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

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

Rua Castilho, 20 1250-069 Lisboa

Tel. 21 311 12 00 Fax 21 353 52 41

TAGUS - Sociedade de Titularização de Créditos, S.A. Rua Castilho, nº 20, 1250-069 Lisbon, Portugal - Telephone +351 21 311 1200 Fax 21 353 5241

Share Capital 250.000,00 Euros - Registered in the C.R.C. of Lisbon, No. 15064 - NIPC 507130820

TAGUS - STC, S.A.

Sociedade Titularização de Créditos

Annual Report 2015


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In accordance with the applicable requirements of the Portuguese Companies Code (Código das Sociedades Comerciais), we would like to present you the Management Report, the Financial Statements and respective notes of Tagus – Sociedade de Titularização de Créditos, SA (“Company” or “Tagus STC, S.A.”), regarding the financial year ended on 31 December 2015. In accordance with the applicable legal requirements, the Company’s financial statements for the period ended on 31 December 2015, have been prepared in accordance with the International Financial Reporting Standards (“IFRS”), as effective and endorsed by the European Union (“EU”). Considering the derecognition criteria defined in IAS 39 and despite the nature and characteristics of the operations under management, they are presented in the Company’s balance sheet due to the fact that, according to Portuguese law, the Company is the last responsible for any events related with this operations, which restrains its derecognition. 1. Constitution and Corporate Object Tagus STC, S.A. was established on 11 November 2004, its corporate object being the exercise of activities permitted by law to credit securitization companies, through acquisition, management and transmission of credits and by the issuance of securitized notes in order to face the payment of loans. 2. Activity On 21 December 2015, there was an early repayment of all securitized notes of “Altis No.1 Securitisation Notes” operation. On 5 March, 24 March, 16 November and 30 December 2015, the Company performed the operations “Aqua NPL No.1”, “Volta III Electricity Receivables Notes”, “Silk Finance No. 4” and “BBVA Portugal RMBS No. 1”, respectively.


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3. Securitisation operations on December 31, 2015 On 31 December 2015, the amounts of debt securities issued by each one of the Operations managed by Tagus STC, S.A. were as follows:

4. Equity Due to securitisation operations and obligations resulting from the legislation in force on 31 December 2015, the Company’s share capital was fully paid with the amount of 250.000 Euros (two hundred and fifty thousand Euros), having the shareholder Deutsche Bank Aktiengesellschaft made supplementary payments of capital to the Company, in the total amount of 2,397,040 Euros (two million, three hundred and ninety seven thousand and forty Euros) and subordinate payments of capital in the total amount of 10,689,553 Euros (ten million, six hundred and eighty nine thousand and fifty hundred and fifty three Euros).

Aqua Mortgage No.1 9-dec-2008 144.453.623

EnergyOn No.1 Securitisation Notes 06-mar-2009 829.487.376

EnergyOn No.2 Securitisation Notes 3-dec-2009 289.932.604

Nostrum Mortgages No. 2 05-nov-2010 4.334.089.255

Lusitano Finance No. 3 25-nov-2011 135.697.383

Castilho Mortgage No. 1 25-sep-2013 1.372.681.001

Volta Electricity Receivables Securitisation Notes 03-mai-2013 152.673.419

Volta II Electricity Receivables Securitisation Notes 2-apr-2014 438.107.565

Pelican Finance No. 1 7-may-2014 308.700.000

CMEC Volta Electricity Receivables Notes 23-dec-2014 239.358.710

Aqua NPL No. 1 05-mar-2015 12.363.202

Silk Finance No. 4 16-nov-2015 614.600.001

Volta III Electricity Receivables Notes 24-mar-2015 418.236.593

BBVA Portugal RMBS No. 1 30-dec-2015 1.192.200.000

Total 10.482.580.732

Amount31-dec-2015

Date of establishment

Designation


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The subordinate payments of capital have a 10 year due date, although it can occur an advance repayment, with the permission of Securities Market Commission and only if the repayment is made by the sole shareholder on an annually remunerated basis, using results attributed to shareholders and generated in the remuneration’s reference year. The interest rate is Euribor 12 months plus a spread of 3%. The interest will be paid annually. These amounts represent the Company’s equity in sufficient amount to comply with the prudential ratios provided in article 43 of Securitisation law and with the continuous requirements of CMVM Regulation 12/2002 from 18 July. 5. Main indicators

6. Perspectives for 2016 In 2016, the company will try to reinforce its business portfolio in the Securitisation Portuguese market, despite the fact that international and national economic situation does not foresee a significant recovery of the Portuguese economy. 7. Risk management Integrated management of risk - credit, market, liquidity, operational and other - is one of the main vectors of support for a sustained growth strategy and to maintain an appropriate relationship between the Company’s equity levels and the activity developed, as well as a proper assessment of the risk/return profile of the different lines of business. In the analysis of Company's activity emerging risks, Operational risk was presented as possible to be incurred. Operational risk means the potential losses resulting from fails or inadequate internal processes, from people or systems or from external events.


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Deutsche Bank Group always guarantees to its subsidiaries the adoption of principles and practices that ensure an efficient operational risk management, namely through the definition and documentation of these principles and through the implementation of control mechanisms, for example the segregation of duties, lines of responsibility and the corresponding authorizations, exposure limits, codes of conduct/ethics and key indicators, IT controls, contingency plans, physical and logical access, reconciliation activities, exception reports and internal training on processes, products and systems. 8. Corporate governance structure and practices The Company is 100% held by Deutsche Bank Aktiengesellschaft. The rules applying to amendments of the articles of Association and to the appointment and replacement of board members are in accordance with Portuguese law. The Board of Directors has the powers specified by Law and by the Company’s articles of Association, which allows it to determine the increase in the Company’s share capital once or more than once, during a period of five years, with a maximum limit of ten million Euros; and, respecting the applicable legal limits, using high-liquidity and low risk financial instruments. As a subsidiary of Deutsche Bank Aktiengesellschaft, the accounts of Tagus STC, SA are consolidated in that institution, which means that the monitoring of the evolution of the Company follows the same parameters of Deutsche Bank Aktiengesellschaft itself. The provision of financial information to the supervising authorities, namely the information to CMVM, the preparation of financial statements and the reporting of Tagus STC, SA has the same security and reliability criteria adopted by the Group itself. The Company’s accounts shall also comply with the International Financial Reporting Standards. Statement on the Remuneration Policy of the members of the management and supervisory bodies

1. The members of the Board of Directors shall not be remunerated during the term of 2013-2015, without prejudice of remunerations collected from other companies of the Deutsche Bank Group.

2. Each of the three members of the Company's Supervisory Board received in 2015 an annual fee of 3.000 Euros as payment for the time spent in the pursuit of the powers conferred to them by the Company’s articles of Association and the general law.

3. KPMG & Associados - SROC, S.A, the statutory auditor of Tagus appointed for the period of 2013-2015, was remunerated in 2015 in accordance with the service agreement signed with the Company in an annual amount of 2,747 Euros.


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9. Information required by paragraph 4, article 448 of Portuguese Companies Code (Código das Sociedades Comerciais) Shareholders owning at least one tenth, one-third, or half of the capital on 31 December 2015: Deutsche Bank Aktiengesellschaft held 50,000 shares representing 100% of the Company’s capital and corresponding voting rights. 10. Proposal for the appropriation of profits Tagus STC, S.A. presented in 2015 a gross profit of 656,169 Euros, which corresponds to a tax payable of 147,821 Euros, determined in accordance with the applicable law. Thus, net profit was 508 348 Euros which, according with the legal and statutory requirements, will have the following application:

Lisbon, 17 March 2016

The Board of Directors

Francisco Oliveira Bernardo Meyrelles do Souto (Member) (President)

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

Financial Statements 31 December, 2015 and 2014

(Includes Statutory Audit Opinion and Auditors’ Report)

This report is a translation to English of the Portuguese version. In case of doubt, or misinterpretation the Portuguese version will prevail.

17 March, 2016 This report contains 203 pages

See accompanying notes to the Financial Statements

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Notes 2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Interest income 2 182.580.940 199.569.063 - 15.435 182.580.940 199.584.498Interest expense 2 (165.161.101) (187.771.530) (359.858) (383.867) (165.520.959) (188.155.397)

Net interest income 2 17.419.839 11.797.533 (359.858) (368.432) 17.059.981 11.429.101

Fee and commission income 3 88.610 35.977 1.154.477 1.084.303 1.243.087 1.120.280

4 37.884.847 (968.596) - - 37.884.847 (968.596)Staff costs 5 - - (10.827) (10.827) (10.827) (10.827)Other administrative costs 6 (5.772.479) (5.274.020) (136.486) (126.667) (5.908.965) (5.400.687)

Total operating income/(expense) 32.200.978 (6.206.639) 1.007.164 946.809 33.208.142 (5.259.830)

Loans impairment 7 (49.620.817) (5.590.894) - - (49.620.817) (5.590.894)

Operating income - - 647.306 578.377 647.306 578.377

Other gains and losses - - 8.863 68.982 8.863 68.982

Income before income taxes - - 656.169 647.359 656.169 647.359

Income taxes - - 147.821 141.890 147.821 141.890

Net income for the year - - 508.348 505.469 508.348 505.469

THE CHIEF ACCOUNTANT THE BOARD OF DIRECTORS

Net gains/ (losses) arising fromfinancial assets and liabilities atfair value through profit or loss

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

Income Statement

for the years ended 31 December, 2015 and 2014

Total Operations Tagus Total


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Total Operations Tagus Total

Notes 2015 2014 2015 2014 2015 2014

Assets (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Loans and advances to credit institutions repayable on demand 8 534.250.535 329.174.267 14.321.842 14.486.123 548.572.377 343.660.390Loans and advances to customers 9 9.986.461.434 8.748.613.037 - - 9.986.461.434 8.748.613.037Intangible assets 10 - - - - - -Other assets 11 22.231.504 7.698.043 119.633 109.414 22.351.137 7.807.457

Total Assets 10.542.943.473 9.085.485.347 14.441.475 14.595.537 10.557.384.948 9.100.080.884

Liabilities

Financial liabilities held-for-trading 12 59.568.081 67.429.151 - - 59.568.081 67.429.151Debt securities issued 13 10.465.575.755 9.014.679.455 - - 10.465.575.755 9.014.679.455Other financial liabilities 14 - - 10.948.525 10.971.238 10.948.525 10.971.238Other liabilities 15 17.799.637 3.376.741 168.867 358.566 17.968.504 3.735.307

Total Liabilities 10.542.943.473 9.085.485.347 11.117.392 11.329.804 10.554.060.865 9.096.815.151

Equity

Share capital 16 - - 250.000 250.000 250.000 250.000Other equity instruments 16 - - 2.397.040 2.397.040 2.397.040 2.397.040Reserves and retained earnings 17 - - 168.695 113.224 168.695 113.224Net income for the year - - 508.348 505.469 508.348 505.469

Total Equity - - 3.324.083 3.265.733 3.324.083 3.265.733

Total Equity and Liabilities 10.542.943.473 9.085.485.347 14.441.475 14.595.537 10.557.384.948 9.100.080.884

Obligations and future commitments (Note 18)



Statement of Financial Position as at 31 December, 2015 and 2014


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2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR)Operating activities

Other receivables /(payments) associatedwith the operating activities (4.710.162) (4.487.274) 794.255 812.555 (3.915.907) (3.674.719)Receivables /(payments) of taxes - - (125.965) (113.158) (125.965) (113.158)

Cash flows arising from operating activities (4.710.162) (4.487.274) 668.290 699.397 (4.041.872) (3.787.877)

Investing activities

Receivables:

Client loans 1.041.753.215 3.474.589.696 - - 1.041.753.215 3.474.589.696Interest income 214.808.772 220.788.708 - 15.435 214.808.772 220.804.143

Total Receivables 1.256.561.987 3.695.378.404 - 15.435 1.256.561.987 3.695.393.839

Payments:

Financial Investments (13.628.862) (11.050.465) - - (13.628.862) (11.050.465)Loan portfolio acquisition (2.362.534.533) (1.839.783.637) - - (2.362.534.533) (1.839.783.637)

Total Payments (2.376.163.395) (1.850.834.102) - - (2.376.163.395) (1.850.834.102)

Cash flows arising from investing activities (1.119.601.408) 1.844.544.302 - 15.435 (1.119.601.408) 1.844.559.737

Financing activities

Receivables:

Debt securities issued 2.343.198.161 1.814.486.134 - - 2.343.198.161 1.814.486.134

Total Receivables 2.343.198.161 1.814.486.134 - - 2.343.198.161 1.814.486.134

Payments:

Debt securities issued (899.424.668) (3.933.887.068) - - (899.424.668) (3.933.887.068)Interest expense (114.385.655) (159.410.304) (382.571) (383.951) (114.768.226) (159.794.255)Dividends paid - - (450.000) (235.000) (450.000) (235.000)

Total Payments (1.013.810.323) (4.093.297.372) (832.571) (618.951) (1.014.642.894) (4.093.916.323)

Cash flows arising from financing activities 1.329.387.838 (2.278.811.238) (832.571) (618.951) 1.328.555.267 (2.279.430.189)

Net changes in cash and equivalents 205.076.268 (438.754.210) (164.281) 95.881 204.911.987 (438.658.329)Cash and cash equivalents balance at the beginning of the year 329.174.267 767.928.477 14.486.123 14.390.242 343.660.390 782.318.719

Cash and cash equivalents balance at the end of the year 534.250.535 329.174.267 14.321.842 14.486.123 548.572.377 343.660.390

Loans and advances to credit institutions repayable on demand (note 8) 534.250.535 329.174.267 14.321.842 14.486.123 548.572.377 343.660.390


Tagus Total


Cash Flows Statement

Total Operations



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OtherTotal Share equity Legal Retained Net income

Equity Capital instruments reserve earnings for the year

Balance on 31 December, 2013 2.995.264 250.000 2.397.040 70.724 10.034 267.466

Legal reserve - - - 26.747 - (26.747)

Retained earnings - - - - 5.719 (5.719)

Dividends (235.000) - - - - (235.000)

Net income for the year 505.469 - - - - 505.469


Legal reserve - - - 50.547 - (50.547)

Retained earnings - - - - 4.924 (4.924)

Dividends (450.000) - - - - (450.000)

Net income for the year 508.348 - - - - 508.348




Statement of Changes in Equity

(Amounts expressed in Euro)


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2015 2014EUR EUR

Other Comprehensive income for the year - -

Net income for the year 508.348 505.469

Total Comprehensive income for the year 508.348 505.469


Statement of Comprehensive Income for the years ended 31 December, 2015 and 2014


Tagus - Sociedade de Titularização de Créditos, S.A. Notes to the Financial Statements

31 December, 2015 and 2014

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

Notes to the Financial Statements 31 December, 2015 and 2014

1 Accounting policies

1.1 Basis of presentation

Tagus – Sociedade de Titularização de Créditos, S.A., (‘Company’) was established on 11 November, 2004, in accordance with Decree-Law no. 453/99, of 5 November, which was reviewed by Decree-Law no. 82/2002, of 5 April and by Decree Law no. 303/2003, of 5 December, reviewed by the Decree-Law no. 52/2006, of 15 March, which regulate the activity of credit securitisation companies. The main objective of the Company is to carry out activities permitted to credit securitisation companies, in accordance with the current legislation, mainly credit securitisation operations, through credit acquisition, management and transmission and through securitisation notes issued for the payment of the loans acquired. The Company’s share capital in the amount of Euro 250,000, represented by 50,000 shares of 5 Euro each, is fully subscribed by Deutsche Bank Aktiengesellschaft and realized in cash. In accordance with Regulation (EC) no. 1606/2002 of the European Parliament and the Council, of 19 July 2002, and its adoption into Portuguese Law through Decree-Law no. 35/2005, of 17 February and Regulation no. 11/2005 of CMVM, the Company’s financial statements are required to be prepared in accordance with the IFRS as endorsed by the EU until 31 December, 2014. The IFRS include the standards defined by the International Accounting Standards Board (‘IASB’), as well as the interpretations prepared by the International Financial Reporting Interpretations Committee (‘IFRIC’) and by the previous bodies. The Financial Statements were approved by the Board of Directors on 17 March, 2016. The Financial Statements are presented in Euros. The Company’s financial statements for the year ended 31 December, 2015 and 31 December 2014 have been prepared in accordance with International Financial Reporting Standards (‘IFRS’) as endorsed by the European Union (‘EU’) and in force at that date. The financial statements are prepared under the historical cost convention, as modified by the application of fair value basis for derivative financial instruments except those for which a reliable measure of fair value is not available. Other financial assets and liabilities and non-financial assets and liabilities are stated at amortised cost or historical cost. The preparation of the financial statements in conformity with IFRS requires the Board of Directors to make judgments, estimates and assumptions that affect the application of the accounting policies and reported amounts of assets and liabilities, income and expenses. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgments about carrying values of assets and liabilities that are not available from other sources. The issues



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involving a higher degree of judgment or complexity, or where assumptions and estimates are considered to be significant are presented in note 1.16.

1.2. Derecognition

The Company derecognises financial assets when all rights to future cash flows have expired or the assets are transferred. In the event of a transfer of assets, derecognition can only occur either when risks and rewards have substantially been transferred or the Company has not retained control of the assets. The Company derecognises financial liabilities when these are discharged, cancelled or extinguished. The Company’s activity is regulated by Decree-Law 453/99 which establishes the obligation of the existence of an autonomous portfolio for each operation. The assets are related exclusively to the corresponding liabilities. The Company’s portfolio cannot be allocated to any of the operations. Taking into consideration the derecognition criteria established by IAS 39, namely in paragraphs 16 to 23 and paragraph 36 of the Application Guidance referred in the same IAS, and although the nature and the characteristics of the operations and the transfer of the major risks and rewards, the operations are recognised in the Balance Sheet and Income Statement, as the Company is the ultimate responsible for any event related to the referred operations, in accordance with Portuguese Law, the derecognition of the operations is not allowed.

1.3. Loans and advances to customers

Loans and advances to customers include loans and advances originated by securitisation operations, which are not intended to be sold in the short term and are recognised when loans and advances are acquired from the Originators. Loans and advances to customers are initially recognised at fair value plus any directly attributable transaction costs and are subsequently measured at amortised cost using the effective interest method, less impairment for loan losses. Impairment The Company’s policy consists in a regular assessment of the existence of objective evidence of assets’ portfolio impairment. Impairment losses identified are charged against profit or loss and recognised in the caption loans impairment. Subsequently these charges are reversed, if there is a reduction of the estimated impairment loss, in a subsequent period. After initial recognition, an asset loan or an assets’ portfolio, defined as a group of assets with similar risk characteristics, may be classified as impaired when there is an objective evidence of impairment as a result of one or more events and when the loss event has an impact on the estimated future cash flows of the asset or of the assets’ portfolio that can be reliably estimated. The impairment is calculated based on the impairment losses provided by the Originators for the securitised loans portfolio and/or for loans portfolio with similar characteristics to securitised loans and advances. According to IAS 39, there are two methods of calculating impairment losses: (i) individually assessed loans; and (ii) collective assessment.



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(i) Individually assessed loans Impairment losses on individually assessed loans are determined by an evaluation of the exposures on a case-by-case basis. Impairment losses are calculated by comparing the present value of the expected future cash flows, discounted at the original effective interest rate of each loan, with its current carrying value and the amount of any loss is charged in the income statement. The carrying amount of impaired loans is recognised in the balance sheet net of impairment losses. For loans with a variable interest rate, the discount rate used corresponds to the effective annual interest rate, which was applicable in the period that the impairment was determined. The calculation of present value of expected future cash flows of an asset with collateral, corresponds to the cash flows that may result from collateral recovery and sale, less the associated costs. Individual loans that are not identified as having an objective evidence of impairment are grouped on the basis of similar credit risk characteristics, and assessed collectively. (ii) Collective assessment Impairment losses are calculated on a collective basis in two different scenarios: - for homogeneous groups of loans that are not considered individually significant; or - in respect of losses which have been incurred but have not yet been identified (‘IBNR’) on loans for which no objective evidence of impairment is identified (see section (i) Individually assessed loans). The collective impairment loss is determined considering the following factors: - historical loss experience in portfolios of similar risk characteristics; - knowledge of the current economic and credit conditions and its influence in historical losses level; and - the estimated period between a loss occurring and that loss being identified. The assets which have been individually assessed and no evidence of impairment has been identified, are grouped together based on similar credit risk characteristics for calculating a collective impairment loss.

1.4. Financial instruments

Classification, initial recognition and subsequent measurement

(A) Financial assets and liabilities at fair value through profit or loss

(i) Trading financial assets and liabilities The financial assets and liabilities acquired or issued with the purpose of sale or re-acquisition on the short term, namely bonds, Treasury Bills or shares or that make part of a financial instruments portfolio that are jointly managed and for which there is evidence of a recent pattern of short-term profit taking or that can be included in the definition of derivative (except in the case of a derivative that is an effective hedge instrument) are classified as trading.



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Trading derivatives with a positive fair value are included in the Financial assets held for trading and the trading derivatives with negative fair value are included in the Financial liabilities held for trading.

(B) Other financial liabilities

The other financial liabilities are all financial liabilities that are not accounted as financial liabilities at fair value through profit and loss. This category includes debt securities issued and loans received. Debt securities issued interest is recognised based on the effective interest rate, of the financial liability and when there is a premium or discount associated, the premium or discount is included in the effective interest rate calculation. Debt securities issued allocated to the operations also reflects the difference between the book value of assets and liabilities allocated to the operation, since any excess generated by assets will be paid to the note holders. Any deficit will be transferred to the note holders at the maturity date of operations.

1.5. Reclassifications between financial instruments categories

In October 2008, the IASB issued a change to the IAS 39 – Reclassification of Financial Assets (Amendments to IAS 39 Financial Investments: Recognition and Measurement and IFRS 7: Financial Investments Disclosures). This change allowed an entity to transfer financial assets from financial assets at fair value through profit and loss – trading to Available-for-sale financial assets, to Loans and Receivables or to Held-to-maturity financial assets, as long as these financial assets comply with the characteristics of an each category. Transfer of Financial assets recognized in the category of financial assets available-for-sale to Loans and receivables - Loans represented by securities and Held-to-maturity are permitted. Transfers from and to financial assets and financial liabilities at fair value through profit and loss are prohibited. The Company did not do any reclassifications.

1.6. Equity instruments

An instrument is classified as an equity instrument when there is no contractual obligation at settlement to deliver cash or another financial asset to another entity, independently from its legal form, and shows a residual interest in the assets of an entity after deducting all of its liabilities. Transaction costs directly attributable to an equity transaction are recognised under shareholders’ equity and accounted for as a deduction from the amount issued. Amounts paid or received related to sales or acquisitions of equity instruments are recognised in shareholders’ equity, net of transaction costs as treasury stock. Distributions to holders of an equity instrument are debited directly to shareholders’ equity as dividends when declared. Supplementary capital contributions issued by the Company are considered as an equity instrument when redemption of the shares is solely at the discretion of the issuer and dividends are paid at the discretion of the Company.



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1.7. Interest income and expense

Interest income and expense for all financial instruments measured at amortised cost and at fair value through profit or loss are recognised in the income statement using the effective interest method. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument (or, when appropriate, a shorter period), to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Company estimates future cash flows considering all contractual terms of the financial instrument (for example early payment options) but without considering future impairment losses. The calculation includes all fees considered as included in the effective interest rate, transaction costs and all other premiums or discounts directly related with the transaction. If financial assets or a group of similar financial assets has been written down as a result of an impairment loss, interest income is recognised using the interest rate used to discount the future cash flows for the purpose of measuring the impairment loss. For derivative financial instruments, except those classified as hedging instruments of interest rate risk, the interest component is not separated from the changes in the fair value and is classified under net gains / (losses) arising from financial assets and liabilities at fair value through profit or loss.

1.8. Fee and commission income recognition

Fee and commission income are recognised according to the following criteria: - fee and commission income which is earned as services are provided is recognised in income over the period in which the service is being provided; - fee and commission income that is earned on the execution of a significant act is recognised as income when the service is completed. Fee and commission income that are an integral part of the effective interest rate of a financial instrument are recognised in net interest income.

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

Net gains/ (losses) from financial assets and liabilities at fair value through profit or loss correspond to gains and losses arising from Financial assets and liabilities held-for-trading, fair value variations and derivatives’ accrued interest.



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1.10. Intangible assets

Software

Software acquisition costs are capitalised and amortised over a three year period, as well as implementation costs. These expenses are amortised in a 3 years period, the expected maturity of this assets. Maintenance costs are recognised as costs when incurred.

Research and development expenditure

The Company has not incurred in research and development costs.

1.11. Cash and cash equivalents

For the purposes of the cash flow statement, cash and cash equivalents comprise balances of cash and deposits with banks.

1.12. Offsetting

Financial assets and liabilities are offset and the net amount is reported in the balance sheet when the Company has a legally enforceable right to offset the recognised amounts and the transactions are intended to be settled on a net basis.

