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

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

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TAGUS - STC, S.A.

Sociedade Titularização de Créditos

Annual Report 2018


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Management Report

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

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

Créditos, SA (“Company” or “Tagus STC, S.A.”) for the year ending the 31 December 2018.

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

ending 31 December 2018 have been prepared according the International Financial Reporting

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

The entity’s activity is regulated under the Decree 453/99, the later clearly defines that each

operation must comply with indpendent patrimony, meaning that each asset must correspond

with the related liability. The entity patrimony cannot be apllied to any of the operations.

In view of the derecognition rules laid out in IFRS, the transactions being managed, despite

their nature and characteristics, continue to be included in the Company's Balance Sheet since,

in accordance with Portuguese law, the Company is ultimately responsible for any events

related to these transactions, which impedes their derecognition.

1. Establishment and Corporate Purpose

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

exercise of activities permitted by law to securitization companies through the acquisition,

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

receivables.

2. Business Activity

On February 16, 2018 the Company made the final redemption of the Operation “ Volta II

Electricity Receivables Securitisation Notes”.

On June 27, 2018 the Company carried out the Operation “ Volta VI Electricity Receivables

Securitisation Notes”.

On October 15, 2018 the Company redeemed in advance both “ Aqua NPL Securitisation

Notes” and “BBVA RMBS Securitisation Notes”.

On October 17, 2018 the Company redeemed in advance th efollowing Operation “ Lusitano

Finance number 3 Securitisation Notes”.

3. Operações de titularização a 31 de Dezembro de 2018

The amounts of debt securities issued by each of the operation managed by Tagus STC, as of

December 31, 2018, were as follows:


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4. Equity

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

December 2018 the Company's share capital of €250,000 (two hundred and fifty thousand

euros) was fully paid up. The shareholder Deutsche Bank Aktiengesellschaft made

supplementary capital contributions to the Company totaling €2,397,040 (two million, three

hundred and ninety seven and forty euros) and subordinated supplementary contributions

totaling €10,689,553 (ten million, six hundred and eighty nine thousand, five hundred and fifty

three euros).

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

repayment with authorization from the Portuguese Securities Market Commission, and were

made by the sole shareholder with annual remuneration based on results subject to shareholder

distribution and generated in the reference year of the remuneration, at an interest rate

corresponding to the 12-month Euribor plus 3%. Interest will be paid annually.


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

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

requirements of CMVM Regulation no. 12/2002 of 18 July.

5. Main indicators

Regarding the main indicators, the entity presented a total decrease of the Balance Sheet on the

amount of €1,483 million. In addition, on mortgage securitisation operations the entity suffered

a €1 billion impact, related to the advanced maturity date of the operation BBVA RMBS. The

remaining decrease can be justified the normal portfolio amortisation.

In operations where the underlying asset is consumer credit, a decreased of €37 million was

registered. Additionally, the payment of €59 million on the operation Lusitano Finance that

reached maturity and the usual amortisation of the portfolio (€91 million), were compensate by

the valorisation of the operation Chaves Funding nº7 by €119 million.

Moreover, a slight decrease in Receivables can be justified by the operation Volta II and Aqua

NPL reaching maturity. The new operation, Volta VI slightly mitigated the negative trend.

The decrease in the Net Interest Income, results from the BBVA operation maturity, which is

considered as interest income, and represented €92 million.

The Operating Income increased to €82 million, due to the explained above, decrease in Net

Interest Income and in contrast, the result from the liquidation of the operation BBVA RMBS.

Impairment decreased, €2 million, where the most significant variation were from the

operation Nostrum Mortgage (decreased €8 million) and due to the adoption of IFRS9, which

represented an increase of €8 million.

Net Income decreased by €9,722, presenting a result of €516 thousands.

The impairment of each of the operations, presents the following evolution 2017/2018

(impairments/total portfolio):


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Mortgage securitisation operation present an increase in the impairment ratios, resulting to

IFRS 9 implementation.

6. Prospects for 2019

In 2019, the Company will strengthen its business portfolio in the Portuguese securitization

market, even though the domestic and international backdrop does not anticipate a major

recovery in the Sector.

7. Risk management

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

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

relationship between the level of capital and the activities undertaken, ensuring a proper

assessment of the risk/return ratio of the different business lines.

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

operational risk. Operational risk is defined as potential losses resulting from failures or

shortcomings in internal processes, persons or systems, or from outside events.

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

practices that ensure an efficient management of operational risk. By defining and documenting

these principles and implementing corresponding control mechanisms. Such mechanisms are

segregation of job duties, lines of responsibility and respective authorizations, limits to

exposure, codes of ethics and conduct, key indicators, information technology controls,

contingency plans, physical and logical access, reconciliation activities, exception reports and

company training on processes, products and systems.

8. Corporate Governance Practices and Structure

The Company is fully owned by Deutsche Bank Aktiengesellschaft.

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

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

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

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


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

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

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

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

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

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

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

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

with International Financial Reporting Standards.

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

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

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

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

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

association.

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

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

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

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

Board of Directors

Chairman Bernardo Luis de Lima Mascarenhas Meyrelles do Souto

Member Jerome David Beadle

Member José Francisco Gonçalves de Arantes e Oliveira

General Meeting of Shareholders

Chairman of the Presiding Board Hugo Moredo Santos

Secretary Tiago Correia Moreira

Audit Committee

Chairman of the Audit Committee Leonardo Bandeira de Melo Mathias

Member Pedro António Barata Noronha de Paiva Couceiro

Member João Alexandre Marques de Castro Moutinho Barbosa

Substitute Member Catarina Isabel Lopes Antunes Ribeiro

Company Secretary Elisa Maria Seara Lucas Vaz


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

Shareholders with at least one-tenth, one third or half of share capital on 31 December 2018:

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

capital and voting rights.

10. Profit Allocation proposal

In 2018, Tagus STC, S.A. had a gross profit of €666,086, together with €149,869 in taxes payable

pursuant to applicable legislation.

The net profit was thus €516,217, which, in accordance with the law and articles of association, will be

allocated as follows:

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

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Balance Sheet as at 31st December 2018 and 2017

Total Operations Tagus Total

Notes 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 9 346,562,958 447,169,288 15,014,685 14,606,543 361,577,644 461,775,830

Balances due from other Credit Institutions 10 27,319,072 28,412,205 - - 27,319,072 28,412,205

Loans and advances to customers 11 7,709,823,400 9,116,501,795 - - 7,709,823,400 9,116,501,795

Intangible assets 12 - - - - - -

Other assets 13 28,316,353 3,845,680 136,812 116,207 28,453,165 3,961,888

Total Assets 8,112,021,784 9,595,928,969 15,151,497 14,722,750 8,127,173,281 9,610,651,718

Liabilities

Financial liabilities held for trading 14 40,287,379 48,408,316 - - 40,287,379 48,408,316

Debt securities issued 15 8,041,071,932 9,515,666,756 - - 8,041,071,932 9,515,666,756

Other financial liabilities 16 - - 11,012,586 10,935,334 11,012,586 10,935,334

Other liabilities 17 30,662,473 31,853,896 669,456 309,178 31,331,929 32,163,074

Total Liabilities 8,112,021,784 9,595,928,969 11,682,042 11,244,512 8,123,703,826 9,607,173,481

Equity

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

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

Reserves and retained earnings 19 - - 306,198 305,257 306,198 305,257

Net income for the period - - 516,217 525,940 516,217 525,940

Total Equity - - 3,469,455 3,478,238 3,469,455 3,478,238

Total Equity and Liabilities 8,112,021,784 9,595,928,969 15,151,497 14,722,750 8,127,173,281 9,610,651,718

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


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Income Statement

as at 31st December 2018 and 2017


Notes 2018 2017 2018 2017 2018 2017

Interest and similar income 2 175,877,717 185,638,320 - - 175,877,717 185,638,320

Interest expense and similar charges 2 (239,004,396) (163,942,886) (305,340) (337,553) (239,309,737) (164,280,439)

Net interest income 2 (63,126,679) 21,695,434 (305,340) (337,553) (63,432,019) 21,357,881

Results from services and fees 3 - - 1,321,603 1,298,972 1,321,603 1,298,972

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

value through profit or loss4 96,496,010 14,305,238 - - 96,496,010 14,305,238

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

General and administrative costs 6 (13,175,459) (13,057,828) (338,146) (270,757) (13,513,605) (13,328,585)

Impairment losses on loans, net of reversals and recoveries 7 (20,193,872) (22,942,844) - - (20,193,872) (22,942,844)

Income before income tax - - 666,087 678,633 666,087 678,633

Income tax 8 - - (149,870) (152,692) (149,870) (152,692)

Net income for the period - - 516,217 525,940 516,217 525,940



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2018 2017 2018 2017 2018 2017

Operating activities

Other receivables / (payments) associated with the operating activities (11,142,333) (12,962,660) 1,161,167 864,351 (9,981,166) (12,098,308)

Cash flows arising from operating activities (11,142,333) (12,962,660) 1,161,167 864,351 (9,981,166) (12,098,308)

Investing activities

Receivables:

Client loans 1,986,953,819 1,474,526,829 - - 1,986,953,819 1,474,526,829

Interest income 236,491,519 235,350,218 - - 236,491,519 235,350,218

Payments

Loan portfolio acquisition (649,819,131) (1,125,216,351) - - (649,819,131) (1,125,216,351)

Financial Investments - - - - - -

Cash flows arising from investing activities 1,573,626,206 584,660,696 - - 1,573,626,206 584,660,696

Financing activities

Receivables:

Debt securities issued 772,890,142 882,221,158 - - 772,890,142 882,221,158

Payments

Debt securities issued (2,161,862,911) (1,367,099,631) - - (2,161,862,911) (1,367,099,631)

Interest expense (271,617,433) (189,374,557) (228,024) (617,226) (271,845,457) (189,991,783)

Other equity instruments - - (525,000) (620,000) (525,000) (620,000)

Cash flows arising from financing activities (1,660,590,202) (674,253,030) (753,024) (1,237,226) (1,661,343,227) (675,490,256)

Net changes in cash and cash equivalents (98,106,329) (102,554,993) 408,142 (372,874) (97,698,187) (102,927,867)

Cash and Cash equivalents balance at the beggining of the year 447,169,289 549,724,281 14,606,543 14,979,417 461,775,832 564,703,697

Cash and Cash equivalents balance at the end of the year 349,062,958 447,169,288 15,014,685 14,606,543 364,077,644 461,775,830

Deposits at other Credit Institutions 346,562,958 447,169,288 15,014,685 14,606,543 361,577,644 461,775,830

Cash Flow Statement

for the periods ended at 31st December 2018 and 2017


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


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Statement of Changes in Equity

for the year ended at 31st December 2018 and 2017

Other

Total Share Equity Legal Retained Net income

Notas Equity Capital instruments Reserve earnings for the year

Balance as at 31st December 2016 18 / 19 3,572,297 250,000 2,397,040 198,853 28,190 698,214

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

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

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

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


Legal Reserve - - - - - -

Retained earnings - - - - 940 (940)

Dividends (525,000) - - - - (525,000)

Net income for the period 516,217 - - - - 516,217




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Statement of Comprehensive Income

for the years ended at 31st December 2018 and 2017

2018 2017

Other comprehensive income for the year - -

Net income for the year 516,217 525,940

Total comprehensive income for the year 516,217 525,940



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Index

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

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

1.2. Financial instruments .................................................................................................... 19

1.3. Loans and advances to costumers ................................................................................. 21

1.4. Derecognition ................................................................................................................ 23

1.5. Reclassification between financial instrument categories ............................................ 23

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

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

1.8. Recognition of income from services and fees ............................................................. 24

1.9. Net gains/ (losses) arising from financial assets and liabilities at fair value ................ 24

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

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

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

1.13. Taxes on profits .......................................................................................................... 25

1.14. Reporting by segments ................................................................................................ 25

1.15. Provisions .................................................................................................................... 26

1.16. Accounting estimates in the use of accounting policies ............................................. 26

1.17. New standards ............................................................................................................. 27

2 Net interest income ............................................................................................................... 30

3 Results from services and fees ............................................................................................. 31

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

loss ........................................................................................................................................... 32

5 Staff cost ............................................................................................................................... 32

6 General and administrative costs .......................................................................................... 33

7 Impairment losses on loans, net of reversals and recoveries ................................................ 33

8 Income Tax ........................................................................................................................... 34

9 Deposits at other Credit Institutions ..................................................................................... 34

10 Balances due from other Credit Institutions ....................................................................... 35

11 Loans and advances to customers ....................................................................................... 35

12 Intangible Assets ................................................................................................................ 36

13 Other Assets ....................................................................................................................... 36

14 Financial liabilities held for trading .................................................................................... 37

15 Debt Securities Issued ........................................................................................................ 37

16 Other financial liabilities .................................................................................................... 38

17 Other Liabilities .................................................................................................................. 39

18 Share Capital and other equity instruments ........................................................................ 40


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19 Reserve and retained earnings ............................................................................................ 41

20 Off-balance sheet elements ................................................................................................. 42

21 Fair Value ........................................................................................................................... 42

22 Related Parties .................................................................................................................... 43

23 Risk Management ............................................................................................................... 43

24 Subsequent Events .............................................................................................................. 49

25 Detailed analysis of transactions ........................................................................................ 49

1 Aqua Finance No.4 ........................................................................................................... 65

1.1 Net interest income..................................................................................................... 69

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

profit or loss ..................................................................................................................... 69

1.3 General and administrative costs ................................................................................ 70

1.4 Impairment losses on loans, net of reversals and recoveries ...................................... 70

1.5 Deposits at other Credit Institutions ........................................................................... 70

1.6 Loans and advances to customers .............................................................................. 71

1.7 Other Assets ............................................................................................................... 71

1.8 Debt securities issued ................................................................................................. 72

1.9 Other liabilities ........................................................................................................... 72

2 Aqua Mortgage No. 1 ....................................................................................................... 73



profit and loss ................................................................................................................... 77





2.7 Other assets ................................................................................................................ 79



2.10 Off-balance sheet accounts ....................................................................................... 81

3 Aqua NPL No. 1 ............................................................................................................... 81







4 BBVA Portugal RMBS no.1 ............................................................................................. 87


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4.2 Net gains/ (losses) arising from financial assets and liabilities at fair value .............. 91







4.9 Off-balance sheet accounts ......................................................................................... 94

5 Castilho Mortgages No.1 .................................................................................................. 94


5.2 Net gains/ (losses) arising from financial assets and liabilities at fair value .............. 99

5.3 General and administrative costs .............................................................................. 100

5.4 Impairment losses on loans, net of reversals and recoveries .................................... 100

5.5 Deposits at other Credit Institutions ......................................................................... 100

5.6 Loans and advances to customers ............................................................................ 100

5.7 Other assets .............................................................................................................. 101

5.8 Debt securities issued ............................................................................................... 101

5.9 Other liabilities ......................................................................................................... 102

5.10 Off-balance sheet accounts ..................................................................................... 102

6 Chaves Funding No. 7 .................................................................................................... 103

6.1 Net interest income................................................................................................... 107

6.2 Net gains/ (losses) arising from financial assets and liabilities at fair value ............ 107




6.7 Other assets .............................................................................................................. 109

6.8 Financial liabilities held for trading ......................................................................... 110


6.10 Other liabilities ....................................................................................................... 110


7 Lusitano Finance No. 3 ................................................................................................... 111







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7.7 Other assets .............................................................................................................. 117


7.9 Other liabilites .......................................................................................................... 118


8 Pelican Finance No. 1 ..................................................................................................... 119






8.7 Other assets .............................................................................................................. 125


8.9. Other liabilities ........................................................................................................ 126

9 Nostrum Mortgages No. 2............................................................................................... 127






9.6 Balances due from other credit institutions .............................................................. 133


9.8 Financial Liabilities held for trading ........................................................................ 134




10 Silk Finance No. 4 ........................................................................................................ 136

10.1 Net interest income................................................................................................. 140

10.2 Net gains/ (losses) arising from financial assets and liabilities at fair value: ......... 140

10.3 General and administrative costs ............................................................................ 141

10.4 Impairment losses on loans, net of reversals and recoveries .................................. 141

10.5 Deposits at other Credit Institutions ....................................................................... 141

10.6 Loans and advances to customers .......................................................................... 142

10.7 Other assets ............................................................................................................ 142

10.8 Debt securities issued ............................................................................................. 143


10.10 Off-balance sheet accounts ................................................................................... 143

11 CMEC Volta Electricity Receivables Notes ................................................................. 144


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12 EnergyOn No. 1 Securitisation Notes ........................................................................... 149


12.2 Net gains/ (losses) arising from financial assets and liabilities at fair value .......... 154



12.5. Deposits at other credit institutions ....................................................................... 155


12.7 Other assets ............................................................................................................ 156

12.8 Financial liabilities held for trading ....................................................................... 156


12.10 Other liabilities ..................................................................................................... 157

12.11 Off-balance sheet account .................................................................................... 158

13 EnergyOn No. 2 Securitisation Notes ........................................................................... 158


13.2 Net gains/ (losses) arising from financial assets and liabilities at fair value .......... 162

13.3 General administrative costs .................................................................................. 163


13.6 Other assets ............................................................................................................ 164

13.7 Financial liabilities held for trading ....................................................................... 164



13.10 Off-balance sheet accounts ................................................................................... 165

14 Volta Electricity Receivables Notes ............................................................................. 165





14.5 Other assets ............................................................................................................ 171



15 Volta II Electricity Receivables Securitisation Notes ................................................... 173


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16 Volta III Electricity Receivables Notes ........................................................................ 179







17 Volta IV Electricity Receivables Securitisation Notes ................................................. 185


17.2 General and administrative cost ............................................................................. 189

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




18 Volta V Electricity Receivables Securitisation Notes ................................................... 191


18.2 General and administrative costs: .......................................................................... 195





19 Volta VI Electricity Receivables Securitisation Notes ................................................. 197








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Notes to the Financial Statements

31st December 2018 and 2017

1 Accounting policies 1.1. Basis of preparation

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

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

and by Decree Law no. 303/2003 of 05 December and amended by Decree Law no. 52/2006 of 15 March,

which govern securitisation companies.

