivables Notes - 42,941 42,941 - 73,845 73,845

Volta IV Electricity Receivables Securitisation Notes - 81,155 81,155 - 37,584 37,584

Volta V Electricity Receivables Securitisation Notes - - - - - -

Other - - - - - -

- 1,298,972 1,298,972 - 1,385,678 1,385,678

4 Net gains/ (losses) arising from financial assets and

liabilities at fair value through profit or loss

At 31 December, 2017 and 2016, this heading was made up as follows:


31

2017 2016


Gains araising from financial assets and liabilities at fair value

through profit and loss

Financial assets held-for-trading - Swaps 51,453,103 - 51,453,103 55,187,240 - 55,187,240

Other gains araising financial operations 79,268,076 - 79,268,076 55,326,010 - 55,326,010

Losses araising frrom financial assets and liabilities at fair value

through profit and loss

Financial assets held-for-trading - Swaps (72,343,033) - (72,343,033) (72,903,408) - (72,903,408)

Other gains araising financial operations (44,072,908) - (44,072,908) (18,218,464) - (18,218,464)

Net gains/ (losses) arising from financial assets and liabilities at

fair value through profit or loss14,305,238 - 14,305,238 19,391,378 - 19,391,378

The item "Gain/losses in transactions with financial assets and liabilities held for trading – swaps"

includes changes in fair value and interest accrued from financial derivatives.

The items "Other gains and losses in financial operations" include the recognition, during the year, of the

shortcoming/surplus assumed by the holders of the securities (note 15).


5 Staff cost At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Wages and salaries - (10,000) (10,000) - (9,000) (9,000)

Mandatory social charges - (2,030) (2,030) - (1,827) (1,827)

- (12,030) (12,030) - (10,827) (10,827)

The item "Wages and salaries", amounting € 10.000 (2016: €9.000), refers to remuneration for the

members of the Audit Committee.

The cost of remuneration for employees and members of the Board of Directors, allocated to the

Company, is reflected in the Service Level Agreement (“SLA”) signed with Deutsche Bank AG Portugal

branch (note 6).

6 General and administrative costs At 31 December, 2017 and 2016, this heading was made up as follows:


Judicial costs - (7,416) (7,416) - (7,040) (7,040)

Fees - (12,651) (12,651) - (7,688) (7,688)

Audit fee (411,462) (37,291) (448,753) (338,496) (2,907) (341,403)

Service fee (9,703,905) - (9,703,905) (9,818,968) - (9,818,968)

Issuer fee (1,334,113) - (1,334,113) (1,385,678) - (1,385,678)

Agent bank fee (155,196) - (155,196) (174,906) - (174,906)

Irish stock exchange fee (5,857) - (5,857) (369) - (369)

Legal fee (180,721) - (180,721) (135,426) - (135,426)

Rating Agency fee (440,446) - (440,446) (431,646) - (431,646)

Transaction Manager (98,642) - (98,642) (17,866) - (17,866)

Service Level Agreement - (206,827) (206,827) - (149,017) (149,017)

Euronext (24,000) - (24,000) (38,985) - (38,985)

Interbolsa (226,633) - (226,633) (227,675) - (227,675)

CMVM (57,571) - (57,571) - (500) (500)

Paying Agent fee (58,441) - (58,441) (64,058) - (64,058)

Other (360,841) (6,571) (367,412) (746) (3,603) (4,348)

(13,057,828) (270,757) (13,328,585) (12,634,820) (170,754) (12,805,573)


32

The Company signed a Service Level Agreement (“SLA”) with Deutsche Bank AG Portugal branch and

with Navegator SGFTC, S.A. establishing the terms under which these entities provide services to the

Company.

At 31 December, 2017, the item "Service Level Agreement" in the Tagus segment was €206.827 (2016:

€149.017) for services provided by Deutsche Bank AG Portugal branch and by Navegator SGFTC, S.A.,

respectively, under the Service Level Agreement, as described in note 16.

Audit fees correspond to fees charged by the Statutory Auditor for services provided for the legal review

of the Company's accounts and securitization transactions.


7 Impairment losses on loans, net of reversals and recoveries At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Impairment losses (30,080,193) - (30,080,193) (33,481,113) - (33,481,113)

Reversals of impairment losses 7,137,350 - 7,137,350 1,599,907 - 1,599,907

(22,942,844) - (22,942,844) (31,881,206) - (31,881,206)

8 Income tax In 2017 and 2016, the amount of income taxes paid, together with the tax burden, measured by the

relationship between the allocation of taxes and annual profit prior to this allocation, is analysed as

follows:

2017 2016

Income taxes

For the period 152,692 199,897

Previous Years Corrections - -

Total Income Taxes 152,692 199,897

Income before taxes 678,633 898,112

CIT Rate 22.5% 22.3%

The reconciliation between the nominal tax rate and the tax burden in the years 2017 and 2016, together

with the reconciliation between the tax loss/gain and the accounting profit through the nominal tax rate,

is analysed as follows:

2017 2016

Tax rate Value Tax rate Value

Income before taxes 678,633 898,112

Tax calculated based on current tax rate 21.0% 142,513 21.0% 188,603

Pour 1.5% 10,179 1.5% 13,472

Correction from previous years 0.0% 0 -0.2% -2,178

Other 0.0% 0 0.0% 0

Tax charge 22.5% 152,692 22.3% 199,896


33

In accordance with legislation in force, tax returns are subject to review and correction by tax authorities

for a period of four years (five years for Social Security), except for years with tax losses, for which the

expiry date is that of the year of the reporting right (six years through the year 2009, four years for the

years 2010 and 2011, five years for the years 2012 and 2013 and 12 years for the years de 2014, 2015

and 2016). As such, the Company's tax returns for the years 2014 through 2017 (the latter not yet filed)

may still be subject to revision.

9 Deposits at other Credit Institutions At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Deposits 190,600,977 14,606,543 205,207,520 292,009,252 14,979,417 306,988,669

Cash reserve 250,417,529 - 250,417,529 248,998,168 - 248,998,168

Liquidity Account 6,150,782 - 6,150,782 8,716,860 - 8,716,860

447,169,288 14,606,543 461,775,830 549,724,281 14,979,417 564,703,698

The item “Deposits” corresponds to a deposit at Deutsche Bank AG-Portugal branch in the amount of

€14.606.543 (2016: €14.979.417).


10 Balances due from other Credit institutions At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Deposits at other Credit Institutions 28,412,205 - 28,412,205 31,822,733 - 31,822,733

28,412,205 - 28,412,205 31,822,733 - 31,822,733

The balance of this account on 31 December 2017 corresponds to the margin account of Nostrum N.º2

transactions under the contractually agreed swap.


11 Loans and advances to customers At 31 December, 2017 and 2016, this heading was made up as follows:


34

2017

Loans Overdue Loans Accrued Interest Overdue Interest Loans ImpairmentPortfolio acquisition

premiumTotal O perations Tagus Total

Aqua Finance No.4 187,135,280 619,331 419,818 69,432 (1,273,765) - 186,970,096 - 186,970,096

Aqua Mortgage No.1 112,662,698 309,533 42,440 65,642 (1,840,788) - 111,239,525 - 111,239,525

Aqua NPL No.1 3,019,084 - - - - - 3,019,084 - 3,019,084

BBVA Portugal RMBS no.1 920,121,086 17,491 356,232 6,046 (2,978,596) 15,816,504 933,338,763 - 933,338,763

Castilho Mortagages No.1 995,351,085 68,250 402,730 5,952 (456,359) 407,240 995,778,897 - 995,778,897

Chaves Funding No. 7 77,463,383 180,312 260,543 78,742 (2,430,545) - 75,552,435 - 75,552,435

CMEC Volta Electricity Receivables 123,947,382 - - - - 1,070,185 125,017,567 - 125,017,567

EnergyOn No.1 660,447,002 - - - - - 660,447,002 - 660,447,002

EnergyOn No.2 231,663,982 - - - - - 231,663,982 - 231,663,982

Lusitano Finance No.3 43,604,369 498,927 63,919 105,241 (730,377) 2,935,116 46,477,194 - 46,477,194

Nostrum Mortgage No.2 3,649,237,914 3,892,638 1,022,664 143,211 (10,146,160) - 3,644,150,268 - 3,644,150,268

Pelican Finance No.1 277,894,203 4,103,478 788,219 722,393 (7,794,131) - 275,714,164 - 275,714,164

Silk Finance No.4 607,180,425 3,757,375 1,243,976 173,622 (6,375,245) - 605,980,153 - 605,980,153

Volta Electricity Receivables Securitisation Notes - - - - - - - - -

Volta II Electricity Receivables Securitisation Notes 16,356,744 - - - - 909,764 17,266,508 - 17,266,508

Volta III Electricity Receivables Securitisation Notes 140,045,614 - - - - 5,427,555 145,473,169 - 145,473,169

Volta IV Electricity Receivables Securitisation Notes 458,714,410 - - - - 2,286,965 461,001,375 - 461,001,375

Volta V Electricity Receivables Securitisation Notes 580,964,797 - - - - 16,446,814 597,411,612 - 597,411,612

9,085,809,458 13,447,337 4,600,541 1,370,282 (34,025,965) 45,300,143 9,116,501,795 - 9,116,501,795

At 31 December, 2017 and 2016, this heading was made up as follows:

2016

Loans Overdue Loans Accrued Interest Overdue Interest Loans ImpairmentPortfolio acquisition

premiumTotal O perations Tagus Total

Aqua Mortgage No.1 126,185,418 445,825 51,763 113,001 (2,194,989) - 124,601,019 - 124,601,019

Aqua NPL No.1 6,640,554 - - - - - 6,640,554 - 6,640,554

BBVA Portugal RMBS no.1 1,018,410,660 13,728 415,009 3,179 (4,400,976) 16,211,700 1,030,653,301 - 1,030,653,301

Castilho Mortagages No.1 1,094,087,423 48,803 503,561 6,766 (657,149) 417,212 1,094,406,617 - 1,094,406,617

CMEC Volta Electricity Receivables 228,825,936 - - - - 3,882,356 232,708,292 - 232,708,292

EnergyOn No.1 747,542,617 - - - - - 747,542,617 - 747,542,617

EnergyOn No.2 262,214,375 - - - - - 262,214,375 - 262,214,375

Lusitano Finance No.3 70,186,874 775,014 144,903 291,443 (3,321,929) 3,183,566 71,259,872 - 71,259,872

Nostrum Mortgage No.2 3,940,677,528 2,825,093 1,085,733 269,119 (12,278,591) - 3,932,578,881 - 3,932,578,881

Pelican Finance No.1 286,140,276 2,892,236 804,690 516,026 (6,010,626) - 284,342,602 - 284,342,602

Silk Finance No.4 609,136,642 1,791,688 1,360,271 131,975 (5,044,348) - 607,376,228 - 607,376,228

Volta Electricity Receivables Securitisation Notes 10,421,664 - - - - 617,494 11,039,158 - 11,039,158

Volta II Electricity Receivables Securitisation Notes 211,734,349 - - - - 9,246,409 220,980,758 - 220,980,758

Volta III Electricity Receivables Securitisation Notes 263,332,258 - - - - 13,412,083 276,744,341 - 276,744,341

Volta IV Electricity Receivables Securitisation Notes 590,906,480 - - - - 1,885,453 592,791,933 - 592,791,933

9,466,443,055 8,792,387 4,365,929 1,331,510 (33,908,608) 48,856,274 9,495,880,547 - 9,495,880,547

The characteristics of the portfolios of the various transactions are analysed in note 25.

The breakdown of the loans impairment is as follows:

2017 2016

Loans impairment

Balance on 1 January (33,908,608) (33,714,347)

Impairment losses (30,080,193) (33,481,113)

Reversals of impairment losses 7,137,350 1,599,907

Loans written-off 22,825,486 31,686,946

Balance on 31 December (34,025,966) (33,908,608)

12 Intangible Assets At 31 December, 2017 and 2016, this heading was made up as follows:


35

2017 2016


Acquisition Cost

Software - 10,353 10,353 - 10,353 10,353

Accumulated depreciation

Depreciation for the year - - - - - -

Accumulated depreciation for the previous

years - (10,353) (10,353) - (10,353) (10,353)

- - - - - -

13 Other Assets At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Receivables 3,814,647 - 3,814,647 12,174,203 - 12,174,203

Up front fee 31,034 - 31,034 25,632 - 25,632

Issuer fee - 116,207 116,207 - 126,201 126,201

3,845,680 116,207 3,961,888 12,199,835 126,201 12,326,036

The item "Receivables", corresponds, largely, to the amounts of principal and interest to be received from

the servicers of Silk Finance N. º4 (€3.808.357).


14 Financial liabilities held for trading At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Swaps 48,408,316 - 48,408,316 61,834,952 - 61,834,952

48,408,316 - 48,408,316 61,834,952 - 61,834,952

In "Financial liabilities held for trading" records the fair value of derivatives, including accrued interest,

as described in the accounting policy in note 1.4 and detailed by transaction in note 25.

The operations that contain derivatives are EnergyOn No.1, EnergyOn No.2, Nostrum Mortgage No.2

and Chaves Funding No.7. EnergyOn 1’s counterparty is Deutsche Bank AG, Chaves Funding’s

counterparty is Citibank, N.A., London Branch and for the rest of the operations the counterparty is

Banco Santander, S.A.

In accordance with the requirements of IFRS 7, the fair value of derivatives is included in level 2.

The breakdown of "Financial liabilities held for trading" at December31, 2017, is as follows:

Notional with remaining term Fair value

EUR EUR


Swaps 4,855,388,981 - 4,855,388,981 (47,608,082) - (47,608,082)

4,855,388,981 - 4,855,388,981 (47,608,082) - (47,608,082)

The breakdown of "Financial liabilities held for trading" on 31 December 2016 is as follows:


36

Notional with remaining term Fair Value

EUR EUR


Swaps 4,978,977,529 - 4,978,977,529 60,597,185 - 60,597,185

4,978,977,529 - 4,978,977,529 60,597,185 - 60,597,185


15 Debt Securities Issued At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Debt securities issued

Securitisation notes 9,531,957,923 - 9,531,957,923 10,016,956,948 - 10,016,956,948

Accrued interest 48,330,148 - 48,330,148 42,589,255 - 42,589,255

Issued notes Premium 22,666,216 - 22,666,216 23,374,209 - 23,374,209

Issued notes discount (1,193,640) - (1,193,640) (1,377,516) - (1,377,516)

Other (86,093,891) - (86,093,891) (88,943,815) - (88,943,815)

9,515,666,756 - 9,515,666,756 9,992,599,081 - 9,992,599,081

The item "Other" corresponds to the estimated (shortcoming)/surplus that would be assumed by the

holders of the issued securities if the transaction ended on 31 December, 2017.

The detail of issued debt securities, by transaction, and the respective maturity has the following

breakdown:

2017 2016

Maturity Total Operations Total Operations

Aqua Finance No.4 June 2025 200,074,685 -

Aqua Mortgage No.1 December 2063 115,931,205 129,171,142

Aqua NPL No.1 March 2057 3,745,088 7,548,420

BBVA Portugal RMBS no.1 December 2057 1,020,872,738 1,123,660,128

Castilho Mortagages No.1 October 2058 1,062,183,292 1,294,734,709

Chaves Funding No. 7 March 2035 78,175,609 -

Lusitano Finance No.3 October 2029 62,368,609 90,589,593

Pelican Finance No.1 December 2028 300,445,548 309,737,851

Nostrum Mortgage No.2 May 2065 3,751,923,917 4,021,701,464

Silk Finance No.4 January 2031 619,083,668 620,746,436

CMEC Volta Electricity Receivables February 2019 136,471,822 235,601,407

EnergyOn No.1 March 2057 659,273,513 745,470,236

EnergyOn No.2 December 2025 232,366,794 261,316,236

Volta Electricity Receivables Securitisation Notes February 2017 3,516 22,620,112

Volta II Electricity Receivables Securitisation Notes February 2018 35,113,356 240,386,751

Volta III Electricity Receivables Securitisation Notes February 2019 157,894,261 289,847,686

Volta IV Electricity Receivables Securitisation Notes February 2021 477,165,645 599,466,912

Volta V Electricity Receivables Securitisation Notes February 2022 602,573,488 -

9,515,666,756 9,992,599,081


16 Other financial liabilities At 31 December, 2017 and 2016, this heading was made up as follows:


37

Subordinated supplmementary capital 2017 2016

Minutes Issue date

Maturity

date Interest rate

Amount

EUR

Interest

EUR

Total

EUR

Amount

EUR

Interest

EUR

Total

EUR

16/2009 Jun-2009 Jun-2019 E12M+3% 150,000 2,180 152,180 150,000 4,920 154,920

17/2009 Nov-2009 Nov-2019 E12M+3% 307,211 9,888 317,099 307,211 1,613 308,824

19/2010 Jul-2010 Jul-2020 E12M+3% 1,911,958 23,150 1,935,108 1,911,958 52,255 1,964,213

21/2010 Nov-2010 Nov-2020 E12M+3% 200,000 6,424 206,424 200,000 1,051 201,051

22/2010 Dez-2010 Dez-2020 E12M+3% 4,000,000 118,341 4,118,341 4,000,000 273,042 4,273,042

23/2011 Fev-2011 Fev-2021 E12M+3% 1,200,000 29,437 1,229,437 1,200,000 67,014 1,267,014

24/2011 Mar-2011 Mar-2021 E12M+3% 1,950,000 42,474 1,992,474 1,950,000 96,662 2,046,662

26/2011 Jun-2011 Jun-2021 E12M+3% 863,627 10,457 874,084 863,627 28,335 891,962

28/2011 Nov-2011 Nov-2021 E12M+3% 106,757 3,429 110,186 106,757 562 107,319

10,689,553 245,781 10,935,334 10,689,553 525,454 11,215,007

The amounts recognized under this item correspond to subordinated supplementary contributions which

were considered other financial liabilities from an accounting standpoint, as described in accounting

policy 1.4.

17 Other liabilities At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Public sector - 2,238 2,238 - 73,550 73,550

Accrued Expenses:

Judicial costs - 3,567 3,567 - 3,383 3,383

Service Level Agreement - 206,827 206,827 - 149,017 149,017

Audit fee 384,695 12,177 396,872 338,373 3,066 341,439

Service fee 1,489,111 - 1,489,111 1,461,647 - 1,461,647

Issuer fee 150,692 - 150,692 127,872 - 127,872

Agent bank fee 18,720 - 18,720 17,950 - 17,950

Transaction Manager 6,892 - 6,892 4,193 - 4,193

Paying agent fee 1,300 - 1,300 803 - 803

Amouns to pay - - - 68,281 - 68,281

Other 29,802,487 41,646 29,844,132 33,174,243 54,075 33,228,317

Deffered income: -

Up front feet - 42,723 42,723 - 35,223 35,223

31,853,896 309,178 32,163,074 35,193,362 318,313 35,511,676

At 31 December, 2017, the item "Public Sector" was €770 (2016: €612) for stamp duty, €27.949 for VAT

and the amount of €26.481 for corporate income tax to be received (2016: €72.938 for corporate income

to be payed).

The Company signed a Service Level Agreement (“SLA”) with Deutsche Bank AG Portugal branch and

with Navegator SGFTC, S.A. establishing the terms under which these entities provide services to the

Company

The item " Other" corresponds to the margin account for the Nostrum Operation. The item "Up front fee

– Tagus" is for the amounts to be recognized, in the results, for the fee paid at the start of each transaction

by originators for the services performed by the Company for the various transactions.


18 Share capital and other equity instruments As described in note 1.1, the Company's share capital of €250,000 is represented by 50,000 shares with

a nominal value of five euros each.


38

The detail of supplementary contributions from the Company's sole shareholder is as follows:

General Assembly Amount

deliberation date Euros

12 December, 2005 200,000

29 December, 2005 20,000

28 December, 2006 226,000

10 December, 2007 440,000

09 December, 2008 233,000

18 December, 2008 20,000

26 February, 2009 1,258,040

2,397,040

The shareholder's supplementary contributions are classified as equity instruments or as other financial

liabilities according to their characteristics and the framework laid out in IAS 32 – Financial Instruments:

Presentation, and in accordance with the accounting policy described in note 1.6.

In view of the securitization transactions and bonds arising from legislation in force, on 31 December

2017 the Company's share capital of €250,000 (two hundred and fifty thousand euros) was fully paid up.

The shareholder Deutsche Bank Aktiengesellschaft made supplementary capital contributions to the

Company totalling €2,397,040 (two million, three hundred and ninety seven and forty euros) and

subordinated supplementary contributions totalling €10,689,553 (ten million, six hundred and eighty nine

thousand, five hundred and fifty three euros).

The subordinated supplementary contributions have a 10-year term, are subject to early repayment with

authorization from the Portuguese Securities Market Commission, and were made by the sole shareholder

with annual remuneration based on results subject to shareholder distribution and generated in the

reference year of the remuneration, at an interest rate corresponding to the 12-month Euribor plus 3%.

Interest will be paid annually.

These amounts correspond to the Company's equity, which is sufficient to meet the prudential ratios

related to equity pursuant to article forty three of the Securitization Act and the requirements of CMVM

Regulation no. 12/2002 of 18 July.

Subordinate supplementary contributions are part of the Company's equity (see note 16).

Capital Management

The Company proactively manages capital to hedge against the inherent risks of its business, maintaining

legally required levels under legislation applicable to securitization companies. Capital adequacy is

monitored periodically and whenever securitized bonds are issued.

In 2017 and 2016, the Company complied with legally required capital levels.

In accordance with Decree Law no. 453/99 of 05 November, the equity of credit securitization companies

may not be lower than the following percentages of the net value of the securitized bonds in circulation

which it has issued:

a) Up to €75,000,000 – 5 (per mille);

b) Above this amount – 1 (per mille).