1.13. Income taxes

Income tax on the income for the year comprises current and deferred tax effects. Income tax is recognised in the income statement, except to the extent that it relates to items recognised directly to reserves in which case it is recognised in equity. Current tax is the expected tax payable on the taxable income for the year, using tax rates enacted or substantively enacted at the balance sheet date, and any adjustment to tax payable in respect of previous years. Deferred taxes are calculated in accordance with the liability method based on the balance sheet, considering temporary differences, between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes using the tax rates approved our substantially approved at balance sheet date for each jurisdiction and that is expected to be applied when the temporary difference is reversed. Deferred taxes assets are recognised when it is probable to obtain future taxable profits, which absorb deductible temporary differences (including reportable taxable losses). The Company compensates, as established in IAS 12, paragraph 74 the deferred tax assets and liabilities if, and only if: (i) the entity has a legally enforceable right to set off current tax assets against current tax liabilities; and (ii) the deferred tax assets and the deferred tax liabilities relate to income taxes levied by the same taxation authority on either the same taxable entity or different



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taxable entities which intend either to settle current tax liabilities and assets on a net basis, or to realise the assets and settle the liabilities simultaneously, in each future period in which significant amounts of deferred tax liabilities or assets are expected to be settled or recovered.

1.14. Segmental reporting

A business segment is a distinguishable component of an entity that is engaged in providing an individual product or service or a group of related products or services and that is subject to risks and rewards that are different from those of other business segments. Each securitisation operation, accounting segregated by risk and benefits and the Company’s segment are identified as separate segments from the Company. As at 31 December, 2015 these segments are: - Tagus – Sociedade Gestora de Titularização de Créditos, S.A.; - Aqua Mortgage No. 1; - EnergyOn No. 1 Securitisation Notes; - EnergyOn No. 2 Securitisation Notes; - Nostrum Mortgages No. 2; - Lusitano Finance No. 3; - Volta Electricity Receivables Securitisation Notes; - Castilho Mortgages No 1; - Volta II Electricity Receivables Securitisation Notes; - Pelican Finance No. 1; - CMEC Volta Electricity Receivables Notes; - Volta III Electricity Receivables Notes; - Aqua NPL No. 1; - Silk Finance No. 4; - BBVA Portugal RMBS No. 1; - Altis No. 1 Securitisation Notes; - Caravela SME No. 2; - Aqua Finance No. 3; - Magma No. 1 Securitisation Notes;

The analysis of each operation is presented in note 23.

1.15. Provisions

Provisions are recognised when (i) the Company has a present obligation (legal or resulting from past practices or published policies that imply the recognition of certain responsibilities), (ii) it is probable that an outflow of economic benefits will be required to settle a present legal or constructive obligation as a result of past events and (iii) a reliable estimate can be made of the amount of the obligation. Provisions are reviewed at each balance sheet date and adjusted to reflect the best estimate, being reverted through profit and loss in the proportion of the payments that are probable. The provisions are derecognised through their use, for the obligations for which they were initially accounted.



16

1.16. Accounting estimates and judgments in applying accounting policies

IFRS set forth a range of accounting treatments and require the Board of Directors to apply judgment and make estimates in deciding which treatment is the most appropriate. The most significant of these accounting policies are discussed in this section in order to improve understanding of how their application affects the Company’s reported results and related disclosure. Considering that in some cases there are several alternatives to the accounting treatment chosen by management, the Company’s reported results would differ if a different treatment were chosen. Management believes that the choices made are appropriate and that the financial statements present the Company’s financial position and results fairly in all material aspects. The alternative outcomes discussed below are presented solely to assist the reader in understanding the financial statements and are not intended to suggest that other alternatives or estimates would be more appropriate. Impairment losses on loans and advances to customers The Company calculates the loans portfolios’ impairment losses based on the impairment losses and associated information provided by the originators, as described in accounting policy 1.3. The evaluation process in determining whether an impairment loss should be recorded in the income statement is subject to numerous estimates and judgments. The probability of default, risk ratings, value of associated collaterals recovery rates and the estimation of both the amount and timing of future cash flows, among other things, are considered in making this evaluation. Alternative methodologies and the use of different assumptions and estimates could result in a different level of impairment losses. Fair value of derivatives Fair value is based on listed market prices if available, otherwise fair value is determined either by dealer price quotations (both for that transaction or for similar instruments traded) or by pricing models, based on net present value of estimated future cash flows which take into account market conditions for the underlying instruments, time value, yield curve and volatility factors. These pricing models may require assumptions or judgements in estimating their values. Consequently, the use of a different model or of different assumptions or judgements in applying a particular model could result different financial results for a particular period.



17

Income taxes

Significant interpretations and estimates are required in determining the worldwide amount for income taxes. There are many transactions and calculations for which the ultimate tax determination is uncertain during the ordinary course of business. Different interpretations and estimates would result in a different level of income taxes, current and deferred, recognised in the year. The Portuguese Tax Authorities are entitled to review the Company’s determination of its annual taxable earnings, for a period of four years or six years in case there are tax losses brought forward. Hence, it is possible that some additional taxes may be assessed, mainly as a result of differences in interpretation of the tax law. However, the Board of Directors of the Company is confident that there will be no further material tax assessments within the context of the financial statements.

1.17. Accounting standards recently issued

The new standards and interpretation that have been recently issued that are effective and that the Company has applied on its Financial Statements can be analysed as follows:

IFRIC 21 - Levies The IASB, issued on 20th May 2013, this interpretation, effective (with retrospective application) for annual periods beginning on or after 1st January 2014. This interpretation was endorsed by EU Commission Regulation 634/2014, 13th June, (defining entry into force at the latest, as from the commencement date of first financial year starting on or after 17th June 2014). IFRIC 21 defines a levy as an outflow from an entity imposed by a government in accordance with legislation. It confirms that an entity recognises a liability for a levy when – and only when – the triggering event specified in the legislation occurs. IFRIC 21 had no material effect on the Company’s financial statements. The Company decided to opt for not having an early adoption of the following standards and interpretations adopted by EU: Improvements to IFRS (2010-2012) The annual improvements cycle 2010-2012, issued by IASB on 12th December 2013, introduce amendments, with effective date on, or after, 1st July 2014, to the standards IFRS 8, IFRS 13, and IAS 24. These amendments were endorsed by EU Commission Regulation 28/2015, 17th December 2014 (defining entry into force at the latest, as from the commencement date of first financial year starting on or after 1st February 2015). IFRS 8 – Aggregation of operation segments and reconciliation of the total of the reportable segments’ assets to entity’s assets The amendment clarify the criteria for aggregation of operating segments and requires entities to disclose those factors that are used to identify the entity’s reportable segments when operating segments have been aggregated. To achieve consistency, reconciliation of the total of the reportable segments' assets to the entity's assets should be disclosed, if that amount is regularly provided to the chief operating decision maker.



18

IFRS 13 – Short-term receivables and payables IASB amends the basis of conclusion in order to clarify that, by deleting IAS 39AG79, in applying IFRS 3, IASB did not intend to change the measurement requirements for short-term receivables and payables with no interest, that should be discount if such discount is material, noting that IAS 8.8 already permits entities not apply accounting polices set out in accordance with IFRSs when the effect of applying them is immaterial.

IAS 24 – Related Party Transactions – Key management personal services In order to address the concerns about the identification of key management personal (KMP) costs, when KMP services of the reporting entity are provided by entities (management entity e.g. in mutual funds), IASB clarifies that, the disclosure of the amounts incurred by the entity for the provision of KMP services that are provided by a separate management entity shall be disclosed but it is not necessary to present the information required in paragraph 17. Standards, amendments and interpretations issued but not yet effective for the Company

IFRS 9 Financial instruments (issued in 2009 and revised in 2010, 2013 and 2014) IFRS 9 (2009) introduces new requirements for the classification and measurement of financial assets. IFRS 9 (2010) introduces additions relating to financial liabilities. IFRS 9 (2013) introduces the hedging requirements. IFRS 9 (2014) introduces limited amendments to the classification and measurement requirements of IFRS 9 and new requirements to address the impairment of financial assets. The IFRS 9 (2009) requirements represent a significant change from the existing requirements in IAS 39 in respect of financial assets. The standard contains three measurement categories for financial assets: amortised, fair value through other comprehensive income (FVTOCI) and fair value through profit and loss (FVTPL). A financial asset would be measured at amortised cost if it is held within a business model whose objective is to hold assets in order to collect contractual cash flows, and the asset’s contractual terms give rise on specified dates to cash flows that are solely payments of principal and interest (SPPI) on the principal outstanding. If the debt instrument that are SPPI are held under a business model whose objective achieved both by collecting contractual cash flows and by selling, the measurement would be at fair value through other comprehensive income (FVOCI), keeping the revenue form interest presenting in profit or loss. For an investment in an equity instrument that is not held for trading, the standard permits an irrevocable election, on initial recognition, on an individual share-by-share basis, to present all fair value changes from the investment in OCI (FVOCI). Those amounts recognized in OCI would ever be reclassified to profit or loss at a later date. However, dividends on such investments would be recognised in profit or loss, rather than OCI, unless they clearly represent a partial recovery of the cost of the investment. All other financial assets, either the financial assets held under a business model of trading, either other financial instruments who do not comply with SPPI criteria, would be measured at fair value through profit and loss (FVTPL). In this situation, includes Investments in equity instruments in respect of which an entity does not elect to present fair value changes in OCI that would be measured at fair value with changes in fair value recognised in profit or loss (FVTPL). The standard requires derivatives embedded in contracts with a host that is a financial asset in the scope of the standard not to be separated; instead, the hybrid financial instrument is assessed in its entirety, confirming that exist embedded derivatives, it should be measured at fair value through profit and loss (FVTPL).



19

The standard eliminates the existing IAS 39 categories of held-to-maturity, available-for-sale and loans and receivables. IFRS 9 (2010) introduces a new requirement in respect of financial liabilities designated under the fair value option to generally present fair value changes that are attributable to the liability’s credit risk in OCI rather than in profit or loss. Apart from this change, IFRS 9 (2010) largely carries forward without substantive amendment the guidance on classification and measurement of financial liabilities from IAS 39. IFRS 9 (2013) introduces new requirements for hedge accounting that align hedge accounting more closely with risk management. The requirements also establish a more principles-based approach to hedge accounting and address inconsistencies and weaknesses in the hedge accounting model in IAS 39. IFRS 9 (2014) established a new impairment model base on “expected losses” that replace the current “incurred losses” in IAS 39. So, loss event will no longer need to occur before an impairment allowance is recognised. This new model will accelerate recognition of losses form impairment on debt instruments held that are measured at amortised cost or FVOCI. If the credit risk of financial asset has not increased significantly since its initial recognition, the financial asset will attract a loss allowance equal to 12-month expected credit losses. If its credit risk has increased significantly, it will attract an allowance equal to lifetime expected credit losses thereby increasing the amount of impairment recognised. As soon as the loss event occur (what is current define as “objective evidence of impairment”), the impairment allowance would be allocated directly to financial asset affected, which provide the same accounting treatment, from that point, similar to the current IAS 39, including the treatment of interest revenue. The mandatory effective date of IFRS 9 is on or after 1st January 2018.



20

IFRS 15 – Revenue from Contracts with Customers The IASB, issued on 28th May 2014, IFRS 15 Revenue from Contracts with Costumers, effective (with early application) for annual periods beginning on or after 1st July 2017. This standard will revoke IAS 11 Construction Contracts, IAS 18 – Revenue, IFRIC 13 – Customer Loyalty Programs, IFRIC 18 – Transfers of Assets from Customers and SIC 31 – Revenue- Barter Transactions Involving Advertising Services. IFRS 15 provides a model based on 5 steps of analysis in order to determine when revenue should be recognized and the amount. The model specifies that the revenue should be recognized when an entity transfers goods or services to the customer, measured by the amount that the entity expects to be entitled to receive. Depending on the fulfilment of certain criteria, revenue is recognized: • At a time when the control of the goods or services is transferred to the customer; or • Over the period, to the extent that represents the performance of the entity. The Company is not expecting a significant impact form the adoption of the amendment, taking into consideration the accounting policy already adopted.



21

2 Net interest income

As at 31 December, 2015 and 2014, this balance is analysed as follows:

Total Operations Tagus Total Total Operations Tagus Total

Interest income

Interest on loans and advances to customers 220,098,402 - 220,098,402 223,706,026 - 223,706,026 Interest on deposits 286,992 - 286,992 565,933 15,435 581,368

Loan portfolio acquisition premium (37,794,481) - (37,794,481) (24,692,923) - (24,692,923)

Cost of funding (9,973) - (9,973) (9,973) - (9,973)

182,580,940 - 182,580,940 199,569,063 15,435 199,584,498

Interest expense

Interest on debt securities issued (165,249,673) - (165,249,673) (188,055,755) - (188,055,755)Interest on deposits (43,900) - (43,900) - - -

Interest on other financial liabilities - (359,858) (359,858) - (383,867) (383,867)

Premium bond issue 132,472 - 132,472 284,225 - 284,225

(165,161,101) (359,858) (165,520,959) (187,771,530) (383,867) (188,155,397)

Net interest income 17,419,839 (359,858) 17,059,981 11,797,533 (368,432) 11,429,101

2015 2014EUR EUR

The analysis of the operations’ values is presented in note 23.



22

3 Net fee and commission income As at 31 December, 2015 and 2014, this balance is analysed as follows:


Fee and Comission Income:

Management fees:

Altis nº1 - 8,757 8,757 - 10,998 10,998 Aqua Mortgage nº1 - 23,125 23,125 - 25,327 25,327 Energyon nº 1 - 88,432 88,432 - 91,030 91,030 Aqua Finance nº3 - - - - 7,178 7,178 EnergyOn nº 2 - 49,619 49,619 - 67,189 67,189 Nostrum nº2 - 332,395 332,395 - 332,212 332,212 Caravela SME nº2 - - - - 44,729 44,729 Lusitano Finance nº3 - 18,815 18,815 - 29,191 29,191 Volta Electricity Receivables - 45,057 45,057 - 61,109 61,109 Castilho Mortgages Nº. 1 - 247,458 247,458 - 225,151 225,151 Volta II Electricity Receivables - 110,992 110,992 - 103,760 103,760 Pelican - 62,939 62,939 - 85,179 85,179 CMEC Volta - 44,583 44,583 - 1,250 1,250 Aqua NPL nº. 1 - 41,667 41,667 - - - Volta III Electricity Receivables - 72,915 72,915 - - - Silk Finance nº.4 - 7,723 7,723 - - -

- - Audit fee 21,525 - 21,525 21,525 - 21,525 Issuer fee 8,886 - 8,886 10,868 - 10,868 Agent bank fee 2,247 - 2,247 3,584 - 3,584 Legal fee 40,952 - 40,952 - - - Other 15,000 - 15,000 - - -

88,610 1,154,477 1,243,087 35,977 1,084,303 1,120,280

2015 2014EUR EUR

The caption Audit fee – Operations refers to the audit fees related to the operations. The caption Other refers to a commission paid to the Common Representative of Operation Altis No. 1, associated to the settlement of this operation. The analysis of the operations’ values is presented in note 23.



23

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

As at 31 December, 2015 and 2014, this account is analysed as follows:


Gains arising from financial assets and liabilities at fair value through profit and loss

Financial assets held-for-trading - Swaps 206,240 - 206,240 - - - Other gains arising financial operations 47,234,638 - 47,234,638 36,092,113 - 36,092,113

Losses arising from financial assets and liabilities at fair value through profit and loss

Financial liabilities held-for-trading - Swaps (5,974,032) - (5,974,032) (33,415,434) - (33,415,434)Other Losses arising financial operations (3,581,999) - (3,581,999) (3,645,275) - (3,645,275)

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

37,884,847 - 37,884,847 (968,596) - (968,596)

2015 2014EUR EUR

The caption Gains / (Losses) arising from Financial assets and liabilities held-for-trading - Swaps includes changes in fair value and accrued interest of financial derivatives. The caption Other Gains / (Losses) arising financial operations includes the insufficiency / excess, recognized during the period, assumed by the note holders (note 13). The analysis of the operations’ values is presented in note 23.

5 Staff costs As at 31 December, 2015 and 2014, this balance is analysed as follows:


Remuneration - (9,000) (9,000) - (9,000) (9,000)Obligatory social charges - (1,827) (1,827) - (1,827) (1,827)

- (10,827) (10,827) - (10,827) (10,827)

2015 2014EUR EUR

This balance includes the amount of Euro 9,000 (2014: Euro 9,000) referring to the remuneration of Supervisory Board members. The cost with the salaries of employees and members of the Board of Directors assigned to the Company is reflected through the Service Level Agreement (“SLA”) entered into with Deutsche Bank A.G. – Sucursal em Portugal (note 6).



24

6 Other administrative costs



Judicial costs - (6,765) (6,765) - (7,932) (7,932)Fees - (37,983) (37,983) - (25,732) (25,732)Audit fee (330,378) (2,907) (333,285) (249,813) (2,907) (252,720)Service fee (3,439,499) - (3,439,499) (3,051,631) - (3,051,631)Issuer fee (1,156,096) - (1,156,096) (1,077,960) - (1,077,960)Agent bank fee (146,055) - (146,055) (108,304) - (108,304)Irish stock exchange fee (18,807) - (18,807) (4,920) - (4,920)Legal fee (83,050) - (83,050) (80,047) - (80,047)Rating Agency fee (316,610) - (316,610) (392,365) - (392,365)Transaction Manager - - - (19,838) - (19,838)Service Level Agreement - (87,517) (87,517) - (88,752) (88,752)Euronext (9,564) - (9,564) (34,642) - (34,642)Interbolsa (207,304) - (207,304) (219,102) - (219,102)CMVM - (500) (500) - (500) (500)

Paying Agent fee (49,426) - (49,426) (34,718) - (34,718)Other (15,690) (814) (16,504) (680) (844) (1,524)

(5,772,479) (136,486) (5,908,965) (5,274,020) (126,667) (5,400,687)

2015 2014EUR EUR

The Company has a Service Level Agreement (‘SLA’) with Deutsche Bank A.G. – Sucursal em Portugal and with Navegator SGFTC, S.A., that establishes the terms of the services provided from these entities to the Company. As at 31 December, 2015, the caption Service Level Agreement includes the amounts of Euro 62,277 (2014: Euro 63,512) and Euro 25,240 (2014: Euro 25,240) referring to the services rendered by Deutsche Bank A.G – Sucursal em Portugal and Navegator SGFTC, S.A., respectively, as a result of the SLA, as referred in note 15. The analysis of the operations’ values is presented in note 23.



25

7 Loans impairment As at 31 December, 2015 and 2014, this balance is analysed as follows:

2015 2014EUR EUR

Total Operations Total Operations

Loans to customers:

Charge for the year (49,939,893) (58,501,056) Write-back for the year 319,076 52,910,162

(49,620,817) (5,590,894)


8 Loans and advances to credit institutions repayable on demand

As at 31 December de 2015 e 2014, this balance is analysed as follows:


Deposits repayable on demand 287,772,992 14,321,842 302,094,834 178,317,294 14,486,123 192,803,417 Cash reserve 237,880,533 - 237,880,533 140,644,528 - 140,644,528 Liquidity Account 8,597,010 - 8,597,010 10,212,445 - 10,212,445

534,250,535 14,321,842 548,572,377 329,174,267 14,486,123 343,660,390

2015 2014EUR EUR

The balance Loans and advances to credit institutions repayable on demand – Tagus includes the amount Euro 14,321,842 (2014: Euro 14,486,123) referring to deposits repayable on demand at Deutsche Bank A.G. – Sucursal em Portugal. The analysis of the operations’ values is presented in note 23.



26

9 Loans and advances to customers As at 31 December, 2015 this balance is analysed as follows:

Loans Accrued interest

Loans impairment Overdue interest Acquisition of loans premium

Cost of funding Total Operations Tagus Total

Aqua Mortgage nº1 141,523,475 69,765 (2,531,022) 155,374 - - 139,217,592 - 139,217,592 EnergyOn nº1 832,157,189 263,129 - - - - 832,420,318 - 832,420,318 EnergyOn nº2 291,894,500 110,757 - - - - 292,005,257 - 292,005,257 Nostrum nº2 4,211,756,028 1,555,385 (13,881,141) 416,605 - - 4,199,846,877 - 4,199,846,877 Lusitano Finance No. 3 113,867,802 310,007 (3,646,423) 424,605 3,432,697 - 114,388,688 - 114,388,688 Volta Electricity Receivables 134,862,194 - - - 5,555,968 - 140,418,162 - 140,418,162 Castilho Mortgages Nº. 1 1,194,233,690 806,278 (339,614) 22,058 - 427,212 1,195,149,624 - 1,195,149,624 Volta II Electricity Receivables 396,321,537 - - - 22,001,589 - 418,323,126 - 418,323,126 Pelican Finance No. 1 287,310,671 790,434 (3,546,201) 320,811 - - 284,875,715 - 284,875,715 CMEC Volta Electricity Receivables 228,825,936 - - - 8,053,843 - 236,879,779 - 236,879,779 Volta III Electricity Receivables 380,944,685 - - - 24,238,612 - 405,183,297 - 405,183,297 Aqua NPL No. 1 9,669,601 - - - - - 9,669,601 - 9,669,601 Silk Finance No. 4 611,007,729 1,348,619 (4,157,326) 102,708 - - 608,301,730 - 608,301,730 BBVA RMBS No. 1 1,098,740,943 45,111 (5,612,620) 254 16,607,980 - 1,109,781,668 - 1,109,781,668

9,933,115,980 5,299,485 (33,714,347) 1,442,415 79,890,689 427,212 9,986,461,434 - 9,986,461,434

2015EUR

As at 31 December, 2014 this balance is analysed as follows:

Loans Accrued interest

Loans impairment Overdue interest Acquisition of loans premium

Cost of funding Total Operations Tagus Total

Altis nº1 67,926,613 14,927 - - - - 67,941,540 - 67,941,540 Aqua Mortgage nº1 155,460,074 89,607 (3,018,331) 227,029 - - 152,758,379 - 152,758,379 EnergyOn nº1 914,302,491 287,930 - - - - 914,590,421 - 914,590,421 EnergyOn nº2 320,708,481 100,997 - - - - 320,809,478 - 320,809,478 Nostrum nº2 4,445,204,519 1,988,888 (12,399,027) 432,553 - - 4,435,226,933 - 4,435,226,933 Lusitano Finance No. 3 178,588,079 593,630 (5,441,804) 677,799 3,681,147 - 178,098,851 - 178,098,851 Volta Electricity Receivables 251,905,574 - - - 12,360,392 - 264,265,966 - 264,265,966 Castilho Mortgages Nº. 1 1,281,113,689 1,045,048 (625,171) 22,987 - 437,185 1,281,993,738 - 1,281,993,738 Volta II Electricity Receivables 570,714,249 - - - 38,847,034 - 609,561,283 - 609,561,283 Pelican Finance No. 1 285,146,419 837,029 (2,884,105) 252,816 - - 283,352,159 - 283,352,159 CMEC Volta Electricity Receivabl 228,825,936 134,078 - - 11,054,275 - 240,014,289 - 240,014,289

8,699,896,124 5,092,134 (24,368,438) 1,613,184 65,942,848 437,185 8,748,613,037 - 8,748,613,037

2014EUR

The analysis of the operations’ values is presented in note 23. The movements of impairment for credit risk are analysed as follows:

2015 2014EUR EUR

Loans impairment:

Balance on 1 January (24,368,438) (149,101,113) Charge for the year (49,939,893) (58,501,056) Write-back for the year 319,076 52,910,162 Loans written-off 40,274,908 130,323,569

Balance on 31 December (33,714,347) (24,368,438)



27

10 Intangible assets



Acquisition Cost

Software - 10,354 10,354 - 10,354 10,354

Accumulated depreciation

Charge for the year - - - - - - Accumulated charge

- (10,354) (10,354) - (10,354) (10,354)

- - - - - -

2015 2014EUR EUR

Balance on Acquisitions/ Balance on01-01-2015 Charges 31-12-2015

EUR EUR EUR

Tagus Tagus Tagus

Acquisition Cost

Software 10,354 - 10,354

Accumulated depreciation

Software (10,354) - (10,354)



28

11 Other assets



Public sector - - - - - - Other debtors - - - - - -

Amount receivable 22,202,842 - 22,202,842 7,537,256 - 7,537,256 Up front fee 28,662 - 28,662 29,887 - 29,887 Other - - - 130,900 - 130,900

Issuer fee:

Altis nº1 - - - - 187 187 Aqua Mortgage nº1 - 963 963 - 1,058 1,058 EnergyOn nº1 - 3,917 3,917 - 4,803 4,803 EnergyOn nº2 - 2,191 2,191 - 2,688 2,688 Nostrum nº2 - 36,339 36,339 - 38,275 38,275 Lusitano - 2,944 2,944 - 4,511 4,511 Volta Electricity Receivables - 1,272 1,272 - 2,312 2,312 Castilho Mortgages Nº. 1 - 48,044 48,044 - 51,206 51,206 Volta II Electricity Receivables - 3,653 3,653 - 2,781 2,781 Pelican Finance No. 1 - 343 343 - 343 343 CMEC Volta - 4,167 4,167 - 1,250 1,250 Aqua NPL nº 1 - 4,167 4,167 - - - Volta III Electricity Receivables - 3,950 3,950 - - - Silk Finance nº 4 - 7,683 7,683 - - -

22,231,504 119,633 22,351,137 7,698,043 109,414 7,807,457

2015 2014EUR EUR




29

12 Financial liabilities held-for-trading


Swaps 59,568,081 - 59,568,081 67,429,151 - 67,429,151

59,568,081 - 59,568,081 67,429,151 - 67,429,151

2015 2014EUR EUR

Total Operations Tagus Total Total Operations

Tagus Total

The balance Financial liabilities held-for-trading – Swaps is referring to the fair value of interest rate swaps, including the accrued interest, as referred in the accounting policy described in note 1.4 and described in note 23. According to IFRS 7 requirements, fair value of derivatives is included in level 2. The balance Financial liabilities held-for-trading, by maturity, as at 31 December, 2015, is analysed as follows:

Total OperationsMore than 5 years

Swaps 5,353,409,397 - 5,353,409,397 58,290,547 - 58,290,547

5,353,409,397 - 5,353,409,397 58,290,547 - 58,290,547

Notional with remaining term Fair ValueEUR EUR

Tagus TotalTotal

Operations Tagus Total

The balance Financial liabilities held-for-trading, by maturity, as at 31 December, 2014, is analysed as follows:

Total OperationsMore than 5 years

Swaps 5,753,297,328 - 5,753,297,328 66,149,955 - 66,149,955

5,753,297,328 - 5,753,297,328 66,149,955 - 66,149,955

Notional with remaining term Fair ValueEUR EUR

Tagus TotalTotal

Operations Tagus Total




30

13 Debt securities issued



Debt securities issued:

Securitisation notes 10,482,580,733 - 10,482,580,733 9,056,807,400 - 9,056,807,400 Accrued interest 44,338,893 - 44,338,893 27,801,409 - 27,801,409 Issue Premium 24,133,101 - 24,133,101 4,792,271 - 4,792,271 Issue Discount (1,561,895) - (1,561,895) (88,753) - (88,753)Other (83,915,077) - (83,915,077) (74,632,872) - (74,632,872)

10,465,575,755 - 10,465,575,755 9,014,679,455 - 9,014,679,455

2015 2014EUR EUR

The balance Other is referring to the excess / (deficit) that would be transferred to the note holders, as at 31 December, 2015, if the operations ended at this date. The analysis of the operations’ values is presented in note 23.