The purpose of the Company is the exercise of activities permitted by law to securitisation companies,

namely carrying out securitisation transactions through the acquisition, management and transfer of

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

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

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

€5 each.

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

of 19 July 2002, transcribed into Portuguese legislation through Decree Law no. 35/2005 of 17 February

and CMVM Regulation no. 11/2005, the Company's financial statements must be prepared in accordance

with International Financial Reporting Standards ("IFRS") as endorsed by the European Union ("EU")

through 31st December 2018. The IFRS include standards issued by the International Accounting

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

Interpretations Committee ("IFRIC") and their respective predecessor boards. The financial statements

presented here were approved by the Board of Directors on the 20th of March 2019. The financial

statements are presented in euros.

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

31st December 2018 and 31st December 2017 have been prepared in accordance with the IFRS approved

by the EU and in effect on these dates.

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

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

assets and liabilities are recorded at amortised or historical cost.

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

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

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

are based on historical experience and other factors considered reasonable under the circumstances, and

form the basis for the judgements on the values of assets and liabilities whose valuation is not obvious

from other sources. Actual results may differ from estimates. The issues that require a higher degree of

judgement or complexity, or for which the assumptions and estimates are considered significant, are

presented in Note 1.16.

1.2. Financial instruments

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

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

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

in which case this date shall prevail.


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According to IFRS 9, financial assets classification follows three criteria:

The business model under which the financial assets are managed;

The type of financial instrument, i.e. (i) derivatives financial instruments, (ii) share capital

instruments or (iii) debt securities financial instruments; and

The cash flow characteristics of debt financial instruments (which carry only principal and

interest payments).

Financial assets are classified in one of the following categories:

Financial assets at amortised cost;

Fair value through other comprehensive income; or

Fair value through Profit and Loss.

Financial assets at amortised costs:

An asset is classified within this category if it meets the following conditions:

The objective of an entity’s business model is to hold the financial assets to collect contractual

cash flows; and

Its cash flows have to represent solely payments of principal and interests (SPPI).

Financial assets at amortised cost are initially recognised at fair value, plus transaction costs, and

subsequently measured at amortised cost. These assets are subject to the determination of impairment

losses in order to determine expected credit losses. Financial assets at amortised costs’ interest are

recognised in “Interest and similar income” using effective interest rate.

All gains and losses, generated in the moment they were derecognised, are registered in “Results of

derecognised financial assets and liabilities at amortised cost”.

Assets purchased in the context of securitisation are, by its Issuers, registered at amortised cost,

considering contractual cash flows (SPPI) and the latter business model.

The financial assets (such as Deposits at other credit institutions and Loand and advances to customers)

are measured at amortised cost by the entity, in accordance to the classification rules from IFRS 9.

Fair value through other comprehensive income:

An asset is classified within this category if it meets the following conditions:

The financial asset is held to achieve an objective by both collecting contractual cash flows and

selling financial assets.

Its cash flows have to represent solely payments of principal and interests (SPPI).

Debt instruments at fair value through other comprehensive income are recognised initially at fair value,

plus transactions costs, and subsequently measured at amortised cost.

Fair value variations are registered by counterpart of other comprehensive income and, at time of sale,

accumulated profits or losses in other comprehensive income are reclassified to earnings.

These assets are subject to the determination of impairment losses in order to determine expected credit

losses. Expected impairment losses are registered in “Results by counterpart of other comprehensive

income”.


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Financial assets at fair value through other comprehensive income’s interest, premiums or discounts are

registered in “Interest and similar income”.

Impairment is not recognised for equity instruments at fair value through other comprehensive income,

therefore, profit or loss registered in other comprehensive income are transferred to “Retained Earnings”

at derecognition.

Fair value through profit and loss:

A financial asset is classified within this category if the Company’s business model does not fulfil any

of the assets measured at amortised cost or at fair value through other comprehensive income.

These assets are recognised at fair value and, transactions costs are recognised in the P&L in the initial

recognition moment. Fair value variations are recognised in results. Interest and premium/ discount

accrual is registered in “Interest and similar income”, using an effective interest rate, the same happens

to the derivatives’ interest accrual. Dividends only registered in the P&L when the right to receive the

latter is issued.

Financial Liabilities:

Regarding financial liabilities measurements, IFRS 9 did not introduce significant changes when

comparing to the previous requirements. The only exception, is the alteration regarding the variations of

fair value of financial liabilities resulting from alteration of credit risk of the Company. When the latter

happens, the variation should be registered in Equity Capital, unless that the previously described

accounting exercise causes an “accounting mismatch”. Reclassification of these variation in the P&L is

not permitted, even when there is a repurchase of said financial liability.

Other financial liabilities are all the financial liabilities that are not registered in the category of financial

liabilities at fair value through profit or loss (financial liabilities held for trading). This category includes

debt securities issued and loans.

Interest originated from debt securities, are recognised using the effective interest rate of the financial

liability.

In the cases that there is an associated premium or discount, the latter are included in the effective interest

rate calculations.

Debt securities transactions reflect the difference between the book value of the assets and liabilities from

operations, i.e. every excess of results generated by the assets, will be paid by the debt security’s owner,

and every incapacity of payment will be the owners responsibility to pay in the transaction cancelation

date.

1.3. Loans and advances to costumers

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

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

the originators.

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

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

balance sheet minus impairment losses.


22

Impairment

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

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

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

in the estimated impairment loss in a subsequent period.

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

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

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

which may be reliably estimated.

The operation originators, according to the IFRS 9 requirements, report registered impairment. The

calculations follow the methodology and parameters of each originator.

IFRS 9 introduces the “expected credit loss” which is very different from the IAS 39’ incurred losses,

anticipating the recognition of credit loss in the financial statements of the institutions. IFRS 9 determines

that impairment based on expected losses, is to be applied in every financial assets except for financial

assets measured at fair value through profit and loss and equity capital instruments measured at fair value

through equity capital.

With the exception of financial assets acquired or originated with impairment (POCI – Purchased or

Originated Credit Impaired) losses due to impairment should be estimated through a provision with an

amount equal to:

• 12-month ECLs – expected loss due to 12-months credit risk, i.e., estimated total loss resulting

from the financial instrument default events which are possible to happened within a 12 month

period after being registered on Stage 1;

• Lifetime ECLs – estimate total loss based on every possible events of default that can happen

until the financial instrument reaches maturity (Stage 2 or Stage 3). A provision is required for

a financial instrument if the credit risk for the latter instrument has increased significantly since

its initial recognition or if the financial instrument is considered impaired.

(i) Individual analysis

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

per transaction.

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

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

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

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

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

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

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

its recovery and sale.

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

of credit risk, which are assessed collectively.

(ii) Collective analysis


23

When an expected loss due to credit risk is measured collectively, financial instruments should be

grouped by common risk characteristics, such as: types of instruments; types of clients; credit risk

attributed by rating systems; type of collateral; date of initial recognition; Loan-to-value ratio.

Impairment losses calculations incorporate scenarios that reflect current condition and forecasts about

future events and future economic conditions (forward looking information). Credit risk parameters used

to estimate impairment losses were estimated in order to include and consider the evolution of

macroeconomics that are related to the expected credit losses.

1.4. Derecognition

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

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

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

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

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

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

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

1.5. Reclassification between financial instrument categories

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

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

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

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

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

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

The Company did not carry out any reclassifications during the 2018 exercise.

1.6. Equity instruments

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

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

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

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

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

instruments are recorded in equity, net of transaction costs.

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

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

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

classified as financial liabilities.

1.7. Recognition of interest

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

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

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

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

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

net balance sheet value of the financial asset or liability.


24

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

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

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

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

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

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

future cash flows in measuring the impairment loss.

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

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

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

1.8. Recognition of income from services and fees

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

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

corresponding period;

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

is complete.

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

using the effective interest rate method under Net interest income.

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

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

changes in fair value and accrued interest from derivatives.

1.10. Intangible Assets

Software

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

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

assets' expected lifetime (3 years) sees.

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

Research and development expenses

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

1.11. Cash and cash equivalents

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

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

hand at credit institutions.

1.12. Offsetting

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

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

net value.


25

1.13. Taxes on profits

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

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

equity, which implies its recognition in equity.

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

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

adjustments to taxes from previous periods.

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

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

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

expected to apply when the temporary differences are reversed.

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

differences for tax purposes (including reportable tax losses).

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

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

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

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

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

and liabilities are expected to be settled or recovered.

1.14. Reporting by segments

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

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

which differ from other business segments.

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

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

as distinct segments of the Company. At 31st December 2018, these segments were as follows:

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

- Aqua Finance No. 4

- Aqua Mortgage No. 1;

- Aqua NPL No. 1;

- BBVA Portugal RMBS No. 1;

- Castilho Mortgages No 1;

- Chaves Funding No. 7;

- Lusitano Finance No. 3;

- Pelican Finance No. 1;

- Nostrum Mortgages No. 2;

- Silk Finance No. 4;

- CMEC Volta Electricity Receivables Notes;

- EnergyOn No. 1 Securitisation Notes;

- EnergyOn No. 2 Securitisation Notes;

- Volta Electricity Receivables Securitisation Notes;

- Volta II Electricity Receivables Securitisation Notes;

- Volta III Electricity Receivables Notes;

- Volta IV Electricity Receivables Securitisation Notes;

- Volta V Electricity Receivables Securitisation Notes;


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- Volta VI Electricity Receivables Securitisation Notes;

The details of each transaction is shown in note 25.

1.15. Provisions

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

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

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

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

reversed from results proportionally for payments which are not likely.

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

established.

1.16. Accounting estimates in the use of accounting policies

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

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

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

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

by the Company and their disclosure.

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

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

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

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

in all materially relevant aspects.

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

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

appropriate.

Impairment losses on Loans and advances to customers

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

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

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

Fair value of financial derivatives

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

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

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

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

estimating fair value.

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

could produce financial results differing from those reported.


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Taxes on profits

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

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

the normal business cycle.

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

year, both current and deferred.

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

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

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

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

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

1.17. New standards

In 2018, the Company adopted the following changes to standards becoming effective on 01st January

2018:

a) IFRS 15 (new), ‘Revenue from contracts with customers’. This new standard, applies only to

contracts with customers to provide goods or services, and requires an entity to recognise revenue when

the contractual obligation to deliver the goods or services is satisfied and by the amount that reflects the

consideration the entity is expected to be entitled to, following a five step approach.

b) Amendments to IFRS 15 ‘Revenue from contracts with customers’. These amendments refer

to additional guidance for determining the performance obligations in a contract, the timing of revenue

recognition from a license of intellectual property, the review of the indicators for principal versus agent

classification, and to new practical expedients to simplify transition.

c) IFRS 9 (new), ‘Financial instruments’. IFRS 9 replaces the guidance in IAS 39, regarding: (i)

the classification and measurement of financial assets and liabilities; (ii) the recognition of credit

impairment (through the expected credit losses model); and (iii) the hedge accounting requirements for

recognition and classification.

Classification and measurement:

No impact is expected on the classification and measurement of these financial instruments arising from

the adoption of IFRS 9.

Impairment

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

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

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

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

Impairment losses according to IFRS 9 are to disclosed by the servicers/ originators of the securitisation

operations, based on the model and parameters defined by each institution.

The company applied the new rules retrospectively as from January 1, 2018, in accordance with the

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


28

Adoption impacts were estimated and disclosed by the servicers/ originators of the operations. This

impact is the estimative of losses that will be incurred by the owners of the bonds issued by the

securitisation operations, according to the rules defined in the respective prospectuses. In the table below

are represented the impacts from the adoption of IFRS 9 for the operations that have as a securitised asset

a mortgage or a loan:

IFRS 9 impact

Aqua Finance No.4 308,379

Aqua Mortgage No. 1 1,557,280

Castilho Mortgages No 1 1,140,390

Chaves Funding No. 7 572,072

Pelican Finance No. 1 2,516,811

Nostrum Mortgages No. 2 1,513,834

Silk Finance No. 4 463,371

d) IFRS 4 (amendment), ‘Insurance contracts (Applying IFRS 4 with IFRS 9)’. This amendment

allows companies that issue insurance contracts the option to recognise in Other Comprehensive Income,

rather than Profit or Loss the volatility that could arise when IFRS 9 is applied before the new insurance

contract standard is issued. Additionally, an optional temporary exemption from applying IFRS 9 until

2021 is granted to companies whose activities are predominantly connected with insurance, being

applicable at the consolidated level.

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

This amendment clarifies the measurement basis for cash-settled share-based payments and the

accounting for modifications to a share-based payment plan that change the classification from cash-

settled to equity-settled. It also introduces an exception to the principles of IFRS 2 that will require an

award to be treated as if it was wholly equity-settled, where an employer is obliged to withhold an amount

for the employee’s tax obligation associated with a share-based payment and pay that amount to the tax

authority.

f) IAS 40 (amendment), ‘Transfers of Investment property’. This amendment clarifies when assets

are transferred to, or from investment properties, evidence of the change in use is required. A change of

management intention alone is not enough to support a transfer.

g) Annual Improvements 2014 – 2016.The 2014-2016 annual improvements impacts: IFRS 1,

IFRS 12 and IAS 28.

h) IFRIC 22 (new), ‘Foreign currency transactions and advance consideration’. An Interpretation

of IAS 21 ‘The effects of changes in foreign exchange rates’, it refers to the determination of the “date

of transaction” when an entity either pays or receives consideration in advance for foreign currency

denominated contracts. The date of transaction determines the exchange rate used to translate the foreign

currency transactions.

With the exception of IFRS 9, no other new standards had any significant impact on the financial

statements.

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

the accounting periods beginning on or after 1st January 2019, endorsed by the EU:

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

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

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

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


29

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

of IFRS 16 may be retrospective or retrospective modified.

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

periods beginning on or after 1st January 2019). The amendment introduces the possibility to classify

certain financial assets with negative compensation features at amortised cost, provided that specific

conditions are fulfilled, instead of being classified at fair value through profit or loss.

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

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

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

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

treatment by the tax authorities. In the event of uncertainty as to the position of the tax authority on a

specific transaction, the entity shall make its best estimate and record the income tax assets or liabilities

under IAS 12, and not under IAS 37 – ‘Provisions, contingent liabilities and contingent assets’, based on

the expected value or the most probable value. The application of IFRIC 23 may be retrospective or

retrospective modified.