At 31 December, 2017, the fulfilment of these ratios can be demonstrated as follows:


39

Bond Issues

Operation (2017)

Aqua Finance No.4 200,200,000

Aqua Mortgage No.1 115,566,391

Aqua NPL No.1 4,889,280

BBVA Portugal RMBS no.1 1,007,828,760

Castilho Mortagages No.1 1,068,349,754

Chaves Funding No. 7 79,894,430

Lusitano Finance No.3 58,912,668

Pelican Finance No.1 299,341,835

Nostrum Mortgage No.2 3,784,109,514

Silk Finance No.4 614,600,001

CMEC Volta Electricity Receivables 136,022,837

EnergyOn No.1 661,157,869

EnergyOn No.2 230,731,705

Volta Electricity Receivables Securitisation Notes -

Volta II Electricity Receivables Securitisation Notes 35,148,233

Volta III Electricity Receivables Securitisation Notes 157,415,122

Volta IV Electricity Receivables Securitisation Notes 476,142,526

Volta V Electricity Receivables Securitisation Notes 601,647,000

9,531,957,923

Calculation own funds

Steps

% ValueMinumum

Requirement

0.50% 75,000,000 375,000

0.1% 9,456,957,923 9,456,958

Capital Requirement 9,831,958

Own Funds Values (€)

Capital 250,000

Other equity instruments 2,397,040

Legal Reserve 268,675

Retained income 36,583

Net income for the period 525,940

Additional Capital Surplus 10,689,553

Own Funds 14,167,791

Surplus /(Inadequacy) 4,335,833


40

19 Reserves and retained earnings At 31 December, 2017 and 2016, this heading was made up as follows:

2017 2016


Legal reserve - 268,675 268,675 - 198,854 198,854

Retained earnings - 36,583 36,583 - 28,189 28,189

- 305,257 305,257 - 227,043 227,043

Under Portuguese legislation, the Company must reinforce its legal reserve annually by at least 5% of

annual net profits, until reaching 20% of share capital, normally not subject to distribution.

In accordance with the decision of the General Meeting of Shareholders dated 31 March 2017, the

Company approved the proposed allocation of profits for the year 2016, including the reinforcement of

the legal reserve by €69.821, payments of dividends totalling €620.000 and the transfer of €8.393 to

retained earnings.

20 Off-balance sheet elements As of 31 December 2017 and 2016,off-balance sheet elements were as follows:

2017 2016


Credits written off 154,771,781 - 154,771,781 163,667,973 - 163,667,973

Assets received as collateral 10,143,562,453 - 10,143,562,453 10,494,501,462 - 10,494,501,462

Swap interest rate 4,855,388,981 - 4,855,388,981 4,978,977,529 - 4,978,977,529

15,153,723,216 - 15,153,723,216 15,637,146,963 - 15,637,146,963

21 Fair value

Fair value is based on market prices, whenever they are available. If not, fair value is estimated using

internal models based on cash flow discounting techniques.

Cash flows are generated based on the respective financial characteristics, and the discount rates

employed incorporate the market's yield curve and other market factors, if applicable.

Therefore, the fair value obtained is influenced by the parameters employed in the valuation model

(which must include a certain degree of subjectivity), and exclusively reflects the amount attributed to

the various financial instruments. However, it does not include forward-looking factors such as future

business developments.

As such, the amounts shown cannot be construed as an estimate of the Company's economic value.

Next, the main methods and assumptions for estimating the fair value of financial assets and liabilities

are shown:

Deposits at other Credit Institutions

In view of the extremely short term associated with these financial instruments, the balance sheet value

is a reasonable estimate of their fair value.

Financial assets and liabilities held for trading


41

These financial instruments are recorded at fair value. Fair value is based on market prices, whenever

they are available. If not, the fair value is calculated using numeric models based on cash flow

discounting techniques which, to estimate fair value, use market yield curves adjusted by associated

factors (predominately credit and liquidity risk) determined in accordance with market conditions and

the respective terms.

Loans and advances to customers

The fair value of these financial instruments is calculated based on updating the expected future cash

flows of principal and interest for the instruments in question. Payments are considered to have occurred

on their contractually determined dates. The discount rate used reflects the current market rates for each

homogeneous class of this type of instrument with a similar residual maturity.

One of the main factors causing the fair value of a loan to differ from its amortized cost net of impairment

losses will be the assessment of the change in interest rate risk and credit spread.

Since these assets are directly related to the financial liabilities of each transaction, any impact of the

change in interest rate risk and credit spread on financial assets is reflected in the change in the implicit

interest rate risk of the financial liabilities, plus the fair value of derivatives, if applicable. Debt securities

issued

The fair value of the debt securities of securitization transactions reflects the value of the financial assets

and debt securities issued, insofar as any surplus generated by the assets will be paid to the holders, and

any shortcoming will be assumed by the holders on their cancellation date.

22 Related parties

At 31 December, 2017, the Company's related parties were as follows:

Shareholders:

Deutsche Bank AG

Members of the Board of Directors:

- Bernardo Luis de Lima Mascarenhas Meyrelles do Souto (Chairman)

- Jerome David Beadle (Member)

- José Francisco Gonçalves de Arantes e Oliveira (Member)

Companies under direct or indirect common control with the Company:

- Navegator SGFTC, S.A

- Deutsche Bank (Portugal branch) S.A.

Balances and transactions with related parties are as follows:

The Company signed a Service Level Agreement (“SLA”) with Deutsche Bank (Portugal

branch) S.A. and with Navegator SGFTC, S.A., as described in notes 6 and 17;

The items “Deposits” of the Company and of some transactions corresponds to demand deposits

with Deutsche Bank (Portugal branch) S.A. and Deutsche Bank London, as described in note 8

and in the detail of the respective transactions in note 24; and

In addition, the item "Remuneration" includes an amount for remuneration of members of the

Audit Committee, as described in note 5.


42

23 Risk Management

The main types of risk are detailed below:

Credit Risk

Credit risk is tied to the degree of uncertainty of expected returns, due to the inability of the borrower

(and guarantor, if applicable), the issuer of a security or counterparty to an agreement to fulfil their

obligations.

Within the scope of its business, the Company acquires credit portfolios which are later subject to

securitization transactions, resulting in the effective and total transfer of these portfolios' credit risk to

the holders of the bonds issued within the scope of these transactions

On 31 de December 2017, there were 17 active securitization transactions under the Company's

management, corresponding to €9.116.501.795 in credits (compared to 15 transactions in

2016corresponding to €9.495.880.547), broken down as shown in the following table.

Loans and advances to customers

2017 Weight 2016 Weight

Aqua Finance No.4 186,970,096 2.1% - 0.0%

Aqua Mortgage No.1 111,239,525 1.2% 124,601,019 1.3%

Aqua NPL No.1 3,019,084 0.0% 6,640,554 0.1%

BBVA Portugal RMBS no.1 933,338,763 10.2% 1,030,653,301 10.9%

Castilho Mortagages No.1 995,778,897 10.9% 1,094,406,617 11.5%

Chaves Funding No. 7 75,552,435 0.8% - 0.0%

Lusitano Finance No.3 46,477,194 0.5% 71,259,872 0.8%

Pelican Finance No.1 275,714,164 3.0% 284,342,602 3.0%

Nostrum Mortgage No.2 3,644,150,268 40.0% 3,932,578,881 41.4%

Silk Finance No.4 605,980,153 6.6% 607,376,228 6.4%

CMEC Volta Electricity Receivables 125,017,567 1.4% 232,708,292 2.5%

EnergyOn No.1 660,447,002 7.2% 747,542,617 7.9%

EnergyOn No.2 231,663,982 2.5% 262,214,375 2.8%

Volta Electricity Receivables Securitisation Notes - 0.0% 11,039,158 0.1%

Volta II Electricity Receivables Securitisation Notes 17,266,508 0.2% 220,980,758 2.3%

Volta III Electricity Receivables Securitisation Notes 145,473,169 1.6% 276,744,341 2.9%

Volta IV Electricity Receivables Securitisation Notes 461,001,375 5.1% 592,791,933 6.2%

Volta V Electricity Receivables Securitisation Notes 597,411,612 6.6% - 0.0%

9,116,501,795 100% 9,495,880,547 100%


43

The following table shows the amount of total credit and overdue credit, together with the rate of

impairment coverage in relation to these items as of 31 December, 2017 and 2016:

2017

Loans to

CustomersOverdue credit Impairment

Impairment on

credit to customers

Impariment on

overdue credit

Aqua Finance No.4 188,243,861 619,331 1,273,765 0.68% > 100%

Aqua Mortgage No.1 113,080,313 309,533 1,840,788 1.63% > 100%

Aqua NPL No.1 3,019,084 - - 0.00% 0%

BBVA Portugal RMBS no.1 920,500,855 17,491 2,978,596 0.32% > 100%

Castilho Mortagages No.1 995,828,017 68,250 456,359 0.05% > 100%

Chaves Funding No. 7 77,982,980 180,312 2,430,545 3.12% > 100%

Lusitano Finance No.3 44,272,456 498,927 730,377 1.65% > 100%

Pelican Finance No.1 283,508,294 4,103,478 7,794,131 2.75% > 100%

Nostrum Mortgage No.2 3,654,296,427 3,892,638 10,146,160 0.28% > 100%

Silk Finance No.4 612,355,399 3,757,375 6,375,245 1.04% > 100%

CMEC Volta Electricity Receivables 123,947,382 - - 0.00% 0%

EnergyOn No.1 660,447,002 - - 0.00% 0%

EnergyOn No.2 231,663,982 - - 0.00% 0%

Volta Electricity Receivables Securitisation Notes - - - - -

Volta II Electricity Receivables Securitisation Notes 16,356,744 - - 0.00% 0%

Volta III Electricity Receivables Securitisation Notes 140,045,614 - - 0.00% 0%

Volta IV Electricity Receivables Securitisation Notes 458,714,410 - - 0.00% 0%

Volta V Electricity Receivables Securitisation Notes 580,964,797 - - 0.00% 0%

9,105,227,617 13,447,337 34,025,965 0.37% > 100%

2016

Loans to

CustomersOverdue credit Impairment

Impairment on

credit to customers

Impariment on

overdue credit

Aqua Finance No.4 - - - - 0%

Aqua Mortgage No.1 126,796,007 445,825 2,194,989 1.73% > 100%

Aqua NPL No.1 6,640,554 - - 0.00% 0%

BBVA Portugal RMBS no.1 1,018,842,576 13,728 4,400,976 0.43% > 100%

Castilho Mortagages No.1 1,094,646,553 48,803 657,149 0.06% > 100%

Chaves Funding No. 7 - - - - 0%

Lusitano Finance No.3 71,398,234 775,014 3,321,929 4.65% > 100%

Pelican Finance No.1 290,353,227 2,892,236 6,010,626 2.07% > 100%

Nostrum Mortgage No.2 3,944,857,473 2,825,093 12,278,591 0.31% > 100%

Silk Finance No.4 612,420,577 1,791,688 5,044,348 0.82% > 100%

CMEC Volta Electricity Receivables 228,825,936 - - 0.00% 0%

EnergyOn No.1 747,542,617 - - 0.00% 0%

EnergyOn No.2 262,214,375 - - 0.00% 0%

Volta Electricity Receivables Securitisation Notes 10,421,664 - - 0.00% 0%

Volta II Electricity Receivables Securitisation Notes 211,734,349 - - 0.00% 0%

Volta III Electricity Receivables Securitisation Notes 263,332,258 - - 0.00% 0%

Volta IV Electricity Receivables Securitisation Notes 590,906,480 - - 0.00% 0%

Volta V Electricity Receivables Securitisation Notes - - - - 0%

9,480,932,881 8,792,387 33,908,608 0.36% > 100%

Market Risk

The concept of market risk reflects the potential loss that may occur in a given portfolio due to changes

in interest and exchange rates and/or the prices of the different financial instruments comprising it, in

view of the existing correlations between them or their respective volatilities.

Interest rate risk

Interest rate risk is the likelihood of losses due to adverse changes in interest rates, bearing in mind the

institution's balance sheet structure.


44

At the Company, securitization transactions account for around 95% of total assets and 98.9% of earning

assets; in terms of liabilities, the corresponding securitization notes correspond to 98.9% of all liabilities

and 99% of earning liabilities. The interest rate risk arising from these balance sheet exposures is

mitigated, bearing in mind that the risk of mismatched terms for adjusting interest rates between assets

and liabilities is hedged through the contracting of IRS (Interest Rate Swaps).

Earning assets and liabilities and implicit rates of return in 2017 and 2016 are detailed in the following

table:

2017 2016

Loans and

advances to

customers

Interest and

similar income

Implicit Interest

Rate

Loans and

advances to

customers

Interest and

similar income

Implicit Interest

Rate

Aqua Finance No.4 186,970,096 5,765,497 3.1% 186,970,096 - 0.0%

Aqua Mortgage No.1 111,239,525 1,320,805 1.2% 111,239,525 1,594,230 1.4%

Aqua NPL No.1 3,019,084 723,581 24.0% 3,019,084 1,064,795 35.3%

BBVA Portugal RMBS no.1 933,338,763 10,142,109 1.1% 933,338,763 5,867,327 0.6%

Castilho Mortagages No.1 995,778,897 5,774,627 0.6% 995,778,897 8,171,500 0.8%

Chaves Funding No. 7 75,552,435 2,380,434 3.2% 75,552,435 - 0.0%

Lusitano Finance No.3 46,477,194 2,014,157 4.3% 46,477,194 4,274,041 9.2%

Pelican Finance No.1 275,714,164 21,686,495 7.9% 275,714,164 22,022,558 8.0%

Nostrum Mortgage No.2 3,644,150,268 47,543,677 1.3% 3,644,150,268 49,925,733 1.4%

Silk Finance No.4 605,980,153 42,927,244 7.1% 605,980,153 43,834,285 7.2%

CMEC Volta Electricity Receivables 125,017,567 5,788,668 4.6% 125,017,567 7,269,805 5.8%

EnergyOn No.1 660,447,002 12,626,177 1.9% 660,447,002 16,014,585 2.4%

EnergyOn No.2 231,663,982 3,552,093 1.5% 231,663,982 4,620,106 2.0%

Volta Electricity Receivables Securitisation Notes - 41,160 - - 3,584,812 -

Volta II Electricity Receivables Securitisation Notes 17,266,508 4,040,718 23.4% 17,266,508 10,412,598 60.3%

Volta III Electricity Receivables Securitisation Notes 145,473,169 4,719,932 3.2% 145,473,169 7,552,148 5.2%

Volta IV Electricity Receivables Securitisation Notes 461,001,375 13,637,223 3.0% 461,001,375 6,459,979 1.4%

Volta V Electricity Receivables Securitisation Notes 597,411,612 953,724 0.2% 597,411,612 - 0.0%

9,116,501,795 185,638,320 2.0% 9,116,501,795 192,668,500 2.1%

2017 2016

Debt securities

issued

Interest expense

and similar

charges

Implicit Interest

Rate

Debt securities

issued

Interest expense

and similar

charges

Implicit Interest

Rate

Aqua Finance No.4 200,074,685 5,562,433 2.8% - - -

Aqua Mortgage No.1 115,931,205 1,167,368 1.0% 129,171,142 1,429,667 1.1%

Aqua NPL No.1 3,745,088 615,344 16.4% 7,548,420 958,415 12.7%

BBVA Portugal RMBS no.1 1,020,872,738 8,798,921 0.9% 1,123,660,128 4,435,981 0.4%

Castilho Mortagages No.1 1,062,183,292 4,396,760 0.4% 1,294,734,709 6,669,991 0.5%

Chaves Funding No. 7 78,175,609 1,716,775 2.2% - - -

Lusitano Finance No.3 62,368,609 1,865,629 3.0% 90,589,593 4,065,945 4.5%

Pelican Finance No.1 300,445,548 21,184,566 7.1% 309,737,851 21,500,763 6.9%

Nostrum Mortgage No.2 3,751,923,917 39,684,485 1.1% 4,021,701,464 39,827,616 1.0%

Silk Finance No.4 619,083,668 36,594,790 5.9% 620,746,436 37,487,892 6.0%

CMEC Volta Electricity Receivables 136,471,822 5,613,368 4.1% 235,601,407 7,091,331 3.0%

EnergyOn No.1 659,273,513 11,122,687 1.7% 745,470,236 13,258,868 1.8%

EnergyOn No.2 232,366,794 3,041,857 1.3% 261,316,236 3,654,012 1.4%

Volta Electricity Receivables Securitisation Notes 3,516 (28,030) -797.1% 22,620,112 3,390,381 15.0%

Volta II Electricity Receivables Securitisation Notes 35,113,356 3,829,170 10.9% 240,386,751 10,154,180 4.2%

Volta III Electricity Receivables Securitisation Notes 157,894,261 4,492,543 2.8% 289,847,686 7,295,175 2.5%

Volta IV Electricity Receivables Securitisation Notes 477,165,645 13,357,734 2.8% 599,466,912 6,323,636 1.1%

Volta V Electricity Receivables Securitisation Notes 602,573,488 926,488 0.2% - - -

9,515,666,756 163,942,886 1.7% 9,992,599,081 167,543,852 1.7%


45

2017Remunerated assets

and liabilitiesImplicit

Interest Rate

Assets

Deposits at other Credit Institutions 461,775,830 113,070,945 0.7%

Balances due from other Credit Institutions 28,412,205 - -

Loans and advances to customers 9,116,501,795 9,116,501,795 2.0%

Intangible assets - - -

Other assets 3,961,888 - -

Total Assets 9,610,651,718 9,229,572,740

Liabilities

Financial liabilities held for trading 48,408,316 - -

Debt securities issued 9,515,666,756 9,515,666,756 1.7%

Other financial liabilities 10,935,334 10,689,553 2.3%

Other liabilities 32,163,074 - -

Total Liabilities 9,607,173,481 9,526,356,309

Equity

Share Capital 250,000 - -

Other equity instruments 2,397,040 - -

Reserves and retained earnings 305,257 - -

Net income for the year 525,940 - -

Total Equity 3,478,238 -

Total Equity and Liabilities 9,610,651,718 9,526,356,309

Liquidity Risk

Liquidity risk reflects the Company's inability to meet its obligations on their due date, without incurring

major losses due to a deterioration in financing conditions (financing risk) and/or the sale of its assets

below market value (market liquidity risk).

With regard to the Company, one might say that liquidity risk - much like other financial risks, is non-

existent, since the resulting damages have no impact on the Company, insofar as they are completely

assumed by the holders of the bonds. In fact, the means of securitization are entities who are legally

autonomous from the Company and between themselves, where the respective assets solely and

exclusively satisfy the responsibilities assumed in the transactions.

With regard to liquidity risk, all flows received from credit acquired are transferred to the notes' holders

for the fulfilment of responsibilities. Furthermore, each means of securitization has a cash reserve or

liquidity account at a credit institution to deal with any sporadic liquidity problems in terms of debt

servicing the notes. A detail of these with the amount and respective counterparty is shown in the table

below.

With regard to the Company, one might say that liquidity risk - much like other financial risks, is non-

existent, since the resulting damages have no impact on the Company, insofar as they are completely

assumed by the holders of the bonds. In fact, the means of securitization are entities who are legally

autonomous from the Company and between themselves, where the respective assets solely and

exclusively satisfy the responsibilities assumed in the transactions.


46

With regard to liquidity risk, all flows received from credit acquired are transferred to the notes' holders

for the fulfilment of responsibilities. Furthermore, each means of securitization has a cash reserve or

liquidity account at a credit institution to deal with any sporadic liquidity problems in terms of debt

servicing the notes. A detail of these with the amount and respective counterparty is shown in the table

below.

2017 2016

Cash Reserve

AccountLiquidity Account Total

Cash Reserve

AccountLiquidity Account Total

Aqua Finance No.4 7,000,000 - 7,000,000 - - -

Aqua Mortgage No.1 3,415,655 - 3,415,655 3,500,000 - 3,500,000

Aqua NPL No.1 321,139 - 321,139 634,599 - 634,599

BBVA Portugal RMBS no.1 82,381,995 - 82,381,995 88,025,017 - 88,025,017

Castilho Mortagages No.1 39,981,000 1 39,981,001 39,981,000 1 39,981,001

Chaves Funding No. 7 500,000 - 500,000 - - -

Lusitano Finance No.3 10,000,000 - 10,000,000 10,000,000 - 10,000,000

Pelican Finance No.1 14,700,449 - 14,700,449 14,695,060 - 14,695,060

Nostrum Mortgage No.2 80,175,750 - 80,175,750 80,175,750 - 80,175,750

Silk Finance No.4 3,700,001 - 3,700,001 3,700,001 - 3,700,001

CMEC Volta Electricity Receivables 275,485 975,709 1,251,194 279,026 1,687,218 1,966,244

EnergyOn No.1 4,884,549 - 4,884,549 4,888,442 - 4,888,442

EnergyOn No.2 1,725,386 - 1,725,386 1,738,386 - 1,738,386

Volta Electricity Receivables Securitisation Notes 96 967 1,064 293,325 230,216 523,540

Volta II Electricity Receivables Securitisation Notes 297,966 257,297 555,264 348,582 1,769,392 2,117,974

Volta III Electricity Receivables Securitisation Notes 326,812 777,234 1,104,046 359,522 1,429,233 1,788,755

Volta IV Electricity Receivables Securitisation Notes 359,244 2,864,573 3,223,818 379,460 3,600,800 3,980,260

Volta V Electricity Receivables Securitisation Notes 372,000 1,275,000 1,647,000 - - -

250,417,529 6,150,782 256,568,311 248,998,168 8,716,860 257,715,028

Operational Risk

Operational risk is defined as a potential loss resulting from failures or shortcomings in internal

processes, persons or systems, or from outside events.

Tagus

The Company carries out an instrumental activity within the scope of Deutsche Bank A.G. – Portugal

branch, with business risks managed in a centralized manner. The main types of financial risks (credit,

market, liquidity and operational) are monitored and controlled in accordance with the Group's general

risk management and control principles.