14 Other financial liabilities

As at 31 December, 2015 and 2014, this account is analysed as follows:

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 2,425 152,425 150,000 2,674 152,674

17/2009 Nov-2009 Nov-2019 E12M+3% 307,211 795 308,006 307,211 881 308,092

19/2010 Jul-2010 Jul-2020 E12M+3% 1,911,958 25,754 1,937,712 1,911,958 28,351 1,940,309

21/2010 Nov-2010 Nov-2020 E12M+3% 200,000 518 200,518 200,000 574 200,574

22/2010 Dec-2010 Dec-2010 E12M+3% 4,000,000 134,570 4,134,570 4,000,000 143,901 4,143,901

23/2011 Feb-2011 Feb-2011 E12M+3% 1,200,000 33,028 1,233,028 1,200,000 36,200 1,236,200

24/2011 Mar-2011 Mar-2021 E12M+3% 1,950,000 47,640 1,997,640 1,950,000 53,402 2,003,402

26/2011 Jun-2011 Jun-2021 E12M+3% 863,627 13,965 877,592 863,627 15,396 879,023

27/2011 Nov-2011 Nov-2021 E12M+3% 106,757 277 107,034 106,757 306 107,063

10,689,553 258,972 10,948,525 10,689,553 281,685 10,971,238

2015EUR

2014EUR

Supplementary Capital

The amounts included in this balance refer to supplementary capital contributions that were recognized as Other financial liabilities, as described in the accounting policy 1.4.



31

15 Other liabilities



Public Sector - 25,526 25,526 - 12,535 12,535

Accrued expenses:

Judicial costs - 3,383 3,383 - 3,383 3,383 Service Level Agreement - - - - 88,752 88,752 Audit fees 308,853 2,907 311,760 270,723 2,906 273,629 Service fee 1,149,343 - 1,149,343 382,445 - 382,445 Issuer fee 120,958 - 120,958 109,411 - 109,411 Agent bank fee 13,735 - 13,735 7,543 - 7,543 Paying agent fee 1,003 - 1,003 1,025 - 1,025 Amount payable 14,743,330 - 14,743,330 972,410 - 972,410 Other 1,462,415 98,410 1,560,825 1,633,184 216,418 1,849,602

Deferred income:

Up front fee - 38,641 38,641 - 34,572 34,572

17,799,637 168,867 17,968,504 3,376,741 358,566 3,735,307

2015 2014EUR EUR

As at 31 December 2015, the balance Public Sector includes the amounts Euro 417 (2014: Euro 277) referring to stamp duty and the amount Euro 25,109 (2014: Euro 12,258) referring to corporate tax. The Company has a Service Level Agreement (‘SLA’) with Deutsche Bank A.G. – Sucursal em Portugal and with Navegator SGFTC, S.A., that establishes the terms of the services rendered by these entities to the Company. The balance Up front fee – Tagus refers to the annual fee paid by the Originators for the services rendered by the Company to the several Operations. The analysis of the operations’ values is presented in note 23.



32

16 Share capital and other equity instruments

As described in note 1.1, the Company’s share capital in the amount of Euro 250,000 is represented by 50,000 shares with the nominal value of Euro 5 each. The supplementary capital contributions given by Deutsche Bank A.G. – Sucursal em Portugal are analysed as follows:

General Assembly Amountdeliberation 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 recognition of supplementary capital contributions given by the shareholder is classified as other equity instruments in accordance with IAS 32 – Financial Instruments: Presentation, as described in note 1.6. As at 31 December, 2015, the Company’s own funds amount to Euro 14,013,636 (2014: Euro 13,955,286) which allows the Company to have in circulation securitised notes up to the amount Euro 10,482,580,733 (2014: Euros 9,056,807,400) in accordance with CMVM Regulation No. 12/2002. The Company’s own funds includes the amount of supplementary capital (as described in note 14).



33

17 Reserves and retained earnings



Legal Reserve - 148,018 148,018 - 97,471 97,471 Retained earnings - 20,677 20,677 - 15,753 15,753

- 168,695 168,695 - 113,224 113,224

2015 2014EUR EUR

As established by the Portuguese legislation, the Company must transfer to legal reserve a minimum of 5% of the net income for each year, until it represents 20% of the share capital. Such reserve is not available for distribution. In accordance with deliberation in the General Assembly of 31 March, 2015, the Company approved the application of the 2014 result and set up the legal reserve in the amount of Euro 50,547, paid dividends in the amount of Euro 50,000 and transferred to retained earnings the amount Euro 4,924.

18 Obligations and future commitments

2015 2014EUR EUR

Total Operations Total Operations

Collateral 10,995,317,937 8,940,725,382


19 Fair value Fair value is based on market prices, whenever these are available. If market prices are not available, as it happens regarding many products sold to clients, fair value is estimated through internal models based on cash-flow discounting techniques. Cash-flows for the different instruments sold are calculated according with its financial characteristics and the discount rates used include both the market interest rate curve and other market conditions, it applicable. Therefore, the fair value obtained is influenced by the parameters used in the evaluation model that, necessarily have some degree of judgement and reflect exclusively the value attributed to different financial instruments. However it does not consider prospective factors, like the future business evolution.



34

Under these conditions, the values presented cannot be understood as an estimate of the economic value of the Company. The main methods and assumptions used in estimating the fair value for the financial assets and liabilities of the Company are presented as follows: Loans and advances to credit institutions repayable on demand Considering the short maturity of these financial instruments, the amount in the balance sheet is a reasonable estimate of its fair value. Financial assets and liabilities held-for-trading These financial instruments are accounted at a fair value. Fair value is based on market prices, whenever these are available. If market prices are not available, fair value is calculated through numerical model based on cash-flow discounting techniques that, in order to estimate fair value, use market interest rate curves adjusted by specific factors, mainly by credit risk and liquidity risk, and are determined in accordance with to market conditions and maturity. Loans and advances to customers The fair value of these instruments is calculated discounting the expected principal and interest future cash flows for these instruments, considering that the payments of the instalments occur in the contractually defined dates. The discount rate used reflects the current conditions for each of the homogeneous classes of this type of instrument and with similar maturity. One of the main factors that implies that the redit fair value differs from the amortised cost net of impairment losses is the evaluation of the interest rate variation and credit spread. Since these assets are directly related to each operations’ financial liabilities, the impact of interest rate variation and credit spread on financial assets is replaced in the implicit interest rate variation of financial liabilities plus the derivatives’ fair value, when applicable. Debt securities issued The fair value of debt securities issued is the value of the other assets and liabilities to the extent that any excess of the values generated by the assets which will be paid to the note holders and any deficit will be recognised by the note holder at the maturity date of the notes. Therefore the differences to the fair value are not significant.

20 Related parties The balances and transactions with related parties are as follows: - The Company entered into a Service Level Agreement ("SLA") with Deutsche Bank (Branch in Portugal) SA and Navegator SGFTC, SA, as shown in notes 6 and 15; - The Loans and advances to credit institutions repayable on demand and Other loans and advances to credit institutions, correspond to demand deposits with Deutsche Bank (Branch in Portugal) SA and Deutsche Bank - London, as presented in note 8, and note 23 of each Operation; and - The caption of Staff costs refers to the remuneration of Supervisory Board members, as presented in note 5.



35

21 Risk Management

The main risk types are described as follows: Credit – Credit risk is associated with the degree of uncertainty of the expected returns as a result of the inability either of the borrower (and the guarantor, if any) or of the issuer of a security or of the counterparty to an agreement to fulfil their obligations. Market – Market risk reflects the potential loss inherent in a given portfolio as a result of changes in rates (interest and exchange) and/or in the prices of the various financial instruments that make up the portfolio, considering both the correlations that exist between them and the respective volatility. Liquidity – Liquidity risk reflects the Company’s inability to meet its obligations at maturity without incurring in significant losses resulting from the deterioration of the funding conditions (funding risk) and/or from the sale of its assets below market value (market liquidity risk). Operational – Operational risk is understood to be the potential loss resulting from failures or inadequacies in internal procedures, persons or systems, and also the potential losses resulting from external events. Tagus The Company develops an instrumental activity within the Deutsche Bank A.G. – Sucursal em Portugal, and the risk management of the business is done in a centralized manner. The monitoring and control of the main types of financial risks - credit, market, liquidity and operational, is made in accordance with the general principles of management and control of risks defined by the Group. Operations As defined in the Offering Circular of operations, the loans acquired must meet a set of requirements both at the purchase date and through the life of the operation. If the requirements are not fulfilled the credits must be replaced or the originators have to make compensatory payments to the operations. The Servicing Agreements rented to ensure that all operations assure that specialist third parties (usually their own originators) develop procedures in order to manage and control credit risk, including ensuring the receivables, identifying events of default and managing the recovery of loans. Considering the interest rate risk, there are swaps which are hired in order to eliminate the differential between credit interest rates and the interest rates on bonds (basis risk).

22 Subsequent events

At the date of this report, there were no subsequent events to be disclosed.



36

23 Securitisation operations’ analysis In the following pages are presented in detail each of the operations. The Income Statement, Statement of Financial Position and Cash Flows Statement of the operations are presented in the following pages.


37

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Interest income 2.074.707 2.489.814 19.705.764 21.863.050 5.841.419 6.485.920 62.140.253 69.659.077 7.866.934 18.032.729 97.629.077 118.530.590 Interest expense (1.904.036) (2.310.170) (16.551.763) (20.065.009) (4.740.332) (5.872.717) (53.301.026) (61.639.563) (7.563.899) (17.572.255) (84.061.056) (107.459.714)

Net interest income 170.671 179.644 3.154.001 1.798.041 1.101.087 613.203 8.839.227 8.019.514 303.035 460.474 13.568.021 11.070.876

Fee and commission income - - - - - - - - - - - -

Net gains/ (losses) arising from financial assets and liabilities at fair 1.529.502 1.420.224 (2.944.615) (1.579.338) (950.907) (457.783) 25.437.791 (4.571.264) 1.473.065 2.002.564 24.544.836 (3.185.597)

Other administrative costs (170.671) (179.644) (209.386) (218.703) (150.180) (155.420) (998.779) (1.192.522) (303.035) (460.474) (1.832.051) (2.206.763)

Total operating income/(expense) 1.358.831 1.240.580 (3.154.001) (1.798.041) (1.101.087) (613.203) 24.439.012 (5.763.786) 1.170.030 1.542.090 22.712.785 (5.392.360)

Loans impairment (1.529.502) (1.420.224) - - - - (33.278.239) (2.255.728) (1.473.065) (2.002.564) (36.280.806) (5.678.516)

Operating income - - - - - - - - - - - -

Income before income taxes - - - - - - - - - - - -

Income taxes - - - - - - - - - - - -

Net income for the year - - - - - - - - - - - -



Income Statementfor the years ended 31 December, 2015 and 2014

Aqua Mortgage No. 1 Energy On No. 1 Securitisation Notes

Energy On No. 2 Securitisation Notes Nostrum Mortgage No. 2 Lusitano Finance No. 3 Sub-Total


38

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014


Interest income 97.629.077 118.530.590 9.116.012 14.990.807 12.277.846 14.375.976 16.516.799 16.255.951 21.966.403 15.408.688 157.506.137 179.562.012 Interest expense (84.061.056) (107.459.714) (8.890.183) (14.760.807) (10.686.290) (12.665.126) (16.232.018) (16.042.503) (21.472.691) (15.103.512) (141.342.238) (166.031.662)

Net interest income 13.568.021 11.070.876 225.829 230.000 1.591.556 1.710.850 284.781 213.448 493.712 305.176 16.163.899 13.530.350

Fee and commission income - - - - - - - - - - - - Net gains/ (losses) arising from financial assets and liabilities at fair 24.544.836 (3.185.597) - - 2.901.966 1.317.349 - - 668.099 2.889.603 28.114.901 1.021.355

Other administrative costs (1.832.051) (2.206.763) (225.829) (230.000) (1.591.556) (1.710.850) (284.781) (213.448) (493.712) (305.176) (4.427.929) (4.666.237)

Total operating income/(expense) 22.712.785 (5.392.360) (225.829) (230.000) 1.310.410 (393.501) (284.781) (213.448) 174.387 2.584.427 23.686.972 (3.644.882)

Loans impairment (36.280.806) (5.678.516) - - (2.901.966) (1.317.349) - - (668.099) (2.889.603) (39.850.871) (9.885.468)



Income taxes - - - - - - - - - - - -





Sub-TotalSub-Total Volta II Electricity Receivables Pelican Finance No. 1Volta Electricity Receivables Securitisation Notes Castilho Mortgages No. 1


39

Volta III Electricity

Receivables

Aqua NPL No. 1

Silk Finance No. 4

BBVA Portugal

RMBS No. 1

2015 2014 2015 2014 2015 2015 2015 2015 2015 2014 2015 2014


Interest income 157.506.137 179.562.012 7.353.341 182.678 7.715.449 1.079.586 8.254.212 47.462 624.753 903.550 182.580.940 180.648.240 Interest expense (141.342.238) (166.031.662) (7.195.003) (149.670) (7.535.163) (980.033) (7.458.661) (25.250) (624.753) (903.550) (165.161.101) (167.084.882)

Net interest income 16.163.899 13.530.350 158.338 33.008 180.286 99.553 795.551 22.212 - - 17.419.839 13.563.358

Fee and commission income - - - - - - - - 88.610 35.977 88.610 35.977

Net gains/ (losses) arising from financial assets and liabilities at fair 28.114.901 1.021.355 - - - - 4.157.326 5.612.620 - - 37.884.847 1.021.355

Other administrative costs (4.427.929) (4.666.237) (158.338) (33.008) (180.286) (99.553) (795.551) (22.212) (88.610) (35.977) (5.772.479) (4.735.222)

Total operating income/(expense) 23.686.972 (3.644.882) (158.338) (33.008) (180.286) (99.553) 3.361.775 5.590.408 - - 32.200.978 (3.677.890)-

Loans impairment (39.850.871) (9.885.468) - - - - (4.157.326) (5.612.620) - - (49.620.817) (9.885.468)



Income taxes - - - - - - - - - - - -



CMEC Volta Electricity Receivables

Altis No. 1 Securitisation NotesSub-Total



Sub-Total


40

2015 2014 2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Interest income 182.580.940 180.648.240 - 16.850.708 - 2.070.115 182.580.940 199.569.063 Interest expense (165.161.101) (167.084.882) - (16.352.194) - (4.334.454) (165.161.101) (187.771.530)

Net interest income 17.419.839 13.563.358 - 498.514 - (2.264.339) 17.419.839 11.797.533

Fee and commission income 88.610 35.977 - - - - 88.610 35.977 Net gains/ (losses) arising from financial assets and liabilities at fair 37.884.847 1.021.355 - 1.655.324 - (3.645.275) 37.884.847 (968.596)

Other administrative costs (5.772.479) (4.735.222) - (498.514) - (40.284) (5.772.479) (5.274.020)

Total operating income/(expense) 32.200.978 (3.677.890) - 1.156.810 - (3.685.559) 32.200.978 (6.206.639)

Loans impairment (49.620.817) (9.885.468) - (1.655.324) - 5.949.898 (49.620.817) (5.590.894)

Operating income - - - - - - - -

Income before income taxes - - - - - - - -

Income taxes - - - - - - - -

Net income for the year - - - - - - - -



Income Statement


Sub-Total Caravela SME No. 2 TotalAqua Finance No. 3


41

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014

Assets (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Loans and advances to credit institutions repayable on demand 4.568.410 5.483.839 13.373.736 13.375.568 4.725.072 4.736.629 126.210.100 116.978.751 25.221.900 35.020.475 174.099.218 175.595.262

Loans and advances to customers 139.217.592 152.758.379 832.420.318 914.590.421 292.005.257 320.809.478 4.199.846.877 4.435.226.933 114.388.688 178.098.851 5.577.878.732 6.001.484.062 Other assets 80.162 10.731 2.919 3.224 3.058 3.378 4.075.665 130.900 94.094 8.253 4.255.898 156.486

Total Assets 143.866.164 158.252.949 845.796.973 927.969.213 296.733.387 325.549.485 4.330.132.642 4.552.336.584 139.704.682 213.127.579 5.756.233.848 6.177.235.810

Liabilities

Financial liabilities held-for-trading - - 16.823.006 20.576.881 6.342.446 7.894.016 36.402.629 38.958.254 - - 59.568.081 67.429.151 Debt securities issued 143.684.931 157.999.683 828.937.469 907.354.801 290.362.421 317.626.003 4.293.176.167 4.512.803.940 139.206.582 212.352.936 5.695.367.570 6.108.137.363 Other liabilities 181.233 253.266 36.498 37.531 28.520 29.466 553.846 574.390 498.100 774.643 1.298.197 1.669.296

Total Liabilities 143.866.164 158.252.949 845.796.973 927.969.213 296.733.387 325.549.485 4.330.132.642 4.552.336.584 139.704.682 213.127.579 5.756.233.848 6.177.235.810

Equity

Share capital - - - - - - - - - - - - Other equity instruments - - - - - - - - - - - - Reserves and retained earnings - - - - - - - - - - - - Net income for the year - - - - - - - - - - - -

Total Equity - - - - - - - - - - - -

Total Equity and Liabilities 143.866.164 158.252.949 845.796.973 927.969.213 296.733.387 325.549.485 4.330.132.642 4.552.336.584 139.704.682 213.127.579 5.756.233.848 6.177.235.810







42

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014


Loans and advances to credit institutions repayable on demand 174.099.218 175.595.262 12.982.437 14.301.000 169.926.788 87.465.639 20.952.495 22.424.896 24.127.790 25.795.721 402.088.728 325.582.518

Loans and advances to customers 5.577.878.732 6.001.484.062 140.418.162 264.265.966 1.195.149.624 1.281.993.738 418.323.126 609.561.283 284.875.715 283.352.159 7.616.645.359 8.440.657.208 Other assets 4.255.898 156.486 1.465 2.791 8.362.879 7.516.983 - - 1.852.451 - 14.472.693 7.676.260

Total Assets 5.756.233.848 6.177.235.810 153.402.064 278.569.757 1.373.439.291 1.376.976.360 439.275.621 631.986.179 310.855.956 309.147.880 8.033.206.780 8.773.915.986

Liabilities

Financial liabilities held-for-trading 59.568.081 67.429.151 - - - - - - - - 59.568.081 67.429.151 Debt securities issued 5.695.367.570 6.108.137.363 153.374.197 278.544.001 1.373.106.260 1.375.649.648 439.246.468 631.958.949 310.487.794 308.872.724 7.971.582.289 8.703.162.685 Other liabilities 1.298.197 1.669.296 27.867 25.756 333.031 1.326.712 29.153 27.230 368.162 275.156 2.056.410 3.324.150

Total Liabilities 5.756.233.848 6.177.235.810 153.402.064 278.569.757 1.373.439.291 1.376.976.360 439.275.621 631.986.179 310.855.956 309.147.880 8.033.206.780 8.773.915.986

Equity


Total Equity - - - - - - - - - - - -

Total Equity and Liabilities 5.756.233.848 6.177.235.810 153.402.064 278.569.757 1.373.439.291 1.376.976.360 439.275.621 631.986.179 310.855.956 309.147.880 8.033.206.780 8.773.915.986


Volta II Electricity Receivables Volta Electricity Receivables Securitisation Notes Castilho Mortgages No. 1



Sub-TotalSub-Total Pelican Finance No. 1


43


Receivables

Aqua NPL No. 1

Silk Finance No. 4

BBVA Portugal

RMBS No. 1

2015 2014 2015 2014 2015 2015 2015 2015 2015 2014 2015 2014


Loans and advances to credit institutions repayable on demand 402.088.728 325.582.518 2.951.343 3.571.664 13.806.221 1.260.747 21.764.972 92.200.000 178.524 - 534.250.535 329.154.182

Loans and advances to customers 7.616.645.359 8.440.657.208 236.879.779 240.014.289 405.183.297 9.669.601 608.301.730 1.109.781.668 - 67.941.540 9.986.461.434 8.748.613.037 Other assets 14.472.693 7.676.260 - - - - 3.635.383 4.123.428 - 21.783 22.231.504 7.698.043

Total Assets 8.033.206.780 8.773.915.986 239.831.122 243.585.953 418.989.518 10.930.348 633.702.085 1.206.105.096 178.524 67.963.323 ############ 9.085.465.262

Liabilities

Financial liabilities held-for-trading 59.568.081 67.429.151 - - - - - - - - 59.568.081 67.429.151 Debt securities issued 7.971.582.289 8.703.162.685 239.804.530 243.567.445 418.959.088 10.908.198 618.060.496 1.206.082.630 178.524 67.941.540 ############ 9.014.671.670 Other liabilities 2.056.410 3.324.150 26.592 18.508 30.430 22.150 15.641.589 22.466 - 21.783 17.799.637 3.364.441

Total Liabilities 8.033.206.780 8.773.915.986 239.831.122 243.585.953 418.989.518 10.930.348 633.702.085 1.206.105.096 178.524 67.963.323 ############ 9.085.465.262

Equity


Total Equity - - - - - - - - - - - -

Total Equity and Liabilities 8.033.206.780 8.773.915.986 239.831.122 243.585.953 418.989.518 10.930.348 633.702.085 1.206.105.096 178.524 67.963.323 ############ 9.085.465.262




Sub-Total Sub-TotalCMEC Volta Electricity Receivables

Altis No. 1 Securitisation Notes


44

2015 2014 2015 2014 2015 2014 2015 2014

Assets (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)

Loans and advances to credit institutions repayable on demand 534.250.535 329.154.182 - 20.085 - - 534.250.535 329.174.267

Loans and advances to customers 9.986.461.434 8.748.613.037 - - - - 9.986.461.434 8.748.613.037 Other assets 22.231.504 7.698.043 - - - - 22.231.504 7.698.043

Total Assets 10.542.943.473 9.085.465.262 - 20.085 - - 10.542.943.473 9.085.485.347

Liabilities

Financial liabilities held-for-trading 59.568.081 67.429.151 - - - - 59.568.081 67.429.151 Debt securities issued 10.465.575.755 9.014.671.670 - 7.785 - - 10.465.575.755 9.014.679.455 Other liabilities 17.799.637 3.364.441 - 12.300 - - 17.799.637 3.376.741

Total Liabilities 10.542.943.473 9.085.465.262 - 20.085 - - 10.542.943.473 9.085.485.347

Equity

Share capital - - - - - - - - Other equity instruments - - - - - - - - Reserves and retained earnings - - - - - - - - Net income for the year - - - - - - - -

Total Equity - - - - - - - -

Total Equity and Liabilities 10.542.943.473 9.085.465.262 - 20.085 - - 10.542.943.473 9.085.485.347




Sub-Total Caravela SME No. 2 Aqua Finance No. 3 Total


45

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)Operating activities

Other receivables /(payments) associatedwith the operating activities (170.957) (179.732) (210.114) (218.813) (150.806) (155.030) (872.475) (1.193.242) (325.821) (497.444) (1.730.173) (2.244.261)