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

periods beginning on or after 1st January 2019, but are not yet endorsed by the EU:

a) IAS 19 (amendment), Plan amendment, Curtailment or Settlement’ (effective for annual periods

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

Union. This amendment requires an entity to: i) use updated assumptions to determine the current service

cost and net interest for the remaining period after amendment, reduction or settlement of the plan; and

ii) recognize in the income statement as part of the cost of past services, or as a gain or loss in the

settlement, any reduction in the excess of coverage, even if the excess of coverage had not been

previously recognised, due to the impact of the asset ceiling. The impact on asset ceiling is recognised in

Other Comprehensive Income, not being allowed to recycle it through profit for the year.

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

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

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

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

measured through the equity method, are to be measured in accordance with IFRS 9. The long-term

investments in associates and joint ventures are subject to the expected credit loss impairment model,

prior to being added, for impairment test purposes, to the whole investment in associates and joint

ventures, when impairment indicators exist.

c) IFRS 3 (amendment), ‘Definition of a business (effective for annual periods beginning on or

after 1st January 2020). This amendment is still subject to endorsement by the European Union. The

amendment revises the definition of a business in order to account for business combinations. The new

definition requires that an acquisition include an input, as well as a substantial process that jointly

generate outputs. Outputs are now defined as goods and services rendered to customers, that generate

investment income and other income, and exclude returns as lower costs and other economic benefits for

shareholders. Optional ‘concentration tests’ for the assessment if one transaction is the acquisition of an

asset or a business combination, are allowed.

d) IAS 1 and IAS 8 (amendment), ‘Definition of material’ (effective for annual periods beginning

on or after 1st January 2020). This amendment is still subject to endorsement by the European Union.

The amendment revises the concept of material. Includes clarifications as to obscured information, its

effect being similar to the omission or distortion of information; and also clarifications as to the term

‘primary users of general purpose financial statements’, defined as ‘existing or potential investors,


30

lenders and other creditors’ that rely on general purpose financial statements to obtain a significant part

of the information that they need.

e) Annual Improvements 2015 - 2017, (generally effective for annual periods beginning on or

after 1st January 2019). These improvements are still subject to endorsement by the European Union.

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

f) Conceptual framework, ‘Amendments to references in other IFRS’ (effective for annual

periods beginning on or after 1st January 2020). These amendments are still subject to endorsement by

the European Union. As a result of the publication of the new Conceptual Framework, the IASB

introduced changes to the text of various standards and interpretations, like: IFRS 2, IFRS 3, IFRS 6,

IFRS 14, IAS 1, IAS 8, IAS 34, IAS 37, IAS 38, IFRIC 12, IFRIC 19, IFRIC 20, IFRIC 22, SIC 32, in

order to clarify the application of the new definitions of asset / liability and expense / income, in addition

to some of the characteristics of financial information. These amendments are retrospective, except if

impractical.

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

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

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

investment contracts with discretionary participation characteristics. IFRS 17 is based on the current

measurement of technical liabilities at each reporting date. The current measurement can be based on a

complete "building block approach" or "premium allocation approach". The recognition of the technical

margin is different depending on whether it is positive or negative. IFRS 17 is of retrospective

application.

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

are anticipated from adopting the above standards and interpretations.

2 Net interest income At 31st of December 2018 and 2017, this heading was made up as follow:

2018 2017

Description Total Operations Tagus Total Total Operations Tagus Total

Interest and similar income

Interest from loans and advances 209,214,089 - 209,214,089 206,518,035 - 206,518,035

Interest from deposits - - - - - -

Portfolio acquistion premium (33,336,371) - (33,336,371) (20,879,715) - (20,879,715)

175,877,717 - 175,877,717 185,638,320 - 185,638,320

Interest expense and similar charges

Interest from debt securities issued (258,766,406) - (258,766,406) (163,770,235) - (163,770,235)

Interest from deposits (780,263) (64) (780,327) (746,445) - (746,445)

Interest from other financial liabilities - (305,276) (305,276) - (337,553) (337,553)

Premium bond issue 20,542,272 - 20,542,272 573,793 - 573,793

(239,004,396) (305,340) (239,309,737) (163,942,886) (337,553) (164,280,439)

Net interest income (63,126,679) (305,340) (63,432,019) 21,695,434 (337,553) 21,357,881

The detail of each transaction is shown in note 25.


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3 Results from services and fees At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017

Description Total Operations Tagus Total Total Operations Tagus Total

Fee and Comission Income:

Management fees:

Aqua Mortgage No. 1 - 17,403 17,403 - 17,669 17,669

Aqua NPL No. 1 - 37,500 37,500 - 50,000 50,000

Aqua Finance No.4 - 70,208 70,208 - 37,528 37,528

BBVA Portugal RMBS No. 1 - 159,866 159,866 - 218,844 218,844

Castilho Mortgages No 1 - 195,773 195,773 - 204,667 204,667

Chaves Funding No. 7 - 68,750 68,750 - 35,000 35,000

Lusitano Finance No. 3 - 11,585 11,585 - 8,163 8,163

Pelican Finance No. 1 - 54,610 54,610 - 62,234 62,234

Nostrum Mortgages No. 2 - 270,469 270,469 - 292,988 292,988

Silk Finance No. 4 - 67,239 67,239 - 62,643 62,643

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

EnergyOn No. 1 Securitisation Notes - 65,399 65,399 - 67,903 67,903

EnergyOn No. 2 Securitisation Notes - 36,798 36,798 - 41,409 41,409

Volta Electricity Receivables Securitisation Notes - 173 173 - (70) (70)

Volta II Electricity Receivables Securitisation Notes - 620 620 - 25,898 25,898

Volta III Electricity Receivables Notes - 18,243 18,243 - 42,941 42,941

Volta IV Electricity Receivables Securitisation Notes - 59,577 59,577 - 81,155 81,155

Volta V Electricity Receivables Securitisation Notes - 88,498 88,498 - - -

Volta VI Electricity Receivables Securitisation Notes 48,893 48,893 -

Others - - - - - -

- 1,321,603 1,321,603 - 1,298,972 1,298,972


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

liabilities at fair value through profit or loss At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017

Total Operations Tagus Total Total Operations Tagus Total

Gains araising from financial assets and liabilities at fair value

through profit and loss

Financial assets held-for-trading - Swaps 44,913,316 - 44,913,316 51,453,103 - 51,453,103

Other gains araising financial operations 117,144,662 - 117,144,662 79,268,077 - 79,268,077

Losses araising frrom financial assets and liabilities at fair value

through profit and loss

Financial assets held-for-trading - Swaps (45,340,967) - (45,340,967) (72,343,033) - (72,343,033)

Other gains araising financial operations (20,221,001) - (20,221,001) (44,072,908) - (44,072,908)

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

fair value through profit or loss96,496,010 - 96,496,010 14,305,238 - 14,305,238

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

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

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

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


5 Staff cost At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


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

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

- (12,030) (12,030) - (12,030) (12,030)

The item "Remuneration", amounting € 10.000 (2017: € 10.000), refers to remuneration for the members

of the Audit Committee.

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

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

branch (note 6).


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6 General and administrative costs At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Judicial costs - (6,651) (6,651) - (7,416) (7,416)

Fees - (9,688) (9,688) - (12,651) (12,651)

Audit fee (368,058) (24,723) (392,781) (411,462) (37,291) (448,753)

Servicer Fee (9,594,317) - (9,594,317) (9,703,905) - (9,703,905)

Issuer fee (1,261,289) - (1,261,289) (1,334,113) - (1,334,113)

Agent bank fee (134,813) - (134,813) (155,196) - (155,196)

Irish stock exchange fee (4,059) - (4,059) (5,857) - (5,857)

Legal fee (159,376) - (159,376) (180,721) - (180,721)

Rating Agency fee (469,984) - (469,984) (440,446) - (440,446)

Transaction Manager (205,241) - (205,241) (98,642) - (98,642)

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

Euronext (16,427) - (16,427) (24,000) - (24,000)

Interbolsa (215,322) - (215,322) (226,633) - (226,633)

CMVM (141,965) (848) (142,813) (57,571) - (57,571)

Paying Agent fee (51,220) - (51,220) (58,441) - (58,441)

Other (553,387) (89,410) (642,796) (360,841) (6,571) (367,412)

(13,175,459) (338,146) (13,513,605) (13,057,828) (270,757) (13,328,585)

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

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

Company.

At 31st of December 2018, the item "Service Level Agreement" in the Tagus segment was €206.827

(2017: €206.827) for services provided by Deutsche Bank AG Portugal branch and by Navegator

SGFTC, S.A., respectively, under the Service Level Agreement.

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

of the Company's accounts and securitisation transactions.


7 Impairment losses on loans, net of reversals and recoveries At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Impairment losses (26,960,750) - (26,960,750) (30,080,193) - (30,080,193)

Reversals of impairment losses 6,766,878 - 6,766,878 7,137,350 - 7,137,350

(20,193,872) - (20,193,872) (22,942,844) - (22,942,844)


34

8 Income Tax In 2018 and 2017, the amount of income taxes paid, together with the tax burden, measured by the

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

follows:

2018 2017

Income taxes

For the period 149,870 152,692

Previous Years Corrections - -

Total Income Taxes 149,870 152,692

Income before taxes 666,087 678,633

CIT Rate 22.5% 22.5%

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

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

is analysed as follows:

2018 2017

Tax rate Value Tax rate Value

Income before taxes 666,087 678,633

Tax calculated based on current tax rate 21.0% 139,878 21.0% 142,513

Pour 1.5% 9,991 1.5% 10,179

Correction from previous years 0.0% 0 0.0% 0

Other 0.0% 0 0.0% 0

Tax charge 22.5% 149,870 22.5% 152,692

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

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

expiry date is that of the year of the reporting right (five years through the year 2012 and 2013, twelve

years for the years 2014, 2015 and 2016, and five years for 2017). As such, the Company's tax returns

for the years 2015 to 2018 (the latter not yet filled) may still be subject to revision.

9 Deposits at other Credit Institutions At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Deposits 184,311,539 15,014,685 199,326,224 190,600,977 14,606,543 205,207,520

Cash reserve 157,226,929 - 157,226,929 250,417,529 - 250,417,529

Liquidity Account 5,024,491 - 5,024,491 6,150,782 - 6,150,782

346,562,958 15,014,685 361,577,644 447,169,288 14,606,543 461,775,830

The item “Deposits repayable on demand- Tagus” corresponds to a deposit at Deutsche Bank AG-

Portugal branch in the amount of €15.041.685 (2017: €14.606.543).



35

10 Balances due from other Credit Institutions At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Deposits at other Credit Institutions 27,319,072 - 27,319,072 28,412,205 - 28,412,205

27,319,072 - 27,319,072 28,412,205 - 28,412,205

The balance of this account at 31st December 2018 corresponds to the margin account of Nostrum N.º2

transactions under the contractually agreed swap.


11 Loans and advances to customers At 31st of December 2018, this heading was made up as follows:

2018

Loans Overdue Loans Accrued Interest Overdue Interest Loans ImpairmentPortfolio acquisition

premiumTotal O perations Tagus Total

Aqua Finance No.4 170,274,234 1,392,779 372,628 95,685 (2,207,259) - 169,928,067 - 169,928,067

Aqua Mortgage No.1 99,695,858 289,884 38,106 60,766 (3,632,349) - 96,452,265 - 96,452,265

Aqua NPL No.1 - - - - - - - - -

BBVA Portugal RMBS no.1 - - - - - - - - -

Castilho Mortgages No.1 903,907,555 68,808 392,435 7,831 (1,821,659) 397,267 902,952,238 - 902,952,238

Chaves Funding No. 7 194,746,225 266,509 743,698 150,672 (3,701,831) - 192,205,272 - 192,205,272

CMEC Volta Electricity Receivables 9,534,414 - - - - 193,005 9,727,419 - 9,727,419

EnergyOn No.1 571,702,896 - - - - - 571,702,896 - 571,702,896

EnergyOn No.2 200,535,348 - - - - - 200,535,348 - 200,535,348

Lusitano Finance No.3 - - - - - - - - -

Nostrum Mortgage No.2 3,348,736,224 4,000,869 877,457 117,287 (7,391,731) - 3,346,340,105 - 3,346,340,105

Pelican Finance No.1 182,741,549 5,464,107 517,017 900,980 (10,586,500) - 179,037,153 - 179,037,153

Silk Finance No.4 605,189,775 4,858,963 1,273,753 193,623 (6,185,940) - 605,330,174 - 605,330,174

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

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

Volta III Electricity Receivables Securitisation Notes 10,811,006 - - - - 500,633 11,311,639 - 11,311,639

Volta IV Electricity Receivables Securitisation Notes 313,320,020 - - - - 2,141,552 315,461,572 - 315,461,572

Volta V Electricity Receivables Securitisation Notes 449,519,694 - - - - 10,269,111 459,788,806 - 459,788,806

Volta VI Electricity Receivables Securitisation Notes 641,068,818 - - - - 7,981,628 649,050,446 - 649,050,446

7,701,783,615 16,341,918 4,215,095 1,526,845 (35,527,270) 21,483,197 7,709,823,400 - 7,709,823,400

At 31st of December 2017, this heading was made up as follows:


36

2017

Loans Overdue Loans Accrued Interest Overdue Interest Loans ImpairmentPortfolio acquisition

premiumTotal O perations Tagus Total

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The breakdown of the loans impairment is as follows:

2018 2017

Loans impairment

Balance on 1 January (34,025,965) (33,908,608)

Impairment losses (26,960,750) (30,080,193)

Reversals of impairment losses 6,766,878 7,137,350

Loans written-off 18,692,567 22,825,486

Balance on 31 December (35,527,270) (34,025,965)

12 Intangible Assets At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Acquisition Cost

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

Accumulated depreciation

Depreciation for the year - - - - - -

Accumulated depreciation for the

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

- - - - - -

13 Other Assets At 31st of December 2018 and 2017, this heading was made up as follows:


37

2018 2017


Receivables 28,293,469 - 28,293,469 3,814,647 - 3,814,647

Up front fee 22,884 - 22,884 31,034 - 31,034

Issuer fee - 136,812 136,812 - 116,207 116,207

28,316,353 136,812 28,453,165 3,845,680 116,207 3,961,888

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

the servicers of Silk Finance N.º4 (€3.404.921) and from the servicers of Castilho Mortgages No.1

(€24.882.259).


14 Financial liabilities held for trading At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Swaps 40,287,379 - 40,287,379 48,408,316 - 48,408,316

40,287,379 - 40,287,379 48,408,316 - 48,408,316

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

as described in the accounting policy in note 1.2 and detailed by transaction in note 25.

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

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

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

Banco Santander, S.A.

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

The breakdown of "Financial liabilities held for trading" at 31st of December 2018 is as follows:

Notional with remaining term Fair Value


Swaps 4,347,692,527 - 4,347,692,527 39,516,126 - 39,516,126

4,347,692,527 - 4,347,692,527 39,516,126 - 39,516,126

The breakdown of "Financial liabilities held for trading" at 31st of December 2017 is as follows:

Notional with remaining term Fair Value


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

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


15 Debt Securities Issued At 31st of December 2018 and 2017, this heading was made up as follows:


38

2018 2017


Debt securities issued

Securitisation notes 8,050,559,816 - 8,050,559,816 9,531,957,923 - 9,531,957,923

Accrued interest 62,704,477 - 62,704,477 48,330,148 - 48,330,148

Issued notes Premium 932,784 - 932,784 22,666,216 - 22,666,216

Issued notes discount (2,480) - (2,480) (1,193,640) - (1,193,640)

Other (73,122,664) - (73,122,664) (86,093,891) - (86,093,891)

8,041,071,932 - 8,041,071,932 9,515,666,756 - 9,515,666,756

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

holders of the issued securities if the transaction ended on 31st of December 2018.