Operations

As stated in the Offering Circular for transactions, credit acquired must meet a set of requirements both

on the acquisition date and over the transaction's lifetime, under penalty of replacement or compensatory

payments for the transactions by the originators. The Servicing Agreements for all of the transactions

ensure that specialized third parties (usually the originators) carry out procedures to manage and control

credit risk, namely by guaranteeing receipts, identifying situations of default and managing credit

recovery.

For interest rate risk, swaps are contracted to eliminate the difference between the loan interest rates and

bond interest rates (basis risk).


47

24 Subsequent Events

The bonds of the Volta Electricity Receivables transaction were paid back in full on 16 February, as

provided for in the amortization schedule of the bonds' issuance.

Beyond the occurrence described above, there were no new securitization transactions or capital increases

between 31 December 2017 and the approval date of the 2017 Annual Report and Accounts.

25 Detailed analysis of transactions Each of the transactions is shown in detail below.

The Profit and Loss Statement, Balance Sheet and Cash Flow Statement for each of the transactions are

shown in the following pages:


48

Income Statement


Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Interest and similar income 5,765,497 - 1,320,805 1,594,230 723,581 1,064,795 10,142,109 5,867,327 17,951,992 8,526,351

Interest expense and similar charges (5,562,433) - (1,167,368) (1,429,667) (615,344) (958,415) (8,798,921) (4,435,981) (16,144,065) (6,824,063)

Net interest income 203,065 - 153,437 164,563 108,237 106,380 1,343,189 1,431,346 1,807,927 1,702,288

Results from services and fees - - - - - - - - - -

Net gains/ (losses) arising from financial assets and liabilities

at fair value through profit or loss1,273,765 - 1,447,528 353,765 - - (1,422,380) (1,211,644) 1,298,913 (857,879)

General and administrative costs (203,065) - (153,437) (164,566) (108,237) (106,380) (1,343,189) (1,431,346) (1,807,927) (1,702,292)

Total operating income/(expense) 1,070,700 - 1,294,091 189,199 (108,237) (106,380) (2,765,569) (2,642,990) (509,014) (2,560,170)

Impairment losses on loans, net of reversals and recoveries (1,273,765) - (1,447,528) (353,762) - - 1,422,380 1,211,644 (1,298,913) 857,882

Operating income - - - - - - - - -

Income before taxes - - - - - - - - - -

Income taxes - - - - - - - - - -

Net income for the year - - - - - - - - - -


49

Income Statement


Castilho Mortagages No.1 Chaves Funding No. 7 Lusitano Finance No.3 Pelican Finance No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Interest and similar income 5,774,627 8,171,500 2,380,434 - 2,014,157 4,274,041 21,686,495 22,022,558 49,807,705 42,994,450

Interest expense and similar charges (4,396,760) (6,669,991) (1,716,775) - (1,865,629) (4,065,945) (21,184,566) (21,500,763) (45,307,794) (39,060,761)

Net interest income 1,377,867 1,501,509 663,660 - 148,528 208,096 501,929 521,795 4,499,911 3,933,688



at fair value through profit or loss1,222,022 2,456,203 2,821,233 - (1,657,553) 1,734,803 1,817,700 3,466,160 5,502,315 6,799,286

General and administrative costs (1,377,867) (1,501,509) (629,235) - (148,528) (208,096) (501,929) (521,795) (4,465,486) (3,933,692)

Total operating income/(expense) (155,845) 954,694 2,191,998 - (1,806,081) 1,526,707 1,315,772 2,944,364 1,036,829 2,865,596

Impairment losses on loans, net of reversals and recoveries (1,222,022) (2,456,203) (2,855,658) - 1,657,553 (1,734,803) (1,817,700) (3,466,160) (5,536,740) (6,799,283)

Operating income - - - - - - - - - -


Income taxes - - - - - - - - - -



50

Income Statement


Nostrum Mortgage No.2 Silk Finance No.4 CMEC Volta Electricity Receivables EnergyOn No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Interest and similar income 47,543,677 49,925,733 42,927,244 43,834,285 5,788,668 7,269,805 12,626,177 16,014,585 158,693,471 160,038,857

Interest expense and similar charges (39,684,485) (39,827,616) (36,594,790) (37,487,892) (5,613,368) (7,091,331) (11,122,687) (13,258,868) (138,323,124) (136,726,468)

Net interest income 7,859,192 10,098,117 6,332,454 6,346,392 175,300 178,474 1,503,491 2,755,717 20,370,347 23,312,388



at fair value through profit or loss9,080,892 15,068,829 1,397,585 898,286 - - (1,307,371) (2,555,979) 14,673,420 20,210,422

General and administrative costs (931,566) (983,309) (6,332,454) (6,346,392) (175,300) (178,474) (196,119) (199,738) (12,100,924) (11,641,605)

Total operating income/(expense) 8,149,326 14,085,520 (4,934,869) (5,448,107) (175,300) (178,474) (1,503,491) (2,755,717) 2,572,496 8,568,819

Impairment losses on loans, net of reversals and recoveries (16,008,518) (24,183,637) (1,397,585) (898,286) - - - - (22,942,844) (31,881,206)

Operating income - - - - - - -


Income taxes - - - - - - - - - -



51

Income Statement


EnergyOn No.2 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Interest and similar income 3,552,093 4,620,106 41,160 3,584,812 4,040,718 10,412,598 4,719,932 7,552,148 171,047,374 186,208,521

Interest expense and similar charges (3,041,857) (3,654,012) 28,030 (3,390,381) (3,829,170) (10,154,180) (4,492,543) (7,295,175) (149,658,664) (161,220,216)

Net interest income 510,236 966,094 69,190 194,431 211,548 258,418 227,389 256,973 21,388,710 24,988,304



at fair value through profit or loss(368,182) (819,044) - - - - - - 14,305,238 19,391,378

General and administrative costs (142,053) (147,050) (69,190) (194,431) (211,548) (258,418) (227,389) (256,973) (12,751,104) (12,498,476)

Total operating income/(expense) (510,236) (966,094) (69,190) (194,431) (211,548) (258,418) (227,389) (256,973) 1,554,134 6,892,903

Impairment losses on loans, net of reversals and recoveries - - - - - - - - (22,942,844) (31,881,206)

Operating income - - - - - - - -


Income taxes - - - - - - - - - -


Volta Electricity Receivables

Securitisation Notes

Volta II Electricity Receivables


Volta III Electricity Receivables



52

Income Statement


Total

2017 2016 2017 2016 2017 2016

Interest and similar income 13,637,223 6,459,979 953,724 - 185,638,320 192,668,500

Interest expense and similar charges (13,357,734) (6,323,636) (926,488) - (163,942,886) (167,543,852)

Net interest income 279,488 136,343 27,236 - 21,695,434 25,124,647

Results from services and fees - - - - - -


at fair value through profit or loss - - - - 14,305,238 19,391,378

General and administrative costs (279,488) (136,343) (27,236) - (13,057,828) (12,634,820)

Total operating income/(expense) (279,488) (136,343) (27,236) - 1,247,410 6,756,559

Impairment losses on loans, net of reversals and recoveries - - - - (22,942,844) (31,881,206)

Operating income - - - - - -

Income before taxes - - - - - -

Income taxes - - - - - -

Net income for the year - - - - - -

Volta V Electricity Receivables


Volta IV Electricity Receivables



53

Balance Sheet


Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 13,213,004 - 4,775,797 4,702,397 748,462 929,773 87,571,488 93,038,086 106,308,750 98,670,255

Balances due from other Credit Institutions - - - - - - - - - -

Loans and advances to customers 186,970,096 - 111,239,525 124,601,019 3,019,084 6,640,554 933,338,763 1,030,653,301 1,234,567,469 1,161,894,874

Intangible assets - - - - - - - - - -

Other assets 2,434 - 10,454 10,546 - - - - 12,888 10,546

Total Assets 200,185,534 - 116,025,776 129,313,962 3,767,546 7,570,327 1,020,910,251 1,123,691,386 1,340,889,107 1,260,575,675

Liabilities

Financial liabilities held for trading - - - - - - - - - -

Debt securities issued 200,074,685 - 115,931,205 129,171,142 3,745,088 7,548,420 1,020,872,738 1,123,660,128 1,340,623,716 1,260,379,690

Other financial liabilities - - - - - - - - - -

Other liabilities 110,848 - 94,571 142,820 22,458 21,907 37,513 31,258 265,391 195,986

Total Liabilities 200,185,534 - 116,025,776 129,313,962 3,767,546 7,570,327 1,020,910,251 1,123,691,386 1,340,889,107 1,260,575,675

Equity

Share Capital - - - - - - - - - -

Other equity instruments - - - - - - - - - -

Reserves and retained earnings - - - - - - - - - -

Net income for the period - - - - - - - - - -

Total Equity - - - - - - - - - -

Total Equity and Liabilities

Total Equity and Liabilities 200,185,534 - 116,025,776 129,313,962 3,767,546 7,570,327 1,020,910,251 1,123,691,386 1,340,889,107 1,260,575,675


54

Balance Sheet

for the years ended 31 December, 2017 and 2016 Castilho Mortagages No.1 Chaves Funding No. 7 Lusitano Finance No.3 Pelican Finance No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 66,682,011 192,032,551 2,754,472 - 16,038,935 19,671,955 25,499,457 25,931,345 217,283,625 336,306,106

Balances due from other Credit Institutions - - - - - - - - - -

Loans and advances to customers 995,778,897 1,094,406,617 75,552,435 - 46,477,194 71,259,872 275,714,164 284,342,602 2,628,090,160 2,611,903,963


Other assets 4,526 8,583,493 4,865 - 6,562 7,125 3,752 4,094 32,594 8,605,258

Total Assets 1,062,465,434 1,295,022,661 78,311,773 - 62,522,691 90,938,952 301,217,373 310,278,040 2,845,406,378 2,956,815,328

Liabilities

Financial liabilities held for trading - - 18,198 - - - - - 18,198 -

Debt securities issued 1,062,183,292 1,294,734,709 78,175,609 - 62,368,609 90,589,593 300,445,548 309,737,851 2,843,796,775 2,955,441,842


Other liabilities 282,142 287,952 117,966 - 154,081 349,359 771,825 540,190 1,591,406 1,373,486

Total Liabilities 1,062,465,434 1,295,022,661 78,311,773 - 62,522,691 90,938,952 301,217,373 310,278,040 2,845,406,378 2,956,815,328

Equity

Share Capital - - - - - - - - - -




Total Equity - - - - - - - - - -

Total Equity and Liabilities - -

Total Equity and Liabilities 1,062,465,434 1,295,022,661 78,311,773 - 62,522,691 90,938,952 301,217,373 310,278,040 2,845,406,378 2,956,815,328


55

Balance Sheet

for the years ended 31 December, 2017 and 2016 Nostrum Mortgage No.2 Silk Finance No.4 CMEC Volta Electricity Receivables EnergyOn No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 138,204,964 130,479,229 10,663,697 11,155,712 11,480,847 2,919,706 13,186,548 13,288,761 390,819,680 494,149,514

Balances due from other Credit Institutions 28,412,205 31,822,733 - - - - - - 28,412,205 31,822,733

Loans and advances to customers 3,644,150,268 3,932,578,881 605,980,153 607,376,228 125,017,567 232,708,292 660,447,002 747,542,617 7,663,685,149 8,132,109,982


Other assets - - 3,808,357 3,589,083 - - 2,310 2,615 3,843,261 12,196,956

Total Assets 3,810,767,437 4,094,880,844 620,452,207 622,121,023 136,498,414 235,627,998 673,635,860 760,833,992 8,086,760,295 8,670,279,185

Liabilities

Financial liabilities held for trading 30,160,923 40,954,683 - - - - 14,322,780 15,325,509 44,501,901 56,280,192

Debt securities issued 3,751,923,917 4,021,701,464 619,083,668 620,746,436 136,471,822 235,601,407 659,273,513 745,470,236 8,010,549,695 8,578,961,385


Other liabilities 28,682,596 32,224,697 1,368,539 1,374,587 26,592 26,592 39,567 38,247 31,708,699 35,037,609

Total Liabilities 3,810,767,437 4,094,880,844 620,452,207 622,121,023 136,498,414 235,627,998 673,635,860 760,833,992 8,086,760,296 8,670,279,185

Equity

Share Capital - - - - - - - - - -




Total Equity - - - - - - - - - -


Total Equity and Liabilities 3,810,767,437 4,094,880,844 620,452,207 622,121,023 136,498,414 235,627,998 673,635,860 760,833,992 8,086,760,296 8,670,279,185


56

Balance Sheet

for the years ended 31 December, 2017 and 2016 EnergyOn No.2 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 4,637,536 4,685,024 3,516 11,607,798 17,872,915 19,435,621 12,450,282 13,134,992 425,783,930 543,012,948

Balances due from other Credit Institutions - - - - - - - - 28,412,205 31,822,733

Loans and advances to customers 231,663,982 262,214,375 - 11,039,158 17,266,508 220,980,758 145,473,169 276,744,341 8,058,088,808 8,903,088,614


Other assets 2,420 2,739 - 140 - - - - 3,845,680 12,199,835

Total Assets 236,303,938 266,902,138 3,516 22,647,096 35,139,422 240,416,378 157,923,452 289,879,333 8,516,130,624 9,490,124,131

Liabilities

Financial liabilities held for trading 3,906,415 5,554,760 - - - - - - 48,408,316 61,834,952

Debt securities issued 232,366,794 261,316,236 3,516 22,620,112 35,113,356 240,386,751 157,894,261 289,847,686 8,435,927,623 9,393,132,170


Other liabilities 30,729 31,143 - 26,984 26,066 29,627 29,191 31,646 31,794,685 35,157,009

Total Liabilities 236,303,938 266,902,138 3,516 22,647,096 35,139,422 240,416,378 157,923,452 289,879,333 8,516,130,624 9,490,124,131

Equity

Share Capital - - - - - - - - - -




Total Equity - - - - - - - - - -


Total Equity and Liabilities 236,303,938 266,902,138 3,516 22,647,096 35,139,422 240,416,378 157,923,452 289,879,333 8,516,130,624 9,490,124,131








57

Balance Sheet


Total

2017 2016 2017 2016 2017 2016

Assets

Deposits at other Credit Institutions 16,196,246 6,711,332 5,189,112 - 447,169,288 549,724,281

Balances due from other Credit Institutions - - - - 28,412,205 31,822,733

Loans and advances to customers 461,001,375 592,791,933 597,411,612 - 9,116,501,795 9,495,880,547

Intangible assets - - - - - -

Other assets - - - - 3,845,680 12,199,835

Total Assets 477,197,620 599,503,265 602,600,724 - 9,595,928,968 10,089,627,395

Liabilities

Financial liabilities held for trading - - - - 48,408,316 61,834,952

Debt securities issued 477,165,645 599,466,912 602,573,488 - 9,515,666,756 9,992,599,081

Other financial liabilities - - - - - -

Other liabilities 31,975 36,353 27,236 - 31,853,896 35,193,362

Total Liabilities 477,197,620 599,503,265 602,600,724 - 9,595,928,969 10,089,627,395

Equity

Share Capital - - - - - -

Other equity instruments - - - - - -

Reserves and retained earnings - - - - - -

Net income for the period - - - - - -

Total Equity - - - - - -

Total Equity and Liabilities

Total Equity and Liabilities 477,197,620 599,503,265 602,600,724 - 9,595,928,969 10,089,627,395






58

Cash Flows Statement

for the years ended 31 December, 2017 and 2016 Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016


Other receivables/ (payments) associated with the operating activities (164,082) - (154,235) (160,513) (107,686) (106,623) (1,339,801) (1,425,478) (1,765,804) (1,692,614)

Cash flows arising from operating activities (164,082) - (154,235) (160,513) (107,686) (106,623) (1,339,801) (1,425,478) (1,765,804) (1,692,614) - - - - - - - -


Receivables: - - - - - - - -

Client loans 48,109,199 - 13,111,698 14,251,396 4,345,051 4,093,842 98,285,811 84,435,468 163,851,758 102,780,706

Interest income 5,345,679 - 1,330,128 1,632,796 - - 4,953,061 5,898,223 11,628,869 7,531,019

Payments

Loan portfolio acquisition (235,863,810) - - - - - - - (235,863,810) -

Financial Investments - - - - - - - - - -

Cash flows arising from investing activities (182,408,932) 14,441,826 15,884,191 4,345,051 4,093,842 103,238,872 90,333,691 (60,383,183) 110,311,724 - - - - - - - -


Receivables: - - - - - - - - - -

Debt securitites issued 200,227,102 - - - - - - - 200,227,102 -

Payments:

Debt securitites issued - - (13,398,757) (15,488,474) (3,936,839) (3,537,084) (101,091,136) (83,280,105) (118,426,732) (102,305,662)

Interest expense (4,441,084) - (815,433) (101,217) (481,837) (781,109) (6,274,533) (4,790,022) (12,012,888) (5,672,349) - - - - - - - -

Cash flows arising from financing activities 195,786,018 - (14,214,191) (15,589,691) (4,418,676) (4,318,193) (107,365,669) (88,070,127) 69,787,482 (107,978,011) - - - - - - - -

Net changes in cash and cash equivalents 13,213,004 - 73,400 133,987 (181,311) (330,973) (5,466,598) 838,086 7,638,495 641,100

Cash and cash equivalents balance at the beggining of the year - - 4,702,397 4,568,410 929,773 1,260,747 93,038,086 92,200,000 98,670,256 98,029,157

Cash and cash equivalents balance at the end of the year 13,213,004 - 4,775,797 4,702,397 748,462 929,773 87,571,488 93,038,086 106,308,750 98,670,255 - - - - - - - -

Deposits at other Credit Institutions 13,213,004 - 4,775,797 4,702,397 748,462 929,773 87,571,488 93,038,086 106,308,750 98,670,255


59



Castilho Mortagages No.1 Chaves Funding No. 7 Lusitano Finance No.3 Pelican Finance No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016


Other receivables/ (payments) associated with the operating activities (1,382,726) (1,531,216) (594,876) - (157,040) (223,111) (476,319) (542,974) (4,376,765) (3,989,914)

Cash flows arising from operating activities (1,382,726) (1,531,216) (594,876) - (157,040) (223,111) (476,319) (542,974) (4,376,765) (3,989,914) - - - - - - - - - -


Receivables:

Client loans 105,351,836 97,426,270 8,260,502 - 26,189,439 41,284,683 6,263,165 (844,786) 309,916,700 240,646,872

Interest income 6,406,504 8,796,048 2,119,892 - 2,078,746 4,336,613 21,702,965 21,977,528 43,936,975 42,641,208

Payments

Loan portfolio acquisition - - (86,236,648) - - - - - (322,100,458) -


Cash flows arising from investing activities 111,758,340 106,222,317 (75,856,255) - 28,268,185 45,621,296 27,966,130 21,132,742 31,753,216 283,288,080 - - - - - - - - - -


Receivables:

Debt securitites issued - - 80,347,056 - - - - - 280,574,158 -

Payments:

Debt securitites issued (229,529,017) (74,802,230) (522,713) - (29,770,206) (47,014,509) (9,358,165) - (387,606,833) (224,122,401)

Interest expense (6,197,138) (7,783,108) (618,740) - (1,973,960) (3,933,622) (18,563,533) (18,786,213) (39,366,259) (36,175,292) - - - - - - - - - -

Cash flows arising from financing activities (235,726,155) (82,585,338) 79,205,604 - (31,744,166) (50,948,131) (27,921,698) (18,786,213) (146,398,933) (260,297,693) - - - - - - - - - -

Net changes in cash and cash equivalents (125,350,540) 22,105,763 2,754,472 - (3,633,021) (5,549,945) (431,888) 1,803,555 (119,022,482) 19,000,472

Cash and cash equivalents balance at the beggining of the year 192,032,551 169,926,788 - - 19,671,955 25,221,900 25,931,345 24,127,790 336,306,106 317,305,635

Cash and cash equivalents balance at the end of the year 66,682,011 192,032,551 2,754,472 - 16,038,935 19,671,955 25,499,457 25,931,345 217,283,625 336,306,106 - - - - - - - - - -

Deposits at other Credit Institutions 66,682,011 192,032,551 2,754,472 - 16,038,935 19,671,955 25,499,457 25,931,345 217,283,625 336,306,106


60



Nostrum Mortgage No.2 Silk Finance No.4 CMEC Volta Electricity Receivables EnergyOn No.1 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016


Other receivables/ (payments) associated with the operating activities (937,230) (987,707) (6,311,868) (5,967,612) (175,300) (178,474) (194,495) (197,684) (11,995,658) (11,321,392)

Cash flows arising from operating activities (937,230) (987,707) (6,311,868) (5,967,612) (175,300) (178,474) (194,495) (197,684) (11,995,658) (11,321,392) - - - - - - - - - -


Receivables:

Client loans 275,252,421 249,027,442 202,981,205 - 104,878,554 - 87,095,615 84,614,572 980,124,494 574,288,887

Interest income 67,494,246 74,090,575 42,828,948 40,233,549 8,600,839 11,441,292 24,052,103 29,457,859 186,913,110 197,864,483

Payments

Loan portfolio acquisition - - (203,130,327) (10,971,530) - - - - (525,230,785) (10,971,530)


Cash flows arising from investing activities 342,746,666 323,118,017 42,679,826 29,262,020 113,479,393 11,441,292 111,147,717 114,072,431 641,806,819 761,181,840 - - - - - - - - - -


Receivables:

Debt securitites issued - - - - - - - - 280,574,158 -

Payments:

Debt securitites issued (284,210,654) (265,769,087) - - (98,959,774) (4,376,100) (85,386,058) (82,943,449) (856,163,319) (577,211,037)