Cash flows arising from operating activities (170.957) (179.732) (210.114) (218.813) (150.806) (155.030) (872.475) (1.193.242) (325.821) (497.444) (1.730.173) (2.244.261)


Receivables:

Client loans 11.870.828 14.179.188 82.145.302 80.193.335 28.813.981 28.129.291 198.062.037 173.084.405 61.371.398 102.931.991 382.263.546 398.518.210 Interest income 2.073.986 2.505.528 19.730.565 21.947.671 5.831.659 6.515.606 62.088.420 69.884.309 8.393.036 14.816.878 98.117.666 115.669.992

Total Receivables 13.944.814 16.684.716 101.875.867 102.141.006 34.645.640 34.644.897 260.150.457 242.968.714 69.764.434 117.748.869 480.381.212 514.188.202

Payments:

Financial Investments - - (4.273.638) (3.434.253) (1.345.330) (1.048.846) (8.009.894) (6.567.366) - - (13.628.862) (11.050.465)Loan portfolio acquisition - - - - - - - - - - - -

Total Payments - - (4.273.638) (3.434.253) (1.345.330) (1.048.846) (8.009.894) (6.567.366) - - (13.628.862) (11.050.465)

Cash flows arising from investing activities 13.944.814 16.684.716 97.602.229 98.706.753 33.300.310 33.596.051 252.140.563 236.401.348 69.764.434 117.748.869 466.752.350 503.137.737


Receivables:

Debt securities issued - - - - - - - - - - - -

Total Receivables - - - - - - - - - - - -

Payments:

Debt securities issued (14.273.704) (15.559.839) (80.577.864) (78.497.378) (28.338.952) (27.607.250) (226.709.509) (198.112.853) (72.231.494) (116.543.627) (422.131.523) (436.320.947)Interest expense (415.582) (1.339.115) (16.816.083) (20.193.157) (4.822.109) (5.915.771) (15.327.230) (15.063.337) (7.005.694) (11.870.167) (44.386.698) (54.381.547)

Total Payments (14.689.286) (16.898.954) (97.393.947) (98.690.535) (33.161.061) (33.523.021) (242.036.739) (213.176.190) (79.237.188) (128.413.794) (466.518.221) (490.702.494)

Cash flows arising from financing activities (14.689.286) (16.898.954) (97.393.947) (98.690.535) (33.161.061) (33.523.021) (242.036.739) (213.176.190) (79.237.188) (128.413.794) (466.518.221) (490.702.494)

Net changes in cash and equivalents (915.429) (393.970) (1.832) (202.595) (11.557) (82.000) 9.231.349 22.031.916 (9.798.575) (11.162.369) (1.496.044) 10.190.982

5.483.839 5.877.809 13.375.568 13.578.163 4.736.629 4.818.629 116.978.751 94.946.835 35.020.475 46.182.844 175.595.262 165.404.280

4.568.410 5.483.839 13.373.736 13.375.568 4.725.072 4.736.629 126.210.100 116.978.751 25.221.900 35.020.475 174.099.218 175.595.262

4.568.410 5.483.839 13.373.736 13.375.568 4.725.072 4.736.629 126.210.100 116.978.751 25.221.900 35.020.475 174.099.218 175.595.262

Other loans and advances to credit institutions - - - - - - - - - - - - Total 4.568.410 5.483.839 13.373.736 13.375.568 4.725.072 4.736.629 126.210.100 116.978.751 25.221.900 35.020.475 174.099.218 175.595.262


Loans and advances to credit institutions repayable on demand

Cash and cash equivalents balance at the beginning of the year

Cash and cash equivalents balance at the end of the year


Cash Flows Statementfor the years ended 31 December, 2015 and 2014




46

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014 2015 2014


Other receivables /(payments) associatedwith the operating activities (1.730.173) (2.244.261) (222.392) (230.008) (1.611.789) (863.538) (282.858) (186.217) (473.137) (282.028) (4.320.349) (3.806.052)

Cash flows arising from operating activities (1.730.173) (2.244.261) (222.392) (230.008) (1.611.789) (863.538) (282.858) (186.217) (473.137) (282.028) (4.320.349) (3.806.052)


Receivables:

Client loans 382.263.546 398.518.210 117.043.380 110.085.952 81.630.223 64.517.172 174.392.712 124.142.297 116.207.578 91.411.564 871.537.439 788.675.195 Interest income 98.117.666 115.669.992 15.920.436 22.880.493 12.770.427 13.428.052 33.362.244 31.676.453 21.640.858 14.570.588 181.811.631 198.225.578

Total Receivables 480.381.212 514.188.202 132.963.816 132.966.445 94.400.650 77.945.224 207.754.956 155.818.750 137.848.436 105.982.152 1.053.349.070 986.900.773

Payments:

Financial Investments (13.628.862) (11.050.465) - - - - - - - - (13.628.862) (11.050.465)Loan portfolio acquisition - - - - - (46.618.446) - (749.124.083) (119.853.708) (376.563.481) (119.853.708) (1.172.306.010)

Total Payments (13.628.862) (11.050.465) - - - (46.618.446) - (749.124.083) (119.853.708) (376.563.481) (133.482.570) (1.183.356.475)

Cash flows arising from investing activities 466.752.350 503.137.737 132.963.816 132.966.445 94.400.650 31.326.778 207.754.956 (593.305.333) 17.994.728 (270.581.329) 919.866.500 (196.455.702)


Receivables:

Debt securities issued - - - - - - - 756.061.000 - 308.700.000 - 1.064.761.000

Total Receivables - - - - - - - 756.061.000 - 308.700.000 - 1.064.761.000

Payments:

Debt securities issued (422.131.523) (436.320.947) (124.758.849) (119.669.648) - (519.000) (192.661.188) (125.292.246) - - (739.551.560) (681.801.841)Interest expense (44.386.698) (54.381.547) (9.301.138) (14.331.556) (10.327.712) (13.523.351) (16.283.311) (14.852.308) (19.189.522) (12.040.922) (99.488.381) (109.129.684)

Total Payments (466.518.221) (490.702.494) (134.059.987) (134.001.204) (10.327.712) (14.042.351) (208.944.499) (140.144.554) (19.189.522) (12.040.922) (839.039.941) (790.931.525)

Cash flows arising from financing activities (466.518.221) (490.702.494) (134.059.987) (134.001.204) (10.327.712) (14.042.351) (208.944.499) 615.916.446 (19.189.522) 296.659.078 (839.039.941) 273.829.475

Net changes in cash and equivalents (1.496.044) 10.190.982 (1.318.563) (1.264.767) 82.461.149 16.420.889 (1.472.401) 22.424.896 (1.667.931) 25.795.721 76.506.210 73.567.721

175.595.262 165.404.280 14.301.000 15.565.767 87.465.639 71.044.750 22.424.896 - 25.795.721 - 325.582.518 252.014.797

174.099.218 175.595.262 12.982.437 14.301.000 169.926.788 87.465.639 20.952.495 22.424.896 24.127.790 25.795.721 402.088.728 325.582.518

174.099.218 175.595.262 12.982.437 14.301.000 169.926.788 87.465.639 20.952.495 22.424.896 24.127.790 25.795.721 402.088.728 325.582.518

Other loans and advances to credit institutions - - - - - - - - - - - - Total 174.099.218 175.595.262 12.982.437 14.301.000 169.926.788 87.465.639 20.952.495 22.424.896 24.127.790 25.795.721 402.088.728 325.582.518




Sub-TotalSub-Total Volta Electricity Receivables Securitisation Notes Castilho Mortgages No. 1 Volta II Electricity Receivables Pelican Finance No. 1





47


Receivables

Aqua NPL No. 1

Silk Finance No. 4

BBVA Portugal RMBS No. 1

2015 2014 2015 2014 2015 2015 2015 2015 2015 2014 2015 2014


Other receivables /(payments) associatedwith the operating activities (4.320.349) (3.806.052) (150.254) (14.500) (149.856) (77.403) - - - - (4.697.862) (3.820.552)

Cash flows arising from operating activities (4.320.349) (3.806.052) (150.254) (14.500) (149.856) (77.403) - - - - (4.697.862) (3.820.552)


Receivables:

Client loans 871.537.439 788.675.195 - - 84.473.514 3.057.399 14.758.250 - 67.926.613 31.071.827 1.041.753.215 819.747.022 Interest income 181.811.631 198.225.578 10.487.851 - 17.519.814 1.079.586 3.270.210 - 639.680 921.837 214.808.772 199.147.415

Total Receivables 1.053.349.070 986.900.773 10.487.851 - 101.993.328 4.136.985 18.028.460 - 68.566.293 31.993.664 1.256.561.987 1.018.894.437

Payments:

Financial Investments (13.628.862) (11.050.465) - - - - - - - - (13.628.862) (11.050.465)Loan portfolio acquisition (119.853.708) (1.172.306.010) - (239.831.611) (499.461.176) (12.727.000) (611.022.649) (1.119.470.000) - - (2.362.534.533) (1.412.137.621)

Total Payments (133.482.570) (1.183.356.475) - (239.831.611) (499.461.176) (12.727.000) (611.022.649) (1.119.470.000) - - (2.376.163.395) (1.423.188.086)

Cash flows arising from investing activities 919.866.500 (196.455.702) 10.487.851 (239.831.611) (397.467.848) (8.590.015) (592.994.189) (1.119.470.000) 68.566.293 31.993.664 (1.119.601.408) (404.293.649)


Receivables:

Debt securities issued - 1.064.761.000 - 243.417.775 502.898.000 13.871.000 614.759.161 1.211.670.000 - - 2.343.198.161 1.308.178.775

Total Receivables - 1.064.761.000 - 243.417.775 502.898.000 13.871.000 614.759.161 1.211.670.000 - - 2.343.198.161 1.308.178.775

Payments:

Debt securities issued (739.551.560) (681.801.841) (4.148.290) - (84.661.407) (3.136.798) - - (67.926.613) (31.071.827) (899.424.668) (712.873.668)Other loans - - - - - - - - - - - - Interest expense (99.488.381) (109.129.684) (6.809.628) - (6.812.668) (806.037) - - (461.156) (921.837) (114.377.870) (110.051.521)Other equity instruments - - - - - - - - - - - -

Total Payments (839.039.941) (790.931.525) (10.957.918) - (91.474.075) (3.942.835) - - (68.387.769) (31.993.664) (1.013.802.538) (822.925.189)

Cash flows arising from financing activities (839.039.941) 273.829.475 (10.957.918) 243.417.775 411.423.925 9.928.165 614.759.161 1.211.670.000 (68.387.769) (31.993.664) 1.329.395.623 485.253.586

Net changes in cash and equivalents 76.506.210 73.567.721 (620.321) 3.571.664 13.806.221 1.260.747 21.764.972 92.200.000 178.524 - 205.096.353 77.139.385

325.582.518 252.014.797 3.571.664 - - - - - - - 329.154.182 252.014.797

402.088.728 325.582.518 2.951.343 3.571.664 13.806.221 1.260.747 21.764.972 92.200.000 178.524 - 534.250.535 329.154.182

402.088.728 325.582.518 2.951.343 3.571.664 13.806.221 1.260.747 21.764.972 92.200.000 178.524 - 534.250.535 329.154.182

Other loans and advances to credit institutions - - - - - - - - - - - - Total 402.088.728 325.582.518 2.951.343 3.571.664 13.806.221 1.260.747 21.764.972 92.200.000 178.524 - 534.250.535 329.154.182




Cash Flows Statement




Sub-Total Sub-TotalCMEC Volta Electricity Receivables Altis No. 1 Securitisation Notes


48

2015 2014 2015 2014 2015 2014 2015 2014 2015 2014

(EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR) (EUR)Operating activities

Other receivables /(payments) associatedwith the operating activities (4.697.862) (3.820.552) (12.300) (574.166) - (90.046) - (2.510) (4.710.162) (4.487.274)

Cash flows arising from operating activities (4.697.862) (3.820.552) (12.300) (574.166) - (90.046) - (2.510) (4.710.162) (4.487.274)


Receivables:

Client loans 1.041.753.215 819.747.022 - 2.546.047.772 - 108.794.902 - - 1.041.753.215 3.474.589.696 Interest income 214.808.772 199.147.415 - 19.235.210 - 2.406.083 - - 214.808.772 220.788.708

Total Receivables 1.256.561.987 1.018.894.437 - 2.565.282.982 - 111.200.985 - - 1.256.561.987 3.695.378.404

Payments:

Financial Investments (13.628.862) (11.050.465) - - - - - - (13.628.862) (11.050.465)Loan portfolio acquisition (2.362.534.533) (1.412.137.621) - (427.646.016) - - - - (2.362.534.533) (1.839.783.637)

Total Payments (2.376.163.395) (1.423.188.086) - (427.646.016) - - - - (2.376.163.395) (1.850.834.102)

Cash flows arising from investing activities (1.119.601.408) (404.293.649) - 2.137.636.966 - 111.200.985 - - (1.119.601.408) 1.844.544.302


Receivables:

Debt securities issued 2.343.198.161 1.308.178.775 - 506.307.359 - - - - 2.343.198.161 1.814.486.134

Total Receivables 2.343.198.161 1.308.178.775 - 506.307.359 - - - - 2.343.198.161 1.814.486.134

Payments:

Debt securities issued (899.424.668) (712.873.668) - (3.103.307.359) - (117.706.041) - - (899.424.668) (3.933.887.068)Interest expense (114.377.870) (110.051.521) (7.785) (44.471.280) - (4.887.503) - - (114.385.655) (159.410.304)

Total Payments (1.013.802.538) (822.925.189) (7.785) (3.147.778.639) - (122.593.544) - - (1.013.810.323) (4.093.297.372)

Cash flows arising from financing activities 1.329.395.623 485.253.586 (7.785) (2.641.471.280) - (122.593.544) - - 1.329.387.838 (2.278.811.238)

Net changes in cash and equivalents 205.096.353 77.139.385 (20.085) (504.408.480) - (11.482.605) - (2.510) 205.076.268 (438.754.210)

329.154.182 252.014.797 20.085 504.428.565 - 11.482.605 - 2.510 329.174.267 767.928.477

534.250.535 329.154.182 - 20.085 - - - - 534.250.535 329.174.267

534.250.535 329.154.182 - 20.085 - - - - 534.250.535 329.174.267

Other loans and advances to credit institutions - - - - - - - - - -Total 534.250.535 329.154.182 - 20.085 - - - - 534.250.535 329.174.267







Sub-Total Caravela SME No. 2 Aqua Finance No. 3 Magma No. 1 Securitisation Notes Total



49

123 Securitisation operations’ analysis (continuation)

1 - Aqua Mortgage No. 1 Operation As at 8 December, 2008 the Company performed the ‘Aqua Mortgage No. 1’ Operation – this operation consisted on the acquisition of mortgage loans of Finibanco, S.A., in the total amount of Euro 233,000,000 and the issue of securitised notes distributed in 3 Classes: Euro 203,176,000 Class A, Euro 29,824,000 Class B and Euro 3,500,000 Class C. The issue price of the Class A and Class B Notes is 100% of their principal amount. The issue premium of the Class C amounts to Euro 925,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class, as at 31 December 2015, are the following:

S&P DBRS

Class A A+ AA (High)Class B - -Class C - -

The interest on the Class A Notes and Class B Notes is payable at a rate equal to Euribor 6 months plus a margin of 0.15% for the Class A and 0.40% for the Class B. The Class C Notes will not bear interest but will be entitled to the Class C Distribution Amount to the extent of available funds. In accordance with the contract the reimbursement date of the Notes began at January, 2011 and will continue until the maturity date December 2063. The loans given are equal to reimbursement capital instalments and interest payment and other amounts to be paid in accordance with the mortgage contract (including mortgage loans and advances granted in accordance with Decree-Law no. 348/98, of 11 November). Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



50


Debt securities issued

Maturity Amount Interest Interest Rate Interest RateLegal EUR Rate 31.12.2015 31.12.2014

Aqua Mortgage No. 1Class A-Notes December, 2063 111,973,138 EUR 6 M + 0.15% 0.139% 0.329%

Class B-Notes December, 2063 28,980,485 EUR 6 M + 0.40% 0.389% 0.579%

Class C-Notes December, 2063 3,500,000 - - -

144,453,623

The balance securitisation notes – ‘Aqua Mortgage No. 1’ refers to the securitisation notes book value, resulting from that Operation. This issue is comprised by two securitisation notes (‘Class A Notes’ and ‘Class B Notes’) with variable income of Euribor 6 months plus spread of 0.15% and 0.40%, respectively and a third securitisation note (‘Class C Notes’), for which the interest will be the difference between receivables amounts and payable amounts to the Class A and Class B. Monthly, securitised loans’ interest received is calculated and transferred to the Operation. This amount is fully paid to the debt securities owners.



51


The financial statements of Aqua Mortgage No. 1 Operation for the years ended 31 December, 2015 and 2014 are presented as follows:

Aqua Mortgage No. 1

Notes 2015 2014 EUR EUR

Interest income 1.1 2,074,707 2,489,814 Interest expense 1.1 (1,904,036) (2,310,170)

Net interest income 1.1 170,671 179,644

Net gains / (losses) arising from financialliabilities at fair value through profit or loss 1.2 1,529,502 1,420,224 Other administrative costs 1.3 (170,671) (179,644)

Total operating income /(expense) 1,358,831 1,240,580

Loans impairment 1.4 (1,529,502) (1,420,224)

Operating income - -

Income before income taxes - -

Income taxes - -

Net income for the year - -

Income Statementfor the years ended 31 December 2015 and 2014




52


Notes 2015 2014EUR EUR

Assets


1.5 4,568,410 5,483,839

Loans and advances to customers 1.6 139,217,592 152,758,379 Other assets 1.7 80,162 10,731

Total Assets 143,866,164 158,252,949

Liabilities

Debt securities issued 1.8 143,684,931 157,999,683 Other liabilities 1.9 181,233 253,266

Total Liabilities 143,866,164 158,252,949

Equity

Share Capital - -Other equity instruments - -Reserves and retained earnings - -Net income for the year - -

Total Equity - -

Total do Equity and Liabilities 143,866,164 158,252,949

Obligations and future Commitments (note 1.10)


Aqua Mortgage No. 1




53


2015 2014EUR EUR

Operating activities

Other receivables /(payments) associatedwith the operating activities (170,957) (179,732)

Cash flows arising from operating activities (170,957) (179,732)


Receivables:

Client loans 11,870,828 14,179,188 Interest income 2,073,986 2,505,528

13,944,814 16,684,716

Cash flows arising from investing activities 13,944,814 16,684,716


Payments:

Debt securities issued (14,273,704) (15,559,839)Interest expense (415,582) (1,339,115)

(14,689,286) (16,898,954)

Cash flows arising from financing activities (14,689,286) (16,898,954)

Net changes in cash and equivalents (915,429) (393,970)

5,483,839 5,877,809

4,568,410 5,483,839

4,568,410 5,483,839

Cash Flows Statement for the years ended 31 December 2015 and 2014

Aqua Mortgage No. 1




Loans and advances to credit institutions repayable on demand (note 1.5)



54


1.1 – Net interest income

2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 2,074,707 2,489,316 Interest on deposits - 498

2,074,707 2,489,814

Interest expense

Interest on debt securities issued (1,920,843) (2,326,977)

Premium bond issue 16,807 16,807

(1,904,036) (2,310,170)

Net interest income 170,671 179,644

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

2015 2014EUR EUR

Gains arising from financial assets and liabilities at fair value through profit and loss:

Financial assets held-for-trading - Swaps - -Other gains arising from financial operations 1,529,502 1,420,224

1,529,502 1,420,224

Losses arising from financial assets and liabilities at fair value through profit and loss:

Financial liabilities held-for-trading - Swaps - -Other losses arising from financial operations - -

- -

Net gains or losses arising from financial assets and liabilities at fair value through profit or loss

1,529,502 1,420,224

The caption Other Gains / (Losses) arising financial operations includes the insufficiency / excess, recognized during the period, assumed by the note holders (note 1.8).



55

23 Securitisation operations’ analysis (continuation) 1.3 – Other administrative costs

2015 2014EUR EUR

Audit fee (21,033) (21,033)Service fee (79,040) (85,754)Issuer fee (23,125) (25,367)Agent bank fee (12,480) (12,497)Irish stock exchange fee (4,920) (4,920)Rating Agency fee (30,073) (30,073)

(170,671) (179,644)

1.4 – Loans impairment

2015 2014EUR EUR

Loans to customers:

Charge for the year (1,529,502) (1,457,639)Write-back for the year - 37,415

(1,529,502) (1,420,224)

1.5 – Loans and advances to credit institutions repayable on demand

2015 2014EUR EUR

Deposits repayable on demand 1,068,410 1,983,839 Cash Reserve 3,500,000 3,500,000

4,568,410 5,483,839

The balance Deposits repayable on demand in ‘Aqua Mortgage No. 1’ Operation concerns to a deposit in Deutsche Bank, AG – London.



56

23 Securitisation operations’ analysis (continuation) 1.6 – Loans and advances to customers

2015 2014EUR EUR

Loans and advances to customers 141,523,475 155,460,074 Overdue interest 155,374 227,029 Accrued interest 69,765 89,607 Impairment (2,531,022) (3,018,331)

139,217,592 152,758,379

The balance Loans and advances to customers and Accrued interest –Aqua Mortgage No. 1 Operation refers to the operation´s loans and advances nominal amount of Euro 233,000,000, net of capital reimbursements and impairment losses recorded, plus the amount of repurchases of new loans and advances and the respective accrued interest. The amounts related to the capital’s reimbursements and repurchases of new loans and advances and write-offs are analysed as follows:

Year Beginning Balance Reimbursement Repurchases Write-off Closing BalanceEUR EUR EUR EUR EUR

2008 233,000,000 (3,081,699) - - 229,918,3012009 229,918,301 (23,056,808) 23,610,716 - 230,472,2092010 230,472,209 (20,100,692) 21,741,901 - 232,113,4182011 232,113,418 (18,494,067) - - 213,619,3512012 213,619,351 (19,088,748) - - 194,530,6032013 194,530,603 (19,714,316) - (2,720,366) 172,095,9212014 172,095,921 (14,179,188) - (2,456,659) 155,460,0742015 155,460,074 (11,919,788) - (2,016,811) 141,523,475



57


The movements of impairment for credit risks are analysed as follows:

2015 2014EUR EUR

Loans impairment:

Balance on January 1st (3,018,331) (4,054,766)Charge for the year (1,529,502) (1,457,639)Write-back for the year - 37,415 Loans written-off 2,016,811 2,456,659

Balance on December 31st (2,531,022) (3,018,331)

The balance Impairment for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of impairment evidence, as presented in note 1.3.

1.7 – Other assets

2015 2014

EUR EUR

Amount receivable 75,813 6,290 Up Front Fee 4,349 4,441

80,162 10,731

The caption Amount receivable includes Euro 69,523 related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016. The caption Up Front Fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.



58


1.8 –Debt securities issued

2015 2014

EUR EUR

Securitisation notes 144,453,623 158,727,327 Issued notes premium /(discount) 806,290 823,097 Accrued interest 184,375 220,658 Other (1,759,357) (1,771,399)

143,684,931 157,999,683

The caption Other includes the (insufficiency)/ excess that would be assumed by de holders of securities issued as at 31 December, 2015, if the operation ended at this date. In accordance with the contract the reimbursement date of the notes began at January, 2011 and will continue until the maturity date December 2063. The analysis of the amortizations as at 31 December, 2015 is as follows:

Year Beginning Balance Amortization Closing BalanceEUR EUR EUR

2011 236,500,000 (19,873,473) 216,626,5272012 216,626,527 (21,304,892) 195,321,6352013 195,321,635 (21,034,469) 174,287,1662014 174,287,166 (15,559,839) 158,727,3272015 158,727,327 (14,273,704) 144,453,623

1.9 – Other liabilities

2015 2014

EUR EUR

Audit fee 21,033 21,033 Service fee 3,326 3,609 Issuer fee 963 1,058 Agent bank fee 537 537 Other 155,374 227,029

181,233 253,266



59


The balance Other refers to the amount of overdue interest recognized in the balance Loans and advances to customers (note 1.6). This interest will be recognized in profit and loss when received.

1.10 – Obligations and future commitments

2015 2014

EUR EUR

Collateral 439,592,347 465,116,464



60

23 Securitisation operations’ analysis (continuation) 2 - Energy On No. 1 Securitisation Notes

As at 6 March, 2009 the Company performed the ‘EnergyOn No1 Securitisation Notes’ Operation – this operation consisted on the acquisition of loans and advances to customers of EDP Serviço Universal, SA, which correspond to the entitlement to receive the extraordinary deviations. These deviations corresponds to positive adjustments to be reflected in the electricity tariffs, by virtue of additional costs incurred by the Originator (during 2007 and 2008) with electric energy acquisition that have not yet been reflected in the electricity tariff. Securitised notes were issued at 100% of the principal amount outstanding, for a total of Euro 1,258,600,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class, as at 31 December 2015, are the following:

Moddys DBRS

Class A1 A1 BBB (High)Class A2 - -Class B - -

This issue is distributed in 3 classes: ‘Class A1 Notes’ issued at 100% for the amount of Euro 1,253,450,000 with a variable income of 1-month Euribor plus 0.90%, and after the Step-Up date plus 1.95%; ‘Class A2 Notes’ issued at 100% in the amount of Euro 150,000 with a variable income of 12 consecutive payments, defined as Differential Step-Up Amounts; and a third securitised notes class, ‘Class B Notes’, issued at 100% in the amount of Euro 5,000,000 and its income will be the difference between the amounts received and the remunerations paid to ‘Class A1’ and ‘Class A2’ and all costs, fees and expenses in debt at that date. All securitised notes are registered in Interbolsa and Class A1 is also listed on Euronext Lisboa. In accordance with the contract, the reimbursement started as at 12 March 2010, on a monthly basis, and started with ‘Class A1’, ‘Class A2’ and finally with ‘Class B’.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect.