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

breakdown:

2018 2017

Maturity Total Operations Total Operations

Aqua Finance No.4 June 2035 199,821,219 200,074,685

Aqua Mortgage No.1 December 2063 100,971,287 115,931,205

Aqua NPL No.1 March 2025 - 3,745,088

BBVA Portugal RMBS no.1 December 2057 - 1,020,872,738

Castilho Mortgages No.1 October 2058 967,603,450 1,062,183,292

Chaves Funding No. 7 March 2035 197,985,696 78,175,609

Lusitano Finance No.3 October 2029 - 62,368,609

Pelican Finance No.1 December 2028 200,983,063 300,445,548

Nostrum Mortgage No.2 May 2065 3,482,956,728 3,751,923,917

Silk Finance No.4 January 2031 618,602,358 619,083,668

CMEC Volta Electricity Receivables February 2019 19,856,039 136,471,822

EnergyOn No.1 May 2025 571,523,798 659,273,513

EnergyOn No.2 May 2025 201,508,650 232,366,794

Volta Electricity Receivables Securitisation Notes February 2017 - 3,516

Volta II Electricity Receivables Securitisation Notes February 2018 - 35,113,356

Volta III Electricity Receivables Securitisation Notes February 2019 23,025,029 157,894,261

Volta IV Electricity Receivables Securitisation Notes February 2021 330,724,057 477,165,645

Volta V Electricity Receivables Securitisation Notes February 2022 473,705,355 602,573,488

Volta VI Electricity Receivables Securitisation Notes February 2022 651,805,202 -

8,041,071,932 9,515,666,756

Aqua NPL No.1, BBVA Portugal RMBS No.1 and Lusitano Finance No. 1 had an early pay off during

2018. All the operations were fully reimbursed.


16 Other financial liabilities At 31st of December 2018 and 2017, this heading was made up as follows:


39

Subordinated supplmementary capital 2018 2017

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 6,486 156,486 150,000 2,180 152,180

17/2009 Nov-2009 Nov-2019 E12M+3% 307,211 9,515 316,726 307,211 9,888 317,099

19/2010 Jul-2010 Jul-2020 E12M+3% 1,911,958 78,167 1,990,125 1,911,958 23,150 1,935,108

21/2010 Nov-2010 Nov-2020 E12M+3% 200,000 6,194 206,194 200,000 6,424 206,424

22/2010 Dez-2010 Dez-2020 E12M+3% 4,000,000 114,123 4,114,123 4,000,000 118,341 4,118,341

23/2011 Fev-2011 Fev-2021 E12M+3% 1,200,000 28,652 1,228,652 1,200,000 29,437 1,229,437

24/2011 Mar-2011 Mar-2021 E12M+3% 1,950,000 41,284 1,991,284 1,950,000 42,474 1,992,474

26/2011 Jun-2011 Jun-2021 E12M+3% 863,627 35,308 898,935 863,627 10,457 874,084

28/2011 Nov-2011 Nov-2021 E12M+3% 106,757 3,303 110,060 106,757 3,429 110,186

10,689,553 323,032 11,012,586 10,689,553 245,781 10,935,334

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

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

policy 1.4.

17 Other Liabilities At 31st of December 2018 and 2017, this heading was made up as follows:

2018 2017


Public sector - 22,750 22,750 - 2,238 2,238

Accrued Expenses:

Judicial costs - 6,765 6,765 - 3,567 3,567

Service Level Agreement - 326,914 326,914 - 206,827 206,827

Audit fee 179,251 18,450 197,701 384,695 12,177 396,872

Servicer Fee 1,461,918 - 1,461,918 1,489,111 - 1,489,111

Issuer fee 121,805 - 121,805 150,692 - 150,692

Agent bank fee 14,733 - 14,733 18,720 - 18,720

Transaction Manager 18,849 - 18,849 6,892 - 6,892

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

Amouns to pay - - - - - -

CMVM - 2,500 2,500 - - -

Other 28,865,917 199,613 29,065,531 29,802,487 41,646 29,844,132

Deffered income: -

Up front feet - 92,462 92,462 - 42,723 42,723

30,662,473 669,456 31,331,929 31,853,896 309,178 32,163,074

At 31st of December 2018, the item "Public Sector" was €1.324 for stamp duty, €6.944 for VAT and the

amount of €14.482 for corporate income tax to be paid.

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

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

Company

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

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

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



40

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

a nominal value of five euros each.

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

General Assembly Amount

deliberation date Euros

12 December, 2005 200,000

29 December, 2005 20,000

28 December, 2006 226,000

10 December, 2007 440,000

09 December, 2008 233,000

18 December, 2008 20,000

26 February, 2009 1,258,040

2,397,040

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

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

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

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

2018 the Company's share capital of €250,000 (two hundred and fifty thousand euros) was fully paid up.

The shareholder Deutsche Bank Aktiengesellschaft made supplementary capital contributions to the

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

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

thousand, five hundred and fifty three euros).

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

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

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

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

Interest will be paid annually.

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

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

Regulation no. 12/2002 of 18 July.

Subordinate supplementary contributions are part of the Company's equity (see note 16).

Capital Management

The Company proactively manages capital to hedge against the inherent risks of its business, maintaining

legally required levels under legislation applicable to securitisation companies. Capital adequacy is

monitored periodically and whenever securitised bonds are issued.

In 2018 and 2017, the Company complied with legally required capital levels.

In accordance with Decree Law no. 453/99 of 05 November, the equity of credit securitisation companies

may not be lower than the following percentages of the net value of the securitised bonds in circulation

which it has issued:

a) Up to €75,000,000 – 5 (per mille);


41

b) Above this amount – 1 (per mille).

At 31st of December 2018, the fulfilment of these ratios can be demonstrated as follows:

Bond Issues

Operation (2018)

Aqua Finance No.4 200,200,000

Aqua Mortgage No.1 102,334,796

Aqua NPL No.1 -

BBVA Portugal RMBS no.1 -

Castilho Mortgages No.1 976,034,384

Chaves Funding No. 7 199,362,576

Lusitano Finance No.3 -

Pelican Finance No.1 201,703,191

Nostrum Mortgage No.2 3,484,681,785

Silk Finance No.4 614,600,001

CMEC Volta Electricity Receivables 19,846,411

EnergyOn No.1 574,077,868

EnergyOn No.2 200,105,977

Volta Electricity Receivables Securitisation Notes -

Volta II Electricity Receivables Securitisation Notes -

Volta III Electricity Receivables Securitisation Notes 23,062,904

Volta IV Electricity Receivables Securitisation Notes 329,822,799

Volta V Electricity Receivables Securitisation Notes 473,247,249

Volta VI Electricity Receivables Securitisation Notes 651,479,875

8,050,559,816

Calculation own funds

Steps

% Value

Minumum

Requireme

nt

0.50% 75,000,000 375,000

0.1% 7,975,559,816 7,975,560

Capital Requirement 8,350,560

Own Funds Values (€)

Capital 250,000

Other equity instruments 2,397,040

Legal Reserve 268,674

Retained income 37,523

Net income for the period 516,217

Additional Capital Surplus 10,689,553

Own Funds 14,159,007

Surplus /(Inadequacy) 5,808,447

19 Reserve and retained earnings At 31st of December 2018 and 2017, this heading was made up as follows:


42

2018 2017


Legal reserve - 268,674 268,674 - 268,674 268,674

Retained earnings - 37,523 37,523 - 36,583 36,583

- 306,198 306,198 - 305,257 305,257

Under Portuguese legislation, the Company must reinforce its legal reserve annually by at least 5% of

annual net profits, until reaching 20% of share capital, normally not subject to distribution.

In accordance with the decision of the General Meeting of Shareholders dated 23 March 2018, the

Company approved the proposed allocation of profits for the year 2017, of which Shareholders decided

on the payments of dividends totalling €525.000 and the transfer of €940 to retained earnings.

20 Off-balance sheet elements At 31st December 2018 and 2017, off-balance sheet elements were as follows:

2018 2017


Credits written off 118,194,457 - 118,194,457 155,147,579 - 155,147,579

Assets received as collateral 8,871,459,287 - 8,871,459,287 10,143,562,453 - 10,143,562,453

Swap interest rate 4,347,692,527 - 4,347,692,527 4,855,388,981 - 4,855,388,981

13,337,346,270 - 13,337,346,270 15,154,099,014 - 15,154,099,014

21 Fair Value Fair value is based on market prices, whenever they are available. If not, fair value is estimated using

internal models based on cash flow discounting techniques.

Cash flows are generated based on the respective financial characteristics, and the discount rates

employed incorporate the market's yield curve and other market factors, if applicable.

Therefore, the fair value obtained is influenced by the parameters employed in the valuation model

(which must include a certain degree of subjectivity), and exclusively reflects the amount attributed to

the various financial instruments. However, it does not include forward-looking factors such as future

business developments.

As such, the amounts shown cannot be construed as an estimate of the Company's economic value.

Next, the main methods and assumptions for estimating the fair value of financial assets and liabilities

are shown:

Deposits at other Credit Institutions

In view of the extremely short term associated with these financial instruments, the balance sheet value

is a reasonable estimate of their fair value.

Financial assets and liabilities held for trading

These financial instruments are recorded at fair value. Fair value is based on market prices, whenever

they are available. If not, the fair value is calculated using numeric models based on cash flow

discounting techniques which, to estimate fair value, use market yield curves adjusted by associated


43

factors (predominately credit and liquidity risk) determined in accordance with market conditions and

the respective terms.

Loans and advances to customers

The fair value of these financial instruments is calculated based on updating the expected future cash

flows of principal and interest for the instruments in question. Payments are considered to have occurred

on their contractually determined dates. The discount rate used reflects the current market rates for each

homogeneous class of this type of instrument with a similar residual maturity.

One of the main factors causing the fair value of a loan to differ from its amortised cost net of impairment

losses will be the assessment of the change in interest rate risk and credit spread.

Since these assets are directly related to the financial liabilities of each transaction, any impact of the

change in interest rate risk and credit spread on financial assets is reflected in the change in the implicit

interest rate risk of the financial liabilities, plus the fair value of derivatives, if applicable. Debt securities

issued

The fair value of the debt securities of securitisation transactions reflects the value of the financial assets

and debt securities issued, insofar as any surplus generated by the assets will be paid to the holders, and

any shortcoming will be assumed by the holders on their cancellation date.

22 Related Parties At 31st of December 2018, the Company's related parties were as follows:

Shareholders:

Deutsche Bank AG

Members of the Board of Directors:

- Bernardo Luis de Lima Mascarenhas Meyrelles do Souto (Chairman)

- Jerome David Beadle (Member)

- José Francisco Gonçalves de Arantes e Oliveira (Member)

Companies under direct or indirect common control with the Company:

- Navegator SGFTC, S.A

- Deutsche Bank (Portugal branch) S.A.

Balances and transactions with related parties are as follows:

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

branch) S.A. and with Navegator SGFTC, S.A., as described in notes 6 and 17;

The items “Deposits” of the Company and of some transactions corresponds to demand deposits

with Deutsche Bank (Portugal branch) S.A. and Deutsche Bank London, as described in note 8

and in the detail of the respective transactions in note 25; and

In addition, the item "Remuneration" includes an amount for remuneration of members of the

Audit Committee, as described in note 5.

23 Risk Management The main types of risk are detailed below:

Credit Risk


44

Credit risk is tied to the degree of uncertainty of expected returns, due to the inability of the borrower

(and guarantor, if applicable), the issuer of a security or counterparty to an agreement to fulfil their

obligations.

Within the scope of its business, the Company acquires credit portfolios which are later subject to

securitisation transactions, resulting in the effective and total transfer of these portfolios' credit risk to

the holders of the bonds issued within the scope of these transactions

At 31st of December 2018, there were 14 active securitisation transactions under the Company’s

management, corresponding to €7.709.823.400 in credits (2017: 17 transactions corresponding to

€9.116.501.795), broken down as shown in the following table:

Loans and Advances to customers

2018 Weight 2017 Weight

Aqua Finance No.4 169,928,067 2.2% 186,970,096 2.1%

Aqua Mortgage No.1 96,452,265 1.3% 111,239,525 1.2%

Aqua NPL No.1 - 0.0% 3,019,084 0.0%

BBVA Portugal RMBS no.1 - 0.0% 933,338,763 10.2%

Castilho Mortgages No.1 902,952,238 11.7% 995,778,897 10.9%

Chaves Funding No. 7 192,205,272 2.5% 75,552,435 0.8%

Lusitano Finance No.3 - 0.0% 46,477,194 0.5%

Pelican Finance No.1 179,037,153 2.3% 275,714,164 3.0%

Nostrum Mortgage No.2 3,346,340,105 43.4% 3,644,150,268 40.0%

Silk Finance No.4 605,330,174 7.9% 605,980,153 6.6%

CMEC Volta Electricity Receivables 9,727,419 0.1% 125,017,567 1.4%

EnergyOn No.1 571,702,896 7.4% 660,447,002 7.2%

EnergyOn No.2 200,535,348 2.6% 231,663,982 2.5%

Volta Electricity Receivables Securitisation Notes - 0.0% - 0.0%

Volta II Electricity Receivables Securitisation Notes - 0.0% 17,266,508 0.2%

Volta III Electricity Receivables Securitisation Notes 11,311,639 0.1% 145,473,169 1.6%

Volta IV Electricity Receivables Securitisation Notes 315,461,572 4.1% 461,001,375 5.1%

Volta V Electricity Receivables Securitisation Notes 459,788,806 6.0% 597,411,612 6.6%

Volta VI Electricity Receivables Securitisation Notes 649,050,446 8.4% - 0.0%

7,709,823,400 100% 9,116,501,795 100%

The following table shows the amount of total credit and overdue credit, together with the rate of

impairment coverage in relation to these items at 31st of December 2018 and 2017:


45

2018

Loans to

CustomersOverdue credit Impairment

Impairment on

Loans and

advances to

customers

Aqua Finance No.4 172,135,326 1,392,779 2,207,259 1.28%

Aqua Mortgage No.1 100,084,614 289,884 3,632,349 3.63%

Aqua NPL No.1 - - - -

BBVA Portugal RMBS no.1 - - - -

Castilho Mortgages No.1 904,376,630 68,808 1,821,659 0.20%

Chaves Funding No. 7 195,907,103 266,509 3,701,831 1.89%

Lusitano Finance No.3 - - - -

Pelican Finance No.1 189,623,654 5,464,107 10,586,500 5.58%

Nostrum Mortgage No.2 3,353,731,836 4,000,869 7,391,731 0.22%

Silk Finance No.4 611,516,114 4,858,963 6,185,940 1.01%

CMEC Volta Electricity Receivables 9,534,414 - - 0.00%

EnergyOn No.1 571,702,896 - - 0.00%

EnergyOn No.2 200,535,348 - - 0.00%

Volta Electricity Receivables Securitisation Notes - - - -

Volta II Electricity Receivables Securitisation Notes - - - -

Volta III Electricity Receivables Securitisation Notes 10,811,006 - - 0.00%

Volta IV Electricity Receivables Securitisation Notes 313,320,020 - - 0.00%

Volta V Electricity Receivables Securitisation Notes 449,519,694 - - 0.00%

Volta VI Electricity Receivables Securitisation Notes 641,068,818 - - 0.00%

7,723,867,473 16,341,918 35,527,270 0.46%

2017

Loans to

CustomersOverdue credit Impairment

Impairment on

Loans and

advances to

customers

Aqua Finance No.4 188,243,861 619,331 1,273,765 0.68%

Aqua Mortgage No.1 113,080,313 309,533 1,840,788 1.63%

Aqua NPL No.1 3,019,084 - - 0.00%

BBVA Portugal RMBS no.1 920,500,855 17,491 2,978,596 0.32%

Castilho Mortgages No.1 995,828,017 68,250 456,359 0.05%

Chaves Funding No. 7 77,982,980 180,312 2,430,545 3.12%

Lusitano Finance No.3 44,272,456 498,927 730,377 1.65%

Pelican Finance No.1 283,508,294 4,103,478 7,794,131 2.75%

Nostrum Mortgage No.2 3,654,296,427 3,892,638 10,146,160 0.28%

Silk Finance No.4 612,355,399 3,757,375 6,375,245 1.04%

CMEC Volta Electricity Receivables 123,947,382 - - 0.00%

EnergyOn No.1 660,447,002 - - 0.00%

EnergyOn No.2 231,663,982 - - 0.00%

Volta Electricity Receivables Securitisation Notes - - - -

Volta II Electricity Receivables Securitisation Notes 16,356,744 - - 0.00%

Volta III Electricity Receivables Securitisation Notes 140,045,614 - - 0.00%

Volta IV Electricity Receivables Securitisation Notes 458,714,410 - - 0.00%

Volta V Electricity Receivables Securitisation Notes 580,964,797 - - 0.00%

9,105,227,617 13,447,337 34,025,965 0.37%


46

Market Risk

The concept of market risk reflects the potential loss that may occur in a given portfolio due to changes

in interest and exchange rates and/or the prices of the different financial instruments comprising it, in

view of the existing correlations between them or their respective volatilities.

Interest rate risk

Interest rate risk is the likelihood of losses due to adverse changes in interest rates, bearing in mind the

institution's balance sheet structure.