Interest expense (49,873,048) (52,092,094) (36,859,973) (33,903,668) (5,783,179) (6,918,355) (25,669,376) (31,016,274) (157,551,834) (160,105,682) - - - - - - - - - -

Cash flows arising from financing activities (334,083,702) (317,861,181) (36,859,973) (33,903,668) (104,742,952) (11,294,455) (111,055,435) (113,959,723) (733,140,995) (737,316,719) - - - - - - - - - -

Net changes in cash and cash equivalents 7,725,735 4,269,129 (492,015) (10,609,260) 8,561,141 (31,637) (102,213) (84,976) (103,329,834) 12,543,729

Cash and cash equivalents balance at the beggining of the year 130,479,229 126,210,100 11,155,712 21,764,972 2,919,706 2,951,343 13,288,761 13,373,736 494,149,515 481,605,786

Cash and cash equivalents balance at the end of the year 138,204,964 130,479,229 10,663,697 11,155,712 11,480,847 2,919,706 13,186,548 13,288,761 390,819,680 494,149,514 - - - - - - - - - -

Deposits at other Credit Institutions 138,204,964 130,479,229 10,663,697 11,155,712 11,480,847 2,919,706 13,186,548 13,288,761 390,819,680 494,149,514


61



EnergyOn No.2 Sub-total

2017 2016 2017 2016 2017 2016 2017 2016 2017 2016


Other receivables/ (payments) associated with the operating activities (142,148) (144,108) (96,035) (193,989) (215,108) (257,944) (229,844) (255,757) (12,678,793) (12,173,188)

Cash flows arising from operating activities (142,148) (144,108) (96,035) (193,989) (215,108) (257,944) (229,844) (255,757) (12,678,793) (12,173,188) - - - - - - - - - -


Receivables:

Client loans 30,550,393 29,680,125 10,421,669 123,201,534 195,377,605 185,593,246 123,286,644 116,706,777 1,339,760,805 1,029,470,568

Interest income 8,507,202 10,407,146 658,649 9,762,282 12,377,363 22,161,721 12,704,460 19,284,327 221,160,784 259,479,958

Payments - - - - - - - - - -

Loan portfolio acquisition - - - - - - - - (525,230,785) (10,971,530)


Cash flows arising from investing activities 39,057,595 40,087,271 11,080,318 132,963,816 207,754,968 207,754,967 135,991,104 135,991,104 1,035,690,804 1,277,978,997 - - - - - - - - - -


Receivables:

Debt securitites issued - - - - - - - - 280,574,158 -

Payments: - - - - - - - - - -

Debt securitites issued (30,029,976) (29,170,923) (22,445,405) (130,064,477) (204,477,770) (198,481,562) (131,707,205) (129,114,267) (1,244,823,675) (1,064,042,265)

Interest expense (8,932,959) (10,812,288) (143,160) (4,079,989) (4,624,796) (10,532,335) (4,738,764) (7,292,310) (175,991,513) (192,822,604) - - - - - - - - - -

Cash flows arising from financing activities (38,962,935) (39,983,211) (22,588,565) (134,144,466) (209,102,566) (209,013,896) (136,445,969) (136,406,577) (1,140,241,029) (1,256,864,869) - - - - - - - - - -

Net changes in cash and cash equivalents (47,488) (40,048) (11,604,281) (1,374,639) (1,562,706) (1,516,873) (684,709) (671,229) (117,229,019) 8,940,940

Cash and cash equivalents balance at the beggining of the year 4,685,024 4,725,072 11,607,799 12,982,437 19,435,622 20,952,495 13,134,992 13,806,221 543,012,951 534,072,011

Cash and cash equivalents balance at the end of the year 4,637,536 4,685,024 3,517 11,607,798 17,872,914 19,435,620 12,450,281 13,134,992 425,783,928 543,012,947 - - - - - - - - - -

Deposits at other Credit Institutions 4,637,536 4,685,024 3,517 11,607,798 17,872,915 19,435,621 12,450,282 13,134,992 425,783,930 543,012,948








62



Total

2017 2016 2017 2016 2017 2016


Other receivables/ (payments) associated with the operating activities (283,867) (99,990) - - (12,962,660) (12,273,178)

Cash flows arising from operating activities (283,867) (99,990) - - (12,962,660) (12,273,178) - - - - - -


Receivables:

Client loans 132,192,070 7,976,700 2,573,954 - 1,474,526,829 1,037,447,268

Interest income 13,235,710 5,678,662 953,724 - 235,350,218 265,158,620

Payments - - - - - -

Loan portfolio acquisition - (599,987,316) (599,985,566) - (1,125,216,351) (610,958,845)

Financial Investments - - - - - -

Cash flows arising from investing activities 145,427,780 (586,331,954) (596,457,888) - 584,660,696 691,647,044 - - - - - -


Receivables:

Debt securitites issued - 604,016,000 601,647,000 - 882,221,158 604,016,000

Payments: - - - - - -

Debt securitites issued (122,275,956) (5,597,518) - - (1,367,099,631) (1,069,639,783)

Interest expense (13,383,045) (5,275,206) - - (189,374,557) (198,097,810) - - - - - -

Cash flows arising from financing activities (135,659,001) 593,143,276 601,647,000 - (674,253,030) (663,721,593) - - - - - -

Net changes in cash and cash equivalents 9,484,913 6,711,332 5,189,112 - (102,554,993) 15,652,273

Cash and cash equivalents balance at the beggining of the year 6,711,332 - - - 549,724,280 534,072,011

Cash and cash equivalents balance at the end of the year 16,196,246 6,711,332 5,189,112 - 447,169,286 549,724,280 - - - - - -

Deposits at other Credit Institutions 16,196,246 6,711,332 5,189,112 - 447,169,288 549,724,281






63

1. Aqua Finance No.4

On 11 July 2017, the Company carried out the transaction “Aqua Finance No. 4”. This transaction was

for the acquisition of a mortgage portfolio of Montepio Crédito - IFC, S.A. issuing securitized bonds

divided into 3 tranches: €140.000.000 Class A, €15.000.000 Class B, €45,200,000 Class C. The first two

were issued at par, while tranche C was issued with a premium of €27,102. These bonds were placed

privately and subsequently registered with the Portuguese Securities Market Commission (CMVM).

The ratings attributed at 31 December 2017 were as follows:

Aqua Finance 4

Moddy's DBRS

Class A A3 A (low)

Class B Ba2 BBB (low)

Class C - -

The remuneration of the first two tranches is indexed to the three-month Euribor plus a 1.05% spread for

Class A and a 2.65% spread for Class B (cap rate of 5%). The Class C bonds have no set interest rate,

with entitlement to amounts available after the transaction's other responsibilities have been met, as

stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in February

2017, ending in 15 June 2035, the legal maturity date for all of the tranches.

The credit granted corresponds to repayments of principal and compensatory interest and other amounts

due to the grantor under mortgage agreements (including housing loans granted under Decree Law no.

348/98 of 11 November).

Impairment

The Company periodically assesses the impairment of its portfolio of due and past-due assets, taking into

account the type of credit granted, any existing counter-guarantees, the ageing and performance of assets

in arrears and the average impairment of the originator's credit portfolio for similar assets. The

impairment losses of securitized assets or any other factors within the transaction's scope may result in a

shortage of funds to settle the bonds' principal and interest. These losses will be assumed exclusively by

the holders of the bonds.


Legal Maturity Amount EUR SpreadInterest Rate

31.12.2017

Aqua Finance nº 4

Class A-Notes June 2025 140,000,000 1.05% 0.72%

Class B-Notes June 2025 15,000,000 2.65% 2.32%

Class C-Notes June 2025 45,200,000 - 0.00%

200,200,000

The line “Debt securities issued” records the carrying value of securitization bonds within the scope of

the securitization transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class

B Notes”) with variable remuneration at the six-month Euribor plus a 1.05% and 2.65% spread,

respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be the difference


64

between the amounts received and the remuneration paid to “Class A” and “Class B”. Each month, all

amounts received from securitized credit interest and transferred to the Company are calculated. This

amount is paid in full to the holder of the bonds.

Next, the transaction’s financial statements are shown in reference to 31 December 2017 and 2016:

Income Statement

for the years ended 31 December 2017 and 2016

2017 2016

Interest and similar income 5,765,497 -

Interest expense and similar charges (5,562,433) -

Net interest income 203,065 -

Results from services and fees - -


value through profit or loss1,273,765 -

General and administrative costs (203,065) -

Total operating income 1,070,700 -

Impairment losses on loans, net of reversals and recoveries (1,273,765) -

Operating income - -

Income before income taxes - -

Income taxes - -

Net income for the period - -

To be read with the notes attached to the financial statements


65


2017 2016

Assets

Deposits at other Credit Institutions 13,213,004 -

Balances due from other credit institutions - -

Loans and advances to customers 186,970,096 -

Financial assets held-for-trading - -

Other assets 2,434 -

Total assets 200,185,534 -

Liabilities

Other loans - -

Financial liabilities held for trading - -

Debt securities issued 200,074,685 -

Other liabilities 110,848 -

Total Liabilities 200,185,534 -

Equity

Share capital - -

Other equity instruments - -

Reserves and retained earnings - -


Total Equity - -

Total Equity and Liabilities 200,185,534 -



66


for the years ended 31 December 2017 and 2016

2017 2016


Other receivables / (payments) associated with the operating activities (164,082) -

Cash flows arising from operating activities (164,082) -


Receivables:

Client loans 48,109,199 -

Interest income 5,345,679 -

Payments

Loan portfolio acquisition (235,863,810) -

Financial Investments - -

Cash flows arising from investing activities (182,408,932) -


Receivables:


Payments

Debt securities issued - -

Interest expense (4,441,084) -

Other equity instruments

Cash flows arising from financing activities 195,786,018 -

Net changes in cash and cash equivalents 13,213,004 -

Cash and Cash equivalents balance at the beggining of the year - -

Cash and Cash equivalents balance at the end of the year 13,213,004 -



67

1.1 Net interest income

2017 2016


Interest from loans and advances 5,765,497 -

Interest from deposits - -

Portfolio acquisition premium - -

5,765,497 -


Interest from debt securities issued (5,563,148) -


Interest from other financial liabilities - -

Premium bond issue 715 -

(5,562,433) -


1.2 Net gains/ (losses) arising from financial assets and liabilities at fair value through

profit or loss

2017 2016

Gains arising from financial assets and liabilities at fair value

through profit and loss:

Operations with financial instruments- Swaps - -

Other gains araising from financial operations 1,273,765 -

1,273,765 -

Losses arising from financial assets and liabilities at fair value



Other losses araising from financial operations - -

- -

Net gains / (losses) arising from financial assets and liabilities at

fair value through profit or loss1,273,765 -

In “Other gains/ (other losses) arising from financial operations “ is included the recognition, during the

year, of the shortcoming/surplus assumed by the holders of the securities (note 1.8).


68

1.3 General and administrative costs

1.4 Impairment losses on loans, net of reversals and recoveries

2017 2016

Loans and advances to customers:

Impairment losses (1,273,765) -

Reversals of impairment losses - -

(1,273,765) -

1.5 Deposits at other Credit Institutions

2017 2016

Deposits 6,213,004 -

Cash Reserve 7,000,000 -

Liquidity Account - -

13,213,004 -

In “Deposits” are registered the demand deposits at Deutsche Bank, AG – London.

1.6 Loans and advances to customers 2017 2016

Loans 187,135,280 -

Overdue loans 619,331 -

Porfolio acquisition premium / (discount) - -

Overdue interest 69,432 -

Accrued interest 419,818 -

Lonas impairment (1,273,765) -

186,970,096 -

In "Loans and advances to customers" it is recorded the nominal value of the credit acquired under the

securitization transaction totalling €193,227,102 minus amounts for interim capital receipts and

2017 2016

Audit fee (17,835) -

Service fee (107,305) -

Issuer fee (37,594) -

Agent bank fee - -

Irish stock exchange fee - -

Rating Agency fee - -

Euronext (22,167) -

Interbolsa (1,478) -

Paying Agent fee (1,884) -

Comissões Bancárias - -

Legal Fee - -

Transaction Manager (9,748) -

Common Representative (5,000) -

CMVM (55) -

Commitment Fee - -

(203,065) -


69

impairment losses, plus the amount of buybacks of new credit and accrued interest. Amounts for capital

receipts, buybacks of new credit and write-offs have the following breakdown:

Year Beggining balance Reimbursement Purchases Write-off Ending balance

2017 193,227,102 (48,109,199) 42,636,708 - 187,754,611

Changes in impairment for credit risks have the following breakdown:

2017 2016

Loans impairment

Balance on January 1st - -



Loans writen-off - -

Balance on December 31st (1,273,765) -

In “Loan impairment” it is recorded the estimated losses incurred on the year’s closing date, determined

in accordance with an assessment of objective evidence for impairment, per the accounting policy

described in note 1.3.

1.7 Other assets

2017 2016

Receivables - -

Up Front Fee 2,434 -

2,434 -

In “Up- front fee” it is recorded the amount not yet recognized in the results for the initial fee paid for

the transaction, which is deferred until maturity, representing the services performed by the Company

for the transaction.

1.8 Debt securities issued 2017 2016

Securitisation notes 200,200,000 -

Accrued interest 1,122,064 -

Issued notes premium 26,387 -

Issued notes discount - -

Other (1,273,765) -

200,074,685 -

In the line "Other" it is being registered the estimation (shortcoming)/surplus that would be assumed by

the holders of the issued securities if the transaction ended at 31 December 2017.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in January

2011, ending in December 2063, the legal maturity date for all of the tranches. The amounts of interim

securitization bond repayments had the following breakdown:

Year Initial amount Amortization Ending Balance

2017 200,200,000 - 200,200,000


70

1.9 Other liabilities

2017 2016

Audit fee 17,835 -

Service fee 16,621 -

Issuer fee 5,833 -

Agent bank fee - -

Transaction Manager 1,127 -

Paying agent fee - -

Other Payables 69,432 -

110,848 -

In the line "Other Payables", it is recorded the consideration for overdue interest recognized in "Loans

and advances to customers" (note 1.6). This interest will not be recognized in the results for the year until

it is received.

2 Aqua Mortgage No. 1

On 08 December 2008, the Company carried out the transaction “Aqua Mortgage No. 1”. This transaction

was for the acquisition of a mortgage portfolio of Finibanco, S.A. in the amount of €233,000,000 and the

respective issuance of securitized bonds divided into 3 tranches: €203,176,000 Class A, €29,824,000

Class B, €3,500,000 Class C. The first two were issued at par, while tranche C was issued with a premium

of €925,000. These bonds were placed privately and subsequently registered with the Portuguese

Securities Market Commission (CMVM).

The ratings attributed on 31 December 2017 were as follows:

S&P DBRS

Class A A+ AA (high)

Class B - -

Class C - -

The remuneration of the first two tranches is indexed to the six-month Euribor plus a 0.15% spread for

Class A and a 0.40% spread for Class B. The Class C bonds have no set interest rate, with entitlement to

amounts available after the transaction's other responsibilities have been met, as stipulated in its terms

and conditions.


2011, ending in December 2063, the legal maturity date for all of the tranches.


due to the grantor under mortgage agreements (including housing loans granted under Decree Law no.

348/98 of 11 November).

Impairment









71


31.12.2017

Interest Rate

31.12.2016

Aqua Mortgage No. 1

Class A-Notes December 2063 85,732,409 EUR 6 M + 0,15% 0.00% 0.00%

Class B-Notes December 2063 26,333,982 EUR 6 M + 0,40% 0.13% 0.19%

Class C-Notes December 2063 3,500,000 - - -

115,566,391

In “Debt securities issued” is recorded the carrying value of securitization bonds within the scope of the

securitization transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class B

Notes”) with variable remuneration at the six-month Euribor plus a 0.15% and 0.40% spread,


between the amounts received and the remuneration paid to“Class A” and “Class B”. Each month, all

amounts received from securitized credit interest and transferred to the Company are calculated. This


Next, the transaction's financial statements are shown in reference to 31 December 2017 and 2016:


72

Income Statement

For the years ended 31 December 2017 and 2016

2017 2016

Interest and similar income 1,320,805 1,594,230

Interest expense and similar charges (1,167,368) (1,429,667)

Net interest income 153,437 164,563


Net gains/ (losses) arising from financial assets and

liabilities at fair value through profit or loss1,447,528 353,765

General and administrative costs (153,437) (164,566)

Total operating income 1,294,091 189,199

Impairment losses on loans, net of reversals and recoveries (1,447,528) (353,762)



Income taxes - -




73


2017 2016

Assets

Deposits at other Credit Institutions 4,775,797 4,702,397


Loans and advances to customers 111,239,525 124,601,019


Other assets 10,454 10,546

Total assets 116,025,776 129,313,962

Liabilities

Other loans - -


Debt securities issued 115,931,205 129,171,142

Other liabilities 94,571 142,820

Total Liabilities 116,025,776 129,313,962

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities 116,025,776 129,313,962



74



2017 2016


Other receivables / (payments) associated with the operating activities (154,235) (160,513)

Cash flows arising from operating activities (154,235) (160,513)


Receivables:

Client loans 13,111,698 14,251,396

Interest income 1,330,128 1,632,796

Payments

Loan portfolio acquisition - -


Cash flows arising from investing activities 14,441,826 15,884,191


Receivables:


Payments

Debt securities issued (13,398,757) (15,488,474)

Interest expense (815,433) (101,217)


Cash flows arising from financing activities (14,214,191) (15,589,691)

Net changes in cash and cash equivalents 73,400 133,987

Cash and Cash equivalents balance at the beggining of the year 4,702,397 4,568,410

Cash and Cash equivalents balance at the end of the year 4,775,797 4,702,397



75


2017 2016


Interest from loans and advances 1,320,805 1,594,230



1,320,805 1,594,230


Interest from debt securities issued (1,184,175) (1,446,521)



Premium bond issue 16,807 16,853

(1,167,368) (1,429,667)



profit and loss

2017 2016

Gains arising from financial assets and liabilities at

fair value



Other gains araising from financial operations 1,447,528 353,765

1,447,528 353,765

Losses arising from financial assets and liabilities at

fair value through profit and loss:



- -

Net gains / (losses) arising from financial assets and

liabilities at fair value through profit or loss1,447,528 353,765

In “Other gains/ (other losses) arising from financial operations “ is it being included the recognition,

during the year, of the shortcoming/surplus assumed by the holders of the securities (note 1.8).


76


2017 2016

Audit fee (22,023) (21,033)

Service fee (64,927) (75,679)

Issuer fee (18,589) (21,885)

Agent bank fee (12,480) (12,943)

Irish stock exchange fee (2,460) (369)

Rating Agency fee (30,074) (30,074)

Euronext - -

Interbolsa - -

Paying Agent fee - -

Banking fees - -

Legal Fee (2,097) (2,583)

Transaction Manager - -

Common Representative - -

CMVM (787) -

Commitment Fee - -

Others - -

(153,437) (164,566)


2017 2016


Impairment losses (1,551,388) (353,762)

Reversals of impairment losses 103,860 -

(1,447,528) (353,762)


2017 2016

Deposits 1,360,141 1,202,397

Cash Reserve 3,415,655 3,500,000


4,775,797 4,702,397

The line “Deposits” corresponds to demand deposits at Deutsche Bank, AG – London.

2.6 Loans and advances to customers

2017 2016

Loans 112,662,698 126,185,418

Overdue loans 309,533 445,825


Overdue interest 65,642 113,001

Accrued interest 42,440 51,763

Lonas impairment (1,840,788) (2,194,988)

111,239,525 124,601,020


77

In "Loans and advances to customers" is being recorded the nominal value of the credit acquired under

the securitization transaction totalling €233,000,000 minus amounts for interim capital receipts and

impairment losses, plus the amount of buybacks of new credit and accrued interest. Amounts for capital

receipts, buybacks of new credit and write-offs have the following breakdown:


2008 233,000,000 (3,081,699) 229,918,301

2009 229,918,301 (23,056,808) 23,610,716 230,472,209

2010 230,472,209 (20,100,692) 21,741,901 232,113,418

2011 232,113,418 (18,494,067) 213,619,351

2012 213,619,351 (19,088,748) 194,530,603

2013 194,530,603 (19,714,316) (2,720,366) 172,095,921

2014 172,095,921 (14,179,188) (2,456,659) 155,460,074

2015 155,460,074 (11,919,788) (2,016,811) 141,523,475

2016 141,523,475 (13,517,940) - (1,374,292) 126,631,243

2017 126,631,243 (11,857,283) - (1,801,729) 112,972,231


2017 2016

Loans impairment

Balance on January 1st (2,194,988) (2,531,022)



Loans writen-off 1,801,729 1,447,721

Balance on December 31st (1,840,788) (2,194,988)

In the item “Loan impairment” is being recorded the estimated losses incurred on the year’s closing date,

determined in accordance with an assessment of objective evidence for impairment, per the accounting

policy described in note 1.3.

2.7 Other assets

2017 2016

Receivables 6,290 6,290

Up Front Fee 4,164 4,257

10,454 10,546

In " Up- front fee" is being recorded the amount not yet recognized in the results for the initial fee paid

for the transaction, which is deferred until maturity, representing the services performed by the Company



78

2.8 Debt securities issued

2017 2016

Securitisation notes 115,566,391 128,965,149


Issued notes premium 772,629 789,436


Other (472,140) (706,070)

115,931,205 129,171,142

The line "Other" corresponds to the estimated (shortcoming)/surplus that would be assumed by the

holders of the issued securities if the transaction ended at 31 December 2017.