61




EnergyOn No. 1Class A 1 - Notes May, 2025 824,337,376 EUR 1 M + 1.95% 1.764% 1.972%

Class A 2 - Notes May, 2025 150,000 - - -

Class B - Notes May, 2025 5,000,000 - - -

824,487,376

The balance securitisation notes – EnergyOn No. 1 Securitisation Notes accounts securitisation notes’ book value, resulting from that operation. The amounts received on a monthly basis are in accordance with the operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



62


The financial statements of EnergyOn No. 1 Securitisation Notes Operation for the years ended 31 December, 2015 and 2014 are presented as follows:



Net interest income 2.1 3,154,001 1,798,041

Net gains / (losses) arising from financialliabilities at fair value through profit or loss 2.2 (2,944,615) (1,579,338)Other administrative costs 2.3 (209,386) (218,703)

Total operating income /(expense) (3,154,001) (1,798,041)



Income taxes - -




EnergyOn No. 1 Securitisation Notes



63



Assets


2.4 13,373,736 13,375,568


Total Assets 845,796,973 927,969,213

Liabilities

Financial liabilities held-for-trading 2.7 16,823,006 20,576,881 Debt securities issued 2.8 828,937,469 907,354,801 Other liabilities 2.9 36,498 37,531


Equity


Total Equity - -







64


2015 2014EUR EUR





Receivables:


101,875,867 102,141,006

Payments:

Financial Investments (4,273,638) (3,434,253)

(4,273,638) (3,434,253)



Payments:

Debt securities issued (80,577,864) (78,497,378)Interest expense (16,816,083) (20,193,157)

(97,393,947) (98,690,535)



13,375,568 13,578,163

13,373,736 13,375,568

13,373,736 13,375,568









65


2.1– Net interest income

2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 19,705,764 21,862,011 Interest on deposits - 1,039

19,705,764 21,863,050

Interest expense


(16,551,763) (20,065,009)

Net interest income 3,154,001 1,798,041

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

2015 2014EUR EUR


Financial assets held-for-trading - Swaps - -Other gains arising from financial operations - 8,830,882

- 8,830,882


Financial liabilities held-for-trading - Swaps (519,763) (10,410,220)Other losses arising from financial operations (2,424,852) -

(2,944,615) (10,410,220)


(2,944,615) (1,579,338)



66


The caption Gains / (Losses) arising from Financial assets and liabilities held-for-trading - Swaps includes changes in fair value and accrued interest of financial derivatives. The caption Other Gains / (Losses) arising financial operations includes the insufficiency / excess, recognized during the period, assumed by the note holders (note 2.8)

2.3 – Other administrative costs

2015 2014EUR EUR

Audit fee (30,750) (30,750)Service fee (24,901) (25,000)Issuer fee (88,424) (96,504)Agent bank fee (12,431) (12,480)Irish Stock Exchange fee (656) -Rating Agency fee (28,905) (28,905)Euronext (601) (536)Interbolsa (20,638) (22,448)Paying Agent fee (2,080) (2,080)

(209,386) (218,703)


2015 2014EUR EUR


13,373,736 13,375,568

The balance Deposits repayable on demand in ‘EnergyOn No. 1 Securitisation Notes’ Operation concerns to a deposit in Deutsche Bank, AG – London.



67


2.5 – Loans and advances to customers

2015 2014EUR EUR

Loans and advances to customers 832,157,189 914,302,491 Accrued interest 263,129 287,930

832,420,318 914,590,421

The balance Loans and advances to customers and Accrued interest – EnergyOn No. 1 Securitisation Notes Operation refers to the operation´s loans and advances nominal amount of Euro 1,275,682,000, net of capital’s reimbursements, plus the amount the respective accrued interest. The amounts related to the capital’s reimbursement are analysed as follows:

Year Beginning Balance Reimbursement Closing BalanceEUR EUR EUR

2009 1,275,682,000 - 1,275,682,0002010 1,275,682,000 (62,647,812) 1,213,034,1882011 1,213,034,188 (71,719,681) 1,141,314,5072012 1,141,314,507 (70,602,017) 1,070,712,4902013 1,070,712,490 (76,216,664) 994,495,8262014 994,495,826 (80,193,335) 914,302,4912015 914,302,491 (82,145,302) 832,157,189


2015 2014

EUR EUR

Up front fee 2,919 3,224

2,919 3,224

The caption Up Front Fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.



68


2.7 – Financial liabilities held-for-trading The Swaps’ analysis paid and calculated on a monthly basis is as follows:

2015 2014EUR EUR

Swaps 16,823,006 20,576,881

The balance Swaps refers to the fair value and accrued interest of the interest rate swap related with EnergyOn No.1 Securitisation Notes Operation. The analysis of the swap’s fair value as at 31 December, 2015 and 2014 is as follows:

Operation EnergyOn nº 1 839,015,054 12-02-2025 16,463,983 20,341,842

Notional Amount

Maturity Fair Value 31.12.2015

Fair Value 31.12.2014

2.8 – Debt securities issued

2015 2014

EUR EUR

Securitisation notes 829,487,376 910,065,240 Accrued interest 727,065 991,385 Other (1,276,972) (3,701,824)

828,937,469 907,354,801

The balance Other includes the (insufficiency)/ excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date.



69


In accordance with the contract the reimbursement date of the Notes began at March, 2010 and will continue until the maturity date May 2025. The analysis of the amortizations is as follows:


2010 1,258,600,000 (55,967,280) 1,202,632,7202011 1,202,632,720 (70,177,276) 1,132,455,4442012 1,132,455,444 (69,507,872) 1,062,947,5722013 1,062,947,572 (74,384,954) 988,562,6182014 988,562,618 (78,497,378) 910,065,2402015 910,065,240 (80,577,864) 829,487,376


2015 2014

EUR EUR

Audit fee 30,750 30,750 Service fee 1,221 1,319 Issuer fee 3,917 4,803 Agent bank fee 610 659

36,498 37,531



70

23 Securitisation operations’ analysis (continuation) 3 - EnergyOn No. 2 Securitisation Notes Operation

As at 3 December, 2009 the Company performed the ‘EnergyOn No 2 Securitisation Notes” - this operation consisted on the acquisition of loans and advances to customers of EDP Serviço Universal, SA which correspond to the entitlement to receive the extraordinary deviations. These deviations corresponds to positive adjustments to be reflected in the electricity tariffs, by virtue of additional costs incurred by the Originator (during 2009) with electric energy acquisition that have not yet been reflected in the electricity tariff. The issue price of securitisation notes is 100% of their principal amount Euro 440,850,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class, as at 31 December 2015, are the following:

Moody's DBRS

Class A A1 BBB (High)Class B - -

This issue is distributed in 2 classes: ‘Class A Notes’ issued at 100% in the amount of Euro 440,650,000 with a variable income of 1-month Euribor plus 0.90%, after Step-Up date onwards plus 1.60%; ‘Class B Notes’ issued at 100% in the amount of Euro 200,000 with a variable income of 12 consecutive payments, defined as Differential Step-Up Amounts. All securitisation notes are registered in Interbolsa and Class A is also listed on Euronext Lisboa. In accordance with the contract, the reimbursement started as at 12 March 2010, on a monthly basis, and started with ‘Class A1’ and following with ‘Class B’.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect. Debt securities issued


Energy On No. 2Class A - Notes May, 2025 289,732,604 EUR 1 M + 1.60% 1.414% 1.622%

Class B - Notes May, 2025 200,000 - - -

289,932,604

The balance securitisation notes – EnergyOn No. 2 Securitisation Notes accounts securitisation notes’ book value, resulting from that Operation. The amounts received on a monthly basis are in accordance with the Operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



71


The financial statements of EnergyOn No 2 Securitisation Notes Operation for the years ended 31 December, 2015 and 2014 are presented as follows:



Net interest income 3.1 1,101,087 613,203

Net gains / (losses) arising from financialliabilities at fair value through profit or loss 3.2 (950,907) (457,783)Other administrative costs 3.3 (150,180) (155,420)

Total operating income /(expense) (1,101,087) (613,203)



Income taxes - -







72



Assets


3.4 4,725,072 4,736,629


Total Assets 296,733,387 325,549,485

Liabilities

Financial liabilities held-for-traiding 3.7 6,342,446 7,894,016 Debt securities issued 3.8 290,362,421 317,626,003 Other liabilities 3.9 28,520 29,466


Equity


Total Equity - -







73


2015 2014EUR EUR





Receivables:


34,645,640 34,644,897

Payments:


(1,345,330) (1,048,846)



Payments:

Other loans - - Debt securities issued (28,338,952) (27,607,250)Interest expense (4,822,109) (5,915,771)

(33,161,061) (33,523,021)



4,736,629 4,818,629

4,725,072 4,736,629

4,725,072 4,736,629









74



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 6,930,619 7,668,515 Interest on deposits - 290

Loan portfolio acquisition premium (1,089,200) (1,182,885)

5,841,419 6,485,920

Interest expense


(4,740,332) (5,872,717)

Net interest income 1,101,087 613,203


2015 2014EUR EUR


Financial assets held-for-trading - Swaps 206,240 -Other gains arising from financial operations - 2,606,978

206,240 2,606,978


Financial liabilities held-for-trading - Swaps - (3,064,761)Other losses arising from financial operations (1,157,147) -

(1,157,147) (3,064,761)


(950,907) (457,783)



75


The caption Gains / (Losses) arising from Financial assets and liabilities held-for-trading - Swaps includes changes in fair value and accrued interest of financial derivatives.

The caption Other Gains / (Losses) arising financial operations includes the insufficiency / excess, recognized during the period, assumed by the note holders (note 3.8). 3.3 – Other administrative costs

2015 2014EUR EUR

Audit fee (24,600) (24,600)Service fee (24,574) (25,328)Issuer fee (49,615) (54,161)Agent Bank fee (10,377) (10,382)Irish Stock Exchange fee (656) -Rating Agency fee (29,520) (29,520)Euronext (582) (536)Interbolsa (8,176) (8,813)Paying Agent fee (2,080) (2,080)

(150,180) (155,420)


2015 2014EUR EUR


4,725,072 4,736,629

The balance Deposits repayable on demand in EnergyOn No. 2 Securitisation Notes Operation concerns to a deposit in Deutsche Bank, AG – London.



76


3.5– Loans and advances to customers

2015 2014EUR EUR

Loans and advances to customers 291,894,500 320,708,481 Accrued interest 110,757 100,997

292,005,257 320,809,478

The balance Loans and advances to customers and Accrued interest – Energy On No. 2 Securitisation Notes Operation refers to the operation´s loans and advances nominal amount of Euro 447,469 net of capital’s reimbursements, plus the amount the respective accrued interest. The amounts related to the capital’s reimbursement are analysed as follows:


2009 447,469,000 - 447,469,0002010 447,469,000 (21,974,874) 425,494,1262011 425,494,126 (25,157,001) 400,337,1252012 400,337,125 (24,764,954) 375,572,1712013 375,572,171 (26,734,399) 348,837,7722014 348,837,772 (28,129,291) 320,708,4812015 320,708,481 (28,813,981) 291,894,500


2015 2014

EUR EUR


3,058 3,378

The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.



77


3.7 – Financial liabilities held-for-trading

2015 2014EUR EUR

Swaps 6,342,446 7,894,016

The balance Swaps refers to the fair value and accrued interest of the interest rate swap related with EnergyOn No. 2 Securitisation Notes Operation. The analysis of the swap’s fair value as at 31 December, 2015 and 2014 is as follows:

Operation EnergyOn No. 2 294,300,007 12-02-2025 6,221,069 7,816,439

Notional Amount




2015 2014

EUR EUR

Securitisation notes 289,932,604 318,271,556 Accrued interest 204,841 286,618 Other 224,976 (932,171)

290,362,421 317,626,003

The balance Other includes the (insufficiency)/ excess that would be transferred to the note holders, as at 31 December 2015, if the operation ended at this date.



78


In accordance with the contract the initial reimbursement date of the Notes began at March, 2010 and will continue until the final maturity is established to May 2025. The analysis of the amortizations as at 31 December, 2015 is as follows:


2009 440,850,000 - 440,850,0002010 440,850,000 (19,683,496) 421,166,5042011 421,166,504 (24,681,102) 396,485,4022012 396,485,402 (24,445,670) 372,039,7322013 372,039,732 (26,160,926) 345,878,8062014 345,878,806 (27,607,250) 318,271,5562015 318,271,556 (28,338,952) 289,932,604

3.9 – Other Liabilities

2015 2014

EUR EUR

Audit fee 24,600 24,600 Service fee 1,221 1,647 Issuer fee 2,191 2,688 Agent bank fee 508 531

28,520 29,466



79

23 Securitisation operations’ analysis (continuation) 4 – Nostrum Mortgage No. 2 Operation

As at 5 November, 2010 the Company performed the “Nostrum Mortgage No. 2” - this Operation consisted on the acquisition of mortgage loans of Caixa Geral de Depósitos, SA. in the total amount of 5,345,050,000 and the issued of securitised notes distributed in 3 Classes: Euro 4,008,800,000 Class A, Euro 1,336,250,000 Class B and Euro 84,900,000 Class C. The issue price of the note classes is 100% of their principal amount. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class, as at 31 December 2015, are the following:

Fitch Moodys S&P

Class A A A1 BBB +Class B - - -Class C - - -

The interest on the Class A Notes and Class B Notes is payable at a rate equal to Euribor 3 months plus a margin of 0.2% for the Class A and 0.3% for the Class B. The Class C Notes will not bear interest but will be entitled to the Class C Distribution Amount to the extent of available funds. In accordance with the contract the reimbursement date began at 20 February, 2011 with maturity date at 20 May, 2065. In accordance with the contract, notes interest (including capital reimbursement) depends on the assets’ performance, which means that any default on these is fully reflected in the first ones. The loans given are equal to reimbursement capital instalments and interest payment and other amounts to be paid in accordance with the mortgage contract.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



80




Nostrum Mortgage nº 2Class A-Notes May, 2065 2,917,663,505 EUR 3 M + 0.2% 0.172% 0.281%

Class B-Notes May, 2065 1,336,250,000 EUR 3 M + 0.3% 0.272% 0.381%

Class C-Notes May, 2065 80,175,750 - - -

4,334,089,255

The balance securitisation notes – ‘Nostrum Mortgage No. 2’ refers to the securitisation notes book value, resulting from that Operation. This issue is comprised by two securitisation notes (‘Class A Notes’ and ‘Class B Notes’) with variable income of Euribor 3 months plus spread of 0.2% and 0.3%, respectively and a third securitisation note (‘Class C Notes’), for which the interest will be the difference between receivables amounts and payable amounts to the Class A and Class B. Quarterly, securitised loans’ interest received is calculated and transferred to the Operation. This amount, net from expenses, is fully paid to the debt securities owners.



81


The financial statements of Nostrum No. 2 Operation for the years ended 31 December, 2015 and 2014 are presented as follows:

Nostrum Mortgages No. 2




Net gains / (losses) arising from financialliabilities at fair value through profit or loss 4.2 25,437,791 (4,571,264)Other administrative costs 4.3 (998,779) (1,192,522)

Total operating income /(expense) 24,439,012 (5,763,786)




Income taxes - -






82



Assets


4.5 126,210,100 116,978,751

Loans and advances to customers 4.6 4,199,846,877 4,435,226,933 Other assets 4.7 4,075,665 130,900

Total Assets 4,330,132,642 4,552,336,584

Liabilities

Financial liabilities held-for-trading 4.8 36,402,629 38,958,254 Debt securities issued 4.9 4,293,176,167 4,512,803,940 Other liabilities 4.10 553,846 574,390

Total Liabilities 4,330,132,642 4,552,336,584

Equity


Total Equity - -

Total do Equity and Liabilities 4,330,132,642 4,552,336,584







83


2015 2014EUR EUR


Other receivables /(payments) associatedwith the operating activities (872,475) (1,193,242)

Cash flows arising from operating activities (872,475) (1,193,242)


Receivables:


260,150,457 242,968,714

Payments:


(8,009,894) (6,567,366)



Payments:


(242,036,739) (213,176,190)


Net changes in cash and equivalents 9,231,349 22,031,916

116,978,751 94,946,835

126,210,100 116,978,751

126,210,100 116,978,751









84



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 61,853,261 69,107,980 Interest on deposits 286,992 551,097

62,140,253 69,659,077

Interest expense


(53,301,026) (61,639,563)



2015 2014EUR EUR



30,892,060 15,369,189


Financial liabilities held-for-trading - Swaps (5,454,269) (19,940,453)Other losses arising from financial operations - -

(5,454,269) (19,940,453)


25,437,791 (4,571,264)



85


The caption Gains / (Losses) arising from Financial assets and liabilities held-for-trading - Swaps includes changes in fair value and accrued interest of financial derivatives.



2015 2014EUR EUR

Audit fee (30,750) (30,750)Service fee (443,194) (464,498)Issuer fee (332,395) (348,374)Agent bank fee (15,524) (15,499)Irish Stock Exchange fee (656) -Euronext (275) (278)Interbolsa (98,513) (103,101)Rating Agency fee (76,822) (229,342)Other (650) (680)

(998,779) (1,192,522)


2015 2014EUR EUR

Loans to customers:

Charge for the year (33,278,239) (49,178,577)Write-back for the year - 46,922,849

(33,278,239) (2,255,728)



86



2015 2014EUR EUR


126,210,100 116,978,751

The balance Deposits repayable on demand in Nostrum Mortgage No. 2 - Operation concerns to a deposit in Santander Madrid.


2015 2014EUR EUR

Loans and advances to customers 4,211,756,028 4,445,204,519 Overdue interest 416,605 432,553 Accrued interest 1,555,385 1,988,888 Impairment (13,881,141) (12,399,027)

4,199,846,877 4,435,226,933

The balance Loans and advances to customers and accrued interest – Nostrum Mortgage No. 2 Operation refers to the operation´s loans and advances nominal amount of Euro 5,345,050,000, net of the capital’s reimbursements and impairment losses recorded, plus the respective accrued interest.



87


The amounts related to the capital’s reimbursement and Write-offs are analysed as follows:

Year Beginning Balance Reimbursement Write - Off Closing BalanceEUR EUR EUR EUR

2010 5,345,050,000 (64,014,228) - 5,281,035,7722011 5,281,035,772 (219,759,792) (1,688,477) 5,059,587,5032012 5,059,587,503 (144,048,444) (54,362,910) 4,861,176,1492013 4,861,176,149 (158,505,681) (57,347,593) 4,645,322,8752014 4,645,322,875 (173,084,405) (27,033,951) 4,445,204,5192015 4,445,204,519 (201,652,366) (31,796,125) 4,211,756,028


2015 2014EUR EUR

Loans impairment:

Balance on January 1st (12,399,027) (37,177,200)Charge for the year (33,278,239) (49,178,577)Write-back for the year - 46,922,849 Loans written-off 31,796,125 27,033,901


The Impairment caption for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of impairment evidence, as presented in note 1.3.


2015 2014

EUR EUR

Amount receivable 4,075,665 - Other - 130,900

4,075,665 130,900

Amount receivable is in its entirety related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016.



88


4.8 – Financial liabilities held-for-trading

Euros EurosEUR EUR

Swaps 36,402,629 38,958,254

The balance Swaps refers to the fair value and accrued interest of the interest rate swap related with Nostrum Mortgage No. 2 Operation.

The analysis of the swap’s fair value as at 31 December, 2015 is as follows:

Operation Nostrum nº 2 Mortgage 4,220,094,336 May 2065 35,605,495 37,991,674

Notional Amount




2015 2014

EUR EUR

Securitisation notes 4,334,089,255 4,560,798,764 Accrued interest 23,277,035 13,025,852 Other (64,190,123) (61,020,676)

4,293,176,167 4,512,803,940

The balance Other includes the (insufficiency) / excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date. The analysis of the amortizations as at 31 December, 2015 is as follows:

Year Beginning Balance Amortization Closing Balance

EUR EUR EUR

2011 5,429,950,000 (267,213,955) 5,162,736,0452012 5,162,736,045 (183,537,385) 4,979,198,6602013 4,979,198,660 (220,287,043) 4,758,911,6172014 4,758,911,617 (198,112,853) 4,560,798,7642015 4,560,798,764 (226,709,509) 4,334,089,255



89



2015 2014

EUR EUR

Audit fee 30,750 30,750 Service fee 48,452 51,034 Issuer fee 36,339 38,276 Agent bank fee 1,700 1,777 Other 436,605 452,553

553,846 574,390



2015 2014

EUR EUR

Collateral 5,156,677,273 5,297,863,792



90

23 Securitisation operations’ analysis (continuation) 5 – Lusitano Finance No. 3 Operation

As at 25 November, 2011 the Company performed the ‘Lusitano Finance No. 3” - this operation consisted on the acquisition of consumer loans and Savings Plans, of Banco Espírito Santo, S.A. in the amount of Euro 657,980,973, and the issued of securitised notes distributed in 3 Classes: Euro 450,700,000 Class A, Euro 207,200,000 Class B and Euro 20,000,000 Class C. The issue price of the three classes is at par. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The interest on the Class A Notes and Class B Notes is payable at a rate equal to Euribor 3 months plus a margin of 1% for the Class A and 2% for the Class B. The Class C Notes will not bear interest but will be entitled to the Class C Distribution Amount to the extent of available funds. In accordance with the contract the reimbursement date began at 21 January, 2012 with maturity date at 21 October, 2029. In accordance with the contract, notes interest (including capital reimbursement) depends on the assets’ performance, which means that any default on these is fully reflected in the first ones. The loans given are equal to reimbursement capital instalments and interest payment and other amounts to be paid in accordance with consumer loans and saving plans contracts.




91




Lusitano Finance No. 3Class A-Notes October, 2029 - EUR 3 M + 1% - -Class B-Notes October, 2029 125,697,383 EUR 3 M + 2% 1.981% 2.081%Class C-Notes October, 2029 10,000,000 - - -

135,697,383

The balance securitisation notes – ‘Lusitano Finance No. 3’ refers to the securitisation notes book value, resulting from that operation. This issue is comprised by two securitisation notes (‘Class A Notes’ and ‘Class B Notes’) with variable income of Euribor 3 months plus spread of 1% and 2%, respectively and a third securitisation note (‘Class C Notes’), for which the interest will be the difference between receivables amounts and payable amounts to the Class A and Class B. Quarterly, securitised loans’ interest received is calculated and transferred to the Company. This amount, net from expenses, is fully paid to the debt securities owners.



92


The financial statements of Lusitano Finance No. 3 Operation for the years ended 31 December, 2015 and 2014 are presented as follows:

Lusitano Finance No. 3




Net gains / (losses) arising from financialliabilities at fair value through profit or loss 5.2 1,473,065 2,002,564 Other administrative costs 5.3 (303,035) (460,474)

Total operating income /(expense) 1,170,030 1,542,090




Income taxes - -






93



Assets


5.5 25,221,900 35,020,475


Total Assets 139,704,682 213,127,579

Liabilities



Equity


Total Equity - -







94


2015 2014EUR EUR





Receivables:


69,764,434 117,748,869



Payments:


(79,237,188) (128,413,794)


Net changes in cash and equivalents (9,798,575) (11,162,369)

35,020,475 46,182,844

25,221,900 35,020,475

25,221,900 35,020,475





Cash and cash equivalents balance at the endof the year




95



2015 2014EUR EUR

Interest income


Loan portfolio acquisition premium (248,450) (248,450)

7,866,934 18,032,729

Interest expense


Premium bond issue 267,890 267,890

(7,563,899) (17,572,255)



2015 2014EUR EUR


Other gains arising from financial operations 1,473,065 2,002,564

1,473,065 2,002,564


Other losses arising from financial operations - -

- -


1,473,065 2,002,564




96



2015 2014EUR EUR

Audit fee (30,750) (30,750)Service fee (237,610) (381,503)Issuer fee (18,823) (29,198)Agent bank fee (5,178) (5,200)Interbolsa (5,496) (8,623)Paying Agent fee (5,178) (5,200)

(303,035) (460,474)


2015 2014EUR EUR

Loans to customers:

Charge for the year (1,480,275) (2,002,564)Write-back for the year 7,210 -

(1,473,065) (2,002,564)


2015 2014EUR EUR


25,221,900 35,020,475

The balance Deposits repayable on demand in Lusitano Finance No. 3 - Operation concerns to a deposit in NOVO BANCO – London Branch.