At the Company, securitisation transactions account for around 95% of total assets and 98.9% of earning

assets; in terms of liabilities, the corresponding securitisation notes correspond to 98.9% of all liabilities

and 99% of earning liabilities. The interest rate risk arising from these balance sheet exposures is

mitigated, bearing in mind that the risk of mismatched terms for adjusting interest rates between assets

and liabilities is hedged through the contracting of IRS (Interest Rate Swaps).

Earning assets and liabilities and implicit rates of return in 2018 and 2017 are detailed in the following

table:

2018 2017

Loans and

advances to

customers

Interest and

similar income

Implicit Interest

Rate

Loans and

advances to

customers

Interest and

similar income

Implicit Interest

Rate

Aqua Finance No.4 169,928,067 8,511,471 4.8% 186,970,096 5,765,497 3.1%

Aqua Mortgage No.1 96,452,265 3,919,678 3.8% 111,239,525 1,320,805 1.1%

Aqua NPL No.1 - 1,392,052 92.2% 3,019,084 723,581 15.0%

BBVA Portugal RMBS no.1 - (12,827,669) - 933,338,763 10,142,109 1.0%

Castilho Mortgages No.1 902,952,238 5,750,415 0.6% 995,778,897 5,774,627 0.6%

Chaves Funding No. 7 192,205,272 10,819,430 8.1% 75,552,435 2,380,434 3.2%

Lusitano Finance No.3 - (1,822,201) - 46,477,194 2,014,157 3.4%

Pelican Finance No.1 179,037,153 17,365,688 7.6% 275,714,164 21,686,495 7.7%

Nostrum Mortgage No.2 3,346,340,105 64,406,999 1.8% 3,644,150,268 47,543,677 1.3%

Silk Finance No.4 605,330,174 41,674,864 6.9% 605,980,153 42,927,244 7.1%

CMEC Volta Electricity Receivables 9,727,419 2,221,505 3.3% 125,017,567 5,788,668 3.2%

EnergyOn No.1 571,702,896 10,720,405 1.7% 660,447,002 12,626,177 1.8%

EnergyOn No.2 200,535,348 2,991,263 1.4% 231,663,982 3,552,093 1.4%

Volta Electricity Receivables Securitisation Notes - - - - 41,160 -

Volta II Electricity Receivables Securitisation Notes - 46,406 0.5% 17,266,508 4,040,718 3.4%

Volta III Electricity Receivables Securitisation Notes 11,311,639 1,829,574 2.3% 145,473,169 4,719,932 2.2%

Volta IV Electricity Receivables Securitisation Notes 315,461,572 10,129,333 2.6% 461,001,375 13,637,223 2.6%

Volta V Electricity Receivables Securitisation Notes 459,788,806 4,735,135 0.9% 597,411,612 953,724 0.2%

Volta VI Electricity Receivables Securitisation Notes 649,050,446 4,013,368 1.2% - - -

7,709,823,400 175,877,717 2.1% 9,116,501,795 185,638,320 2.0%


47

2018 2017

Debt securities

issued

Interest expense

and similar

charges

Implicit Interest

Rate

Debt securities

issued

Interest expense

and similar

charges

Implicit Interest

Rate

Aqua Finance No.4 199,821,219 8,120,242 4.1% 200,074,685 5,562,433 2.8%

Aqua Mortgage No.1 100,971,287 3,758,874 3.5% 115,931,205 1,167,368 1.0%

Aqua NPL No.1 - 1,293,955 69.1% 3,745,088 615,344 10.9%

BBVA Portugal RMBS no.1 - 68,999,562 13.5% 1,020,872,738 8,798,921 0.8%

Castilho Mortgages No.1 967,603,450 4,538,417 0.4% 1,062,183,292 4,396,760 0.4%

Chaves Funding No. 7 197,985,696 9,745,152 7.1% 78,175,609 1,716,775 2.2%

Lusitano Finance No.3 - (1,944,054) - 62,368,609 1,865,629 2.4%

Pelican Finance No.1 200,983,063 16,961,383 6.8% 300,445,548 21,184,566 6.9%

Nostrum Mortgage No.2 3,482,956,728 57,924,857 1.6% 3,751,923,917 39,684,485 1.0%

Silk Finance No.4 618,602,358 35,363,663 5.7% 619,083,668 36,594,790 5.9%

CMEC Volta Electricity Receivables 19,856,039 2,039,959 2.6% 136,471,822 5,613,368 3.0%

EnergyOn No.1 571,523,798 9,821,837 1.6% 659,273,513 11,122,687 1.6%

EnergyOn No.2 201,508,650 2,688,298 1.2% 232,366,794 3,041,857 1.2%

Volta Electricity Receivables Securitisation Notes - - - 3,516 (28,030) -

Volta II Electricity Receivables Securitisation Notes - (33,093) - 35,113,356 3,829,170 2.8%

Volta III Electricity Receivables Securitisation Notes 23,025,029 1,609,626 1.8% 157,894,261 4,492,543 2.0%

Volta IV Electricity Receivables Securitisation Notes 330,724,057 9,806,322 2.4% 477,165,645 13,357,734 2.5%

Volta V Electricity Receivables Securitisation Notes 473,705,355 4,434,655 0.8% 602,573,488 926,488 0.2%

Volta VI Electricity Receivables Securitisation Notes 651,805,202 3,874,741 1.2% - - -

8,041,071,932 239,004,396 2.7% 9,515,666,756 163,942,886 1.7%

For the period ended at 31st December 2018, if the effect of the settlement of the transaction BBVA

Portugal RMBS No. 1 was not taken into account, the implicit interest rate would be of 1.9%.

2018 Paid AssetsImplicit

Interest Rate

Assets

Deposits at other Credit Institutions 361,577,644 - -

Balances due from other Credit Institutions 27,319,072 - -

Loans and advances to customers 7,709,823,400 7,709,823,400 2.1%

Intangible assets - - -

Other assets 28,453,165 - -

Total Assets 8,127,173,281 7,709,823,400

Liabilities

Financial liabilities held for trading 40,287,379 - -

Debt securities issued 8,041,071,932 8,041,071,932 2.7%

Other financial liabilities 11,012,586 10,689,553 2.9%

Other liabilities 31,331,929 - -

Total Liabilities 8,123,703,826 8,051,761,485

Equity

Share Capital 250,000 - -

Other equity instruments 2,397,040 - -

Reserves and retained earnings 306,198 - -

Net income for the year 516,217 - -

Total Equity 3,469,455 -

Total Equity and Liabilities 8,127,173,281 8,051,761,485


48

Liquidity Risk

Liquidity risk reflects the Company's inability to meet its obligations on their due date, without incurring

major losses due to a deterioration in financing conditions (financing risk) and/or the sale of its assets

below market value (market liquidity risk).

With regard to the Company, one might say that liquidity risk - much like other financial risks, is non-

existent, since the resulting damages have no impact on the Company, insofar as they are completely

assumed by the holders of the bonds. In fact, the means of securitisation are entities who are legally

autonomous from the Company and between themselves, where the respective assets solely and

exclusively satisfy the responsibilities assumed in the transactions.

With regard to liquidity risk, all flows received from credit acquired are transferred to the notes' holders

for the fulfilment of responsibilities. Furthermore, each means of securitisation has a cash reserve or

liquidity account at a credit institution to deal with any sporadic liquidity problems in terms of debt

servicing the notes. A detail of these with the amount and respective counterparty is shown in the table

below.

2018 2017

Cash Reserve

AccountLiquidity Account Total

Cash Reserve

AccountLiquidity Account Total

Aqua Finance No.4 7,000,000 - 7,000,000 7,000,000 - 7,000,000

Aqua Mortgage No.1 3,036,729 - 3,036,729 3,415,655 - 3,415,655

Aqua NPL No.1 - - - 321,139 - 321,139

BBVA Portugal RMBS no.1 - - - 82,381,995 - 82,381,995

Castilho Mortgages No.1 39,981,000 1 39,981,001 39,981,000 1 39,981,001

Chaves Funding No. 7 700,890 - 700,890 500,000 - 500,000

Lusitano Finance No.3 - - - 10,000,000 - 10,000,000

Pelican Finance No.1 14,700,449 - 14,700,449 14,700,449 - 14,700,449

Nostrum Mortgage No.2 80,175,750 - 80,175,750 80,175,750 - 80,175,750

Silk Finance No.4 3,700,001 - 3,700,001 3,700,001 - 3,700,001

CMEC Volta Electricity Receivables 270,875 140,414 411,289 275,485 975,709 1,251,194

EnergyOn No.1 4,842,959 - 4,842,959 4,884,549 - 4,884,549

EnergyOn No.2 1,693,163 - 1,693,163 1,725,386 - 1,725,386

Volta Electricity Receivables Securitisation Notes - - - 96 967 1,064

Volta II Electricity Receivables Securitisation Notes - - - 297,966 257,297 555,264

Volta III Electricity Receivables Securitisation Notes 293,446 112,140 405,586 326,812 777,234 1,104,046

Volta IV Electricity Receivables Securitisation Notes 332,828 1,983,578 2,316,406 359,244 2,864,573 3,223,818

Volta V Electricity Receivables Securitisation Notes 306,003 1,002,729 1,308,732 372,000 1,275,000 1,647,000

Volta VI Electricity Receivables Securitisation Notes 192,837 1,785,628 1,978,465 - - -

157,226,929 5,024,491 162,251,420 250,417,529 6,150,782 256,568,311

Operational Risk

Operational risk is defined as a potential loss resulting from failures or shortcomings in internal

processes, persons or systems, or from outside events.

Tagus

The Company carries out an instrumental activity within the scope of Deutsche Bank A.G. – Portugal

branch, with business risks managed in a centralized manner. The main types of financial risks (credit,

market, liquidity and operational) are monitored and controlled in accordance with the Group's general

risk management and control principles.


49

Operations

As stated in the Circular Offering for transactions, credit acquired must meet a set of requirements both

on the acquisition date and over the transaction's lifetime, under penalty of replacement or compensatory

payments for the transactions by the originators. The Servicing Agreements for all of the transactions

ensure that specialized third parties (usually the originators) carry out procedures to manage and control

credit risk, namely by guaranteeing receipts, identifying situations of default and managing credit

recovery.

For interest rate risk, swaps are contracted to eliminate the difference between the loan interest rates and

bond interest rates (basis risk).

24 Subsequent Events The bond of CMEC Volta Eletricity Receivables and Volta III Eletricity Receivables Securitisation Notes

were totaly reimbursed on February 11, 2019 and February 12, 2019, as scheduled.

Additionally, Castilho Mortgages No. 1 had an early termination on February 28th 2019 and the latter

was totaly reimbursed.

Beyond the occurrence described above, there were no new securitisation transactions or capital increases

between 31st December 2018 and the approval date of the 2018 Annual Report and Accounts.

25 Detailed analysis of transactions Each of the transactions is shown in detail below.

The Profit and Loss Statement, Balance Sheet and Cash Flow Statement for each of the transactions are

shown in the following pages:


50

Income Statement

for the years ended 31st of December 2018 and 2017

Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Interest and similar income 8,511,471 5,765,497 3,919,678 1,320,805 1,392,052 723,581 (12,827,669) 10,142,109 995,533 17,951,992

Interest expense and similar charges (8,120,242) (5,562,433) (3,758,874) (1,167,368) (1,293,955) (615,344) (68,999,562) (8,798,921) (82,172,633) (16,144,065)

Net interest income 391,229 203,065 160,805 153,437 98,097 108,237 (81,827,231) 1,343,189 (81,177,100) 1,807,926

Results from services and fees - - - - - - - - - -

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

at fair value through profit or loss933,494 1,273,765 4,441,417 1,447,528 - - 80,663,285 (1,422,380) 86,038,196 1,298,913

General and administrative costs (391,229) (203,065) (160,804) (153,437) (98,097) (108,237) (996,037) (1,343,189) (1,646,168) (1,807,927)

Total operating income/(expense) 542,265 1,070,700 4,280,613 1,294,091 (98,097) (108,237) 79,667,247 (2,765,569) 84,392,028 (509,014)

Impairment losses on loans, net of reversals and recoveries (933,494) (1,273,765) (4,441,417) (1,447,528) - - 2,159,984 1,422,380 (3,214,927) (1,298,913)

Operating income - - 1 - - -

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

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

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


51

Income Statement


Castilho Mortgages No.1 Chaves Funding No. 7 Lusitano Finance No.3 Pelican Finance No.1 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Interest and similar income 5,750,415 5,774,627 10,819,430 2,380,434 (1,822,201) 2,014,157 17,365,688 21,686,495 33,108,865 49,807,705

Interest expense and similar charges (4,538,417) (4,396,760) (9,745,152) (1,716,775) 1,944,054 (1,865,629) (16,961,383) (21,184,566) (111,473,532) (45,307,794)

Net interest income 1,211,998 1,377,867 1,074,278 663,660 121,853 148,528 404,305 501,929 (78,364,667) 4,499,910



at fair value through profit or loss2,269,693 1,222,022 2,489,710 2,821,233 2,487 (1,657,553) 2,792,369 1,817,700 93,592,456 5,502,315

General and administrative costs (1,211,998) (1,377,867) (1,034,791) (629,235) (121,853) (148,528) (404,305) (501,929) (4,419,115) (4,465,486)

Total operating income/(expense) 1,057,695 (155,845) 1,454,919 2,191,998 (119,365) (1,806,081) 2,388,065 1,315,772 89,173,341 1,036,829

Impairment losses on loans, net of reversals and recoveries (2,269,693) (1,222,022) (2,529,197) (2,855,658) (2,487) 1,657,553 (2,792,369) (1,817,700) (10,808,674) (5,536,740)

Operating income - - - - - - - - -


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



52

Income Statement


Nostrum Mortgage No.2 Silk Finance No.4 CMEC Volta Electricity Receivables EnergyOn No.1 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Interest and similar income 64,406,999 47,543,677 41,674,864 42,927,244 2,221,505 5,788,668 10,720,405 12,626,177 152,132,638 158,693,471

Interest expense and similar charges (57,924,857) (39,684,485) (35,363,663) (36,594,790) (2,039,959) (5,613,368) (9,821,837) (11,122,687) (216,623,848) (138,323,124)

Net interest income 6,482,142 7,859,192 6,311,201 6,332,454 181,546 175,300 898,567 1,503,491 (64,491,210) 20,370,346



at fair value through profit or loss2,869,680 9,080,892 922,971 1,397,585 - - (711,440) (1,307,371) 96,673,667 14,673,421

General and administrative costs (889,597) (931,566) (6,311,201) (6,332,454) (181,546) (175,300) (187,127) (196,119) (11,988,585) (12,100,924)

Total operating income/(expense) 1,980,084 8,149,326 (5,388,230) (4,934,868) (181,546) (175,300) (898,567) (1,503,491) 84,685,082 2,572,496

Impairment losses on loans, net of reversals and recoveries (8,462,226) (16,008,518) (922,971) (1,397,585) - - - - (20,193,872) (22,942,844)

Operating income - - - - - - - -


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



53

Income Statement


EnergyOn No.2 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Interest and similar income 2,991,263 3,552,093 - 41,160 46,406 4,040,718 1,829,574 4,719,932 156,999,882 171,047,374

Interest expense and similar charges (2,688,298) (3,041,857) - 28,030 33,093 (3,829,170) (1,609,626) (4,492,543) (220,888,679) (149,658,664)

Net interest income 302,966 510,236 - 69,190 79,500 211,548 219,948 227,389 (63,888,797) 21,388,709



at fair value through profit or loss(177,657) (368,182) - - - - - - 96,496,010 14,305,238

General and administrative costs (125,308) (142,053) - (69,190) (79,500) (211,548) (219,948) (227,389) (12,413,341) (12,751,104)

Total operating income/(expense) (302,966) (510,236) - (69,190) (79,500) (211,548) (219,948) (227,389) 84,082,669 1,554,134

Impairment losses on loans, net of reversals and recoveries - - - - - - - - (20,193,872) (22,942,844)

Operating income - - - - - - -


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


Volta Electricity Receivables

Securitisation Notes

Volta II Electricity Receivables


Volta III Electricity Receivables



54

Income Statement


Total

2018 2017 2018 2017 2018 2017 2018 2017

Interest and similar income 10,129,333 13,637,223 4,735,135 953,724 4,013,368 - 175,877,717 185,638,320