2011, ending in December 2063, the legal maturity date for all of the tranches. The amounts of interim


Year Initial Amount Amortization Ending balance

2011 236,500,000 (19,873,473) 216,626,527

2012 216,626,527 (21,304,892) 195,321,635

2013 195,321,635 (21,034,469) 174,287,166

2014 174,287,166 (15,559,839) 158,727,327

2015 158,727,327 (14,273,704) 144,453,623

2016 144,453,623 (15,488,474) 128,965,149

2017 128,965,149 (13,398,757) 115,566,391


2017 2016

Audit fee 21,033 21,033

Service fee 5,298 6,027

Issuer fee 1,559 1,720

Agent bank fee 1,040 1,040



Other payables 65,642 113,001

94,571 142,820

In "Other payables" is being recorded the consideration for overdue interest recognized in the item

"Loans and advances to customers" (note 1.6). This interest will not be recognized in the results for the

year until it is received.

2.10 Off-balance sheet accounts

2017 2016

Credits written off 7,254,328 7,883,632

Assets received as collateral 382,899,138 409,662,943

Swap interest rate - -

390,153,466 417,546,574


79

3 Aqua NPL No. 1

On 05 March 2015, the Company carried out the transaction “Aqua Mortgage No. 1”. This transaction

was for the acquisition, for the price of €12,727,000, of a “non-performing loan” consumer credit

portfolio with a nominal value of €160,000,072, from Montepio Crédito - IFC, S.A. along with the

issuance of securitized bonds divided into two tranches issued with a premium: €14,300,000 Class A

Notes due 2025 and €1,200,000 Class B Notes due 2025. These were placed privately and subsequently

registered with the Portuguese Securities Market Commission (CMVM). The difference between the

nominal value of the loans and their acquisition cost was written off from the portfolio prior to its

acquisition. In this way, the transaction may receive amounts up to the nominal value of the acquired

loans.

The remuneration of Class A is fixed, with an annual rate of 8%. Class B does not have a set interest rate,

with entitlement to the available amounts after the transaction's other responsibilities have been fulfilled,

as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 15 April

2015, ending on 15 March 2025, the legal maturity date for all of the tranches.

Impairment









31.12.2017

Interest Rate

31.12.2016

Aqua NPL No.1

Class A Asset Backed Notes due 2025 March 2025 3,689,280 Fixed 8.00% 8.00%

Class B Notes due 2025 March 2025 1,200,000 - 0.00% 0.00%

4,889,280

The amounts received from acquired assets are transferred to the transaction's set of responsibilities in

accordance with its terms. Any surpluses generated by the assets will be paid to the holder of the bonds,

while any shortcomings will be assumed by the holder on their cancellation date, with no result in the

Company's operating accounts.


80


Income Statement


2017 2016

Interest and similar income 723,581 1,064,795

Interest expense and similar charges (615,344) (958,415)




fair value through profit or loss - -


Total operating income (108,237) (106,380)

Impairment losses on loans, net of reversals and recoveries - -

Operating income -


Income taxes - -


To be read with the notes attached to the financial statements.


81


2017 2016

Assets

Deposits at other Credit Institutions 748,462 929,773




Other assets - -

Total assets 3,767,546 7,570,327

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -



82



2017 2016





Receivables:

Client loans 4,345,051 4,093,842

Interest income - -

Payments





Receivables:


Payments


Interest expense (481,837) (781,109)



Net changes in cash and cash equivalents (181,311) (330,973)

Cash and Cash equivalents balance at the beggining of the year 929,773 1,260,747

Cash and Cash equivalents balance at the end of the year 748,462 929,773

Deposits at other Credit Institutions 748,462 929,773


83


2017 2016


Interest from loans and advances 723,581 1,064,795



723,581 1,064,795


Interest from debt securities issued (453,022) (795,648)



Premium bond issue (162,322) (162,767)

(615,344) (958,415)



2017 2016

Audit fee (16,108) (15,375)

Service fee (21,615) (20,459)

Issuer fee (50,030) (50,000)

Agent bank fee (9,330) (9,360)



Euronext - -

Interbolsa (1,624) (1,704)

Paying Agent fee (9,360) (9,360)


Legal Fee (123) (123)



CMVM (46) -

Commitment Fee - -

Others - -

(108,237) (106,380)

3.3 Deposits at other Credit Institutions 2017 2016

Deposits 427,322 295,174

Cash Reserve 321,139 634,599


748,462 929,773

The line “Deposits” corresponds to demand deposits at Montepio Geral.


84


Loans 3,019,084 6,640,554

Overdue loans - -


Overdue interest - -

Accrued interest - -

Lonas impairment - -

3,019,084 6,640,554

In "Loans and advances to customers" it is being shown the acquisition cost of the acquired loans under

the securitization transaction totalling €12,727,000, minus any interim capital receipts. The nominal

value of the loans acquired is €160,000,672. The difference vis-à-vis the acquisition cost is for loans

already written off by the originator of the transaction. Amounts for capital receipts are as follows:


2015 12,727,000 (3,057,399) 9,669,601

2016 9,669,601 (4,093,842) - 1,064,795 6,640,554

2017 6,640,554 (4,345,051) - 723,581 3,019,084




Issued notes premium - -

Issued notes discount (1,169,607) (1,331,929)

Other - -

3,745,088 7,548,420

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 15 April

2015, ending on 15 March 2025, the legal maturity date for all of the tranches. The amounts of interim



2015 15,500,000 (3,136,798) 12,363,202

2016 12,363,202 (3,537,084) 8,826,118

2017 8,826,118 (3,936,839) 4,889,280

3.6 Other liabilities 2017 2016

Audit fee 15,375 15,375



Agent bank fee 780 780



Other payables - -

22,458 21,907


85

4 BBVA Portugal RMBS no.1

On 30 December 2015, the Company carried out the transaction “BBVA Portugal RMBS No. 1”. This

transaction entailed the acquisition of a mortgage portfolio from Banco Bilbao Vizcaya Argentaria

(Portugal), S.A. for the price of €1,119,470,000, including an acquisition premium of €16,610,145 and

the issuance of securitized bonds divided into 3 tranches: €1,012,000.000 Class A, €88,000,000 Class B

and €92,200,000 Class C. The 3 tranches were issued at par. These bonds were placed privately and

subsequently registered with the Portuguese Securities Market Commission (CMVM).


S&P DBRS

Class A A - (sf) AA (high)

Class B - -

Class C - -




and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 30 March

2011, and will end on 30 December 2057, the legal maturity date for all of the tranches.


due to the grantor under mortgage agreements.

Impairment









31.12.2017

Interest Rate

31.12.2016

BBVA Portugal RMBS no.1

Class A Mortgage Backed Floating Rate due 2057 December 2057 827,628,760 EUR 3 M + 0,20% 0.00% 0.00%

Class B Mortgage Backed Floating Rate due 2057 December 2057 88,000,000 EUR 3 M + 0,40% 0.07% 0.10%

Class C Variable Rate due 2057 December 2057 92,200,000 - - -

1,007,828,760

The item “Debt securities issued” records the carrying value of securitization bonds within the scope of

the securitization transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class

B Notes”) with variable remuneration at the three-month Euribor plus a 0.20% and 0.40% spread,


between the amounts received and the remuneration paid to“Class A” and “Class B”. Each quarter, all

amounts received from securitized credit interest and transferred to the transaction are calculated. This




86

Income Statement


2017 2016



Net interest income 1,343,189 1,431,346



fair value through profit or loss(1,422,380) (1,211,644)

General and administrative costs (1,343,189) (1,431,346)

Total operating income (2,765,569) (2,642,990)

Impairment losses on loans, net of reversals and recoveries 1,422,380 1,211,644



Income taxes - -




87


2017 2016

Assets



Loans and advances to customers 933,338,763 1,030,653,301


Other assets - -

Total assets 1,020,910,251 1,123,691,386

Liabilities

Other loans - -


Debt securities issued 1,020,872,738 1,123,660,128



Equity

Share capital - -




Total Equity - -


Off-balance sheet accounts (note 4.9)



88



2017 2016


Other receivables / (payments) associated with the operating activities (1,339,801) (1,425,478)

Cash flows arising from operating activities (1,339,801) (1,425,478)


Receivables:

Client loans 98,285,811 84,435,468


Payments





Receivables:


Payments


Interest expense (6,274,533) (4,790,022)



Net changes in cash and cash equivalents (5,466,598) 838,086





89


2017 2016



Interest from deposits (395,196) (396,279)

Portfolio acquisition premium 5,643,022 -

10,142,109 5,867,327






(8,798,921) (4,435,981)


As defined in the prospectus of the transaction, the excess Cash Reserve is being distributed as interest

to the holders of Class C bonds, and is recognized under the heading Interest on securities issued. Because

Cash Reserve was created with the issuance of the aforementioned Class C bonds, an impairment loss is

recognized (see Note 4.7) against the item Other Interest.


profit and loss:

2017 2016




Other gains araising from financial operations - -

- -




Other losses araising from financial operations (1,422,380) (1,211,644)

(1,422,380) (1,211,644)

Net gains / (losses) arising from financial assets and liabilities

at fair value through profit or loss(1,422,380) (1,211,644)

In the items "Other gains/losses in financial operations" it is being included the recognition, during the

year, of the shortcoming/surplus assumed by the holders of the securities (note 4.7).


90


2017 2016

Audit fee (25,740) (24,723)

Service fee (1,001,985) (1,089,712)

Issuer fee (217,519) (236,662)

Agent bank fee (7,866) (10,421)


Rating Agency fee (49,200) -

Euronext (134) (17,752)

Interbolsa (21,044) (21,941)


Comissões Bancárias (82) (88)

Legal Fee (8,385) (23,797)



CMVM (8,113) -

Commitment Fee - -

Others - -

(1,343,189) (1,431,346)


2017 2016


Impairment losses (467,419) -


1,422,380 1,211,644


2017 2016

Deposits 5,189,493 5,013,069

Cash Reserve 82,381,995 88,025,017


87,571,488 93,038,086

The corresponding amount in “Deposits” corresponds to demand deposits at CitiBank – London Branch.


2017 2016

Loans 920,121,086 1,018,410,660


Porfolio acquisition premium / (discount) 15,816,504 16,211,700




933,338,763 1,030,653,301


91

The item "Loans and advances to customers" records the nominal value of the credit acquired under the

securitization transaction totalling €1,102,859,855, minus interim capital receipts and impairment losses.

This item includes the loan acquisition premium paid in full at the start of the transaction, totalling

€16,610,145, and accrued interest. Amounts for capital receipts are as follows:


2015 1,102,859,855 (4,118,912) 1,098,740,943

2016 1,098,740,943 (80,316,556) - - 1,018,424,388

2017 1,018,424,388 (98,285,811) - - 920,138,577


2017 2016

Loans impairment


Impairment losses (467,419) -


Loans writen-off - -


The item "Loan impairment" records the estimated losses incurred on the year's closing date, determined




2017 2016

Securitisation notes 1,007,828,760 1,108,919,895

Accrued interest 6,542,640 138,393

Issued notes premium 18,539,714 19,002,954


Other (12,038,375) (4,401,114)

1,020,872,738 1,123,660,128

The item “other” corresponds to the estimated loss that the holders will assume due to (i) impairment of

the credit portfolio; and (ii) the estimation of loss that will be payed by the securities’ owners. The

prospectus of the transaction defines that the excess Cash Reserve, which was constituted with the issue

of the said Class C bonds, is distributed as interest to the holders of these bonds.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 30 March

2016, ending on 30 March 2057, the legal maturity date for all of the tranches. The amounts of interim

securitization bond repayments had the following breakdown.


92


Audit fee 24,600 24,600


Issuer fee 1,120 616





37,513 31,258

The item "Other" records the consideration for overdue interest recognized in the item "Loans and

advances to customers" (note 4.6). This interest will not be recognized in the results for the year until it

is received.


2017 2016

Credits written off - -

Assets received as collateral 1,883,139,247 2,002,485,247


1,883,139,247 2,002,485,247

5 Castilho Mortgages No.1

On 25 September 2013, the Company carried out the transaction “Castilho Mortgages No. 1”. This

transaction was for the acquisition of a mortgage portfolio of Deutsche Bank AG (Portugal branch) in

the amount of €1,332,764,298 and the respective issuance of securitized bonds divided into 4 tranches:

€1,132,800,000 Class A, €199,900,000 Class B, €40,500,000 Class C and €1 Variable Funding Note.

The 4 tranches were issued at par. These bonds were placed privately and subsequently registered with

the Portuguese Securities Market Commission (CMVM).


Fitch S&P

Class A A- -

Class B - -

Class C - -

VFN - -




and conditions. The Variable Funding Note only provides entitlement to receive borrowed capital.


93

Pursuant to the provisions of the contractual agreement, with the exception of Class C, the bonds'

repayment date began on 22 October 2016, ending on 22 October 2058, the legal maturity date for all of

the tranches. The first repayment of Class C occurred in 2014.



Impairment









31.12.2017

Interest Rate

31.12.2016

Castilho Mortagages No.1

Class A - Notes October, 2058 828,468,753 EUR 3 M + 0,30% 0.00% 0.00%

Class B - Notes October, 2058 199,900,000 EUR 3 M + 0,50% 0.17% 0.20%

Class C - Notes October, 2058 39,981,000 - - -

Variable Funding Note October, 2058 1 - - -

1,068,349,754


the securitization transaction. This issuance corresponds to 4 tranches of bonds. The remuneration of the

first two tranches is indexed to the three-month Euribor plus a 0.3% spread for Class A and a 0.50%

spread for Class B. The Class C bonds have no set interest rate, with entitlement to amounts available

after the transaction's other responsibilities have been met, as stipulated in its terms and conditions. The

Variable Funding Note only provides entitlement to receive borrowed capital.



94

Income Statement


2017 2016






value through profit or loss1,222,022 2,456,203


Total operating income (155,845) 954,694

Impairment losses on loans, net of reversals and recoveries (1,222,022) (2,456,203)



Income taxes - -




95


2017 2016

Assets



Loans and advances to customers 995,778,897 1,094,406,617


Other assets 4,526 8,583,493

Total assets 1,062,465,434 1,295,022,661

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -





96



2017 2016



Cash flows arising from operating activities (1,382,726) (1,531,216)


Receivables:

Client loans 105,351,836 97,426,270


Payments





Receivables:


Payments





Net changes in cash and cash equivalents (125,350,540) 22,105,763





97


2017 2016




Portfolio acquisition premium (9,973) (10,000)

5,774,627 8,171,500





Premium bond issue - -

(4,396,760) (6,669,991)



profit and loss:

2017 2016




Other gains araising from financial operations 1,222,022 2,456,203

1,222,022 2,456,203





- -


fair value through profit or loss1,222,022 2,456,203

The items “Other gains/ (other losses) arising from financial operations “include the recognition, during

the year, of the shortcoming/surplus assumed by the holders of the securities (note 5.8).


98


2017 2016

Audit fee (25,777) (24,600)

Service fee (1,077,447) (1,182,251)

Issuer fee (221,655) (244,762)




Euronext - (254)

Interbolsa (28,733) (29,758)


Banking comissions - -

Legal Fee (9,802) (7,956)



CMVM (986) -

Commitment Fee - -

Others - -

(1,377,867) (1,501,509)


2017 2016




(1,222,022) (2,456,203)


Deposits 26,701,010 152,051,550

Cash Reserve 39,981,000 39,981,000

Liquidity Account 1 1

66,682,011 192,032,551

The item “Deposits” corresponds to demand deposits at Deutsche Bank, AG – Portugal branch.


Loans 995,351,085 1,094,087,423


Porfolio acquisition premium / (discount) 407,240 417,212



Lonas impairment (456,359) (657,149)

995,778,897 1,094,406,617


securitization transaction totalling €1,332,764,298, minus interim capital receipts and impairment losses,


99

plus the amount of buybacks of new credit, accrued interest and financing costs for the portfolio's

acquisition (this cost is amortized over the transaction's lifetime).

Amounts for interim capital receipts, buybacks of new credit and write-offs have the following

breakdown:


2013 1,332,764,298 (26,405,170) 104 1,306,463,565

2014 1,306,463,565 (70,952,559) 46,618,446 (1,015,763) 1,281,113,689

2015 1,281,113,689 (83,692,476) (3,187,523) 1,194,233,690

2016 1,194,233,690 (97,958,797) - (2,138,668) 1,094,136,226

2017 1,094,136,226 (97,294,079) - (1,422,812) 995,419,335


2017 2016

Loans impairment

Balance on January 1st (657,149) (339,614)



Loans writen-off 1,422,812 2,138,668

Balance on December 31st (456,359) (657,149)




5.7 Other assets 2017 2016

Receivables - 8,578,831


4,526 8,583,493

The entire item "Receivable" is for principal and interest already charged by the originator, but whose

financial transfer to the transaction did not occur until 2017.

The item "Up-front fee" records the amount not yet recognized in the results for the initial fee paid for





Accrued interest 2,054,663 3,855,041



Other (8,221,125) (6,999,103)

1,062,183,292 1,294,734,709


holders of the issued securities if the transaction ended on 31 December 2017.


100

Pursuant to the provisions of the contractual agreement, with the exception of Class C, the bonds'

repayment date began on 22 October 2016, ending on 22 October 2058, the legal maturity date for all of

the tranches. The first repayment of Class C occurred in 2014.


2013 1,373,200,001 - 1,373,200,001

2014 1,373,200,001 (519) 1,372,681,001

2015 1,372,681,001 - 1,372,681,001

2016 1,372,681,001 (74,802,230) 1,297,878,771

2017 1,297,878,771 (229,529,017) 1,068,349,754


Audit fee 24,600 24,600

Service fee 195,690 211,624

Issuer fee 54,080 44,128

Agent bank fee 1,820 833




282,142 287,952



is received.


2017 2016




3,134,475,959 3,115,827,018

6 Chaves Funding No. 7

On 10 July 2017, the Company carried out the transaction “Chaves Funding No.7”. This transaction was

for the acquisition of a portfolio of consumer credit lines and savings plans of 321 Crédito – IFC, S.A in

the amount of €28,800,000 and the respective issuance of securitized bonds divided into 2 tranches:

€25,800,000 Class A, €17,000,000 Class B, Tranche A was issued at par and B was issued with a

premium of €22,575.. These bonds were placed privately and subsequently registered with the

Portuguese Securities Market Commission (CMVM).

Class A remunerations is indexed to 1-Month Euribor plus a spread of 1.25%. Class B does not have a

defined interest rate. Pursuant to the provisions of the contractual agreement, the bonds' remuneration

(including the repayment of capital) is dependent on the assets' performance; in the event of these assets'

delinquency, this is fully reflected in the remuneration of the bonds.

In accordance with the contractual provisions, the date of repayment of the obligations will begin on

August 20, 2019 ending on March 20, 2035, the legal maturity date for all tranches.

The credits assigned correspond to capital repayment benefits and the payment of interest and other

amounts due to the assignor under mortgage loan agreements.


101

Impairment









31.12.2017

Chaves Funding No. 7

Class A - Notes March 2035 50,600,000 EUR 1 M + 1,25% 1.25%

Class B - Notes March 2035 21,594,532 - -


the securitization transaction. This issuance corresponds to 2 tranches of bonds. The remuneration of the

first tranche is indexed to the one-month Euribor plus a 1.25% spread. The Class B bonds have no set

interest rate, with entitlement to amounts available after the transactions of the other responsibilities have

been met, as stipulated in its terms and conditions. The Variable Funding Note only provides entitlement

to receive borrowed capital.

Next, the transaction’s financial statements are shown in reference to 31 December 2017 and 2016:


102

Income Statement


2017 2016

Interest and similar income 2,380,434 -

Interest expense and similar charges (1,716,775) -




value through profit or loss2,821,233 -


Total operating income 2,191,998 -

Impairment losses on loans, net of reversals and recoveries (2,855,658) -



Income taxes - -




103


2017 2016

Assets





Other assets 4,865 -


Liabilities

Other loans - -

Financial liabilities held for trading 18,198 -




Equity

Share capital - -




Total Equity - -





104



2017 2016


Other receivables / (payments) associated with the operating activities (594,876) -

Cash flows arising from operating activities (594,876) -


Receivables:


Interest income 2,119,892 -

Payments





Receivables:


Payments

Debt securities issued (522,713) -

Interest expense (618,740) -








105


2017 2016


Interest from loans and advances 2,380,434 -



2,380,434 -


Interest from debt securities issued (1,716,909) -



Premium bond issue 135 -

(1,716,775) -



profit and loss:

2017 2016



Operations with financial instruments- Swaps 16,227 -

Other gains araising from financial operations 2,855,658 -

2,871,885 -



Operations with financial instruments- Swaps (34,425) -

Other losses araising from financial operations (16,227) -

(50,652) -


fair value through profit or loss2,821,233 -



The item profits/ (losses) in Operations with financial instruments –swaps includes fair value variations

and the accrued interest on financial derivatives.


106



2017 2016




(2,855,658) -


2017 2016


Cash Reserve 500,000 -


2,754,472 -

The item “Deposits” corresponds to demand deposits at Citibank, – London branch.


2017 2016

Loans 77,463,383 -

Overdue loans 180,312 -


Overdue interest 78,742 -


Lonas impairment (2,430,545) -

75,552,435 -


securitization transaction totalling €42.322.575, minus interim capital receipts and impairment losses,

plus the amount of buybacks of new credit, accrued interest and financing costs for the portfolio's

acquisition (this cost is amortized over the transaction's lifetime).

2017 2016




Agent bank fee - -



Euronext - -

Interbolsa (1,223) -



Legal Fee (118,713) -



CMVM - -

Commitment Fee (353,628) -

Outros (680) -

(629,235) -


107


breakdown:


2017 42,322,575 (8,440,814) 44,006,734 (425,113) 77,463,383


2017 2016

Loans impairment

Balance on January 1st - -



Loans writen-off 425,113 -

Balance on December 31st (2,430,545) -

The item “Loan impairment” records the estimated losses incurred on the year’s closing date, determined



6.7 Other assets

2017 2016

Receivables - -

Up Front Fee 4,865 -

4,865 -

6.8 Financial Assets held for trade 2017 2016

Swap 1 133 -

Swap 2 489

Swap 3 4,870

Swap 4 12,70518,197 -

The items Swaps refers to the fair value of the interest rating swap operation, made in scope of Chaves

Funding Nº.7 transaction and the respective accrued interest.