97



2015 2014EUR EUR

Loans and advances to customers 113,867,802 178,588,079 Portfolio acquisition premium /(discount) 3,432,697 3,681,147 Overdue interest 424,605 677,799 Accrued interest 310,007 593,630 Impairment (3,646,423) (5,441,804)

114,388,688 178,098,851

The balance Loans and advances to customers and accrued interest – Lusitano Finance No. 3 Operation refers to the operation´s loans and advances nominal amount of Euro 657,980,973, net of capital’s reimbursements and impairment losses recorded, plus the respective accrued interest. The amounts related to the capital’s reimbursement and Write-offs are analysed as follows:

Year Beginning Balance Reimbursement Write-Off Closing BalanceEUR EUR EUR EUR

2011 657,980,973 (29,242,647) - 628,738,3262012 628,738,326 (196,077,635) (71,269) 432,589,4222013 432,589,422 (143,741,122) (1,761,723) 287,086,5772014 287,086,577 (102,931,991) (5,566,507) 178,588,0792015 178,588,079 (61,451,831) (3,268,446) 113,867,802


2015 2014EUR EUR

Loans impairment:

Balance on January 1st (5,441,804) (9,005,747)Charge for the year (1,480,275) (2,002,564)Write-back for the year 7,210 -Loans written-off 3,268,446 5,566,507




98


The Impairment caption for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of impairment evidence, as presented in note 1.3. 5.7 – Other assets

2015 2014

EUR EUR

Amount receivable 86,404 - Up Front fee 7,690 8,253

94,094 8,253

Amount receivable is in its entirety related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016. The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation. 5.8 – Debt securities issued

2015 2014

EUR EUR

Securitisation notes 135,697,383 207,928,877 Issued notes premium /(discount) 3,701,284 3,969,174 Accrued interest 2,026,995 3,548,563 Other (2,219,080) (3,093,678)

139,206,582 212,352,936

The balance Other includes the (insufficiency) / excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date. According to the contractually agreed, the date of redemption of the bonds began on January 21, 2012 ending 21 October 2029, the legal maturity date for all tranches.



99


The amounts related to amortizations are analysed as follows:


2011 677,900,000 - 677,900,0002012 677,900,000 (181,420,902) 496,479,0982013 496,479,098 (172,006,594) 324,472,5042014 324,472,504 (116,543,627) 207,928,8772015 207,928,877 (72,231,494) 135,697,383


2015 2014

EUR EUR

Audit fee 30,750 30,750 Service fee 37,795 59,532 Issuer fee 2,944 4,511 Agent bank fee 1,003 1,026 Paying agent fee 1,003 1,025 Other 424,605 677,799

498,100 774,643




100

23 Securitisation operations’ analysis (continuation) 6 – Volta Electricity Receivables Securitisation Notes Operation

As at 30 May, 2013 the Company performed the “Volta Electricity Receivables Securitisation Notes” - this operation consisted on the acquisition of loans, of EDP – Serviço Universal, S.A., corresponding to a portion of the 2012 tariff deficit resulted from the deferral, for the period of 5 years, of the recovery of the 2012 over costs (including the adjustments for 2010 and 2011) related to the acquisition of electricity from special regime generators. Were issued securitisation notes at par in the amount of Euro 455,095,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The notes were issued in three tranches: “Fixed Rate Senior Notes due 2017” issued at par in the amount of Euro 450,000,000 and remunerated at a fixed rate of 4.172%; “ Class R Notes due 2017” issued at par in the amount of Euro 400,000 and “Fixed Rate Senior Notes due 2017” issued at par in the amount of Euro 4,695,000. The Class R Notes and Liquidity Notes shall not bear interest and will solely represent entitlement to receive, the Class R Notes amount and the Liquidity Notes Amount. The ratings of each class, as at 31 December 2015, are the following:

Moody's Fitch DBRS

Class A A1 BBB BBB (High)Class B - - -Class C - - -

The Senior Tranche is registered with Interbolsa and is listed in Euronext Lisboa. In accordance with the contract, the reimbursement started as at 16 July, 2013 and will continue until the legal maturity date16 February, 2017 on a monthly basis. The reimbursement started with the “Fixed Rate Senior Notes due 2017”, the legal maturity date for all tranches.

Impairment

The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect.



101




Volta Electricity ReceivablesFixed Rate Notes Senior due 2017 February, 2017 150,701,601 Fixed 4.172% 4.172%

Class R Notes due 2017 February, 2017 400,000 - - -

Liquidity Notes due 2017 February, 2017 1,571,818 - - -

152,673,419

The balance securitisation notes – Volta Electricity Receivables Securitisation Notes accounts securitisation notes’ book value, resulting from that operation. The amounts received on a monthly basis are in accordance with the operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



102


The financial statements of Volta Electricity Receivables Securitisation Notes Operation for the year ended 31 December, 2015 and 2014 is presented as follow:




Other administrative costs 6.2 (225,829) (230,000)

Total operating income /(expense) (225,829) (230,000)



Income taxes - -




Securitisation NotesVolta Electricity Receivables



103



Assets


6.3 12,982,437 14,301,000


Total Assets 153,402,064 278,569,757

Liabilities



Equity


Total Equity - -



Volta Electricity ReceivablesSecuritisation Notes




104


2015 2014EUR EUR





Receivables:


132,963,816 132,966,445



Payments:


(134,059,987) (134,001,204)


Net changes in cash and equivalents (1,318,563) (1,264,767)

14,301,000 15,565,767

12,982,437 14,301,000

12,982,437 14,301,000






Volta Electricity ReceivablesSecuritisation Notes



105



2015 2014EUR EUR

Interest income



9,116,012 14,990,807

Interest expense


(8,890,183) (14,760,807)



2015 2014EUR EUR

Audit fee (20,295) (20,295)Service fee (62,500) (60,000)Issuer fee (45,040) (67,920)Agent bank fee (16,250) (15,600)Interbolsa (7,997) (10,690)Euronext (766) (868)Legal fee (7,701) (7,677)Rating Agency fee (59,040) (40,590)Paying agent fee (6,240) (6,360)

(225,829) (230,000)



106



2015 2014EUR EUR

Deposits repayable on demand 11,084,258 11,084,258 Cash Reserve 325,394 356,154 Excess Available Principal 1,572,785 2,860,588

12,982,437 14,301,000

The Balance Deposits repayable on demand in Volta Electricity Receivables Securitisation Notes concerns to a deposit in Deutsche Bank, AG – London. 6.4 – Loans and advances to customers

2015 2014EUR EUR

Loans and advances to customers 134,862,194 251,905,574 Portfolio acquisition premium /(discount) 5,555,968 12,360,392

140,418,162 264,265,966

The balance Loans and advances to customers includes the loans acquired under this securitization operation in the nominal amount of Euro 422,691,767, net of capital reimbursements. This caption includes a premium paid related to the loans acquired at the constitution of this operation in the amount of Euro 26,406,933. The amounts related to the capital’s reimbursements are analysed as follows:


2013 422,691,767 (60,700,241) 361,991,5262014 361,991,526 (110,085,952) 251,905,5742015 251,905,574 (117,043,380) 134,862,194



107



2015 2014

EUR EUR


1,465 2,791

The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.


2015 2014

EUR EUR

Securitisation notes 152,673,419 277,432,268 Accrued interest 700,778 1,111,733

153,374,197 278,544,001

In accordance with the contract terms, the reimbursement started as at July, 2013 and finishes in February, 2017 (legal maturity date for all the tranches). The analysis of the amortizations as at 31 December, 2015 is as follows:


2013 455,095,000 (57,993,084) 397,101,9162014 397,101,916 (119,669,648) 277,432,2682015 277,432,268 (124,758,849) 152,673,419



108



2015 2014

EUR EUR

Audit fee 20,295 20,295 Service fee 5,000 2,500 Issuer fee 1,272 2,311 Agent bank fee 1,300 650

27,867 25,756



109

23 Securitisation operations’ analysis (continuation) 7 – Castilho Mortgages No. 1 Operation

As at 25 September, 2013 the company performed the “Castilho Mortgage No. 1” – this operation consisted on the acquisition of mortgage loans of Deutsche Bank, AG – Portugal Branch, in the amount of Euro 1,332,764,298, and the issuance of securitised notes divided in four tranches: Euro 1,132,800,000 Class A, Euro 199,900,000 Class B, Euro 40,500,000 Class C and Euro 1 Variable Funding Note. The four tranches were issued at par. These notes were subject to a private placement and subsequently registered at the “Comissão do Mercado de Valores Mobiliários” (CMVM). The ratings of each class, as at 31 December 2015, are the following:

Fitch DBRS

Class A A + A (high)

The interest on the Class A notes and Class B notes is payable at a rate equal to Euribor 3 Months plus a margin of 0.3% for the Class A and 0.5% for the Class B. The Class C notes will not bear interest but will be entitled to the extent of available funds. The Variable Funding Note will only receive the borrowed capital. In accordance with the contract, except for Class C notes, the reimbursement will start as at 22 October, 2016 until the legal maturity date 22 October, 2058 for all the tranches. The first reimbursement of Class C notes occurred in 2014. The loans acquired correspond to the right to receive monthly payments of capital and interest, and additional amounts as established in the contract with the Originator of the loans.




110




Castilho Mortgages Nº. 1Class A - Notes October, 2058 1,132,800,000 EUR 3 M + 0,30% 0.281% 0.381%Class B - Notes October, 2058 199,900,000 EUR 3 M + 0,50% 0.481% 0.581%Class C - Notes October, 2058 39,981,000 - - -Variable Funding Note October, 2058 1 - - -

1,372,681,001

The balance securitisation notes – “Castilho Mortgages No.1” refers to the securitisation notes book value, resulting from that Operation. These notes were issued in four tranches. The interest on the Class A notes and Class B notes is payable at a rate equal to Euribor 3 Months plus a margin of 0.3% for the Class A and 0.5% for the Class B. The Class C notes will not bear interest but will be entitled to the extent of available funds. The Variable Funding Note will just receive the borrowed capital.



111


The financial statements of Castilho Mortgages No. 1 Operation for the year ended 31 December, 2015 and 2014 is presented as follow:

Castilho Mortgages No. 1




Net gains / (losses) arising from financialliabilities at fair value through profit or loss 7.2 2,901,966 1,317,349 Other administrative costs 7.3 (1,591,556) (1,710,850)

Total operating income /(expense) 1,310,410 (393,501)




Income taxes - -






112



Assets


7.5 169,926,788 87,465,639

Loans and advances to customers 7.6 1,195,149,624 1,281,993,738 Other assets 7.7 8,362,879 7,516,983

Total Assets 1,373,439,291 1,376,976,360

Liabilities

Debt securities issued 7.8 1,373,106,260 1,375,649,648 Other liabilities 7.9 333,031 1,326,712

Total Liabilities 1,373,439,291 1,376,976,360

Equity


Total Equity - -

Total do Equity and Liabilities 1,373,439,291 1,376,976,360

Obligations and future Commitments (nota 7.10)






113


2015 2014EUR EUR


Other receivables /(payments) associatedwith the operating activities (1,611,789) (863,538)

Cash flows arising from operating activities (1,611,789) (863,538)


Receivables:


94,400,650 77,945,224

Payments:

Loan portfolio acquisition - (46,618,446)

- (46,618,446)



Payments:

Debt securities issued - (519,000)Interest expense (10,327,712) (13,523,351)

(10,327,712) (14,042,351)


Net changes in cash and equivalents 82,461,149 16,420,889

87,465,639 71,044,750

169,926,788 87,465,639

169,926,788 87,465,639









114



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 12,287,819 14,385,949

Cost of funding (9,973) (9,973)

12,277,846 14,375,976

Interest expense


(10,686,290) (12,665,126)



2015 2014EUR EUR



2,901,966 1,317,349



- -


2,901,966 1,317,349




115



2015 2014EUR EUR

Audit fee (24,600) (24,600)Service fee (1,269,355) (1,344,466)Issuer fee (249,937) (251,352)Agent bank fee (7,249) (8,876)Euronext (215) (17,745)Interbolsa (28,852) (30,225)Legal fee (7,708) (22,666)Paying Agent fee (3,640) (10,920)

(1,591,556) (1,710,850)


2015 2014EUR EUR

Loans to customers:

Charge for the year (2,901,966) (1,317,349)Write-back for the year - -

(2,901,966) (1,317,349)



116



2015 2014EUR EUR

Deposits repayable on demand 129,945,787 47,484,638 Cash Reserve 39,981,000 39,981,000 Liquidity Account 1 1

169,926,788 87,465,639

The Balance Deposits repayable on demand in Castilho Mortgages No. 1 concerns to a deposit in Deutsche Bank, AG – Portugal Branch.


2015 2014EUR EUR

Loans and advances to customers 1,194,233,690 1,281,113,689 Overdue interest 22,058 22,987 Accrued interest 806,278 1,045,048 Impairment (339,614) (625,171)Cost of funding 427,212 437,185

1,195,149,624 1,281,993,738

The balance Loans and advances to costumers – Castilho Mortgages No. 1 includes the loans acquired in the nominal amount of Euro 1,332,764,298, net of capital reimbursements and impairment losses recorded, and plus the acquisition of new loans, and the accrued interest and financial costs related to initial the acquisition of the loans (this cost is amortized over the Operation’s life). The amounts related to the capital’s reimbursements occurred are analysed as follows:

Year Beginning Balance Reimbursement Acquisition Write-off Closing Balance

EUR EUR EUR EUR EUR

2013 1,332,764,298 (26,405,170) 104,437 - 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



117



2015 2014EUR EUR

Loans impairment:

Balance on January 1st (625,171) (323,585)Charge for the year (2,901,966) (1,317,349)Write-back for the year - -Loans written-off 3,187,523 1,015,763

Balance on December 31st (339,614) (625,171)

The Impairment caption for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of the impairment evidence, as presented in note 1.3.


2015 2014

EUR EUR

Amount receivable 8,358,134 7,512,129 Up front fee 4,745 4,854

8,362,879 7,516,983

The caption Amount receivable refers to capital and interest which were already collected by the Originator, but only were transferred to the Operation on January, 2016. The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.



118



2015 2014

EUR EUR

Securitisation notes 1,372,681,001 1,372,681,001 Accrued interest 4,968,159 4,609,581 Other (4,542,900) (1,640,934)

1,373,106,260 1,375,649,648

The caption Other includes the (insufficiency) / excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date. In accordance with the contract terms, the reimbursement will start on 22 October 2016, with the exception of Class C notes, and will finish on 22 October, 2058 (legal maturity date for all the tranches). The first reimbursement of Class C notes occurred in 2014.

Year Beginning Balance Amortization Ending BalanceEUR EUR EUR

2013 1,373,200,001 - 1,373,200,0012014 1,373,200,001 (519,000) 1,372,681,0012015 1,372,681,001 - 1,372,681,001



119


2015 2014

EUR EUR

Audit fee 24,600 24,600 Service fee 236,946 256,568 Issuer fee 48,044 48,730 Agent bank fee 1,383 1,417 Other 22,058 22,987 Deutsche Bank - Servicer - 972,410

333,031 1,326,712

The balance Other refers to the amount of overdue interest recognized in the balance Loans and advances to customers (note 7.6). This interest will be recognized in profit and loss when received. The balance Deutsche Bank – Servicer refers to an amount to be returned to the Originator.


2015 2014

EUR EUR

Collateral 3,133,143,164 3,177,745,126



120

23 Securitisation operations’ analysis (continuation) 8 – Volta II Electricity Receivables Securitisation Notes Operation

As at 26 March, 2014 the Company performed the “Volta II Electricity Receivables Securitisation Notes” - this operation consisted on the acquisition of loans, of EDP – Serviço Universal, S.A., corresponding to a portion of the 2013 tariff deficit resulted from the deferral, for the period of 5 years, of the recovery of the 2013 over costs (including the adjustments for 2011 and 2012) related to the acquisition of electricity from special regime generators. Were issued securitisation notes at par in the amount of Euro 756,061,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The notes were issued in three tranches: “Fixed Rate Senior Notes due 2018” issued at par in the amount of Euro 750,000,000 and remunerated at a fixed rate of 2.98%; “ Class R Notes due 2018” issued at par in the amount of Euro 473,000 and “Liquidity Notes due 2018” issued at par in the amount of Euro 5,588,000. The Class R Notes and Liquidity Notes shall not bear interest and will solely represent entitlement to receive, the Class R Notes amount and the Liquidity Notes Amount. The ratings of each class, as at 31 December 2015, are the following:

Moody's Fitch DBRS

Fixed Rate Senior Notes due 2018 A1 BBB BBB (High)Class R Notes due 2018 - - -

Liquidity Notes due 2018 - - -

The Senior Tranche is registered with Interbolsa and is listed in Euronext Lisboa. In accordance with the contract, the reimbursement started as at 16 May, 2014 and will continue until the legal maturity date16 February, 2018 for all the tranches. The reimbursement started with the “Fixed Rate Senior Notes due 2018”, the legal maturity date for all the tranches.

Impairment

The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect.



121




Volta II Electricity ReceivablesFixed Rate Notes Senior due 2018 February, 2018 434,398,298 Fixa 2.980% 2.980%Class R Notes due 2018 February, 2018 473,000 - - -Liquidity Notes due 2018 February, 2018 3,236,268 - - -

438,107,566

The balance securitisation notes – Volta II Electricity Receivables Securitisation Notes accounts securitisation notes’ book value, resulting from that operation. The amounts received on a monthly basis are in accordance with the operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



122


The financial statements of Volta II Electricity Receivables Securitisation Notes Operation for the year ended 31 December, 2015 and 2014 is presented as follow:








Income taxes - -




Volta II Electricity Receivables



123



Assets


8.3 20,952,495 22,424,896

Loans and advances to customers 8.4 418,323,126 609,561,283

Total Assets 439,275,621 631,986,179

Liabilities



Equity


Total Equity - -







124


2015 2014EUR EUR





Receivables:


207,754,956 155,818,750

Payments:


- (749,124,083)

Cash flows arising from investing activities 207,754,956 (593,305,333)


Receivables:

Debt securities issued - 756,061,000

- 756,061,000

Payments:


(208,944,499) (140,144,554)

Cash flows arising from financing activities (208,944,499) 615,916,446

Net changes in cash and equivalents (1,472,401) 22,424,896

22,424,896 -

20,952,495 22,424,896

20,952,495 22,424,896









125



2015 2014EUR EUR

Interest income



16,516,799 16,255,951

Interest expense


(16,232,018) (16,042,503)



2015 2014EUR EUR

Audit fee (18,450) (18,450)Service fee (71,875) (48,875)Issuer fee (108,517) (106,235)Agent bank fee (16,250) (13,050)Interbolsa (15,143) (8,546)Euronext (797) (5,541)Rating Agency fee (39,975) -Legal fee (7,534) (8,571)Paying Agent Fee (6,240) (4,180)

(284,781) (213,448)



126



2015 2014EUR EUR

Deposits repayable on demand 17,317,907 17,317,636 Cash Reserve 397,443 445,404 Liquidity Account 3,237,145 4,661,856

20,952,495 22,424,896

The Balance Deposits repayable on demand in Volta II Electricity Receivables Securitisation Notes concerns to a deposit in Deutsche Bank, AG – London.


2015 2014EUR EUR

Loans and advances to customers 396,321,537 570,714,249 Portfolio acquisition premium /(discount) 22,001,589 38,847,034

418,323,126 609,561,283

The balance Loans and advances to customers includes the loans acquired in the nominal amount of Euro 694,856,546, net of capital reimbursements occurred. This caption includes a premium paid related to the loans acquired at the constitution of this operation in the amount of Euro 54,267,537. The amounts related to the capital’s reimbursements occurred are analysed as follows:

Year Beginning Balance Reimbursement Closing Balance

EUR EUR EUR

2014 694,856,546 (124,142,297) 570,714,2492015 570,714,249 (174,392,712) 396,321,537



127



2015 2014

EUR EUR

Securitisation notes 438,107,566 630,768,754 Accrued interest 1,138,902 1,190,195

439,246,468 631,958,949

In accordance with the contract terms, the reimbursement started as at May, 2014 and finishes in February, 2018 (legal maturity date for all the tranches). The analysis of the amortizations as at 31 December, 2015 is as follows:

Year Beginning Balance Amortization Closing Balance

EUR EUR EUR

2014 756,061,000 (125,292,246) 630,768,7542015 630,768,754 (192,661,188) 438,107,566


2015 2014

EUR EUR


29,153 27,230



128

23 Securitisation operations’ analysis (continuation) 9 – Pelican Finance No. 1 Operation

As at 30 Abril, 2014 the company performed the “Pelican Finance No. 1” – this Operation consisted on the acquisition of consumer loans and auto loans, of Caixa Económica Montepio Geral, in the amount of Euro 293,994,013.71, of which Euro 176,535,071.95 of Montepio and Euro 117,458,941.71 of Montepio Crédito. Additionally, this Operation result in the issue of securitised notes divided in three tranches: Euro 202,900,000 Class A, Euro 91,100,000 Class B, and Euro 14,700,000 Class C. The three tranches were issued at par. These notes were subject to a private placement and subsequently registered at the “Comissão do Mercado de Valores Mobiliários” (CMVM). The ratings of each class, as at 31 December 2015, are the following:

Fitch DBRS

Class A Notes A AClass B Notes - -Class C Notes - -

The interest on the Class A notes and Class B notes is payable at a fixed rate equal to 3% and 4%, respectively. The Class C notes will not bear interest but will be entitled to the extent of available funds. The Class A Notes are registered in Interbolsa and are also listed in Euronext Lisboa. In accordance with the contract, the reimbursement will start in November, 2017 until the legal maturity date December, 2028 for all the tranches. In accordance with the contract, notes interest (including capital reimbursement) is dependent on the assets’ performance, which means that any default on these is fully reflected in the first ones. The loans given are equal to reimbursement capital instalments and interest payment and other due amounts in accordance with consumer and auto loans contracts.

Impairment

The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



129




Pelican Finance No. 1Class A Notes December 2028 202,900,000 Fixa 3% 3%

Class B Notes December 2028 91,100,000 Fixa 4% 4%

Class C Notes December 2028 14,700,000 - - -

308,700,000

The balance Securitisation Notes – “Pelican Finance No.1” refers to the securitisation notes book value, resulting from that Operation. These notes were issued in three tranches: Class A notes are payable ate a rate equal to 3%, Class B notes are payable ate a rate equal to 4%, and the Class C notes will not bear interest but will be entitled to the extent of available funds.



130


The financial statements of Operation for the year ended 31 December, 2015 and 2014 is presented as follow:




Net gains / (losses) arising from financialliabilities at fair value through profit or loss 9.2 668,099 2,889,603 Other administrative costs 9.3 (493,712) (305,176)

Total operating income /(expense) 174,387 2,584,427

Loans impairment 9.4 (668,099) (2,889,603)



Income taxes - -


Income Statement


Pelican Finance No. 1

for the years ended 31 December 2015 and 2014



131



Assets


9.5 24,127,790 25,795,721

Loans and advances to customers 9.6 284,875,715 283,352,159 Other assets 9.7 1,852,451 -

Total Assets 310,855,956 309,147,880

Liabilities



Equity


Total Equity - -







132


2015 2014EUR EUR





Receivables:


137,848,436 105,982,152

Payments:

Financial Investments - - Loan portfolio acquisition (119,853,708) (376,563,481)

(119,853,708) (376,563,481)



Receivables:


- 308,700,000

Payments:

Interest expense (19,189,522) (12,040,922)

(19,189,522) (12,040,922)


Net changes in cash and equivalents (1,667,931) 25,795,721

25,795,721 -

24,127,790 25,795,721

24,127,790 25,795,721









133



2015 2014EUR EUR

Interest income


21,966,403 15,408,688

Interest expense


Interest on other financial liabilities (43,900) -

(21,472,691) (15,103,512)



2015 2014EUR EUR


Financial assets held-for-trading - Swaps - -Other gains arising from financial operations 668,099 2,889,603

668,099 2,889,603



- -


668,099 2,889,603

The caption Other Gains / (Losses) arising financial operations includes the insufficiency/excess, recognized during the period, assumed by the note holders (note 9.8).



134



2015 2014EUR EUR

Audit fee (20,295) (20,295)Service fee (324,715) (219,390)Issuer fee (63,161) (40,917)Agent bank fee (10,397) (6,067)Rating Agency fee (52,275) -Euronext (602) (9,027)Interbolsa (8,380) (4,140)Legal fee (8,687) (2,340)Paying Agent fee (5,200) (3,000)

(493,712) (305,176)


2015 2014EUR EUR

Loans to customers:

Charge for the year (979,965) (2,889,603)Write-back for the year 311,866 -

(668,099) (2,889,603)



135



2015 2014EUR EUR


24,127,790 25,795,721

The Balance Deposits repayable on demand in Pelican Finance No.1 concerns to a deposit in Deutsche Bank, AG – London.