Interest expense and similar charges (9,806,322) (13,357,734) (4,434,655) (926,488) (3,874,741) - (239,004,396) (163,942,886)

Net interest income 323,011 279,488 300,480 27,236 138,627 - (63,126,679) 21,695,434

Results from services and fees - - - - - - - -


at fair value through profit or loss - - - - - - 96,496,010 14,305,238

General and administrative costs (323,011) (279,488) (300,480) (27,236) (138,627) - (13,175,459) (13,057,828)

Total operating income/(expense) (323,011) (279,488) (300,480) (27,236) (138,627) - 83,320,551 1,247,410

Impairment losses on loans, net of reversals and recoveries - - - - - - (20,193,872) (22,942,844)

Operating income - - - - - - - -

Income before taxes - - - - - - - -

Income taxes - - - - - - - -

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

Volta V Electricity Receivables


Volta IV Electricity Receivables


Volta VI Electricity Receivables



55

Balance Sheet

for the years ended 31st December, 2018 and 2017

Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 30,006,806 13,213,004 4,587,497 4,775,797 - 748,462 - 87,571,488 34,594,304 106,308,750

Balances due from other Credit Institutions - - - - - - - - - -

Loans and advances to customers 169,928,067 186,970,096 96,452,265 111,239,525 - 3,019,084 - 933,338,763 266,380,332 1,234,567,469

Intangible assets - - - - - - - - - -

Other assets 2,295 2,434 10,362 10,454 - - - - 12,657 12,888

Total Assets 199,937,168 200,185,534 101,050,124 116,025,776 - 3,767,546 - 1,020,910,251 300,987,292 1,340,889,107

Liabilities

Financial liabilities held for trading - - - - - - - - - -

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

Other financial liabilities 199,821,219 200,074,685 100,971,287 115,931,205 - 3,745,088 - 1,020,872,738 300,792,505 1,340,623,716

Other liabilities 115,949 110,848 78,837 94,571 - 22,458 - 37,513 194,787 265,391

Total Liabilities 199,937,168 200,185,534 101,050,124 116,025,776 - 3,767,546 - 1,020,910,251 300,987,292 1,340,889,107

Equity

Share Capital - - - - - - - - - -

Other equity instruments - - - - - - - - - -

Reserves and retained earnings - - - - - - - - - -

Net income for the period - - - - - - - - - -

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

Total Equity and Liabilities 199,937,168 200,185,534 101,050,124 116,025,776 - 3,767,546 - 1,020,910,251 300,987,292 1,340,889,107


56

Balance Sheet



2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 39,988,686 66,682,011 6,011,950 2,754,472 - 16,038,935 22,874,341 25,499,457 103,469,281 217,283,625

Balances due from other Credit Institutions - - - - - - - - - -

Loans and advances to customers 902,952,238 995,778,897 192,205,272 75,552,435 - 46,477,194 179,037,153 275,714,164 1,540,574,996 2,628,090,160


Other assets 24,886,675 4,526 4,583 4,865 - 6,562 3,411 3,752 24,907,326 32,594

Total Assets 967,827,600 1,062,465,434 198,221,805 78,311,773 - 62,522,691 201,914,906 301,217,373 1,668,951,602 2,845,406,378

Liabilities

Financial liabilities held for trading - - - - - - - - - -

Debt securities issued - - 23,517 18,198 - - - - 23,517 18,198

Other financial liabilities 967,603,450 1,062,183,292 197,985,696 78,175,609 - 62,368,609 200,983,063 300,445,548 1,667,364,714 2,843,796,775

Other liabilities 224,150 282,142 212,592 117,966 - 154,081 931,843 771,825 1,563,371 1,591,406

Total Liabilities 967,827,600 1,062,465,434 198,221,805 78,311,773 - 62,522,691 201,914,906 301,217,373 1,668,951,602 2,845,406,378

Equity

Share Capital - - - - - - - - - -




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

Total Equity and Liabilities 967,827,600 1,062,465,434 198,221,805 78,311,773 - 62,522,691 201,914,906 301,217,373 1,668,951,602 2,845,406,378


57

Balance Sheet



2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 160,193,924 138,204,964 11,231,541 10,663,697 10,164,221 11,480,847 13,130,506 13,186,548 298,189,473 390,819,680

Balances due from other Credit Institutions 24,819,072 28,412,205 - - - - 2,500,000 - 27,319,072 28,412,205

Loans and advances to customers 3,346,340,105 3,644,150,268 605,330,174 605,980,153 9,727,419 125,017,567 571,702,896 660,447,002 6,073,675,590 7,663,685,149


Other assets - - 3,404,921 3,808,357 - - 2,006 2,310 28,314,253 3,843,261

Total Assets 3,531,353,102 3,810,767,437 619,966,637 620,452,207 19,891,640 136,498,414 587,335,407 673,635,860 6,427,498,388 8,086,760,295

Liabilities

Financial liabilities held for trading 23,352,856 30,160,923 - - - - 13,287,848 - - -

Debt securities issued 3,482,956,728 3,751,923,917 618,602,358 619,083,668 19,856,039 136,471,822 571,523,798 14,322,780 36,664,221 44,501,901

Other financial liabilities - - - - - - - - - -

Other liabilities 25,043,518 28,682,596 1,364,279 1,368,539 35,600 26,592 2,523,761 39,567 30,530,529 31,708,699

Total Liabilities 3,531,353,102 3,810,767,437 619,966,637 620,452,207 19,891,640 136,498,414 587,335,407 673,635,860 6,427,498,387 8,086,760,296

Equity

Share Capital - - - - - - - - - -




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

Total Equity and Liabilities 3,531,353,102 3,810,767,437 619,966,637 620,452,207 19,891,640 136,498,414 587,335,407 673,635,860 6,427,498,387 8,086,760,296


58

Balance Sheet



2018 2017 2018 2017 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 4,600,244 4,637,536 - 3,516 - 17,872,915 11,751,823 12,450,282 314,541,540 425,783,930

Balances due from other Credit Institutions - - - - - - - - 27,319,072 28,412,205

Loans and advances to customers 200,535,348 231,663,982 - - - 17,266,508 11,311,639 145,473,169 6,285,522,577 8,058,088,808


Other assets 2,101 2,420 - - - - - - 28,316,353 3,845,680

Total Assets 205,137,693 236,303,938 - 3,516 - 35,139,422 23,063,462 157,923,452 6,655,699,543 8,516,130,624

Liabilities

Financial liabilities held for trading 3,623,158 3,906,415 - - - - - - 40,287,379 48,408,316

Debt securities issued 201,508,650 232,366,794 - 3,516 - 35,113,356 23,025,029 157,894,261 6,584,837,317 8,435,927,623

Other financial liabilities - - - - - - - - - -

Other liabilities 5,885 30,729 - - - 26,066 38,433 29,191 30,574,846 31,794,685

Total Liabilities 205,137,693 236,303,938 - 3,516 - 35,139,422 23,063,462 157,923,452 6,655,699,542 8,516,130,624

Equity

Share Capital - - - - - - - - - -




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

Total Equity and Liabilities 205,137,693 236,303,938 - 3,516 - 35,139,422 23,063,462 157,923,452 6,655,699,542 8,516,130,624








59

Balance Sheet


Total

2018 2017 2018 2017 2018 2017 2018 2017

Assets

Deposits at other Credit Institutions 15,288,834 16,196,246 13,943,080 5,189,112 2,789,505 - 346,562,958 447,169,288

Balances due from other Credit Institutions - - - - - - 27,319,072 28,412,205

Loans and advances to customers 315,461,572 461,001,375 459,788,806 597,411,612 649,050,446 - 7,709,823,400 9,116,501,795

Intangible assets - - - - - - - -

Other assets - - - - - - 28,316,353 3,845,680

Total Assets 330,750,406 477,197,620 473,731,885 602,600,724 651,839,951 - 8,112,021,784 9,595,928,969

Liabilities

Financial liabilities held for trading - - - - - - - -

Debt securities issued - - - - - - 40,287,379 48,408,316

Other financial liabilities 330,724,057 477,165,645 473,705,355 602,573,488 651,805,202 - 8,041,071,932 9,515,666,756

Other liabilities 26,348 31,975 26,530 27,236 34,748 - 30,662,473 31,853,896

Total Liabilities 330,750,406 477,197,620 473,731,885 602,600,724 651,839,951 - 8,112,021,784 9,595,928,969

Equity

Share Capital - - - - - - - -

Other equity instruments - - - - - - - -

Reserves and retained earnings - - - - - - - -

Net income for the period - - - - - - - -

Total Equity - - - - - - - - -

Total Equity and Liabilities 330,750,406 477,197,620 473,731,885 602,600,724 651,839,951 - 8,112,021,784 9,595,928,969








60

Cash Flows Statement

for the years ended 31st December 2018 and 2017 Aqua Finance No.4 Aqua Mortgage No.1 Aqua NPL No.1 BBVA Portugal RMBS no.1 Sub-total

2018 2017 2018 2017 2018 2017 2018 2017 2018 2017


Other receivables/ (payments) associated with the operating activities (412,243) (164,082) (171,570) (154,235) (120,555) (107,686) (1,288,182) (1,339,801) (1,992,550) (1,765,804)

Cash flows arising from operating activities (412,243) (164,082) (171,570) (154,235) (120,555) (107,686) (1,288,182) (1,339,801) (1,992,550) (1,765,804) - - - - - - - -


Receivables: - - - - - - - -

Client loans 15,980,865 48,109,199 14,241,657 13,111,698 4,411,136 4,345,051 919,319,965 98,285,811 953,953,623 163,851,758

Interest income 8,558,661 5,345,679 1,188,785 1,330,128 - - 3,345,067 4,953,061 13,092,513 11,628,869

Payments - -

Loan portfolio acquisition - (235,863,810) - - - - - - - (235,863,810)

Financial Investments - - - - - - - - - -

Cash flows arising from investing activities 24,539,526 (182,408,932) 15,430,442 14,441,826 4,411,136 4,345,051 922,665,032 103,238,872 967,046,136 (60,383,183) - - - - - - - -


Receivables: - - - - - - - - - -

Debt securitites issued - 200,227,102 - - - - - - - 200,227,102

Payments: - -

Debt securitites issued - - (13,231,595) (13,398,757) (4,889,280) (3,936,839) (915,628,760) (101,091,136) (933,749,634) (118,426,732)

Interest expense (7,333,481) (4,441,084) (2,215,576) (815,433) (149,763) (481,837) (93,319,578) (6,274,533) (103,018,399) (12,012,888) - - - - - - - -

Cash flows arising from financing activities (7,333,481) 195,786,018 (15,447,172) (14,214,191) (5,039,043) (4,418,676) (1,008,948,338) (107,365,669) (1,036,768,033) 69,787,482 - - - - - - - -

Net changes in cash and cash equivalents 16,793,803 13,213,004 (188,300) 73,400 (748,462) (181,311) (87,571,488) (5,466,598) (71,714,447) 7,638,495

Cash and cash equivalents balance at the beggining of the year 13,213,004 - 4,775,797 4,702,397 748,462 929,773 87,571,488 93,038,086 106,308,751 98,670,256

Cash and cash equivalents balance at the end of the year 30,006,806 13,213,004 4,587,497 4,775,797 - 748,462 - 87,571,488 34,594,304 106,308,750 - - - - - - - -

Deposits at other Credit Institutions 30,006,806 13,213,004 4,587,497 4,775,797 - 748,462 - 87,571,488 34,594,304 106,308,750


61


for the years ended 31st December 2018 and 2017


2018 2017 2018 2017 2018 2017 2018 2017 2018 2017


Other receivables/ (payments) associated with the operating activities (1,271,760) (1,382,726) (1,011,813) (594,876) (123,624) (157,040) (422,533) (476,319) (4,822,280) (4,376,765)

Cash flows arising from operating activities (1,271,760) (1,382,726) (1,011,813) (594,876) (123,624) (157,040) (422,533) (476,319) (4,822,280) (4,376,765) - - - - - - - - - -


Receivables:

Client loans 67,068,926 105,351,836 (118,626,949) 8,260,502 43,624,362 26,189,439 92,777,570 6,263,165 1,038,797,532 309,916,700

Interest income 4,358,076 6,406,504 10,336,275 2,119,892 882,396 2,078,746 17,636,890 21,702,965 46,306,150 43,936,975

Payments

Loan portfolio acquisition - - - (86,236,648) - - - - - (322,100,458)


Cash flows arising from investing activities 71,427,002 111,758,340 (108,290,674) (75,856,255) 44,506,758 28,268,185 110,414,460 27,966,130 1,085,103,683 31,753,217 - - - - - - - - - -


Receivables:

Debt securitites issued - - 120,727,142 80,347,056 - - - - 120,727,142 280,574,158

Payments:

Debt securitites issued (92,315,370) (229,529,017) (1,258,995) (522,713) (58,912,668) (29,770,206) (97,638,644) (9,358,165) (1,183,875,312) (387,606,833)

Interest expense (4,533,196) (6,197,138) (6,908,182) (618,740) (1,509,401) (1,973,960) (14,978,399) (18,563,533) (130,947,576) (39,366,258) - - - - - - - - - -

Cash flows arising from financing activities (96,848,566) (235,726,155) 112,559,965 79,205,604 (60,422,069) (31,744,166) (112,617,043) (27,921,698) (1,194,095,746) (146,398,933) - - - - - - - - - -

Net changes in cash and cash equivalents (26,693,324) (125,350,540) 3,257,478 2,754,472 (16,038,935) (3,633,021) (2,625,116) (431,888) (113,814,344) (119,022,482)

Cash and cash equivalents balance at the beggining of the year 66,682,011 192,032,551 2,754,472 - 16,038,935 19,671,955 25,499,457 25,931,345 217,283,627 336,306,107

Cash and cash equivalents balance at the end of the year 39,988,686 66,682,011 6,011,950 2,754,472 - 16,038,935 22,874,341 25,499,457 103,469,281 217,283,625 - - - - - - - - - -

Deposits at other Credit Institutions 39,988,686 66,682,011 6,011,950 2,754,472 - 16,038,935 22,874,341 25,499,457 103,469,281 217,283,625


62




2018 2017 2018 2017 2018 2017 2018 2017 2018 2017


Other receivables/ (payments) associated with the operating activities (909,618) (937,230) (6,335,462) (6,311,868) (172,537) (175,300) 2,297,371 (194,495) (9,942,526) (11,995,658)

Cash flows arising from operating activities (909,618) (937,230) (6,335,462) (6,311,868) (172,537) (175,300) 2,297,371 (194,495) (9,942,526) (11,995,658) - - - - - - - -


Receivables:

Client loans 291,425,695 275,252,421 14,038 202,981,205 114,412,968 104,878,554 88,744,106 87,095,615 1,533,394,340 980,124,494

Interest income 83,100,478 67,494,246 42,032,983 42,828,948 3,098,685 8,600,839 20,916,320 24,052,103 195,454,616 186,913,110

Payments

Loan portfolio acquisition - - - (203,130,327) - - - - - (525,230,785)


Cash flows arising from investing activities 374,526,173 342,746,666 42,047,021 42,679,826 117,511,653 113,479,393 109,660,426 111,147,717 1,728,848,956 641,806,819


Receivables:

Debt securitites issued - - - - - - - - 120,727,142 280,574,158

Payments:

Debt securitites issued (299,427,729) (284,210,654) - - (116,176,426) (98,959,774) (87,080,000) (85,386,058) (1,686,559,467) (856,163,319)

Interest expense (52,199,866) (49,873,048) (35,143,715) (36,859,973) (2,479,316) (5,783,179) (22,433,839) (25,669,376) (243,204,311) (157,551,834)

Cash flows arising from financing activities (351,627,594) (334,083,702) (35,143,715) (36,859,973) (118,655,742) (104,742,952) (109,513,839) (111,055,435) (1,809,036,637) (733,140,995)

Net changes in cash and cash equivalents 21,988,960 7,725,735 567,844 (492,015) (1,316,626) 8,561,141 2,443,958 (102,213) (90,130,207) (103,329,834)

Cash and cash equivalents balance at the beggining of the year 138,204,964 130,479,229 10,663,697 11,155,712 11,480,847 2,919,706 13,186,548 13,288,761 390,819,682 494,149,516

Cash and cash equivalents balance at the end of the year 160,193,924 138,204,964 11,231,541 10,663,697 10,164,221 11,480,847 15,630,506 13,186,548 300,689,473 390,819,680