The breakdown of the fair value of Swap for the years ended 31 December, 2017 and 2016 is as follows:

Notional Maturity Fair value: Fair value:

Amount 2017 2016

Swap 1 50,000,000 28-03-2019 133 -

Swap 2 25,000,000 28-08-2019 489 -

Swap 3 25,000,000 20-06-2020 4,870 -

Swap 4 25,000,000 20-12-2020 12,705 -

125,000,000 18,197 -

As previously referred, the counterparty of this derivative is Citibank.


108


2017 2016



Issued notes premium 22,440 -


Other (2,525,688) -

78,175,609 -


Audit fee 15,375 -

Service fee 16,030 -

Issuer fee 5,000 -

Agent bank fee - -



Other payables 78,742 -

117,966 -

The item “Other payables” includes the counterparty of the accrued interest already detailed on the item

“Loans and advances to customers” (note 6.6). This interest will only be recognized when received.


2017 2016

Credits written off 375,798 -

Assets received as collateral - -

Swap interest rate 125,000,000 -

125,375,798 -

7 Lusitano Finance No. 3

On 25 November 2011, the Company carried out the transaction “Lusitano Finance No. 3”. This

transaction was for the acquisition of a portfolio of consumer credit lines and savings plans of Banco

Espírito Santo, S.A. in the amount of €657,980,973 and the respective issuance of securitized bonds

divided into 3 tranches: €450,700,000 Class A, €207,200,000 Class B, €20,000,000 Class C. Class C was

issued at a premium. These bonds were placed privately and subsequently registered with the Portuguese

Securities Market Commission (CMVM). The bonds' remuneration is indexed to the three-month

Euribor, plus a spread of 1% and 2% for Class A and Class B, respectively. The Class C Bonds do not

have a set interest rate, with entitlement to the available amounts after the transaction's other

responsibilities have been fulfilled, as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 21 January

2012, ending on 21 October 2029, the legal maturity date for all of the tranches. Pursuant to the provisions

of the contractual agreement, the bonds' remuneration (including the repayment of capital) is dependent

on the assets' performance; in the event of these assets' delinquency, this is fully reflected in the

remuneration of the bonds.


due to the grantor under agreements for the granting of consumer credit lines and savings plans.

Impairment


109









31.12.2017

Interest Rate

31.12.2016

Lusitano Finance No.3

Class A-Notes October 2029 0 EUR 3 M + 1% 0.67% 0.71%

Class B-Notes October 2029 48,912,668 EUR 3 M + 2% 1.67% 1.71%

Class C-Notes October 2029 10,000,000 - - -

58,912,668

The item “Debt securities issued” records the carrying value of securitization bonds issued within the

scope of the securitization transaction. This issuance includes three tranches of bonds (“Class A Notes”

and “Class B Notes”) with variable remuneration indexed to the three-month Euribor plus a 1% and 2%

spread, respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be the

difference between the amounts received and the remuneration paid to“Class A” and “Class B”. Each

quarter, all amounts received from securitized credit interest and transferred to the transaction are

calculated. This amount minus costs will be paid to the holders of the bonds.



110

Income Statement for the years ended 31 December, 2017 and

2016

2017 2016






value through profit or loss(1,657,553) 1,734,803


Total operating income (1,806,081) 1,526,707

Impairment losses on loans, net of reversals and recoveries 1,657,553 (1,734,803)



Income taxes - -




111

Balance Sheet

as at 31 December, 2017 and 2016

2017 2016

Assets






Total assets 62,522,691 90,938,952

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -





112



2017 2016





Receivables:

Client loans 26,189,439 41,284,683


Payments





Receivables:


Payments





Net changes in cash and cash equivalents (3,633,021) (5,549,945)





113


2017 2016





2,014,157 4,274,041






(1,865,629) (4,065,945)



profit and loss:

2017 2016




Other gains araising from financial operations - 1,734,803

- 1,734,803




Other losses araising from financial operations (1,657,553) -

(1,657,553) -


fair value through profit or loss(1,657,553) 1,734,803




114


2017 2016

Audit fee (32,187) (30,750)

Service fee (99,169) (150,908)

Issuer fee (8,644) (12,572)




Euronext - -

Interbolsa (2,808) (3,742)



Legal Fee (123) (123)



CMVM - -

Commitment Fee - -

Others - (5,000)

(148,528) (208,096)


2017 2016


Impairment losses - (1,734,803)

Reversals of impairment losses 1,657,553 -

1,657,553 (1,734,803)


2017 2016

Deposits 6,038,935 9,671,955

Cash Reserve 10,000,000 10,000,000


16,038,935 19,671,955

The item “Deposits” corresponds to demand deposits at NOVO BANCO – London Branch.


Loans 43,604,369 70,186,874





Lonas impairment (730,377) (3,321,929)

46,477,194 71,259,872


securitization transaction totalling €657,980,973, minus interim capital receipts and impairment losses,

and plus accrued interest. Amounts for capital receipts and write-offs have the following breakdown:


115


2011 657,980,973 (29,242,647) 628,738,326

2012 628,738,326 (196,077,635) (71) 432,589,422

2013 432,589,422 (143,741,122) (1,761,723) 287,086,577

2014 287,086,577 (102,931,991) (5,566,507) 178,588,079

2015 178,588,079 (61,451,831) (3,268,446) 113,867,802

2016 113,867,802 (41,204,251) - (1,701,663) 70,961,888

2017 70,961,888 (26,189,439) - (669,153) 44,103,296


2017 2016

Loans impairment


Impairment losses - (1,734,803)


Loans writen-off 933,998 2,059,297

Balance on December 31st (730,377) (3,321,929)





Receivables - -


6,562 7,125






Accrued interest 603,029 1,066,551

Issued notes premium 3,164,771 3,432,661


Other (311,858) (2,592,492)

62,368,609 90,589,593



Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 21 January

2012, ending on 21 October 2029, the legal maturity date for all of the tranches.

The amounts of interim securitization bond repayments had the following breakdown:


116


2011 677,900,000 - 677,900,000

2012 677,900,000 (181,420,902) 496,479,098

2013 496,479,098 (172,006,594) 324,472,504

2014 324,472,504 (116,543,627) 207,928,877

2015 207,928,877 (72,231,494) 135,697,383

2016 135,697,383 (47,014,509) 88,682,874

2017 88,682,874 (29,770,206) 58,912,668


2017 2016

Audit fee 30,750 30,750



Agent bank fee 1,300 803


Paying agent fee 1,300 803


154,081 349,359



is received.


2017 2016




12,442,243 11,793,003

8 Pelican Finance No. 1

On 30 April 2014, the Company carried out the transaction “Pelican Finance No. 1”. This transaction

entailed the acquisition of a portfolio of consumer credit lines and auto loans of Caixa Económica

Montepio Geral totalling €293,994,013.71, with €176,535,071.95 from Montepio and €117,458,941.71

from Montepio Crédito. In addition, the transaction resulted in the issuance of securitized bonds divided

into 3 tranches: €202,900,000 Class A, €91,100,000 Class B, €14,700,000 Class C. The 3 tranches were

issued at par. These bonds were placed privately and subsequently registered with the Portuguese

Securities Market Commission (CMVM).


Fitch DBRS

Class A Notes A A

Class B Notes - -

Class C Notes - -


117

The remuneration of the first 2 tranches is fixed at 3% for Class A and at 4% for Class B. The Class C

Bonds do not have a set interest rate, with entitlement to the available amounts after the transaction's

other responsibilities have been fulfilled, as stipulated in its terms and conditions.

The Class A Notes are registered with the securities settlement company Interbolsa and listed on the

Euronext Lisbon stock exchange. Pursuant to the provisions of the contractual agreement, the bonds'

repayment date will begin in November 2017, ending in December 2028, the legal maturity date for all

of the tranches.

Pursuant to the provisions of the contractual agreement, the bonds' remuneration (including the

repayment of capital) is dependent on the assets' performance; in the event of these assets' delinquency,

this is fully reflected in the remuneration of the bonds.


due to the grantor under agreements for the granting of consumer credit lines and auto loans.

Impairment









31.12.2017

Interest Rate

31.12.2016

Pelican Finance No.1

Class A Notes December 2028 193,541,835 Fixed 3.00% 3.00%

Class B Notes December 2028 91,100,000 Fixed 4.00% 4.00%

Class C Notes December 2028 14,700,000 - - -

299,341,835


scope of the securitization transaction. This issuance includes three tranches of bonds (“Class A Notes”

and “Class B Notes”) with fixed remuneration of 3% and 4%, respectively, and a third tranche of bonds

(“Class C Notes”) whose remuneration will be the difference between the amounts received and the

remuneration paid to “Class A” and “Class B”.



118

Income Statement


2017 2016








Total operating income 1,315,772 2,944,364




Income taxes - -




119


2017 2016

Assets






Total assets 301,217,373 310,278,040

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




120



2017 2016





Receivables:

Client loans 6,263,165 (844,786)

Interest income 21,702,965 21,977,528

Payments





Receivables:


Payments

Debt securities issued (9,358,165) -




Net changes in cash and cash equivalents (431,888) 1,803,555





121


2017 2016





21,686,495 22,022,558






(21,184,566) (21,500,763)



profit and loss:

2017 2016





1,817,700 3,466,160





- -



The items "Other gains/losses in financial operations" include the recognition, during the year, of the

shortcoming/surplus assumed by the holders of the securities (note 8.8).


122



2017 2016




(1,817,700) (3,466,160)


Deposits 10,799,008 11,236,285

Cash Reserve 14,700,449 14,695,060


25,499,457 25,931,345

The item “Deposits” corresponds to demand deposits at Deutsche Bank, AG – London.


Loans 277,894,203 286,140,276

Overdue loans 4,103,478 2,892,236





275,714,164 284,342,602



plus the amount of buybacks of new credit and accrued interest.


breakdown:

2017 2016

Audit fee (21,236) (20,295)

Service fee (348,692) (327,554)

Issuer fee (67,076) (63,111)

Agent bank fee (8,733) (11,202)



Euronext (161) (600)

Interbolsa (8,310) (8,524)



Legal Fee (6,416) (26,883)



CMVM (2,279) -

Commitment Fee - -

Outros - -

(501,929) (521,795)


123


2014 293,994,014 (91,411,564) 82,569,467 (5) 285,146,419

2015 285,146,419 (117,683,453) 119,853,708 (6) 287,310,671

2016 287,310,671 (114,340,019) 116,078,840 (16,980) 289,032,512

2017 289,032,512 (109,400,082) 102,247,316 117,936 281,997,681


2017 2016

Loans impairment




Loans writen-off 34,195 1,001,735






Receivables - -


3,752 4,094

The entire item "Receivable" is for principal and interest already charged by the originator, but whose

financial transfer to the transaction did not occur until 2017.









Other (1,428,469) (1,571,092)

300,445,548 309,737,851




124


Audit fee 20,295 20,295


Issuer fee 4,823 515





771,825 540,190



is received.


125

9 Nostrum Mortgages No. 2

On 05 November 2010, the Company carried out the transaction “Nostrum Mortgages No. 2”. This

transaction was for the acquisition of a mortgage portfolio of Caixa Geral de Depósitos in the amount of

€5,345,050,000 and the respective issuance of securitized bonds divided into 3 tranches: €4,008,800,000

Class A, €1,336,250,000 Class B, €84,900,000 Class C. The 3 tranches were issued at par. These bonds

were placed privately and subsequently registered with the Portuguese Securities Market Commission

(CMVM).


Fitch Moody's S&P

Class A AA A1 A-

Class B - - -

Class C - - -

The bonds' remuneration is indexed to the three-month Euribor, plus a spread of 0.2% and 0.3% for Class

A and Class B, respectively. The Class C Bonds do not have a set interest rate, with entitlement to the

available amounts after the transaction's other responsibilities have been fulfilled, as stipulated in its

terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 20 February

2011, ending on 20 May 2065, the legal maturity date for all of the tranches. Pursuant to the provisions

of the contractual agreement, the bonds' remuneration (including the repayment of capital) is dependent

on the assets' performance; in the event of these assets' delinquency, this is fully reflected in the

remuneration of the bonds.



Impairment









31.12.2017

Interest Rate

31.12.2016

Nostrum Mortgage No.2

Class A-Notes May 2065 2,438,460,402 EUR 3 M + 0,2% 0.000% 0.000%

Class B-Notes May 2065 1,336,250,000 EUR 3 M + 0,3% 0.000% 0.001%

Class C-Notes May 2065 80,175,750 - - -

3,854,886,152


scope of the securitization transaction. This issuance includes two tranches of bonds (“Class A Notes”

and “Class B Notes”) with variable remuneration indexed to the three-month Euribor plus a 0.2% and

0.3% spread, respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be

the difference between the amounts received and the remuneration paid to“Class A” and “Class B”. Each

quarter, all amounts received from securitized credit interest and transferred to the transaction are

calculated. This amount minus costs will be paid to the holders of the bonds.



126

Income Statement


2017 2016








Total operating income 8,149,326 14,085,520




Income taxes - -




127


2017 2016

Assets


Balances due from other credit institutions 28,412,205 31,822,733

Loans and advances to customers 3,644,150,268 3,932,578,881


Other assets - -

Total assets 3,810,767,437 4,094,880,844

Liabilities

Other loans - -

Financial liabilities held for trading 30,160,923 40,954,683


Other liabilities 28,682,596 32,224,697


Equity

Share capital - -




Total Equity - -





128



2017 2016





Receivables:

Client loans 275,252,421 249,027,442

Interest income 67,494,246 74,090,575

Payments





Receivables:


Payments





Net changes in cash and cash equivalents 7,725,735 4,269,129





129

9.1 Net interest income 2017 2016



Interest from deposits - 15,511


47,543,677 49,925,733






(39,684,485) (39,827,616)



profit and loss:

2017 2016



Operations with financial instruments- Swaps 30,774,318 31,126,472


47,371,542 66,059,374



Operations with financial instruments- Swaps (27,200,440) (44,717,516)


(38,290,651) (50,990,545)



The item "Profits/ (losses) in transactions with financial trading instruments – swaps" includes changes

in fair value and interest accrued from financial derivatives.

The items “Other gains/ (other losses) arising from financial operations “ include the recognition, during



130



2017 2016




(16,008,518) (24,183,637)


Deposits 58,029,214 50,303,479

Cash Reserve 80,175,750 80,175,750


138,204,964 130,479,229

The item “Deposits” corresponds to demand deposits at Banco Santander SA (Madrid).

9.6 Investments at other credit institutions

2017 2016

Deposits at other credit institutions 28,412,205 31,822,733

28,412,205 31,822,733

The balance of this account corresponds to the margin account under the contracted swap.

2017 2016

Audit fee (32,187) (30,750)

Service fee (390,651) (419,676)

Issuer fee (292,988) (314,757)

Agent bank fee (15,600) (16,499)

Irish stock exchange fee (312) -


Euronext (66) (273)

Interbolsa (80,290) (88,876)


Comissões Bancárias (650) (658)

Legal Fee (3,487) (20,238)



CMVM (29,004) -

Commitment Fee (284) -

Outros - -

(931,566) (983,309)


131


Loans 3,649,237,914 3,940,677,528

Overdue loans 3,892,638 2,825,093





3,644,150,268 3,932,578,881


securitization transaction totalling €5,345,050,000, minus interim capital receipts and impairment losses,

and plus accrued interest. Amounts for capital receipts and write-offs have the following breakdown:


2010 5,345,050,000 (64,014,228) - 5,281,035,772

2011 5,281,035,772 (219,759,792) (1,688,477) 5,059,587,503

2012 5,059,587,503 (144,048,444) (54,362,910) 4,861,176,149

2013 4,861,176,149 (158,505,681) (57,347,593) 4,645,322,875

2014 4,645,322,875 (173,084,405) (27,033,951) 4,445,204,519

2015 4,445,204,519 (201,652,366) (31,796,125) 4,211,756,028

2016 4,211,756,028 (241,503,460) 139,859 (26,889,806) 3,943,502,622

2017 3,943,502,622 (272,231,119) - (18,140,950) 3,653,130,552


2017 2016

Loans impairment




Loans writen-off 18,140,950 25,786,187





9.8 Financial Liabilities held for trading

2017 2016

Swaps 30,160,923 40,954,683

30,160,923 40,954,683

The item "Swaps" corresponds to the fair value of the interest rate swap under the Nostrum Mortgages

No. 2 transaction and accrued interest.

The detail of the fair value of the swap in reference to 31 December 2017 and 2016 is shown in the

following table:


Amount 2017 2016

Nostrum Mortgage No.2 3,828,450,926 March 2065 29,580,227 40,081,731


132

The counterparty of the Derivative is Bank Santander, S.A.


2017 2016





Other (52,602,423) (66,011,599)

3,751,923,917 4,021,701,464

The item "Other" recognizes the shortcoming/surplus that would be assumed by the holders of the issued

securities if the transactions were closed out on 31 December 2017.

The amounts of interim repayments had the following breakdown:


2011 5,429,950,000 (267,213,955) 5,162,736,045

2012 5,162,736,045 (183,537,385) 4,979,198,660

2013 4,979,198,660 (220,287,043) 4,758,911,617

2014 4,758,911,617 (198,112,853) 4,560,798,764

2015 4,560,798,764 (226,709,509) 4,334,089,255

2016 4,334,089,255 (265,769,087) 4,068,320,168

2017 4,068,320,168 (284,210,654) 3,784,109,514


2017 2016

Audit fee 30,750 30,750


Issuer fee 31,642 34,069




Other payables 28,575,416 32,111,852

28,682,596 32,224,697

The item "Other" includes the consideration for overdue interest recognized in the item "Loans and


is received. This item also includes the amount of €28,575,416 for the margin account under the

contracted swap.


2017 2016



Swap interest rate 3,828,450,926 3,959,672,230

8,706,518,463 9,070,189,822


133

10 Silk Finance No. 4

On 16 November 2015, the Company carried out the transaction “Silk Finance No. 4”. This transaction

was for the acquisition of a consumer credit portfolio of Banco Santander Consumer Portugal, S.A. in

the amount of €611,022,649 and the respective issuance of securitized bonds divided into 4 tranches:

€509,400,000 Class A, €101,500,000 Class B, €3,700,000 Class C and €1 Variable Funding Note. The 4

tranches were issued at par. These bonds were placed privately and subsequently registered with the

Portuguese Securities Market Commission (CMVM).

The ratings for the different classes on 31 December 2017 were as follows:

S&P DBRS

Class A Notes A A

Class B Notes - -

Class C Notes - -

VFN - -

The remuneration of the first two tranches is fixed at 1.2% for Class A and at 2.4% for Class B. The

remaining classes not have a set interest rate, with entitlement to the available amounts after the

transactions of the other responsibilities have been fulfilled, as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date will begin on 25

January 2019, ending on 25 January 2031, the legal maturity date for all of the tranches.


due to the grantor under consumer credit agreements.

Impairment









31.12.2017

Interest Rate

31.12.2016

Silk Finance No.4

Class A Notes January 2031 509,400,000 Fixed 1.20% 1.20%

Class B Notes January 2031 101,500,000 Fixed 2.40% 2.40%

Class C Notes January 2031 3,700,000 - - -

Varible Funding Note January 2031 1 - - -

614,600,001


the securitization transaction. This issuance includes four tranches of bonds (“Class A Notes” and “Class

B Notes”) with fixed remuneration of 1.2% and 2.4%, respectively, and two tranches of bonds (“Class C

Notes” and Variable Funding Note) whose remuneration will be the difference between the amounts

received and the remuneration paid to “Class A” and “Class B”.



134

Income Statement


2017 2016






value through profit or loss1,397,585 898,286



Impairment losses on loans, net of reversals and recoveries (1,397,585) (898,286)

Operating income


Income taxes - -




135


2017 2016

Assets





Other assets 3,808,357 3,589,083

Total assets 620,452,207 622,121,023

Liabilities

Other loans - -



Other liabilities 1,368,539 1,374,587


Equity

Share capital - -




Total Equity - -




136



2017 2016



Cash flows arisinf from operating activities (6,311,868) (5,967,612)


Receivables:


Interest income 42,828,948 40,233,549

Payments

Loan portfolio acquisition (203,130,327) (10,971,530)




Receivables:


Payments





Net changes in cash and cash equivalents (492,015) (10,609,260)





137


2017 2016





42,927,244 43,834,285






(36,594,790) (37,487,892)


10.2 Net gains/ (losses) arising from financial assets and liabilities at fair value


2017 2016




Other gains araising from financial operations 1,397,585 898,286

1,397,585 898,286





- -


fair value through profit or loss1,397,585 898,286

The items “Other gains/ (other losses) arising from financial operations” include the recognition, during



138


2017 2016

Audit fee (43,472) (22,140)

Service fee (6,185,350) (6,212,005)

Issuer fee (62,314) (62,484)

Agent bank fee (15,600) (16,683)



Euronext (52) (11,283)

Interbolsa (20,815) (10,744)


Comissões Bancárias (34) -

Legal Fee (123) (7,123)



CMVM (534) -

Commitment Fee - -

Others - -

(6,332,454) (6,346,392)


2017 2016



Reversals of impairment losses 1,464,400 388,263

(1,397,585) (898,286)


Deposits 6,963,696 7,455,711

Cash Reserve 3,700,001 3,700,001


10,663,697 11,155,712

The item “Deposits” in the Silk Finance No. 4 transaction corresponds to demand deposits at BNP Paribas

– London Branch.