2015 2014EUR EUR

Loans and advances to customers 287,310,671 285,146,419 Overdue interest 320,811 252,816 Accrued interest 790,434 837,029 Impairment (3,546,201) (2,884,105)

284,875,715 283,352,159

The balance Loans and advances to customers – Pelican Finance No. 1 includes the loans acquired in the nominal amount of Euro 293,994,014, net of capital reimbursements and impairment losses recorded and plus the amount related to acquisition of new loans, as well as the respective accrued interest. The amounts related to the capital’s reimbursements occurred, acquisition of new loans and write-off loans are analysed as follows:

Year Beginning Balance Reimbursement Acquisition Write-off Closing BalanceEUR EUR EUR Euros EUR

2014 293,994,014 (91,411,564) 82,569,467 (5,498) 285,146,4192015 285,146,419 (117,683,453) 119,853,708 (6,003) 287,310,671



136



2015 2014EUR EUR

Loans impairment:

Balance on January 1st (2,884,105) -Charge for the year (979,965) (2,889,603)Write-back for the year 311,866 -Loans written-off 6,003 5,498


The balance Impairment for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of the impairment evidence, as presented in note 1.3.


2015 2014

EUR EUR

Amount receivable 1,848,015 - Up front fee 4,436 -

1,852,451 -

Amount receivable is in its entirety related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016. The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation.



137

23 Securitisation operations’ analysis (continuation) 9.8 – Debt securities issued

2015 2014

EUR EUR

Securitisation notes 308,700,000 308,700,000 Accrued interest 2,169,469 2,644,914 Other (381,675) (2,472,190)

310,487,794 308,872,724

The caption Other includes the (insufficiency)/excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date. 9.9 – Other liabilities

2015 2014

EUR EUR

Audit fee 20,295 20,295 Service fee 26,649 1,636 Issuer fee 343 343 Agent bank fee 64 66 Other 320,811 252,816

368,162 275,156




138

23 Securitisation operations’ analysis (continuation) 10 – CMEC Volta Electricity Receivables Notes Operation

As at 22 December, 2014 the Company performed the “CMEC Volta Electricity Receivables Notes” Operation - this operation consisted on the acquisition of loans of EDP – Serviço Universal, S.A., corresponding to a portion of the 2012 tariff deficit, which resulted from the deferral to the years 2017 and 2018 of the recovery of the compensation due for the early termination of the power purchase agreements. Were issued securitisation notes in the amount of Euro 243,507,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The notes were issued in three tranches: “Fixed Rate Pass Through Notes due 2019” issued at discount in the amount of Euro 240,500,000 and remunerated at a fixed rate of 2.896778%; “Expense Reserve Notes due 2019” issued at par in the amount of Euro 317,000 and “Liquidity Notes due 2019” issued at par in the amount of Euro 2,690,000. The Expense Reserve Notes and the Liquidity Notes shall not bear interest and will solely represent entitlement to receive, respectively, the Expense Reserve Notes Amount and the Liquidity Notes Amount. In accordance with the contract, the initial reimbursement date began at 10 March, 2015, on a monthly basis, and the final maturity is established to be 10 February, 2019.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect.



CMEC Volta Electricity Receivables NotesFixed Rate Pass-Through Notes due 2019 February, 2019 237,323,029 Fixa 2.8968% 2.8968%

Liquidity Notes due 2019 February, 2019 1,718,681 - - -Expense Reserve Notes due 2019 February, 2019 317,000 - - -

239,358,710

The balance Securitisation Notes – CMEC Volta Electricity Receivables Notes accounts the securitisation notes’ book value, resulting from that operation. The amounts received on a monthly basis are in accordance with the operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



139


The financial statements of Operation for the year ended 31 December, 2015 and 2014 is presented as follow:


Interest income 10.1 7,353,341 182,678 Interest expense 10.1 (7,195,003) (149,670)






Income taxes - -


Income Statement


CMEC Volta Electricity Receivables Notes

for the years ended 31 December 2015 and 2014



140



Assets


10.3 2,951,343 3,571,664

Loans and advances to customers 10.4 236,879,779 240,014,289

Total Assets 239,831,122 243,585,953

Liabilities



Equity


Total Equity - -







141


2015 2014EUR EUR





Receivables:

Interest income 10,487,851 -

10,487,851 -

Payments:


- (239,831,611)



Receivables:


- 243,417,775

Payments:

Debt securities issued (4,148,290) - Interest expense (6,809,628) -

(10,957,918) -


Net changes in cash and equivalents (620,321) 3,571,664

3,571,664 -

2,951,343 3,571,664

2,951,343 3,571,664









142



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 10,353,773 134,078

Loan portfolio acquisition premium (3,000,432) 48,600

7,353,341 182,678

Interest expense

Interest on debt securities issued (7,173,450) (149,198)

Premium bond issue (21,553) (472)

(7,195,003) (149,670)



2015 2014EUR EUR

Audit fee (15,375) (15,375)Service fee (61,525) (1,725)Issuer fee (44,583) (1,250)Agent bank fee (14,142) (158)Irish stock exchange (11,919) -Interbolsa (5,486) -Euronext (129) -Paying Agent fee (5,179) -Legal fee - (14,500)

(158,338) (33,008)



143



2015 2014EUR EUR

Deposits repayable on demand 953,462 564,664 Cash Reserve 279,199 317,000 Liquidity Account 1,718,682 2,690,000

2,951,343 3,571,664

The balance Deposits repayable on demand in CMEC Volta Electricity Receivables Notes concerns to a deposit in Deutsche Bank, AG – London.


2015 2014EUR EUR

Loans and advances to customers 228,825,936 228,825,936 Portfolio acquisition premium /(discount) 8,053,843 11,054,275 Accrued interest - 134,078

236,879,779 240,014,289

The balance Loans and advances to customers - CMEC Volta Electricity Receivables Notes includes the loans acquired in the nominal amount of Euro 228,825,936, less the capital reimbursements occurred. This caption includes a premium paid related to the loans acquired in the amount of Euro 11,005,675. The amounts related to the capital’s reimbursements are analysed as follows:


2014 228,825,936 - 228,825,9362015 228,825,936 - 228,825,936



144



2015 2014

EUR EUR

Securitisation notes 239,358,710 243,507,000 Issued notes premium /(discount) (67,200) (88,753)Accrued interest 513,020 149,198

239,804,530 243,567,445

In accordance with the contract terms, the reimbursement of the bonds started in March, 2014 and finishes in February, 2019 (legal maturity date for all the tranches). The analysis of the amortization of securitization bonds is as follows:


2014 243,507,000 - 243,507,0002015 243,507,000 (4,148,290) 239,358,710


2015 2014

EUR EUR


26,592 18,508



145

23 Securitisation operations’ analysis (continuation) 11 – Volta III Electricity Receivables Notes

As at 24 March, 2015 the Company performed the ‘‘Volta III Electricity Receivables Notes” - this operation consisted on the acquisition of loans and advances to customers of EDP Serviço Universal, S.A., corresponding to the right to receive amounts for payments of positive adjustments derived from costs of power purchase activity, for the year of 2014. The issue price of these securitization notes is 100% of their principal amount Euro 502,898,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The notes were issued in three tranches: “Fixed Rate Senior Asset-Backed Notes due 2019” issued at par in the amount of Euro 500,000,000 and remunerated at a rate of 1.99%; “Liquidity Notes due 2019” issued at par in the amount of Euro 2,488,000 and “Class R Notes due 2019” issued at par in the amount of 410,000. The Liquidity Notes and Class R Notes shall not bear interest and will solely represent entitlement to receive, respectively, the Liquidity Notes Amount and the Class R Notes amount. The ratings as at 31 December 2015 are the following:

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 - - -

The Senior Tranche is registered on Interbolsa and is listed on Euronext Lisboa. In accordance with the contract terms, the reimbursement started in 12 May, 2015 and finishes in 12 February, 2019 (legal maturity date for all the tranches). Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect. Debt securities issued

Maturity Amount Interest Interest RateLegal EUR Rate 31.12.2015

Volta III Electricity Receivables NotesFixed Rate Senior Asset-Backed Not February, 2018 415.758.196 Fixa 1,990%Liquidity Notes due 2019 February, 2018 2.068.397 - -Class R Notes due 2019 February, 2018 410.000 - -

418.236.593



146

23 Securitisation operations’ analysis (continuation) The balance Securitisation Notes – Volta III Electricity Receivables Securitisation Notes accounts the securitisation notes’ book value, resulting from that Operation. The amounts received on a monthly basis are in accordance with the Operations’ responsibilities established. Any surplus amount generated by the assets will be paid to the note holders and any deficit will be transferred to them, at the notes’ maturity date, and will not contribute to the operating accounts of the Company.



147


The financial statements of Operation for the year ended 31 December, 2015 are presented as follows:

Notes 2015 EUR

Interest income 11.1 7,715,449 Interest expense 11.1 (7,535,163)

Net interest income 11.1 180,286

Other administrative costs 11.2 (180,286)

Total operating income /(expense) (180,286)

Operating income -

Income before income taxes -

Income taxes -

Net income for the year -

Income Statementfor the years ended 31 December 2015



Receivables Notes



148


Notes 2015EUR

Assets


11.3 13,806,221

Other loans and advances to crédit institutions 11.4 405,183,297

Total Assets 418,989,518

Liabilities

Debt securities issued 11.5 418,959,088 Other liabilities 11.6 30,430

Total Liabilities 418,989,518

Equity

Share Capital -Other equity instruments -Reserves and retained earnings -Net income for the year -

Total Equity -

Total do Equity and Liabilities 418,989,518

Statement of Financial Position as at 31 December, 2015



Receivables Notes



149


2015EUR


Other receivables /(payments) associatedwith the operating activities (149,856)

Cash flows arising from operating activities (149,856)


Receivables:

Client loans 84,473,514 Interest income 17,519,814

101,993,328

Payments:

Financial Investments (499,461,176)

(499,461,176)

Cash flows arising from investing activities (397,467,848)


Receivables:

Debt securities issued 502,898,000

502,898,000

Payments:

Debt securities issued (84,661,407)Interest expense (6,812,668)

(91,474,075)

Cash flows arising from financing activities 411,423,925

Net changes in cash and equivalents 13,806,221

-

13,806,221

13,806,221

Cash Flows Statement for the years ended 31 December 2015






Receivables Notes



150



2015EUR

Interest income

Interest on loans and advances to customers 17,519,814

Loan portfolio acquisition premium (9,804,365)

7,715,449

Interest expense

Interest on debt securities issued (7,535,163)

(7,535,163)

Net interest income 180,286


2015EUR

Audit fee (19,680)Service fee (49,500)Issuer fee (72,915)Agent bank fee (11,700)Interbolsa (7,803)Euronext (5,597)Paying Agent Fee (4,489)Legal fee (8,562)Paying Agent Fee (40)

(180,286)



151



2015EUR

Deposits repayable on demand 11,346,237 Cash Reserve 391,587 Liquidity Account 2,068,397

13,806,221

The balance Deposits repayable on demand in Volta III Electricity Receivables Notes Operation concerns to a deposit in Deutsche Bank, AG – London. 11.4 – Loans and advances to customers

2015EUR

Loans and advances to customers 380,944,685 Portfolio acquisition premium /(discount) 24,238,612

405,183,297

The balance Loans and advances to customers - Volta III Electricity Receivables Notes includes the loans acquired in the nominal amount of Euro 465,418,199, less the capital reimbursements occurred. This caption includes a premium paid related to the loans acquired at the constitution of this operation in the amount of Euro 34,042,977. The amounts related to the capital’s reimbursement are analysed as follows:


2015 465,418,199 (84,473,514) 380,944,685



152


2015

EUR

Securitisation notes 418,236,593 Accrued interest 722,495

418,959,088

In accordance with the contract terms, the reimbursement started as at May, 2015 and finishes in February, 2019 (legal maturity date for all the tranches). The analysis of the amortization of securitization bonds is as follows:


2015 502,898,000 (84,661,407) 418,236,593


2015

EUR

Audit fee 19,680 Service fee 5,500 Issuer fee 3,950 Agent bank fee 1,300

30,430



153

23 Securitisation operations’ analysis (continuation) 12 – Aqua NPL No. 1

As at 5 March, 2015 the Company performed the Operation "Aqua NPL No. 1" - this operation consisted on the acquisition by the amount Euro 12,727,000, of a credit consumer portfolio "non-performing loans" with a nominal value of Euros 160,000,072, to Montepio Credit - IFC, SA and in the issue of securitized notes divided into 2 tranches issued with premium: Euro 14,300,000 Class A Notes due 2025 and Euro 1,200,000 Class B Notes due 2025. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The difference between the nominal value of the loans and its acquisition price was deducted to the portfolio before its acquisition. Thereby, the Operation may receive amounts until the nominal value of the acquired credits. The Class A remuneration is fixed with an annual interest rate of 8%. Class B shall not bear interest but will be entitled to the extent of available funds. In accordance with the contract terms, the reimbursement started as at 15 April, 2015 and finishes in 15 March, 2025 (legal maturity date for all the tranches). Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders. Debt securities issued


Aqua NPL No. 1Class A Asset Backed Notes due 2025 March, 2025 11,163,202 Fixa 8.000%

Class B Notes due 2025 March, 2025 1,200,000 - 0.000%

12,363,202

In accordance with the Operation terms the received values of the acquired assets are bound to the responsibilities of the Operation. Any excess of the amounts generated by the assets will be paid to the bonds holder and any impairment will be taken by holder on the date of cancellation of the bonds, with no result in the Company’s operating accounts.



154

23 Securitisation operations’ analysis (continuation) The financial statements of Operation for the year ended 31 December, 2015 are presented as follows:

Notes 2015 EUR

Interest income 12.1 1,079,586 Interest expense 12.1 (980,033)


Other administrative costs 12.2 (99,553)

Total operating income /(expense) (99,553)

Operating income -


Income taxes -




Aqua NPL No. 1



155


Notes 2015EUR

Assets


12.3 1,260,747

Loans and advances to customers 12.4 9,669,601


Liabilities

Debt securities issued 12.5 10,908,198 Other liabilities 12.6 22,150


Equity


Total Equity -




Aqua NPL No. 1



156


2015EUR


Other receivables /(payments) associatedwith the operating activities (77,403)

Cash flows arising from operating activities (77,403)


Receivables:


4,136,985

Payments:

Financial Investments (12,727,000)

(12,727,000)



Receivables:


13,871,000 Payments:

Debt securities issued (3,136,798)Interest expense (806,037)

(3,942,835)



-

1,260,747

1,260,747






Aqua NPL No. 1



157

23 Securitisation operations’ analysis (continuation) 12.1 – Net interest income

2015EUR

Interest income


1,079,586

Interest expense

Interest on debt securities issued (845,728)

Premium bond issue (134,305)

(980,033)



2015EUR

Audit fee (15,375)Service fee (20,805)Issuer fee (41,667)Agent bank fee (9,880)Interbolsa (820)Legal fee (1,906)Paying Agent fee (9,100)

(99,553)



158

23 Securitisation operations’ analysis (continuation) 12.3 – Loans and advances to credit institutions repayable on demand

2015EUR

Deposits repayable on demand 341,510 Cash Reserve 919,237

1,260,747

The balance Deposits repayable on demand in Aqua NPL No. 1 Operation concerns to a deposit in Montepio Geral. 12.4 – Loans and advances to customers

2015EUR

Loans and advances to customers 9,669,601

9,669,601

The balance Loans and advances to customers - Aqua NPL No. 1 includes the loans acquired in the amount of Euro 12,727,000, less the capital reimbursements occurred. The nominal value of the acquired credits is Euro 160,000,672, and the difference towards the acquisition price refers to credits whose write-off had already been done by the Operation’s Originator. The amounts related to the capital’s reimbursements are analysed as follows:


2015 12,727,000 (3,057,399) 9,669,601



159


2015

EUR

Securitisation notes 12,363,202 Issued notes premium /(discount) (1,494,695)Accrued interest 39,691

10,908,198

In accordance with the contract terms, the reimbursement started as at 15 April, 2015 and finishes in 15 March, 2025 (legal maturity date for all the tranches). The analysis of the amortizations as at 31 December, 2015 is as follows:


2015 15,500,000 (3,136,798) 12,363,202


2015

EUR

Audit fee 15,375 Service fee 1,828 Issuer fee 4,167 Agent bank fee 780

22,150



160

23 Securitisation operations’ analysis (continuation) 13 – Silk Finance No. 4 As at 16 November, 2015 the Company performed the “Silk Finance No. 4” - this operation consisted on the acquisition of a credit consumer portfolio of Banco Santander Consumer Portugal, S.A. by the amount of Euro 611,022,649 and respectively in the issuance of securitized notes divided into 4 tranches: Euro 509,400,000 Class A, Euro 101,500,000 Class B, Euro 3,700,000 Class C and Euro 1 Variable Funding Note. The 4 tranches were issued at par. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class are the following:

S&P DBRS

Class A Notes A (sf) A (sf)Class B Notes - -Class C Notes - -

For the first two tranches the remuneration is fixed, for Class A is 1.2% and for Class B is 2.4%. The remaining classes will not bear interest but will be entitled to the extent of available funds.

In accordance with the contract terms, the reimbursement will start in 25 January, 2019 and will finish in 25 January, 2031 (legal maturity date for all the tranches). The loans acquired correspond to the right to receive monthly payments of capital and interest, and additional amounts as established in the contract with the Originator of the loans. Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



161

23 Securitisation operations’ analysis (continuation) Debt securities issued


Silk Finance No. 4Class A Notes January 2031 509,400,000 Fixa 1.200%Class B Notes January 2031 101,500,000 Fixa 2.400%Class C Notes January 2031 3,700,000 - -Varible Funding Note January 2031 1 - -

614,600,001

The balance Securitisation Notes – Silk Finance No. 4 refers to the securitisation notes book value, resulting from that operation. These notes were issued in four tranches. The interest on the Class A Notes and Class B Notes is payable at a fixed rate of 1.2% and 2.4%, respectively. The Class C Notes and Variable Funding Note remuneration will be the difference between receivables amounts and payable amounts to the Class A and Class B.



162

23 Securitisation operations’ analysis (continuation) The financial statements of Operation for the year ended 31 December, 2015 are presented as follows:

Silk Finance No. 4

Notes 2015 EUR

Interest income 13.1 8,254,212 Interest expense 13.1 (7,458,661)


Net gains / (losses) arising from financialliabilities at fair value through profit or loss 13.2 4,157,326 Other administrative costs 13.3 (795,551)

Total operating income /(expense) 3,361,775

Loans impairment 13.4 (4,157,326)

Operating income -


Income taxes -






163


Notes 2015EUR

Assets


13.5 21,764,972

Loans and advances to customers 13.6 608,301,730 Other assets 13.7 3,635,383


Liabilities

Debt securities issued 13.8 618,060,496 Other liabilities 13.9 15,641,589


Equity


Total Equity -



Silk Finance No. 4




164


2015EUR


Other receivables /(payments) associatedwith the operating activities -

Cash flows arising from operating activities -


Receivables:


18,028,460

Payments:

Loan portfolio acquisition (611,022,649)

(611,022,649)



Receivables:


614,759,161



-

21,764,972

21,764,972


Silk Finance No. 4







165


2015EUR

Interest income


8,254,212

Interest expense

Interest on debt securities issued (7,459,756)

Premium bond issue 1,095

(7,458,661)


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

2015EUR


Other gains arising from financial operations 4,157,326

4,157,326


Other losses arising from financial operations -

-


4,157,326




166


2015EUR

Audit fee (22,140)Service fee (763,778)Issuer fee (7,683)Agent bank fee (1,950)

(795,551)


2015EUR

Loans to customers:

Charge for the year (4,157,326)Write-back for the year -

(4,157,326)


2015EUR

Deposits repayable on demand 18,028,459 Cash Reserve 3,736,513

21,764,972

The balance Deposits repayable on demand in Silk Finance No. 4 Operation concerns to a deposit in BNP Paribas – London Branch.



167


2015EUR

Loans and advances to customers 611,007,729 Overdue interest 102,708 Accrued interest 1,348,619 Impairment (4,157,326)

608,301,730

The balance Loans and advances to customers – Silk Finance No. 4 refers to the operation’s loans and advances nominal amount of Euro 611,022,649, net of capital’s reimbursements and impairment losses recorded, plus the amount of repurchases of new loans and advances and the respective accrued interest. The amounts related to the capital’s reimbursements, repurchases of new loans and advances and Write - Offs are analysed as follows:

Year Beginning Balance Reimbursement Repurchases Write-off Closing BalanceEUR EUR EUR EUR EUR

2015 611,022,649 (31,922,338) 31,907,418 - 611,007,729


2015EUR

Loans impairment:

Balance on January 1st -Charge for the year (4,157,326)Write-back for the year -Loans written-off -

Balance on December 31st (4,157,326)



168

23 Securitisation operations’ analysis (continuation) 13.7 – Other assets

2015

EUR

Amount receivable 3,635,383

3,635,383

Amount receivable is entirety related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016. 13.8 – Debt securities issued

2015

EUR

Securitisation notes 614,600,001 Issued notes premium /(discount) 158,065 Accrued interest 7,459,756 Other (4,157,326)

618,060,496

The balance Other includes the (insufficiency)/excess that would be transferred to the note holders as at 31 December, 2015, if the operation ended at this date. In accordance with the contract terms, the reimbursement will start in 25 January, 2019 and will finish in 25 January, 2031 (legal maturity date for all the tranches).



169

23 Securitisation operations’ analysis (continuation) 13.9 – Other liabilities

2015

EUR

Audit fee 22,140 Service fee 763,778 Issuer fee 7,683 Agent bank fee 1,950 Amount payable 14,743,330 Other 102,708

15,641,589

The balance Other refers to the amount of overdue interest recognized in the balance Loans and advances to customers (note 13.6). This interest will be recognized in profit and loss when received. The caption Amount payable records the amounts to deliver to the Originator referring to the new loans, net of the capital amounts arising from the portfolio already received, but not yet settled to the Operation.



170

23 Securitisation operations’ analysis (continuation) 14 – BBVA Portugal RMBS No. 1

As at 30 December, 2015 the Company performed the “BBVA Portugal RMBS No. 1” - this operation consisted on the acquisition of a mortgage credits portfolio, by the amount of Euro 1,119,470,000 to Banco Bilbao Vizcaya Argentaria (Portugal), S.A., which includes an acquisition premium of Euro 16,610,145, and the issuance of securitized notes divided into 3 tranches: Euro 1,012,000,000 Class A, Euro 88,000,000 Class B and Euro 92,200,000 Class C. The 3 tranches were issued at par. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings for the Class A are the following:

S&P DBRS

Class A A - (sf) A (sf) The remuneration of the first two Classes is indexed to Euribor 3 months plus a spread of 0.20% for Class A and a spread of 0.40% for Class B. The Class C notes will not bear interest but will be entitled to the extent of available funds. In accordance with the contract terms, the reimbursement started as at 30 March, 2016 and finishes in 30 December, 2057 (legal maturity date for all the tranches).

The loans acquired correspond to the right to receive monthly payments of capital and interest, and additional amounts as established in the contract with the Originator of the loans. Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



171




BBVA Potugal RMBS No. 1Class A Mortgage Backed Floating Rate due 2057 Março de 2057 1,012,000,000 EUR 3 M + 0.20% 0.069%Class B Mortgage Backed Floating Rate due 2057 Março de 2057 88,000,000 EUR 3 M + 0.40% 0.269%

Class C Variable Rate due 2057 Março de 2057 92,200,000 - -

1,192,200,000

The balance Securitisation Notes – BBVA Portugal RMBS No. 1 refers to the securitisation notes book value, resulting from that operation. This issue corresponds to two tranches of notes (“Class A Notes” and “Class B Notes”) with variable income indexed to Euribor 3 months plus spread of 0.20% and 0.40%, respectively and a third tranche (“Class C Notes”), for which the interest was the difference between receivables amounts and payable amounts to the “Class A” and “Class B”. Quarterly, securitised loans’ interests received are calculated and transferred to the Operation. This amount is fully paid to the debt securities owners.



172


The financial statements of Operation for the year ended 31 December, 2015 are presented as follows:

BBVA Portugal

RMBS No. 1

Notes 2015 EUR

Interest income 14.1 47,462 Interest expense 14.1 (25,250)


Net gains / (losses) arising from financialliabilities at fair value through profit or loss 14.2 5,612,620 Other administrative costs 14.3 (22,212)

Total operating income /(expense) 5,590,408

Loans impairment 14.4 (5,612,620)

Operating income -


Income taxes -






173


BBVA Portugal

RMBS No. 1

Notes 2015EUR

Assets


14.5 92,200,000

Loans and advances to customers 14.6 1,109,781,668 Other assets 14.7 4,123,428

Total Assets 1,206,105,096

Liabilities

Debt securities issued 14.8 1,206,082,630 Other liabilities 14.9 22,466

Total Liabilities 1,206,105,096

Equity


Total Equity -

Total do Equity and Liabilities 1,206,105,096






174


BBVA Portugal

RMBS No. 1

2015EUR


Other receivables /(payments) associatedwith the operating activities -

Cash flows arising from operating activities -


Receivables:

Client loans - Interest income -

-

Payments:

Loan portfolio acquisition (1,119,470,000)

(1,119,470,000)

Cash flows arising from investing activities (1,119,470,000)


Receivables:

Debt securities issued 1,211,670,000

1,211,670,000 Payments:

Debt securities issued - Interest expense -

-

Cash flows arising from financing activities 1,211,670,000


-

92,200,000

92,200,000








175



2015EUR

Interest income

Interest on loans and advances to customers 49,627

Loan portfolio acquisition premium (2,165)

47,462

Interest expense

Interest on debt securities issued (27,788)

Premium bond issue 2,538

(25,250)



2015EUR


Financial assets held-for-trading - Swaps -Other gains arising from financial operations 5,612,620

5,612,620


Financial liabilities held-for-trading - Swaps -Other losses arising from financial operations -

-


5,612,620




176



2015EUR

Audit fee (14,760)Service fee (6,127)Issuer fee (1,325)

(22,212)


2015EUR

Loans to customers:

Charge for the year (5,612,620)Write-back for the year -

(5,612,620)


2015EUR

Deposits repayable on demand 43,000 Cash Reserve 92,157,000

92,200,000

The balance Deposits repayable on demand in BBVA Portugal RMBS No. 1 Operation concerns to a deposit in Citi – London Branch.