Deposits at other Credit Institutions 160,193,924 138,204,964 11,231,541 10,663,697 10,164,221 11,480,847 13,130,506 13,186,548 298,189,473 390,819,680


63




2018 2017 2018 2017 2018 2017 2018 2017 2018 2017


Other receivables/ (payments) associated with the operating activities (149,833) (142,148) - (96,035) (105,566) (215,108) (210,706) (229,844) (10,408,631) (12,678,793)

Cash flows arising from operating activities (149,833) (142,148) - (96,035) (105,566) (215,108) (210,706) (229,844) (10,408,631) (12,678,793) - - - - - - - - - -


Receivables:

Client loans 31,128,634 30,550,393 - 10,421,669 16,356,744 195,377,605 129,234,608 123,286,644 1,710,114,326 1,339,760,806

Interest income 7,354,600 8,507,202 - 658,649 956,170 12,377,363 6,756,496 12,704,460 210,521,882 221,160,784

Payments - - - - - - - - - -

Loan portfolio acquisition - - - - - - - - - (525,230,785)


Cash flows arising from investing activities 38,483,234 39,057,595 - 11,080,318 17,312,914 207,754,968 135,991,104 135,991,104 1,920,636,208 1,035,690,804 - - - - - - - - - -


Receivables:

Debt securitites issued - - - - - - - - 120,727,142 280,574,158

Payments: - - - - - - - - - -

Debt securitites issued (30,625,728) (30,029,976) - (22,445,405) (34,922,895) (204,477,770) (134,352,217) (131,707,205) (1,886,460,308) (1,244,823,675)

Interest expense (7,744,965) (8,932,959) (3,516) (143,160) (157,367) (4,624,796) (2,126,641) (4,738,764) (253,236,800) (175,991,512) - - - - - - - - - -

Cash flows arising from financing activities (38,370,693) (38,962,935) (3,516) (22,588,565) (35,080,262) (209,102,566) (136,478,858) (136,445,969) (2,018,969,966) (1,140,241,029) - - - - - - - - - -

Net changes in cash and cash equivalents (37,292) (47,488) (3,516) (11,604,281) (17,872,915) (1,562,706) (698,460) (684,709) (108,742,390) (117,229,019)

Cash and cash equivalents balance at the beggining of the year 4,637,536 4,685,024 3,516 11,607,799 17,872,915 19,435,622 12,450,282 13,134,992 425,783,931 543,012,952

Cash and cash equivalents balance at the end of the year 4,600,244 4,637,536 - 3,516 - 17,872,915 11,751,823 12,450,282 317,041,540 425,783,930 - - - - - - - - - -

Deposits at other Credit Institutions 4,600,244 4,637,536 - 3,516 - 17,872,915 11,751,823 12,450,282 314,541,540 425,783,930








64



Total

2018 2017 2018 2017 2018 2017 2018 2017


Other receivables/ (payments) associated with the operating activities (328,637) (283,867) (301,186) - (103,879) - (11,142,333) (12,962,660)

Cash flows arising from operating activities (328,637) (283,867) (301,186) - (103,879) - (11,142,333) (12,962,660) - - - - - - - -


Receivables:

Client loans 145,394,390 132,192,070 131,445,103 2,573,954 - - 1,986,953,819 1,474,526,830

Interest income 10,274,746 13,235,710 10,912,838 953,724 4,782,053 - 236,491,519 235,350,218

Payments - - - - - - - -

Loan portfolio acquisition - - - (599,985,566) (649,819,131) - (649,819,131) (1,125,216,351)

Financial Investments - - - - - - - -

Cash flows arising from investing activities 155,669,136 145,427,780 142,357,941 (596,457,888) (645,037,078) - 1,573,626,206 584,660,697 - - - - - - - -


Receivables:

Debt securitites issued - - - 601,647,000 652,163,000 - 772,890,142 882,221,158

Payments: - - - - - - - -

Debt securitites issued (146,319,727) (122,275,956) (128,399,751) - (683,125) - (2,161,862,911) (1,367,099,631)

Interest expense (9,928,183) (13,383,045) (4,903,036) - (3,549,413) - (271,617,433) (189,374,557) - - - - - -

Cash flows arising from financing activities (156,247,910) (135,659,001) (133,302,787) 601,647,000 647,930,462 - (1,660,590,202) (674,253,030) - - - - - -

Net changes in cash and cash equivalents (907,412) 9,484,913 8,753,968 5,189,112 2,789,505 - (98,106,329) (102,554,993)

Cash and cash equivalents balance at the beggining of the year 16,196,246 6,711,332 5,189,112 - - - 447,169,289 549,724,284

Cash and cash equivalents balance at the end of the year 15,288,834 16,196,246 13,943,080 5,189,112 2,789,505 - 349,062,958 447,169,288 - - - - - -

Deposits at other Credit Institutions 15,288,834 16,196,246 13,943,080 5,189,112 2,789,505 - 346,562,958 447,169,288








65

1 Aqua Finance No.4

On 11 July 2017, the Company carried out the transaction “Aqua Finance No. 4”. This transaction

concerns an acquisition of a mortgage portfolio of Montepio Crédito - IFC, S.A. issuing securitised bonds

divided into 3 tranches: €140.000.000 Class A, €15.000.000 Class B, €45,200,000 Class C. The first two

were issued at the pair, while tranche C was issued with a premium of €27,102. These bonds were placed

privately and subsequently registered with the Portuguese Securities Market Commission (CMVM).

The ratings attributed at 31st December 2018 were as follows:

Moddy's DBRS

Class A A1 A (low)

Class B Baa3 BBB (low)

Class C - -

The remuneration of the first two tranches is indexed to the three-month Euribor plus a 1.05% spread for

Class A and a 2.65% spread for Class B (cap rate of 5%). The Class C bonds have no set interest rate,

with entitlement to amounts available after the transactions other responsibilities have been met, as

stipulated in its terms and conditions.

According to the contract, reimbursement date will begin on February 23, 2019 and it will mature on

June 23, 2035, the legal maturity date for every tranche.

The credit granted corresponds to repayments of principal and compensatory interest and other amounts

due to the grantor under mortgage agreements (including housing loans granted under Decree Law no.

348/98 of 11 November).

Impairment

The Company periodically assesses the impairment of its portfolio of due and past-due assets, taking into

account the type of credit granted, any existing counter-guarantees, the ageing and performance of assets

in arrears and the average impairment of the originator's credit portfolio for similar assets. The

impairment losses of securitised assets or any other factors within the transaction's scope may result in a

shortage of funds to settle the bonds' principal and interest. Exclusively the holders of the bonds will

assume these losses.


Legal Maturity Amount EUR Interest RateInt Rate on

31.12.2018

Int Rate on

31.12.2017

Aqua Finance nº 4

Class A-Notes June 2035 140,000,000 EUR 3 M + 1,05% 0.734% 0.721%

Class B-Notes June 2035 15,000,000 EUR 3 M + 2,65% 2.334% 2.321%

Class C-Notes June 2035 45,200,000 - - -

200,200,000


66

The line “Debt securities issued” records the carrying value of securitisation bonds within the scope of

the securitisation transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class

B Notes”) with variable remuneration at the six-month Euribor plus a 1.05% and 2.65% spread,

respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be the difference

between the amounts received and the remuneration paid to “Class A” and “Class B”. Each month, all

amounts received from securitised credit interest and transferred to the Company are calculated. This

amount is paid in full to the holder of the bonds.

Next, the transaction’s financial statements are shown in reference to 31st December 2018 and 2017:

Income Statement

for the years ended on 31st December 2018 and 2017

2018 2017

Interest and similar income 8,511,471 5,765,497

Interest expense and similar charges (8,120,242) (5,562,433)

Net interest income 391,229 203,065

Results from services and fees - -


value through profit or loss933,494 1,273,765

General and administrative costs (391,229) (203,065)

Total operating income 542,265 1,070,700

Impairment losses on loans, net of reversals and recoveries (933,494) (1,273,765)

Operating income - -

Income before income taxes - -

Income taxes - -

Net income for the period - -

To be read with the notes attached to the financial statements


67

Balance Sheet Statement as at 31st December 2018 and 2017

2018 2017

Assets

Deposits at other Credit Institutions 30,006,806 13,213,004

Balances due from other credit institutions - -

Loans and advances to customers 169,928,067 186,970,096

Financial assets held-for-trading - -

Other assets 2,295 2,434

Total assets 199,937,168 200,185,534

Liabilities

Other loans - -

Financial liabilities held for trading - -

Debt securities issued 199,821,219 200,074,685

Other liabilities 115,949 110,848

Total Liabilities 199,937,168 200,185,534

Equity

Share capital - -

Other equity instruments - -

Reserves and retained earnings - -


Total Equity - -

Total Equity and Liabilities 199,937,168 200,185,534



68



2018 2017


Other receivables / (payments) associated with the operating activities (412,243) (164,082)

Cash flows arising from operating activities (412,243) (164,082)


Receivables:

Client loans 15,980,865 48,109,199

Interest income 8,558,661 5,345,679

Payments

Loan portfolio acquisition - (235,863,810)

Financial Investments - -

Cash flows arising from investing activities 24,539,526 (182,408,932)


Receivables:

Debt securities issued - 200,227,102

Payments

Debt securities issued - -

Interest expense (7,333,481) (4,441,084)

Other equity instruments

Cash flows arising from financing activities (7,333,481) 195,786,018

Net changes in cash and cash equivalents 16,793,803 13,213,004

Cash and Cash equivalents balance at the beggining of the year 13,213,004 -

Cash and Cash equivalents balance at the end of the year 30,006,806 13,213,004



69

1.1 Net interest income

2018 2017


Interest from loans and advances 8,511,471 5,765,497

Interest from deposits - -

Portfolio acquisition premium - -

8,511,471 5,765,497


Interest from debt securities issued (8,121,751) (5,563,148)


Interest from other financial liabilities - -

Premium bond issue 1,509 715

(8,120,242) (5,562,433)



profit or loss

2018 2017

Gains arising from financial assets and liabilities at fair value

through profit and loss:

Operations with financial instruments- Swaps - -

Other gains araising from financial operations 933,494 1,273,765

933,494 1,273,765

Losses arising from financial assets and liabilities at fair value



Other losses araising from financial operations - -

- -

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

fair value through profit or loss933,494 1,273,765

In “Other gains/ (other losses) arising from financial operations “is included the recognition, during the

year, of the shortcoming/surplus assumed by the holders of the securities (note 1.8).


70

1.3 General and administrative costs

2018 2017

Audit fee (9,684) (17,835)

Servicer Fee (258,291) (107,305)

Issuer fee (70,139) (37,594)

Agent bank fee - -

Irish stock exchange fee - -

Rating Agency fee (21,525) -

Euronext - (22,167)

Interbolsa (5,752) (1,478)

Paying Agent fee (4,160) (1,884)

Banking fees - -

Legal Fee (338) -

Transaction Manager (13,520) (9,748)

Common Representative (5,000) (5,000)

CMVM (2,820) (55)

Commitment Fee - -

(391,229) (203,065)

1.4 Impairment losses on loans, net of reversals and recoveries

2018 2017

Loans and advances to customers:


Reversals of impairment losses 211,819 -

(933,494) (1,273,765)

1.5 Deposits at other Credit Institutions

2018 2017

Deposits 23,006,806 6,213,004

Cash Reserve 7,000,000 7,000,000

Liquidity Account - -

30,006,806 13,213,004

In “Deposits” are registered the demand deposits at Deutsche Bank, AG – London.


71

1.6 Loans and advances to customers

2018 2017

Loans 170,274,234 187,135,280

Overdue loans 1,392,779 619,331

Porfolio acquisition premium / (discount) - -

Overdue interest 95,685 69,432

Accrued interest 372,628 419,818

Lonas impairment (2,207,259) (1,273,765)

169,928,067 186,970,096

In "Loans and advances to customers" it is recorded the nominal value of the credit acquired under the

securitisation transaction totalling €193.227.102, minus amounts for interim capital receipts and

impairment losses, plus the amount of buybacks of new credit and accrued interest. Amounts for capital

receipts, buybacks of new credit and write-offs have the following breakdown:

Year Initial Balance Reimbursement Purchases Write-off Ending balance

2017 193,227,102 (48,109,199) 42,636,708 - 187,754,611

2018 187,754,611 (71,881,929) 55,794,331 - 171,667,013

Changes in impairment for credit risks have the following breakdown:

2018 2017

Loans impairment

Balance on January 1st (1,273,765) -


Reversals of impairment losses 211,819 -

Loans writen-off - -

Balance on December 31st (2,207,259) (1,273,765)

In “Loan impairment” it is recorded the estimated losses incurred in the year’s closing date, determined

in accordance with an assessment of objective evidence for impairment, per the accounting policy

described in note 1.3.

Credit impairment registered is not affected by the policy Deemed Principal Loss (DPL).

1.7 Other Assets

2018 2017

Receivables - -

Up Front Fee 2,295 2,434

2,295 2,434

In “Up- front fee” it is recorded the amount not yet recognised in the results for the initial fee paid for

the transaction, which is deferred until maturity, representing the services performed by the Company

for the transaction.


72

1.8 Debt securities issued

2018 2017

Securitisation notes 200,200,000 200,200,000

Accrued interest 1,076,790 1,122,064

Issued notes premium 24,878 26,387

Issued notes discount - -

Other (1,480,449) (1,273,765)

199,821,219 200,074,685

In the line "Other" it is being registered the estimation (shortcoming)/surplus that would be assumed by

the holders of the issued securities if the transaction ended at 31st December 2018.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in February

2019, ending in June 2035, the legal maturity date for all of the tranches. The amounts of interim

securitisation bond repayments had the following breakdown:

Year Initial Balance Reimbursement Ending balance

2017 200,200,000 - 200,200,000

2018 200,200,000 - 200,200,000

1.9 Other liabilities

2018 2017

Audit fee - 17,835

Servicer Fee 13,304 16,621

Issuer fee 5,833 5,833

Agent bank fee - -

Transaction Manager 1,127 1,127

Paying agent fee - -

Other Payables 95,685 69,432

115,949 110,848

In the line "Other Payables", it is recorded the consideration for overdue interest recognised in "Loans

and advances to customers" (note 1.6). This interest will not be recognised in the results for the year until

it is received.


73

2 Aqua Mortgage No. 1

On 08 December 2008, the Company carried out the transaction “Aqua Mortgage No. 1”. This transaction

was for the acquisition of a mortgage portfolio of Finibanco, S.A. for €233,000,000 and the respective

issuance of securitised bonds divided into 3 tranches: €203,176,000 Class A, €29,824,000 Class B,

€3,500,000 Class C. The first two were issued at par, while tranche C was issued with a premium of

€925,000. These bonds were placed privately and subsequently registered with the Portuguese Securities

Market Commission (CMVM).

The ratings attributed on 31st December 2018 were as follows:

S&P DBRS

Class A A+ AA (high)

Class B - -

Class C - -

The remuneration of the first two tranches is indexed to the six-month Euribor plus a 0.15% spread for

Class A and a 0.40% spread for Class B. The Class C bonds have no set interest rate, with entitlement to

amounts available after the transactions other responsibilities have been met, as stipulated in its terms

and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in January

2011, ending in December 2063, the legal maturity date for all of the tranches.


due to the grantor under mortgage agreements (including housing loans granted under Decree Law no.

348/98 of 11 November).

Impairment





shortage of funds to settle the bonds' principal and interest. These losses will be assumed exclusively by

the holders of the bonds.