Loans 607,180,425 609,136,642

Overdue loans 3,757,375 1,791,688





605,980,153 607,376,228




139

plus the amount of buybacks of new credit and accrued interest. Amounts for capital receipts, buybacks

of new credit and write-offs have the following breakdown:


2015 611,022,649 (31,922,338) 31,907,418 611,007,729

2016 611,007,729 (201,702,574) 201,634,438 (11,263) 610,928,330

2017 610,928,330 (203,054,168) 203,130,327 (66,688) 610,937,800


2017 2016

Loans impairment



Reversals of impairment losses 1,464,400 388,263

Loans writen-off 66,688 11,263


10.7 Other assets

2017 2016

Receivables 3,808,357 3,589,083

Up Front Fee - -

3,808,357 3,589,083

The entire item "Receivable" is for interest already charged by the originator, but whose financial transfer

to the transaction did not occur until 2017.




Issued notes premium 140,275 149,158


Other (6,453,197) (5,055,611)

619,083,668 620,746,436




January 2019, ending on 25 January 2031, the legal maturity date for all of the tranches.


140


Audit fee 42,435 22,140

Service fee 1,137,143 1,136,853

Issuer fee 11,438 11,438





Payables - 68,281

1,368,539 1,374,587



is received.

The item "Payables" is for amounts to be delivered to the originator for the acquisition of new loans, net

of capital originating from the portfolio already received by the originator, but still not settled in the

transaction.

10.10 Off-balance sheet accounts 2017 2016

Credits written off 55,783 -



55,783 -

11 CMEC Volta Electricity Receivables Notes

On 22 December 2014, the Company carried out the transaction “CMEC Volta Electricity Receivables

Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A. ("Transferor"), of

loans for a portion of the 2012 annual tariff deficit adjustment, resulting from the deferral of

compensation for the early termination of power acquisition agreements to 2017 and 2018. Securitized

bonds totalling €243,507,000 were issued. These bonds were placed privately and subsequently

registered with the Portuguese Securities Market Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Pass-Through Notes due 2019” issued

at a discount in the amount of €240,500,000 with remuneration of 2.89678%; “Expense Reserve Notes

due 2019” issued at par for the amount of €317,000 without a set interest rate, with entitlement to amounts

available after the transaction's other responsibilities have been met; and “Liquidity Notes due 2019”

issued at par in the amount of €2,690,000, without remuneration, only giving entitlement to receive the

borrowed capital.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date begins on 10 March

2015, monthly, with final repayment scheduled for 10 February 2019 under the agreement.

Impairment

The Company periodically assesses the impairment of the assets in its portfolio using a model developed

for this purpose.



141


31.12.2017

Interest Rate

31.12.2016

CMEC Volta Electricity Receivables

Fixed Rate Pass-Through Notes due 2019 February 2019 134,730,128 Fixed 2.8968% 2.8968%

Liquidity Notes due 2019 February 2019 975,709 - - -

Expense Reserve Notes due 2019 February 2019 317,000 - - -

136,022,837


the securitization transaction. The amounts received each month are transferred to the transaction's set of

responsibilities in accordance with its terms. Any surpluses generated by the assets will be paid to the

holder of the bonds, while any shortcomings will be assumed by the holder on their cancellation date,

with no result in the Company's operating accounts.



142

Income Statement


2017 2016






value through profit or loss - -






Income taxes - -




143


2017 2016

Assets





Other assets - -

Total assets 136,498,414 235,627,998

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




144



2017 2016





Receivables:


Interest income 8,600,839 11,441,292

Payments -





Receivables:


Payments





Net changes in cash and cash equivalents 8,561,141 (31,637)





145


2017 2016




Portfolio acquisition premium (2,812,171) (4,171,487)

5,788,668 7,269,805





Premium bond issue (21,553) (21,613)

(5,613,368) (7,091,331)




2017 2016

Deposits 10,229,653 953,462

Cash Reserve 275,485 279,026

Liquidity Account 975,709 1,687,218

11,480,847 2,919,706


2017 2016

Audit fee (16,108) (15,375)

Service fee (69,000) (69,000)

Issuer fee (50,000) (50,000)

Agent bank fee (15,600) (15,600)

Irish stock exchange fee (2,460) -


Euronext - (66)

Interbolsa (7,029) (7,812)



Legal Fee (7,601) (14,381)



CMVM (1,262) -

Commitment Fee - -

Outros - -

(175,300) (178,474)


146


Loans 123,947,382 228,825,936

Overdue loans - -





125,017,567 232,708,292


securitization transaction totalling €228,825,936, minus interim capital receipts. This item includes the

loan acquisition premium paid in full at the start of the transaction, totalling €11,005,675. Amounts for

capital receipts are as follows:


2014 228,825,936 228,825,936

2015 228,825,936 228,825,936

2016 228,825,936 - - - 228,825,936

2017 228,825,936 (104,878,554) - - 123,947,382





Issued notes discount (24,034) (45,587)

Other 141,339 90,944

136,471,822 235,601,407

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in March 2015,

ending in February 2019, the legal maturity date for all of the tranches. The amounts of interim



2014 243,507,000 - 243,507,000

2015 243,507,000 (4,148,290) 239,358,710

2016 239,358,710 (4,376,100) 234,982,610

2017 234,982,610 (98,959,774) 136,022,837


Audit fee 15,375 15,375






Other payables - -

26,592 26,592


147

12 EnergyOn No. 1 Securitisation Notes

On 06 March 2009, the Company carried out the transaction “ EnergyOn No. 1 Securitization Notes”.

This transaction entailed the acquisition, from EDP Serviço Universal, SA, of loans with entitlement to

receive amounts for payments for positive adjustments to electricity acquisition costs for the years 2007

and 2008. Securitized bonds totalling €1,258,600,000 were issued at par. These bonds were placed

privately and subsequently registered with the Portuguese Securities Market Commission (CMVM).


Moody's DBRS

Class A1 A1 BBB (high)

Class A2 - -

Class B - -

This issuance corresponds to 3 tranches of bonds: “Class A1 Notes”issued at par in the amount of

€1,253,450,000 with variable remuneration at the one-month Euribor plus a 0.90% spread, with a 1.95%

spread after the step-up date; “Class A2 Notes” issued at par in the amount of €150,000 with remuneration

of 12 consecutive payments, defined as differential step-up amounts, only insofar as such payments are

due; and a third tranche of bonds, “Class B Notes”, issued at par in the amount of €5,000,000, whose

remuneration will be the difference between the amounts received and the remuneration paid to “Class

A1” and “Class A2” and all costs, fees and expenses due on this date. All are registered with the securities

settlement company Interbolsa. Class A1 is listed on the Euronext Lisbon stock exchange. Pursuant to

the provisions of the contractual agreement, the bonds' repayment date began on 12 March 2010,

monthly, beginning with Class A1, followed by Class A2 and finally Class B.

Impairment


for this purpose.



31.12.2017

Interest Rate

31.12.2016

EnergyOn No.1

Class A1-Notes March 2025 656,007,868 EUR 1 M + 1,95% 1.5790% 1.5770%

Class A2-Notes March 2025 150,000 - - -

Class B-Notes March 2025 5,000,000 - - -

661,157,868







148


Income Statement


2017 2016





Net gains/ (losses) arising from financial assets and

liabilities at fair value through profit or loss(1,307,371) (2,555,979)






Income taxes - -




149


2017 2016

Assets






Total assets 673,635,860 760,833,992

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




150



2017 2016



Cash flows arisinf from operating activities (194,495) (197,684)


Receivables:

Client loans 87,095,615 84,614,572

Interest income 24,052,103 29,457,859

Payments -





Receivables:


Payments










151


2017 2016





12,626,177 16,014,585






(11,122,687) (13,258,868)



2017 2016

Gains arising from financial assets and liabilities

at fair value




21,034,603 25,859,151

Losses arising from financial assets and liabilities

at fair value through profit and loss:



(22,341,974) (28,415,130)

Net gains / (losses) arising from financial assets

and liabilities at fair value through profit or loss(1,307,371) (2,555,979)

The item "Profits/losses in transactions with financial trading instruments – swaps" includes changes in

fair value and interest accrued from financial derivatives.

The items “Other gains/ (other losses) arising from financial operations” include the recognition, during



152



Deposits 8,301,999 8,400,319

Cash Reserve 4,884,549 4,888,442


13,186,548 13,288,761



Loans 660,447,002 747,542,617

Overdue loans - -





660,447,002 747,542,617


securitization transaction totalling €1,275,682,000, minus interim capital receipts and plus accrued

interest. Amounts for capital receipts are as follows:


2009 1,275,682,000 - 1,275,682,000

2010 1,275,682,000 (62,647,812) 1,213,034,188

2011 1,213,034,188 (71,719,681) 1,141,314,507

2012 1,141,314,507 (70,602,017) 1,070,712,490

2013 1,070,712,490 (76,216,664) 994,495,826

2014 994,495,826 (80,193,335) 914,302,491

2015 914,302,491 (82,145,302) 832,157,189

2016 832,157,189 (84,614,572) - - 747,542,617

2017 747,542,617 (87,095,615) - - 660,447,002

2017 2016

Audit fee (32,187) (30,750)

Service fee (25,000) (25,862)

Issuer fee (73,369) (80,798)

Agent bank fee (12,480) (12,910)




Interbolsa (15,611) (17,817)



Legal Fee (123) (123)



CMVM (5,543) -

Commitment Fee - -

Outros (241) -

(196,119) (199,738)


153

12.6 Other assets

2017 2016

Receivables - -


2,310 2,615




12.7 Financial assets held for trade

The detail of the swaps, paid and calculated monthly, is shown in the following table:

2017 2016

Swaps 14,322,780 15,325,509

14,322,780 15,325,509

The item "Swaps" corresponds to the fair value of the interest rate swap under the EnergyOn No. 1

Securitization Notes and accrued interest. As mentioned before, the counterparty of this operation is

Deutsche Bank AG.


following table:


Amount 2017 2016

EnergyOn No.1 667,722,186 12-02-2025 14,065,146 15,052,080






Other (2,779,150) (2,081,122)

659,273,513 745,470,236



Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in March 2010,

ending in May 2025, the legal maturity date for all of the tranches. The amounts of interim securitization

bond repayments had the following breakdown:


154


2010 1,258,600,000 (55,967,280) 1,202,632,720

2011 1,202,632,720 (70,177,276) 1,132,455,444

2012 1,132,455,444 (69,507,872) 1,062,947,572

2013 1,062,947,572 (74,384,954) 988,562,618

2014 988,562,618 (78,497,378) 910,065,240

2015 910,065,240 (80,577,864) 829,487,376

2016 829,487,376 (82,943,450) 746,543,926

2017 746,543,926 (85,386,057) 661,157,869


Audit fee 30,750 30,750






Other payables - -

39,567 38,247


2017 2016



Swap interest rate 667,722,186 754,611,424

667,722,186 754,611,424

13 EnergyOn No. 2 Securitisation Notes

On 03 December 2009, the Company carried out the transaction “EnergyOn No. 2 Securitization Notes”.

This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of loans with entitlement to

receive amounts for payments for positive adjustments to electricity acquisition costs for the year 2009.

Securitized bonds totalling €440,850,000 were issued at par. These bonds were placed privately and

subsequently registered with the Portuguese Securities Market Commission (CMVM).


Moody's DBRS

Class A A1 BBB (high)

Class B - -

This issuance corresponds to 2 tranches of bonds: “Class A Notes” issued at par in the amount of

€440,650,000 with variable remuneration at the one-month Euribor plus a 0.90% spread, with a 1.60%

spread after the step-up date; “Class B Notes” issued at par in the amount of €200,000 with remuneration

corresponding to 12 consecutive payments, defined as differential step-up amounts, only insofar as these

payments are due. All are registered with the securities settlement company Interbolsa. Class A is listed

on the Euronext Lisbon stock exchange. Pursuant to the provisions of the contractual agreement, the

bonds' repayment date began on 12 March 2010, monthly, beginning with Class A, followed by Class B.


155

Impairment


for this purpose.



31.12.2017

Interest Rate

31.12.2016

EnergyOn No.2

Class A-Notes May 2025 230,531,705 EUR 1 M + 1,60% 1.23% 1.23%

Class B-Notes May 2025 200,000 - - -

230,731,705








156

Income Statement


2017 2016






value through profit or loss(368,182) (819,044)






Income taxes - -




157


2017 2016

Assets






Total assets 236,303,938 266,902,138

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




158



2017 2016





Receivables:

Client loans 30,550,393 29,680,125

Interest income 8,507,202 10,407,146

Payments -





Receivables:


Payments










159


2017 2016





3,552,093 4,620,106






(3,041,857) (3,654,012)



2017 2016





49,487,166 9,685,509





(49,855,348) (10,504,553)


fair value through profit or loss(368,182) (819,044)

The item "Profits/losses in transactions with financial trading instruments – swaps" includes changes in

fair value and interest accrued from financial derivatives. The items “Other gains/ (other losses) arising

from financial operations” include the recognition, during the year, of the shortcoming/surplus assumed

by the holders of the securities (note 13.8).


2017 2016

Audit fee (25,777) (24,600)

Service fee (25,000) (25,862)

Issuer fee (39,986) (46,469)

Agent bank fee (10,400) (10,759)




Interbolsa (6,412) (7,186)



Legal Fee (123) (123)



CMVM (1,938) -

Commitment Fee - -

Outros (241) -

(142,053) (147,050)


160


2017 2016

Deposits 2,912,150 2,946,638

Cash Reserve 1,725,386 1,738,386


4,637,536 4,685,024



Loans 231,663,982 262,214,375

Overdue loans - -





231,663,982 262,214,375

The item "Loans" records the nominal value of the credit acquired under the securitization transaction

totalling €447,469.00, minus interim capital receipts and plus accrued interest. Amounts for capital

receipts are as follows:


2009 447,469,000 447,469,000

2010 447,469,000 (21,974,874) 425,494,126

2011 425,494,126 (25,157,001) 400,337,125

2012 400,337,125 (24,764,954) 375,572,171

2013 375,572,171 (26,734,399) 348,837,772

2014 348,837,772 (28,129,291) 320,708,481

2015 320,708,481 (28,813,981) 291,894,500

2016 291,894,500 (29,680,125) - - 262,214,375

2017 262,214,375 (30,550,393) - - 231,663,982

13.6 Other assets

2017 2016

Receivables - -


2,420 2,739




13.7 Financial assets held for trade 2017 2016

Swaps 3,906,415 5,554,760

3,906,415 5,554,760

The item "Swaps" corresponds to the fair value of the interest rate swap transaction and accrued interest.


161


following table:


Amount 2017 2016

EnergyOn No.2 234,215,869 12-02-2025 3,944,511 5,463,374

As mentioned before, the counterparty of this derivative is Banco Santander, S.A.






Other 1,390,124 279,025

232,366,794 261,316,236



Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in March 2010, ending in May 2025, the legal maturity date for all of the tranches. The amounts of interim securitization bond repayments had the following breakdown:


2009 440,850,000 - 440,850,000

2010 440,850,000 (19,683,496) 421,166,504

2011 421,166,504 (24,681,102) 396,485,402

2012 396,485,402 (24,445,670) 372,039,732

2013 372,039,732 (26,160,926) 345,878,806

2014 345,878,806 (27,607,250) 318,271,556

2015 318,271,556 (28,338,952) 289,932,604

2016 289,932,604 (29,170,923) 260,761,681

2017 260,761,681 (30,029,976) 230,731,705


Audit fee 24,600 24,600






Other payables - -

30,729 31,143


162


2017 2016



Swap interest rate 234,215,869 264,693,875

234,215,869 264,693,875

14 Volta Electricity Receivables Notes

On 30 May 2013, the Company carried out the transaction “Volta Electricity Receivables Securitization

Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A. ("Transferor") of

loans corresponding to a portion of the 2012 tariff deficit, which resulted from a 5-year deferral of the

recovery of the 2012 surcharge for the acquisition of power from producers under a special scheme

(including the 2010 and 2011 adjustments). Securitized bonds totalling €455,095,000 were issued at par.

These bonds were placed privately and subsequently registered with the Portuguese Securities Market

Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Notes due 2017” issued at par in

the amount of €450,000,000 with remuneration of 4.172%; “Class R Notes due 2017” issued at par for

the amount of €400,000 without a set interest rate, with entitlement to amounts available after the

transaction's other responsibilities have been met; and “Liquidity Notes due 2017” issued at par in the

amount of €4,695,000, without remuneration, only giving entitlement to receive the borrowed capital.

The senior tranche is registered with the securities settlement company Interbolsa and listed on the


repayment date began on 16 July 2013, monthly, beginning with the “Fixed Rate Senior Notes due 2017”,

and with the final repayment scheduled for 16 February 2017, the legal maturity date for all of the

tranches.

Impairment


for this purpose.


31.12.2016

Interest Rate

31.12.2017

Volta Electricity Receivables Securitisation Notes

Fixed Rate Senior Notes due 2017 February 2017 21,979,694 Fixed 4.1720% -

Class R Notes due 2017 February 2017 400,000 - - -


22,608,942



163

Income Statement

For the years ended 31 December, 2017 and 2016

2017 2016

Interest and similar income 41,160 3,584,812

Interest expense and similar charges 28,030 (3,390,381)










Income taxes - -




164


2017 2016

Assets

Deposits at other Credit Institutions 3,516 11,607,798


Loans and advances to customers - 11,039,158


Other assets - 140

Total assets 3,516 22,647,096

Liabilities

Other loans - -


Debt securities issued 3,516 22,620,112

Other liabilities - 26,984

Total Liabilities 3,516 22,647,096

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities 3,516 22,647,096



165



2017 2016





Receivables:

Client loans 10,421,669 123,201,534

Interest income 658,649 9,762,282

Payments -





Receivables:


Payments


Interest expense (143,160) (4,079,989)





Cash and Cash equivalents balance at the end of the year 3,517 11,607,799

Deposits at other Credit Institutions 3,517 11,607,798


166


2017 2016


Interest from loans and advances 658,654 8,523,286


Portfolio acquisition premium (617,494) (4,938,474)

41,160 3,584,812


Interest from debt securities issued 28,030 (3,390,381)




28,030 (3,390,381)



2017 2016

Audit fee (11,836) (20,295)

Service fee (5,000) (60,000)

Issuer fee (338) (19,504)

Agent bank fee (2,043) (15,600)



Euronext - (715)

Interbolsa (3,743) (5,115)



Legal Fee (123) (7,923)



CMVM (7) -

Commitment Fee - -

Others - -

(69,190) (194,431)


2017 2016

Deposits 2,453 11,084,258

Cash Reserve 96 293,325

Liquidity Account 967 230,216

3,516 11,607,798


167


Loans - 10,421,664

Overdue loans - -

Porfolio acquisition premium / (discount) - 617,494




- 11,039,158

The item "Loans and advances to customers - Notes" records the nominal value of the credit acquired

under the securitization transaction totalling €422,691,767, minus interim capital receipts. This item

includes the loan acquisition premium paid in full at the start of the transaction, totalling €26,406,933.

Amounts for capital receipts are as follows:


2013 422,691,767 (60,700,241) 628,738,326

2014 361,991,526 (110,085,952) 251,905,574

2015 251,905,574 (117,043,380) 134,862,194

2016 134,862,194 (124,440,530) - - 10,421,664

2017 10,421,664 (10,421,664) - - -


Receivables - -

Up Front Fee - 140

- 140





2017 2016

Securitisation notes - 22,608,943




Other - (93,716)

3,516 22,620,112

The amount registered at 31 December 2017, corresponds to the amount to be payed to the notes’

holders.


168

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in July 2013,




2013 455,095,000 (57,993,084) 397,101,916

2014 397,101,916 (119,669,648) 277,432,268

2015 277,432,268 (124,758,849) 152,673,419

2016 152,673,419 (130,064,477) 22,608,943

2017 22,608,943 (22,608,943) -


2017 2016

Audit fee - 20,295

Service fee - 5,000

Issuer fee - 389

Agent bank fee - 1,300



Other payables - -

- 26,984

15 Volta II Electricity Receivables Securitisation Notes

On 26 March 2014, the Company carried out the transaction “Volta II Electricity Receivables

Securitization Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A.

("Transferor") of loans corresponding to a portion of the 2013 tariff deficit, which resulted from a 5-year

deferral of the recovery of the 2013 surcharge for the acquisition of power from producers under a special

scheme (including the 2011 and 2012 adjustments). Securitized bonds totalling €756,061,000 were issued

at par. These bonds were placed privately and subsequently registered with the Portuguese Securities

Market Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Notes due 2018” issued at par in

the amount of €750,000,000 with remuneration of 2.98%; “Class R Notes due 2018” issued at par for the

amount of €473,000 without a set interest rate, with entitlement to amounts available after the

transaction's other responsibilities have been met; and “Liquidity Notes due 2018” issued at par in the

amount of €5,588,000, without remuneration, only giving entitlement to receive the borrowed capital.


Moody's Fitch DBRS

Fixed Rate Senior Notes due 2018 A3 BBB BBB (High)

Class R Notes due 2018 - - -

Liquidity Notes due 2018 - - -



repayment date began on 16 May 2014, monthly, beginning with the “Fixed Rate Senior Notes due

2018”, and with the final repayment scheduled for 16 February 2018, the legal maturity date for all of

the tranches.

Impairment


169


for this purpose.



31.12.2017

Interest Rate

31.12.2016

Volta II Electricity Receivables Securitisation Notes

Fixed Rate Notes Senior due 2018 February 2018 34,428,813 Fixed 2.9800% 2.9800%

Class R Notes due 2018 February 2018 473,000 - - -


35,158,233




holder of the bonds, while the holder will assume any shortcomings on their cancellation date, with no

result in the Company's operating accounts.