177


2015EUR

Loans and advances to customers 1,098,740,943 Portfolio acquisition premium /(discount) 16,607,980 Overdue interest 254 Accrued interest 45,111 Impairment (5,612,620)

1,109,781,668

The balance Loans and advances to customers – BBVA Portugal RMBS No. 1 refers to the operation’s loans and advances nominal amount of Euro 1,102,859,855, net of capital’s reimbursements and impairment losses recorded. This caption includes a premium paid related to the loans acquired at the constitution of this operation in the amount of Euro 16,610,145, as well as the respective accrued interest. The amounts related to the capital’s reimbursements are analysed as follows:


2015 1,102,859,855 (4,118,912) 1,098,740,943


2015EUR

Loans impairment:

Balance on January 1st -Charge for the year (5,612,620)Write-back for the year -Loans written-off -

Balance on December 31st (5,612,620)

The Impairment caption for credit risks refers to the estimative of losses incurred at the year end. These losses are calculated in accordance with the evaluation of impairment evidence, as presented in note 1.3.



178



2015

EUR

Amount receivable 4,123,428

4,123,428

Amount receivable is entirety related to capital and interest already charged by the Originator, but the financial transfer to the Operation only occurred in 2016. 14.8 – Debt securities issued

2015

EUR

Securitisation notes 1,192,200,000 Issued notes premium /(discount) 19,467,462 Accrued interest 27,788 Other (5,612,620)

1,206,082,630

The balance Other includes the (insufficiency)/excess that would be transferred to the note holders as at 31 December, 2015 if the operation ended at this date. In accordance with the contract terms, the reimbursement will start in 30 March, 2016 and will finish in 30 March, 2057 (legal maturity date for all the tranches).



179

23 Securitisation operations’ analysis (continuation) 14.9 – Other liabilities

2015

EUR

Audit fee 14,760 Service fee 6,127 Issuer fee 1,325 Other 254

22,466

The balance Other refers to the amount of overdue interest recognized in the balance Loans and advances to customers (note 14.6). This interest will be recognized in profit and loss when received. 14.10 – Obligations and future commitments

2015

EUR

Collateral 2,265,905,153



180


15 – Altis No. 1 Securitisation Notes Operation

As at 29 December, 2006 the Company performed the ‘Altis No. 1 Securitisation Notes’ Operation – this operation consisted on the acquisition of future loans and advances to customers over income from the company Transportes Aéreos Portugueses S.A. (TAP) and the issue of securitised notes in the amount of Euro 230,000,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The loans are guaranteed by the Originator of the Operation. Following the acquisition mentioned in the above paragraph, the company issued the ‘Altis No. 1 Securitisation Notes’ with nominal value equal to the acquisition of loans and advances to customers. The notes bear interest at a rate equal to Euribor 3 months plus a spread of 0.80%. In accordance with the contract the reimbursement will occur quarterly, until maturity date December 2016. The first interest payment occurred as at 20 March 2007 and the first reimbursement occurred as at 20 March, 2009. At 21 December, 2015 the sole Note holder exercised its option of redemption in accordance with Condition 8.3. (Optional redemption in whole or in part) for the early repayment of all securitised notes. However, the financial settlement of the Operation only occurred in 2016.

Any surplus amount generated by assets will be paid to the note holders, and any deficit would be transferred to them at the cancellation date, with no contribute to the operating accounts of the Company. Impairment The Company performed, on a periodic basis, the evaluation of the impairment of assets portfolio, using a model developed for that effect, which takes into account the estimated amount of debt receivables until the end of the transaction (based on receivables historical analysis), the expense and income associated and the transaction interest rate. Impairment losses of securitised assets, or any other facts related with the operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses would be transferred exclusively to the note holders. Debt securities issued

Maturidade Amount Interest Interest Rate Interest RateLegal EUR Rate 31.12.2015 31.12.2014

Altis No. 1Securitisation Notes December, 2016 - EUR 3 M + 0.80% - 0.879%

The balance securitisation notes – ‘Altis No. 1 Securitisation Notes’ accounts the securitisation notes book value, resulting from that operation. This issue related only to notes with variable income of Euribor 3 months plus spread of 0.80%. Quarterly, securitised loans interests received were calculated and transferred to the Company. This amount was fully paid to the debt securities owners.



181


The financial statements of Operation for the years ended 31 December, 2015 and 2014 are presented as follows:



Interest income 15.1 624,753 903,550 Interest expense 15.1 (624,753) (903,550)

Net interest income 15.1 - -

Fee and commission income 15.2 88,610 35,977 Other administrative costs 15.3 (88,610) (35,977)

Total operating income /(expense) - -

Loans impairment - -



Income taxes - -






182



Assets


15.4 178,524 -

Loans and advances to customers 15.5 - 67,941,540 Other assets 15.6 - 21,783

Total Assets 178,524 67,963,323

Liabilities

Debt securities issued 15.7 178,524 67,941,540 Other liabilities 15.8 - 21,783

Total Liabilities 178,524 67,963,323

Equity


Total Equity - -

Total do Equity and Liabilities 178,524 67,963,323






183


2015 2014EUR EUR


Other receivables /(payments) associatedwith the operating activities - -

Cash flows arising from operating activities - -


Receivables:

Client loans 67,926,613 31,071,827 Interest income 639,680 921,837

68,566,293 31,993,664



Payments:

Debt securities issued (67,926,613) (31,071,827)Interest expense (461,156) (921,837)

(68,387,769) (31,993,664)


Net changes in cash and equivalents 178,524 -

- -

178,524 -

178,524 -









184



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers 624,753 903,550

624,753 903,550

Interest expense

Premium bond issue (624,753) (903,550)

(624,753) (903,550)

Net interest income - -

15.2 – Fee and commission income

2015 2014EUR EUR

Fee and Comission Income

Audit fee 21,525 21,525 Issuer fee 8,886 10,868 Agent bank fee 2,247 3,584 Legal fee 40,952 -Others 15,000 -

88,610 35,977

The balance Audit fee refers to the audit fees related to the Operation whose fees are passed on to the Originator. The Company receives from the Originator the amounts related to these services and pays to the entity that provides the service, as described in note 15.3. The caption Others records a commission paid to the Common Representative, arising from the Operation settlement.



185



2015 2014EUR EUR

Audit fee (21,525) (21,525)Issuer fee (8,886) (10,868)Agent bank fee (2,247) (3,584)Legal fee (40,952) -Others (15,000) -

(88,610) (35,977)


2015 2014EUR EUR

Deposits repayable on demand 178,524 -

178,524 -

The balance Deposits repayable on demand in ‘Altis No. 1 Securitisation Notes concerns to a deposit at Deutsche Bank, AG – London.


2015 2014EUR EUR

Loans and advances to customers - 67,926,613 Accrued interest - 14,927

- 67,941,540

The balance Loans and advances to customers and accrued interest – Altis No. 1 Securitisation Notes recorded the loans and advances nominal amount of Euro 230,000,000, net of capital’s reimbursements, plus the respective accrued interest.



186

23 Securitisation operations’ analysis (continuation) The amounts related to the capital’s reimbursements are analysed as follows:


2009 230,000,000 (23,262,798) 206,737,202 2010 206,737,202 (24,652,757) 182,084,445 2011 182,084,445 (26,102,976) 155,981,469 2012 155,981,469 (27,647,380) 128,334,089 2013 128,334,089 (29,335,649) 98,998,440 2014 98,998,440 (31,071,827) 67,926,613 2015 67,926,613 (67,926,613) -


2015 2014

EUR EUR

Amount receivable - 18,837 Up Front Fee - 2,946

- 21,783

The caption Up Front fee refers to the initial fee paid by the Originator that is deferred and recognized as cost until the maturity of the Operation, for the services provided by the Company to the Operation. The caption Amount receivable recorded the amounts delivered by the Originator to the Operation, which were used in payment to the service providers, as presented in note 15.8. 15.7 – Debt securities issued

2015 2014

EUR EUR

Securitisation notes - 67,926,613 Accrued interest 178,524 14,927

178,524 67,941,540



187


The frequency of the repayment of securitization notes was quarterly, up to the maturity date as at December 2016. The amounts referring to the amortization of the securitization notes, are analysed as follows (at 21 December, 2015 the sole noteholder exercised its option in accordance with Condition 8.3. (Optional redemption in whole or in part) for the early repayment of all securitised notes):


2009 230,000,000 (23,262,798) 206,737,2022010 206,737,202 (24,652,757) 182,084,4452011 182,084,445 (26,102,976) 155,981,4692012 155,981,469 (27,647,380) 128,334,0892013 128,334,089 (29,335,649) 98,998,4402014 98,998,440 (31,071,827) 67,926,6132015 67,926,613 (67,926,613) -


2015 2014

EUR EUR

Audit fee - 21,525 Issuer fee - 187 Agent bank fee - 71

- 21,783



188

23 Securitisation operations’ analysis (continuation) 16 – Caravela SME No. 2 Operation

As at 23 December, 2010 the Company performed the ‘Caravela SME No. 2” - this operation consisted on the acquisition of loans and advances to customers that are small and medium enterprises, in the total amount of 2,720,412,467 and the issued of securitised notes distributed in 3 Classes: Euro 1,260,000,000 Class A, Euro 1,080,000,000 Class B, Euro 37,300,000 Class C and 363,778,467 Residual Variable Funding Notes. The 4 Classes were issued at par. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class are the following:

Fitch DBRS

Class A A - AAClass B - -Class C - -

In accordance with the contract the initial reimbursement occurred in 2010 and the final maturity date established was 23 December, 2020. As at 24 February 2014, as result of the exercise of the option established in Condition 6.5 (Optional redemption in whole), occurred the early reimbursement of all notes in 24 February, 2014. However the total settlement of the operation occurred during 2015. The Income Statement is presented in reference to 24 February, 2014. The interest on the Class A Notes and Class B Notes was payable at a rate equal to Euribor 1 month plus a margin of 1% for the Class A, 1.1% for the Class B and 1.1% for the Class C. The Residual Variable Funding Notes did not bear interest but were entitled to the Class C Distribution Amount to the extent of available funds. In accordance with the contract, notes interest (including capital reimbursement) depends on the assets’ performance, which means that any default on these would be fully reflected in the first ones. The loans given were equal to reimbursement capital instalments and interest payment and other amounts to be paid in accordance with the loans and advances to small and medium enterprises. Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



189




Caravela SME nº 2Class A-Notes December 2020 - EUR 1 M + 1% - -

Class B-Notes December 2020 - EUR 1 M + 1.1% - -

The balance Securitisation Notes – ‘Caravela SME No. 2’ referred to the securitisation notes book value, resulting from that Operation. This issue was comprised by three securitisation notes (‘Class A Notes’, ‘Class B Notes’ and ‘Class C Notes’) with variable income of Euribor 1 months plus spread of 1%, 1.1% and 1.1%, respectively and a forth securitisation note (‘Residual Variable Funding Notes’), for which the interest was the difference between receivables amounts and payable amounts to the Class A and Class B and Class C. Monthly, securitised loans’ interest received was calculated and transferred to the Company. This amount, net from expenses, was fully paid to the debt securities owners.



190


The financial statements of Caravela SME No. 2 Operation for the years ended 31 December, 2015 and 2014 are presented as follows:


Interest income 16.1 - 16,850,708 Interest expense 16.1 - (16,352,194)

Net interest income 16.1 - 498,514

Net gains / (losses) arising from financialliabilities at fair value through profit or loss 16.2 - 1,655,324 Other administrative costs 16.3 - (498,514)

Total operating income /(expense) - 1,156,810

Loans impairment 16.4 - (1,655,324)



Income taxes - -




Cavarela SME No. 2



191



Assets


16.5 - 20,085

Total Assets - 20,085

Liabilities

Debt securities issued 16.6 - 7,785 Other liabilities 16.7 - 12,300

Total Liabilities - 20,085

Equity


Total Equity - -

Total do Equity and Liabilities - 20,085


Cavarela SME No. 2




192


2015 2014EUR EUR





Receivables:

Client loans - 2,546,047,772 Interest income - 19,235,210

- 2,565,282,982

Payments:


- (427,646,016)

Cash flows arising from investing activities - 2,137,636,966


Receivables:


- 506,307,359 Payments:

Debt securities issued - (3,103,307,359)Interest expense (7,785) (44,471,280)

(7,785) (3,147,778,639)

Cash flows arising from financing activities (7,785) (2,641,471,280)

Net changes in cash and equivalents (20,085) (504,408,480)

20,085 504,428,565

- 20,085

- 20,085






Cavarela SME No. 2



193



2015 2014EUR EUR

Interest income

Interest on loans and advances to customers - 16,848,196 Interest on deposits - 2,512

- 16,850,708

Interest expense

Interest on debt securities issued - (16,352,194)

- (16,352,194)

Net interest income - 498,514


2015 2014EUR EUR


Financial assets held-for-trading - Swaps - -Other gains arising from financial operations - 1,655,324

- 1,655,324



- -


- 1,655,324



194


2015 2014EUR EUR

Audit fee - (12,300)Service fee - (342,073)Issuer fee - (39,719)Agent bank fee - (2,831)Transaction Manager - (19,838)Rating Agency fee - (33,935)Legal fee - (24,293)Euronext - (111)Interbolsa - (22,516)Paying Agent Fee - (898)

- (498,514)


2015 2014EUR EUR

Loans to customers:

Charge for the year - (1,655,324)Write-back for the year - -

- (1,655,324)



195



2015 2014EUR EUR

Deposits repayable on demand - 20,085 Cash Reserve - -

- 20,085

The balance Deposits repayable on demand in Caravela SME No. 2 Operation concerns to a deposit in Deutsche Bank, AG – London.


2015 2014

EUR EUR

Accrued interest - 7,785

- 7,785


2015 2014

EUR EUR

Audit fee - 12,300

- 12,300



196

23 Securitisation operations’ analysis (continuation) 17 - Operation Aqua Finance No. 3

As at 30 June, 2009 the Company performed the ‘Aqua Finance No. 3’ Operation - this operation consisted on the acquisition of consumer and finance lease transactions portfolio of Finicrédito, S.A and the issue of securitised notes distributed in 3 Classes: Euro 110,020,000 Class A, Euro 96,980,000 Class B and Euro 6,210,000 Class C. The issue price of all securitised notes is 100% of their principal amount. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). The ratings of each class are the following:

S&P

Class A AAAClass B -Class C -

In accordance with the contract the initial reimbursement occurred as at August, 2012 and the final maturity was established to December 2023. As at 24 March 2014, as result of the exercise of the option established in Condition 8.8.3. (Optional redemption in whole), occurred the early reimbursement of all bonds. The Income Statement is presented in reference to 24 March, 2014. The interest on the Class A Notes was payable at a fixed rate equal to 5% and Class B Notes was payable at a fixed rate equal to 5.75%. The Class C Notes didn’t have a remuneration defined, so the interest was the difference between received amounts and paid amounts to the Class A and Class B. The loans and advances acquired were equal to capital’s reimbursement and interest payment and other amounts to be paid.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses will be transferred exclusively to the note holders.



197




Aqua Finance nº 3Class A-Notes December, 2023 - Fixed - -

Class B-Notes December, 2023 - Fixed - -

The balance Securitisation Notes – Aqua Finance No. 3 referred to the securitisation notes book value, resulting from that Operation. This issue was comprised by two securitisation notes (‘Class A Notes’ and ‘Class B Notes’) with fixed income of 5% and 5.75%, respectively and a third securitisation note (‘Class C Notes’), for which the interest will be the difference between received amounts and paid amounts to the Class A and Class B. Monthly, securitised loans’ interest received was calculated and transferred to the Company. This amount was fully paid to the debt securities owners.



198


The financial statements of Aqua Finance Operation for the year ended 31 December, 2015 and 2014 is presented as follows:

Aqua Finance nº 3


Interest income 17.1 - 2,070,115 Interest expense 17.1 - (4,334,454)

Net interest income 17.1 - (2,264,339)

Net gains / (losses) arising from financialliabilities at fair value through profit or loss 17.2 - (3,645,275)Other administrative costs 17.3 - (40,284)

Total operating income /(expense) - (3,685,559)

Loans impairment 17.4 - 5,949,898



Income taxes - -






199


2015 2014EUR EUR


Other receivables /(payments) associatedwith the operating activities - (90,046)

Cash flows arising from operating activities - (90,046)


Receivables:

Client loans - 108,794,902 Interest income - 2,406,083

- 111,200,985

Cash flows arising from investing activities - 111,200,985


Payments:

Debt securities issued - (117,706,041)Interest expense - (4,887,503)

- (122,593,544)

Cash flows arising from financing activities - (122,593,544)

Net changes in cash and equivalents - (11,482,605)

- 11,482,605

- -


Aqua Finance nº 3






200


2015 2014EUR EUR

Interest income

Interest on loans and advances to customers - 2,069,803 Interest on deposits - 312

- 2,070,115

Interest expense

Interest on debt securities issued - (4,334,454)

- (4,334,454)

Net interest income - (2,264,339)

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

2015 2014EUR EUR


Financial assets held-for-trading - Swaps - -Other gains arising from financial operations - -

- -


Financial liabilities held-for-trading - Swaps - -Other losses arising from financial operations - (3,645,275)

- (3,645,275)


- (3,645,275)



201



2015 2014EUR EUR

Audit fee - 20,910 Service fee - (53,019)Issuer fee - (6,095)Agent bank fee - (2,080)

- (40,284)

The audit fees for the year 2014 were paid by the Originator of the Operation.


2015 2014EUR EUR

Loans to customers:

Charge for the year - -Write-back for the year - 5,949,898

- 5,949,898



202

23 Securitisation operations’ analysis (continuation) 18 – Magma No.1 Securitisation Notes Operation

As at 30 de December, 2008 the Company performed the ‘Magma No. 1 Securitisation Notes’ –Operation – this operation consisted on the acquisition of future loans and advances to customers over income from Sonaecom – Serviços de Comunicações S.A. (telephone, mobile and fixed services) and the issue of securitised notes in the amount of Euro 100,000,000. These notes were subject to a private placement and subsequently registered with the ‘Comissão do Mercado de Valores Mobiliários’ (CMVM). Following the acquisition mentioned in the above paragraph, the company issued the ‘Magma No. 1 Securitisation Notes’ with nominal value equal to the acquisition of loans and advances to customers. The notes bear interest at a rate equal to Euribor 3 months plus spread of 3.50%. In accordance with the contract the notes reimbursement date started at 27 March, 2009 and the final reimbursement of notes, as well as the ending of the Operation, occurred as at 27 December, 2013. However the total settlement of the Operation occurred during 2014.

Impairment The Company performs, on a periodic basis, the evaluation of the impairment of assets portfolio not yet due and overdue, taking into account the type of credit granted, existing guarantees, the seniority and behaviour of overdue loans and the average impairment of similar Originator’s loan portfolio. Impairment losses of securitised assets, or any other facts related with the Operation could lead to a funds’ deficit for liquidation of notes principal and interest. These losses were carried out exclusively by the note holders.



Magma nº 1Securitisation Notes December, 2013 - EUR 3M + 3.50% - -

The balance Securitisation Notes – ‘Magma No. 1 Securitisation Notes’ referred to the securitisation notes book value, resulting from that Operation. This issue related only to notes with variable income of Euribor 3 months plus spread of 3.50%. Quarterly, securitised loans interests received were calculated and transferred to the Company. This amount was fully paid to the debt securities owners.



203


The financial statements of Magma Operation for the years ended 31 December, 2015 and 2014 are presented as follows:

2015 2014EUR EUR


Other receivables /(payments) associatedwith the operating activities - (2,510)

Cash flows arising from operating activities - (2,510)


Receivables:

Client loans - - Interest income - -

- -

Cash flows arising from investing activities - -


Payments:

Other loans - - Debt securities issued - - Interest expense - -

- -

Cash flows arising from financing activities - -

Net changes in cash and equivalents - (2,510)

- 2,510

- -

- -


Magma No. 1 Securitisation Notes





KPMG & Associados - Sociedade de Revisores Oficiais de Contas, S.A. Edifício Monumental Av. Praia da Vitória, 71 - A, 11º 1069-006 Lisboa Portugal

Telephone: +351 210 110 000 Fax: +351 210 110 121 Internet: www.kpmg.pt

KPMG & Associados – Sociedade de Revisores Oficiais de Contas, S.A., a Portuguese company and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative ("KPMG International"), a Swiss entity.

KPMG & Associados - S.R.O.C., S.A. Capital Social: 3.916.000 Euros - Pessoa Colectiva Nº PT 502 161 078 - Inscrito na O.R.O.C. Nº 189 - Inscrito na C.M.V.M. Nº 20161489

Matriculada na Conservatória do registo Comercial de Lisboa sob o PT 502 161 078

STATUTORY AUDIT OPINION AND AUDITORS’ REPORT (this report is a free translation to English from the Portuguese version)

Introduction

1. In accordance with the applicable legislation, we present our Statutory Audit Opinion and Auditors’ Report on the financial information included in the Annual Report of the Board of Directors and in the accompanying financial statements for the year ended 31 December 2015, of Tagus – Sociedade de Titularização de Créditos, S.A., which comprise the Financial Position Statement as at 31 December 2015 (showing total assets of Euro 10,557,384,948 and total equity of Euro 3,324,083, including a profit for the year of Euro 508,348), the Statements of Income, of Comprehensive income, of Cash Flows and of Changes in Equity for the year then ended and the corresponding Notes to the accounts.

Responsibilities

2. The Board of Directors is responsible for:

a) the preparation of financial statements in accordance with the International Financial Reporting Standards as endorsed by the European Union, that truly and fairly reflect the financial position of the Company, the result of its operations, the changes in equity and cash flows;

b) the preparation of historical financial information in accordance with the International Financial Reporting Standards which is complete, true, current, clear, objective and lawful as required by the Stock Exchange Code (‘Código dos Valores Mobiliários’);

c) the adoption of adequate accounting policies and criteria, for Credit Securitisation Companies;

d) maintaining an appropriate system of internal control; and

e) the communication of any relevant fact that may have influenced the activity of the Company, its financial position or results.

3. Our responsibility is to verify the financial information included in the above referred documents, namely as to whether it is complete, true, current, clear, objective and lawful as required by the Código dos Valores Mobiliários, in order to issue a professional and independent report based on our audit.

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Scope

4. Our audit was performed in accordance with the Technical Standards, and Guidelines issued by the Portuguese Institute of Statutory Auditors (‘Ordem dos Revisores Oficiais de Contas’), which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatements. Accordingly our audit included: - verification, on a test basis, of the information underlying the figures and its disclosures

contained therein, and an assessment of the estimates, based on the judgements and criteria defined by the Board of Directors, used in the preparation of the referred financial statements;

- assessment of the appropriateness of the accounting policies used and of their disclosure, taking into account the circumstances applicable;

- verification of the application of the going concern principle; - assessment of the appropriateness of the overall presentation of the financial

statements; and - assessment of whether the financial information, is complete, true, current, clear,

objective and lawful.

5. Our review also included the verification that the financial information contained in the Annual Report of the Board of Directors is consistent with the financial statements presented and with the requirements of paragraph 4 and 5 of the Article 451 of ‘Código das Sociedades Comerciais’.

6. We believe that our audit provides a reasonable basis for our opinion.

Opinion

7. In our opinion, the financial statements referred to above present fairly in all material respects the financial position of Tagus – Sociedade de Titularização de Créditos, S.A.as at 31 December 2015, the results of its operation, its comprehensive income, its cash flows and changes in equity for the year then ended in accordance with the International Financial Reporting Standards as endorsed by the European Union, and the information contained therein is complete, true, current, clear, objective and lawful.

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Report on other legal requirements

8. Additionally, in our opinion, the information included in the Management’s Report is in compliance with the financial information for the year then ended and the report of corporate governance in accordance with the requirements Article 245-A of the Stock Exchange Code.

Lisbon, March 29, 2016

_______________________________________________________ KPMG & Associados Sociedade de Revisores Oficiais de Contas, S.A. (SROC no. 189) represented by Vitor Manuel da Cunha Ribeirinho (ROC no. 1081)

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

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