Income Statement


2017 2016












Income taxes - -




170


2017 2016

Assets





Other assets - -

Total assets 35,139,422 240,416,378

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




171



2017 2016





Receivables:

Client loans 195,377,605 185,593,246

Interest income 12,377,363 22,161,721

Payments -





Receivables:


Payments










172


2017 2016





4,040,718 10,412,598






(3,829,170) (10,154,180)


15.2 General and administrative costs 2017 2016

Audit fee (19,312) (18,450)

Service fee (69,000) (69,000)

Issuer fee (26,210) (71,244)

Agent bank fee (15,600) (15,600)




Interbolsa (6,230) (10,441)



Legal Fee (7,841) (7,646)



CMVM (1,118) -

Commitment Fee - -

Others - -

(211,548) (258,418)


Deposits 17,317,651 17,317,647

Cash Reserve 297,966 348,582


17,872,915 19,435,621



173


Loans 16,356,744 211,734,349

Overdue loans - -

Porfolio acquisition premium / (discount) 909,764 9,246,409




17,266,508 220,980,758

The item "Loans and advances to customers - Notes" records the nominal value of the credit acquired

under the securitization transaction totalling €694,856,546, minus interim capital receipts. This item

includes the loan acquisition premium paid in full at the start of the transaction, totalling € 54.267.537.

Amounts for capital receipts are as follows:


2014 694,856,546 (124,142,297) 570,714,249

2015 570,714,249 (174,392,712) 396,321,537

2016 396,321,537 (184,587,188) - - 211,734,349

2017 211,734,349 (195,377,605) - - 16,356,744


2017 2016





Other (149,455) 139,960

35,113,356 240,386,751

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in May 2014,




2015 502,898,000 (84,661,407) 418,236,593

2016 418,236,593 (178,610,590) 239,626,003

2017 239,626,003 (204,477,770) 35,148,233


Audit fee 18,450 18,450


Issuer fee 566 4,127




Other payables - -

26,066 29,627


174

16 Volta III Electricity Receivables Notes

On 24 March 2015, the Company carried out the transaction “Volta III Electricity Receivables

Securitization Notes”. This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of

loans with entitlement to receive amounts for payments for positive adjustments to electricity acquisition

costs for the year 2014. Securitized bonds totalling €502,898,000 were issued at par. These bonds were

placed privately and subsequently registered with the Portuguese Securities Market Commission

(CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Asset-Backed Notes due 2019”

issued at par in the amount of €500,000,000 with remuneration of 1.99%; “Liquidity Notes due 2019”

issued at par for the amount of €2,488,000 without a set interest rate; and “Class R Notes due 2019”

issued at par in the amount of €410,000, without remuneration, with the latter two tranches only giving

entitlement to receive the borrowed capital.


Moody's Fitch DBRS

Fixed Rate Senior Asset-Backed Notes due 2019 A1 BBB BBB (high)

Liquidity Notes due 2019 - - -

Class R Notes due 2019 - - -



repayment date began on 12 May 2015, monthly, with final repayment scheduled for 12 February 2019,

the legal maturity date for all of the tranches.

Impairment


for this purpose.



31.12.2017

Interest Rate

31.12.2016

Volta III Electricity Receivables Securitisation Notes

Fixed Rate Senior Asset-Backed Notes due 2019 February 2019 156,227,888 Fixed 1.9900% 1.9900%


Class R Notes due 2019 February 2019 1,429,233 - - -

158,067,121




holder of the bonds, while the holder will assume any shortcomings on their cancellation date, with no

result in the Company's operating accounts.

Next, the transaction's financial statements are shown in reference to 31 December, 2017 and 2016:


175

Income Statement


2017 2016












Income taxes - -




176


2017 2016

Assets





Other assets - -

Total assets 157,923,452 289,879,333

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




177



2017 2016





Receivables:

Client loans 123,286,644 116,706,777

Interest income 12,704,460 19,284,327

Payments -





Receivables:


Payments










178


2017 2016





4,719,932 7,552,148






(4,492,543) (7,295,175)



2017 2016

Audit fee (20,595) (19,680)

Service fee (66,000) (66,000)

Issuer fee (43,991) (73,845)

Agent bank fee (15,600) (15,600)




Interbolsa (7,722) (10,545)



Legal Fee (7,915) (7,822)



CMVM (1,778) -

Commitment Fee - -

Others - -

(227,389) (256,973)


2017 2016

Deposits 11,346,236 11,346,236

Cash Reserve 326,812 359,522


12,450,282 13,134,992



179


Loans 140,045,614 263,332,258

Overdue loans - -





145,473,169 276,744,341



loan acquisition premium paid in full at the start of the transaction, totalling €34.042.977. Amounts for



2015 465,418,199 (84,473,514) 380,944,685

2016 380,944,685 (117,612,427) - - 263,332,258

2017 263,332,258 (123,286,644) - - 140,045,614


2017 2016





Other 200,187 225,196

157,894,261 289,847,686





2015 502,898,000 (84,661,407) 418,236,593

2016 418,236,593 (129,114,267) 289,122,326

2017 289,122,326 (131,707,205) 157,415,122


2017 2016

Audit fee 19,680 19,680






Other payables - -

29,191 31,646


180

17 Volta IV Electricity Receivables Securitisation Notes

On 03 August 2016, the Company carried out the transaction “Volta IV Electricity Receivables

Securitization Notes”. This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of




(CMVM).


Moody's Fitch DBRS

Senior Notes A1 (sf) BBB (sf) BBB (high) (sf)

Liquidity Notes - - -

Class R Notes - - -

This issuance corresponds to 3 tranches of bonds: “Senior Notes” issued in the amount of €600,000,000;

“Class R Notes” issued in the amount of €381,000; “Liquidity Notes” issued in the amount of €3,635,000.

The remuneration of the Senior Notes is fixed, with an annual rate of 2.423%. The remaining classes not

have a set interest rate, with entitlement to the available amounts after the transaction's other



September 2016, ending on 12 February 2021, the legal maturity date for all of the tranches.



repayment date began on 12 September 2016, monthly, with final repayment scheduled for 12 February

2021, the legal maturity date for all of the tranches.

Impairment


for this purpose.



31.12.2017

Interest Rate

31.12.2016

Volta IV Electricity Receivables Securitisation Notes

Fixed Rate Senior Notes due 2017 February 2021 472,896,953 Fixed 2.4230% 2.4230%

Class R Notes due 2017 February 2021 2,864,673 - - -


476,142,626







181

Next, the transaction's financial statements are shown in reference to 31 December, 2017 and 2016:

Income Statement


2017 2016












Income taxes - -




182


2017 2016

Assets





Other assets - -

Total assets 477,197,620 599,503,265

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -



183



2017 2016





Receivables:

Client loans 132,192,070 7,976,700

Interest income 13,235,710 5,678,662

Payments

Loan portfolio acquisition - (599,987,316)


Cash flows arising from investing activities 145,427,780 (586,331,954)


Receivables:

Debt securities issued - 604,016,000

Payments




Cash flows arising from financing activities (135,659,001) 593,143,276

Net changes in cash and cash equivalents 9,484,913 6,711,332

Cash and Cash equivalents balance at the beggining of the year 6,711,332 -




184


2017 2016




Portfolio acquisition premium 401,512 781,317

13,637,223 6,459,979






(13,357,734) (6,323,636)


17.2 General and administrative costs:

2017 2016

Audit fee (20,595) (19,680)

Service fee (60,000) (25,000)

Issuer fee (81,155) (37,584)

Agent bank fee - -



Euronext (249) (5,713)

Interbolsa (13,562) (3,470)



Legal Fee (7,726) (8,580)

Transaction Manager (71,169) (17,866)


CMVM (4,123) -

Commitment Fee - -

Others - -

(279,488) (136,343)

17.3 Deposits at other Credit Institutions: 2017 2016

Deposits 12,972,428 2,731,072

Cash Reserve 359,244 379,460

Liquidity Account 2,864,573 3,600,800

16,196,246 6,711,332

The item "Deposits at other Credit Institutions - Notes" corresponds to demand deposits at CitiBank –

London Branch.


185


2017 2016

Loans 458,714,410 590,906,480

Overdue loans - -





461,001,375 592,791,933



loan acquisition discount paid in full at the start of the transaction, totalling €1,104,136. Amounts for



2016 598,883,180 (7,976,700) - 590,906,480

2017 590,906,480 (132,192,070) - - 458,714,410


2017 2016





Other 59,150 (167,022)

477,165,645 599,466,912





2016 604,016,000 (5,597,518) 598,418,482

2017 598,418,482 (122,275,956) 476,142,526


2017 2016

Audit fee 19,680 19,680



Agent bank fee - -

Transaction Manager 1,343 4,193


Other payables - -

31,975 36,353


186

18 Volta V Electricity Receivables Securitisation Notes

On 06 December 2017, the Company carried out the transaction “ Volta V Electricity Receivables

Securitisation Notes” – This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of




(CMVM).


Moody's Fitch

Fixed Rate Senior Asset-Backed Notes due 2019 A1 (sf) BBB (sf)

Liquidity Notes due 2019 - -

Class R Notes due 2019 - -

This issuance corresponds to 3 tranches of bonds: “Senior Notes” issued in the amount of €600,000,000;

“Class R Notes” issued in the amount of €372,000; “Liquidity Notes” issued in the amount of €1,275,000.

The remuneration of the Senior Notes is fixed, with an annual rate of 0.85%. The remaining classes do

not have a set interest rate, with entitlement to the available amounts after the transactions of other



January 2018, ending on 12 February 2022, the legal maturity date for all of the tranches.



repayment date began on 12 January 2018, monthly, with final repayment scheduled for 12 February

2022, the legal maturity date for all of the tranches.

Impairment


for this purpose.



31.12.2017

Volta V Electricity Receivables Securitisation Notes

Fixed Rate Senior Notes due 2017 February 2022 600,000,000 Fixed 0.85%

Class R Notes due 2017 February 2022 1,275,000 - -

Liquidity Notes due 2017 February 2022 372,000 - -

601,647,000







187

Below, the transaction's financial statements are shown in reference to 31 December, 2017 and 2016:

Income Statement


2017 2016

Interest and similar income 953,724 -

Interest expense and similar charges (926,488) -






Total operating income (27,236) -




Income taxes - -




188

Balance Sheet for the years ended 31 December, 2017 and 2016

2017 2016

Assets





Other assets - -


Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -



189


For the years ended 31 December, 2017 and 2016

2017 2016


Other receivables / (payments) associated with the operating activities - -

Cash flows arising from operating activities - -


Receivables:


Interest income 953,724 -

Payments





Receivables:


Payments


Interest expense - -








190


2017 2016


Interest from loans and advances 953,724 -



953,724 -


Interest from debt securities issued (926,488) -




(926,488) -


18.2 General and administrative costs:

18.3 Deposits at other Credit Institutions:

2017 2016


Cash Reserve 372,000 -

Liquidity Account 1,275,000 -

5,189,112 -

The item "Deposits at other Credit Institutions - Notes" corresponds to demand deposits at CitiBank –

London Branch.

2017 2016




Agent bank fee - -



Euronext - -

Interbolsa - -



Legal Fee - -



CMVM - -

Commitment Fee - -

Outros - -

(27,236) -


191


Loans 580,964,797 -

Overdue loans - -

Porfolio acquisition premium / (discount) 16,446,814 -




597,411,612 -


securitization transaction totalling €583.538.751, minus interim capital receipts. This item includes the

loan acquisition discount paid in full at the start of the transaction, totalling €16.446.814. Amounts for



2017 583,538,751 (2,573,954) - - 580,964,797


2017 2016





Other 370,954 -

602,573,488 -

In accordance with the contractual provisions, the repayment date for the bonds began in May 2015,

ending in February 2019, the legal maturity date for all tranches. The amounts referring to the

amortizations of securitization obligations that have occurred in the meantime are analysed as follows:


2017 601,647,000 - 601,647,000


Audit fee 13,112 -

Service fee 5,000 -

Issuer fee 7,521 -

Agent bank fee - -



Other payables - -

27,236 -

PricewaterhouseCoopers & Associados - Sociedade de Revisores Oficiais de Contas, Lda.Sede: Palácio Sottomayor, Rua Sousa Martins, 1 - 3º, 1069-316 Lisboa, PortugalTel +351 213 599 000, Fax +351 213 599 999, www.pwc. ptMatriculada na CRC sob o NUPC 506 628 752, Capital Social Euros 314.000Inscrita na lista das Sociedades de Revisores Oficiais de Contas sob o nº 183 e na CMVM sob o nº 20161485

PricewaterhouseCoopers & Associados - Sociedade de Revisores Oficiais de Contas, Lda. pertence à rede de entidades que são membrosda PricewaterhouseCoopers International Limited, cada uma das quais é uma entidade legal autónoma e independente.

Statutory Audit Report and

(Free translation from the original in Portuguese)

Report on the audit of the financial statements

Opinion

We have audited the accompanying financial statements of Tagus Sociedade de Titularização deCréditos, S.A. (the Entity), which comprise the balance sheet as at 31 December 2017 (which showstotal assets of Euro 9.610.651.718 and total shareholders' equity of Euro 3.478.238 including a netprofit of Euro 525.940), the statement of income, the statement of comprehensive income, thestatement of changes in equity and the statement of cash flows for the year then ended, and the notesto the financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying financial statements present fairly in all material respects, thefinancial position of Tagus Sociedade de Titularização de Créditos, S.A. as at 31 December 2017, andits financial performance and its cash flows for the year then ended in accordance with InternationalFinancial Reporting Standards (IFRS), as adopted by the European Union.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (ISAs) and othertechnical and ethical standards and recommendations issued by the Institute of Statutory Auditors. Ourresponsibilities under those standards are described in the for the audit ofthe financial statements section below. In accordance with the law we are independent of the Entityand we have fulfilled our other ethical responsibilities in accordance with the ethics code of theInstitute of Statutory Auditors.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis forour opinion.

Key audit matters

Key audit matters are those matters that, in our professional judgement, were of most significance inour audit of the financial statements of the current year. These matters were addressed in the contextof our audit of the financial statements as a whole, and in forming our opinion thereon, and we do notprovide a separate opinion on these matters.

TAGUS STC, S.A.31 December 2017 PwC 2 of 5

Key Audit Matter Summary of the Audit Approach

Impairment losses on loans portfolio

Measurement and disclosures related toimpairment losses on the loans portfolioacquired within the securitization operations

presented inNotes 1.3, 1.16, 7, 11, 23 and 25 of thefinancial statements

The significant amounts of loans acquired within thesecuritization operationsmanagement and the respective impairment losses,which calculation requires the application of a set ofcomplex assumptions regarding the identification ofboth the moment of recognition and thecorresponding amount, justify that it has constituted akey audit matter for the purposes of our audit.

As at 31 December 2017, the gross amount of theseitems amounted to Euro 9.150.527.760 and theimpairment losses, recorded at that date amounted toEuro 34.025.965.

Impairment losses for the securitization operationsunder the Entit are recognizedaccording to impairment rates calculated by theoriginators/servicers of those operations, inaccordance to requirements of IAS 39, for allsecuritized loan portfolios and/or loan portfolios withsimilar characteristics to the securitized loans, takinginto account the amount of responsibilities of eachloan operation and the existence of impairmenttriggers. These losses are calculated in individualterms, through the casuistic analysis of a significantcomponent of the total loan portfolios, and theimpairment of the remainder portfolios is calculatedusing a collective analysis.

In individual terms, the impairment is calculatedthrough the detailed analysis of the economic andfinancial position of each client individually, having asa reference (i) the estimated cash flows which may begenerated in the future to repay its responsibilities, or(ii) the value of the collaterals received in lieu ofpayment, when its recovery can be anticipated bymeans of a execution and/or sale of those collaterals,deducting the inherent costs regarding its recoveryand sale. For the exposures not covered by theindividual analysis, as well as those for which it wasnot identified an objective evidence of impairment,the impairment calculation is performed using acollective analysis model. When a group of financialassets is evaluated collectively, future cash flows ofthose assets are estimated by the contractual cash

The audit procedures we have developed consisted on:(i) evaluate the accounting policies and additionaldisclosures made available by the originators/servicers of the securitization operations and confirmwith them whether those policies and impairmentmodels developed are in accordance with IAS 39; (ii)analytically review of the impairment losses of theloan portfolios, whether current or overdue, takinginto consideration the type of loan granted , theexisting guaranties, the maturity and the behavior ofarrears and the average impairment for the creditportfolio of the originator to similar assets; (iii) reviewthe reasonableness of impairment losses as at 31December 2017 taking into account the impairmentand default triggers verified for the loan portfolio ofthe operations as of the balance date; (iv) review theloan portfolio, comparing its evolution during 2017with the monthly reports prepared by the servicers ofthe operations, and discuss with Entipossible changes in terms of the nature of the assetexposure and its credit risk quality. When necessary,proceed to obtain clarifications regarding theassumptions used by the originators related toimpairment losses on the loans portfolio acquiredwithin the securitization operations under Entitymanagement.

Additionally, we proceeded (i) to review the risk gradeand the subordination of the debt securities issued,and the priority terms for the payments of principaland interest, taking into account the prospectus ofeach securitization operation; and (ii) to clarify withthe Entity anagement as to which procedures andcontrols are in place to guarantee the correctreimbursement, remuneration and result sdistribution to the debt securities noteholders.

Our auditing procedures also included a review of thedisclosures in the accompanying notes to the financialstatements of loans to customers and the respectiveimpairment, taking into account the applicableaccounting standards.


Key Audit Matter Summary of the Audit Approach

flows of the assets and the historical data relating tolosses on assets with similar credit riskcharacteristics.

Responsibilities of management and supervisory board for the financial statements

Management is responsible for:

a) the preparation of the financial statements, which present fairly the financial position, thefinancial performance and the cash flows of the Entity in accordance with International FinancialReporting Standards (IFRS), as adopted by the European Union;

b) the preparation of the D , including the Corporate governance Report, inaccordance with the applicable law and regulations;

c) the creation and maintenance of an appropriate system of internal control to enable thepreparation of financial statements that are free from material misstatement, whether due to fraud orerror;

d) the adoption of appropriate accounting policies and criteria; and

e) to continue its activities.

The supervisory board is responsible for overseeing the process of preparation and disclosure of the

for the audit of the financial statements

Our responsibility is to obtain reasonable assurance about whether the financial statements as a whole report

that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guaranteethat an audit conducted in accordance with ISAs will always detect a material misstatement when itexists. Misstatements can arise from fraud or error and are considered material if, individually or inthe aggregate, they could reasonably be expected to influence the economic decisions of users taken onthe basis of these financial statements.

As part of an audit in accordance with ISAs, we exercise professional judgment and maintainprofessional scepticism throughout the audit. We also:

a) identify and assess the risks of material misstatement of the financial statements, whether dueto fraud or error, design and perform audit procedures responsive to those risks, and obtain auditevidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detectinga material misstatement resulting from fraud is higher than for one resulting from error, as fraud may


involve collusion, forgery, intentional omissions, misrepresentations, or the override of internalcontrol;

b) obtain an understanding of internal control relevant to the audit in order to design auditprocedures that are appropriate in the circumstances, but not for the purpose of expressing an opinionon the effectiveness of rol;

c) evaluate the appropriateness of accounting policies used and the reasonableness of accountingestimates and related disclosures made by management;

d) concludeand, based on the audit evidence obtained, whether a material uncertainty exists related to events orconditions that may cast significant doubt on the Entit continue as a going concern. If we

the related disclosures in the financial statements or, if such disclosures are inadequate, to modify ouropinion.report. However, future events or conditions may cause the Entity to cease to continue as a goingconcern;

e) evaluate the overall presentation, structure and content of the financial statements, includingthe disclosures, and whether the financial statements represent the underlying transactions and eventsin a manner that achieves fair presentation;

f) communicate with those charged with governance, including the supervisory board, regarding,among other matters, the planned scope and timing of the audit and significant audit findings,including any significant deficiencies in internal control that we identify during our audit;

g) of the matters we have communicated to those charged with governance, including thesupervisory board, we determine which were the most important in the audit of the financialstatements of the current year, these being the key audit matters. We describe these matters in ourreport, except when the law or regulation prohibits their public disclosure; and

h) confirm to the supervisory board that we comply with the relevant ethical requirementsregarding independence and communicate all relationships and other matters that may be perceivedas threats to our independence and, where applicable, the respective safeguards.

Our responsibility also includes verifyingconsistent with the financial statements and the verification set forth in paragraphs 4 and 5 of articleNo. 451 of the Portuguese Company Law.

Report on other legal and regulatory requirements

In compliance with paragraph 3 e) of article No. 451 of the Portuguese Company Law, it is our opinion

regulation,


financial statements and, taking into account the knowledge and assessment about the Entity, nomaterial misstatements were identified.

Corporate governance report

In compliance with paragraph 4 of article No. 451 of the Portuguese Company Law, it is ourunderstanding that the Corporate governance report includes the information required under articleNo. 245-A of the Portuguese Securities Market Code, that no material misstatements were identified inthe information disclosed in this report and that it complies with paragraphs c), d), f), h), i) and m) ofthat article.

Additional information required in article No. 10 of the Regulation (EU) 537/2014

In accordance with article No. 10 of Regulation (EU) 537/2014 of the European Parliament and of theCouncil, of 16 April 2014, and in addition to the key audit matters referred to above, we also providethe following information:

a) We were 4 July2016 for the period from 2016 to 2018.

b) The management has confirmed to us it has no knowledge of any allegation of fraud orsuspicions of fraud with material effect in the financial statements. We have maintained professionalscepticism throughout the audit and determined overall responses to address the risk of materialmisstatement due to fraud in the financial statements. Based on the work performed, we have notidentified any material misstatement in the financial statements due to fraud.

c) We confirm that our audit opinion is consistent with the additional report that was prepared 22 March 2018.

d) We declare that we did not provide any prohibited non-audit services referred to in paragraph8 of article No. 77 of the by-laws of the I

and that we remain independent of the Entity in conducting our audit.

22 March 2018

PricewaterhouseCoopers & Associados- Sociedade de Revisores Oficiais de Contas, Lda.represented by:

(Original in Portuguese signed by)

José Manuel Henriques Bernardo, R.O.C.

tagus - stc, s.a. sociedade titularização de créditos...

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