31.12.2018

Int Rate on

31.12.2017

Aqua Mortgage No. 1

Class A-Notes December 2063 75,110,665 EUR 6 M + 0,15% - -

Class B-Notes December 2063 23,724,131 EUR 6 M + 0,40% 0.143% 0.125%

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

102,334,796

In “Debt securities issued” is recorded the carrying value of securitisation bonds within the scope of the

securitisation transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class B

Notes”) with variable remuneration at the six-month Euribor plus a 0.15% and 0.40% spread,


between the amounts received and the remuneration paid to “Class A” and “Class B”. Each month, all


74

amounts received from securitised credit interest and transferred to the Company are calculated. This


Next, the transaction's financial statements are shown in reference to 31st December 2018 and 2017:

Income Statement

For the years ended on 31st December 2018 and 2017

2018 2017





Net gains/ (losses) arising from financial assets and

liabilities at fair value through profit or loss4,441,417 1,447,528


Total operating income 4,280,613 1,294,091

Impairment losses on loans, net of reversals and recoveries (4,441,417) (1,447,528)

Operating income 1


Income taxes - -




75


2018 2017

Assets






Total assets 101,050,124 116,025,776

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -


Off-Balance sheet accounts (note 2.10)



76


For the year ended on 31st December 2018 and 2017

2018 2017





Receivables:

Client loans 14,241,657 13,111,698


Payments

Loan portfolio acquisition - -


Cash flows arising from investing activities 15,430,442 14,441,826


Receivables:


Payments

Debt securities issued (13,231,595) (13,398,757)

Interest expense (2,215,576) (815,433)


Cash flows arising from financing activities (15,447,172) (14,214,191)

Net changes in cash and cash equivalents (188,300) 73,400

Cash and Cash equivalents balance at the beggining of the year 4,775,797 4,702,397




77


2018 2017




Portfolio acquisition premium 379,271 -

3,919,678 1,320,805





Premium bond issue 16,807 16,807

(3,758,874) (1,167,368)


According to the prospectus of this transaction, the excess Cash Reserve msut be distributed as interests

to the Class C investors, and it should be recognised as Interest of issued debt. As the Cash Reserve was

established with the issuance of said Class C bonds, an impairment should be recognised (Note 2.8)

against “Other Interests”.


profit and loss

2018 2017

Gains arising from financial assets and liabilities at

fair value



Other gains araising from financial operations 4,441,417 1,447,528

4,441,417 1,447,528

Losses arising from financial assets and liabilities at

fair value through profit and loss:



- -

Net gains / (losses) arising from financial assets and

liabilities at fair value through profit or loss4,441,417 1,447,528

In “Other gains/ (other losses) arising from financial operations “is it being included the recognition,

during the year, of the shortcoming/surplus assumed by the holders of the securities (note 2.8).


78


2018 2017

Audit fee (22,841) (22,023)

Servicer Fee (58,334) (64,927)

Issuer fee (16,536) (18,589)

Agent bank fee (12,480) (12,480)

Irish stock exchange fee (2,214) (2,460)

Rating Agency fee (30,944) (30,074)

Euronext - -

Interbolsa - -

Paying Agent fee - -

Banking fees - -

Legal Fee (15,993) (2,097)

Transaction Manager - -

Common Representative - -

CMVM (1,462) (787)

Commitment Fee - -

Others - -

(160,804) (153,437)


2018 2017

Impairment losses

Reversals of impairment losses (4,441,417) (1,551,388)

Reversals for the financial year - 103,860

(4,441,417) (1,447,528)


2018 2017

Deposits 1,550,769 1,360,141

Cash Reserve 3,036,729 3,415,655


4,587,497 4,775,797

The line “Deposits” corresponds to demand deposits at Deutsche Bank, AG – London.


2018 2017

Loans 99,695,858 112,662,698

Overdue loans 289,884 309,533





96,452,265 111,239,525


79

In "Loans and advances to customers" is being recorded the nominal value of the credit acquired under

the securitisation transaction totalling €233.000.000, minus amounts for interim capital receipts and

impairment losses, plus the amount of buybacks of new credit and accrued interest. Amounts for capital

receipts, buybacks of new credit and write-offs have the following breakdown:


2008 233,000,000 (3,081,699) 229,918,301

2009 229,918,301 (23,056,808) 23,610,716 230,472,209

2010 230,472,209 (20,100,692) 21,741,901 232,113,418

2011 232,113,418 (18,494,067) 213,619,351

2012 213,619,351 (19,088,748) 194,530,603

2013 194,530,603 (19,714,316) (2,720,366) 172,095,921

2014 172,095,921 (14,179,188) (2,456,659) 155,460,074

2015 155,460,074 (11,919,788) (2,016,811) 141,523,475

2016 141,523,475 (13,517,940) - (1,374,292) 126,631,243

2017 126,631,243 (11,857,283) - (1,801,729) 112,972,231

2018 112,972,231 (12,692,589) - (293,901) 99,985,742


2018 2017

Loans impairment

Balance on January 1st (1,840,788) (2,194,988)


Reversals of impairment losses - 103,860

Loans writen-off 2,649,856 1,801,729


In the item “Loan impairment” is being recorded the estimated losses incurred in the year’s closing date,

determined in accordance with an assessment of objective evidence for impairment, per the accounting

policy described in note 1.3.

Credit impairment registered is not affected by the policy Deemed Principal Loss (DPL).

2.7 Other assets

2018 2017

Receivables 6,290 6,290


10,362 10,454

In " Up- front fee" is being recorded the amount not yet recognised in the results for the initial fee paid

for the transaction, which is deferred until maturity, representing the services performed by the Company



80


2018 2017





Other (2,821,368) (472,140)

100,971,287 115,931,205

“Other” corresponds to the estimated (shortcoming)/ surplus that would be assumed by the holders of the

issued securities, is the result of either; (i) credit impairment; (ii) to the fact that the prospects of this

transaction defines that the excess Cash Reserve should be distributed as interest to the bond’s holders.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in January

2011, ending in December 2063, the legal maturity date for all of the tranches. The amounts of interim



2011 236,500,000 (19,873,473) 216,626,527

2012 216,626,527 (21,304,892) 195,321,635

2013 195,321,635 (21,034,469) 174,287,166

2014 174,287,166 (15,559,839) 158,727,327

2015 158,727,327 (14,273,704) 144,453,623

2016 144,453,623 (15,488,474) 128,965,149

2017 128,965,149 (13,398,757) 115,566,391

2018 115,566,391 (13,231,595) 102,334,796


2018 2017

Audit fee 11,421 21,033



Agent bank fee 1,040 1,040



Other payables 60,766 65,642

- -

78,837 94,571

In "Other" is being recorded the consideration for overdue interest recognised in the item "Loans and

advances to customers" (note 2.6). This interest will not be recognised in the results for the year until it

is received.


81

2.10 Off-balance sheet accounts

2018 2017

Credits written off 7,175,778 7,254,328

Assets received as collateral 351,886,772 382,899,138

Swap interest rate - -

359,062,550 390,153,466

3 Aqua NPL No. 1

On 05 March 2015, the Company carried out the transaction “Aqua Mortgage No. 1”. This transaction

was for the acquisition, for the price of €12,727,000, of a “non-performing loan” consumer credit

portfolio with a nominal value of €160,000,072, from Montepio Crédito - IFC, S.A. along with the

issuance of securitised bonds divided into two tranches issued with a premium: €14,300,000 Class A

Notes due 2025 and €1,200,000 Class B Notes due 2025. These were placed privately and subsequently

registered with the Portuguese Securities Market Commission (CMVM). The difference between the

nominal value of the loans and their acquisition cost was written off from the portfolio prior to its

acquisition. In this way, the transaction may receive amounts up to the nominal value of the acquired

loans.

The remuneration of Class A is fixed, with an annual rate of 8%. Class B does not have a set interest rate,

with entitlement to the available amounts after the transactions other responsibilities have been fulfilled,

as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 15 April

2015, ending on 15 March 2025, the legal maturity date for all of the tranches.

However, on October 15, 2018, this operation suffered an early settlement the latter was fully reimbursed.

Impairment








The amounts received from acquired assets are transferred to the transaction's set of responsibilities in

accordance with its terms. Any surpluses generated by the assets will be paid to the holder of the bonds,

while any shortcomings will be assumed by the holder on their cancellation date, with no result in the

Company's operating accounts.


82


Income Statement


2018 2017

Interest and similar income 1,392,052 723,581

Interest expense and similar charges (1,293,955) (615,344)




fair value through profit or loss - -


Total operating income (98,097) (108,237)

Impairment losses on loans, net of reversals and recoveries - -

Operating income -


Income taxes - -


To be read with the notes attached to the financial statements.


83


2018 2017

Assets

Deposits at other Credit Institutions - 748,462


Loans and advances to customers - 3,019,084


Other assets - -

Total assets - 3,767,546

Liabilities

Other loans - -



Other liabilities - 22,458

Total Liabilities - 3,767,546

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities - 3,767,546


84



2018 2017





Receivables:

Client loans 4,411,136 4,345,051

Interest income - -

Payments





Receivables:


Payments


Interest expense (149,763) (481,837)



Net changes in cash and cash equivalents (748,462) (181,311)

Cash and Cash equivalents balance at the beggining of the year 748,462 929,773

Cash and Cash equivalents balance at the end of the year 748,462



85


2018 2017


Interest from loans and advances 1,392,052 723,581



1,392,052 723,581


Interest from debt securities issued (124,348) (453,022)



Premium bond issue (1,169,607) (162,322)

(1,293,955) (615,344)



2018 2017

Audit fee (13,576) (16,108)

Servicer Fee (14,068) (21,615)

Issuer fee (37,500) (50,030)

Agent bank fee (7,020) (9,330)


Rating Agency fee - -

Euronext - -

Interbolsa (1,478) (1,624)


Banking Commissions - -

Legal Fee (16,605) (123)



CMVM (51) (46)

Commitment Fee - -

Others - -

(98,097) (108,237)


2018 2017

Deposits - 427,322

Cash Reserve - 321,139


- 748,462

The line “Deposits” corresponds to demand deposits at Montepio Geral.


86


2018 2017

Loans - 3,019,084

Overdue loans - -


Overdue interest - -

Accrued interest - -

Lonas impairment - -

- 3,019,084

In "Loans and advances to customers”, it is being shown the acquisition cost of the acquired loans under

the securitisation transaction totalling €12,727,000, minus any interim capital receipts. The nominal

value of the loans acquired is €160,000,672. The difference vis-à-vis the acquisition cost is for loans

already written off by the originator of the transaction. Amounts for capital receipts are as follows:


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

2016 9,669,601 (4,093,842) - 1,064,795 6,640,554

2017 6,640,554 (4,345,051) - 723,581 3,019,084

2018 3,019,084 (4,411,136) - 1,392,052 -


2018 2017

Securitisation notes - 4,889,280

Accrued interest - 25,415

Issued notes premium - -

Issued notes discount - (1,169,607)

Other - -

- 3,745,088

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 15 April

2015, ending on 15 March 2025, the legal maturity date for all of the tranches. The amounts of interim



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

2016 12,363,202 (3,537,084) 8,826,118

2017 8,826,118 (3,936,839) 4,889,280

2018 4,889,280 (4,889,280) -

This operation terminated earlier, on October 2018, the latter was fully reimbursed.


87

3.6 Other liabilities 2018 2017

Audit fee - 15,375

Servicer Fee - 2,137

Issuer fee - 4,167

Agent bank fee - 780



Other payables - -

- -

- 22,458

4 BBVA Portugal RMBS no.1

On 30 December 2015, the Company carried out the transaction “BBVA Portugal RMBS No. 1”. This

transaction entailed the acquisition of a mortgage portfolio from Banco Bilbao Vizcaya Argentaria

(Portugal), S.A. for the price of €1,119,470,000, including an acquisition premium of €16,610,145 and

the issuance of securitised bonds divided into 3 tranches: €1,012,000.000 Class A, €88,000,000 Class B

and €92,200,000 Class C. The 3 tranches were issued at par. These bonds were placed privately and

subsequently registered with the Portuguese Securities Market Commission (CMVM).



amounts available after the transactions other responsibilities have been met, as stipulated in its terms

and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 30 March

2011, and will end on 30 December 2057, the legal maturity date for all of the tranches.


due to the grantor under mortgage agreements.

The operation terminated earlier, on October 15, 2018.

Impairment







Debt securities issued:

The item “Debt securities issued” records the carrying value of securitisation bonds within the scope of

the securitisation transaction. This issuance includes two tranches of bonds (“Class A Notes” and “Class

B Notes”) with variable remuneration at the three-month Euribor plus a 0.20% and 0.40% spread,


between the amounts received and the remuneration paid to “Class A” and “Class B”. Each quarter, all

amounts received from securitised credit interest and transferred to the transaction are calculated. This




88

Income Statement


2018 2017

Interest and similar income (12,827,669) 10,142,109


Net interest income (81,827,231) 1,343,189



fair value through profit or loss80,663,285 (1,422,380)

General and administrative costs (996,037) (1,343,189)

Total operating income 79,667,247 (2,765,569)

Impairment losses on loans, net of reversals and recoveries 2,159,984 1,422,380

Operating income -


Income taxes - -




89


2018 2017

Assets

Deposits at other Credit Institutions - 87,571,488




Other assets - -

Total assets - 1,020,910,251

Liabilities

Other loans - -


Debt securities issued - 1,020,872,738


Total Liabilities - 1,020,910,251

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities - 1,020,910,251

Off-balance sheet accounts (note 4.9)



90



2018 2017


Other receivables / (payments) associated with the operating activities (1,288,182) (1,339,801)

Cash flows arising from operating activities (1,288,182) (1,339,801)


Receivables:

Client loans 919,319,965 98,285,811


Payments





Receivables:


Payments




Cash flows arising from financing activities (1,008,948,338) (107,365,669)

Net changes in cash and cash equivalents (87,571,488) (5,466,598)


Cash and Cash equivalents balance at the end of the year - 87,571,488



91


2018 2017



Interest from deposits (15,816,504) (395,196)

Portfolio acquisition premium - 5,643,022

(12,827,669) 10,142,109



Interest from deposits (635,811) (631,512)


Premium bond issue 18,539,714 463,239

(68,999,562) (8,798,921)

Net interest income (81,827,231) 1,343,189

As defined in the prospectus of the transaction, the excess Cash Reserve is being distributed as interest

to the holders of Class C bonds, and is recognised under the heading Interest on securities issued.

Because Cash Reserve was created with the issuance of the aforementioned Class C bonds, an

impairment loss is recognised (see Note 4.7) against the item Other Interest.

At settlement, the balance of Cash Reserve and of Collections of remaining credit, after reimbursement

of Class A and B bonds, and after all obligations being paid, was distributed to the Class C Bonds

investors in the form of interest. That amount is allocated to the Interest of issued debt item against the

Others costs and losses from financial operations item (see Note 4.2).

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

2018 2017




Other gains araising from financial operations - -

- -




Other losses araising from financial operations 80,663,285 (1,422,380)

80,663,285 (1,422,380)

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

at fair value through profit or loss80,663,285 (1,422,380)

In the items "Other gains/losses in financial operations" it is being included the recognition, during the

year, of the shortcoming/surplus assumed by the holders of the securities (note 4.7).


92


2018 2017

Audit fee (21,721) (25,740)

Servicer Fee (709,682) (1,001,985)

Issuer fee (154,866) (217,519)




Euronext - (134)

Interbolsa (18,260) (21,044)


Banking Commissions (34,614) (82)

Legal Fee (1,845) (8,385)



CMVM (14,014) (8,113)

Commitment Fee - -

Others - -

(996,037) (1,343,189)


2018 2017

Impairment losses

Reversals of impairment losses - (467,419)

Reversals for the financial year 2,159,984 1,889,799

2,159,984 1,422,380


2018 2017

Deposits - 5,189,493

Cash Reserve - 82,381,995


- 87,571,488

The corresponding amount in “Deposits” corresponds to demand deposits at CitiBank – London Branch.


2018 2017

Loans - 920,121,086

Overdue loans - 17,491

Porfolio acquisition premium / (discount) - 15,816,504

Overdue interest - 6,046


Lonas impairment - (2,978,596)

- 933,338,763


93

The item "Loans and advances to customers" records the nominal value of the credit acquired under the

securitisation transaction totalling €1.102.859.855, minus interim capital receipts and impairment losses.

This item includes the loan acquisition premium paid in full at the start of the transaction, totalling

€16.610.145, and accrued interest. Amounts for capital receipts are as follows:


2015 1,102,859,855 (4,118,912) 1,098,740,943

2016 1,098,740,943 (80,316,556) - - 1,018,424,388

2017 1,018,424,388 (98,286,924) 1,114 - 920,138,577

2018 920,138,577 (919,319,965) - (818,612) -


2018 2017

Loans impairment


Impairment losses - (467,419)


Loans writen-off 818,612 -

Balance on December 31st - (2,978,596)

The item "Loan impairment" records the estimated losses incurred in the year's closing date, determined




2018 2017

Securitisation notes - 1,007,828,760

Accrued interest - 6,542,640

Issued notes premium - 18,539,714


Other - (12,038,375)

- 1,020,872,738

The item “other” corresponds to the estimated loss that the holders will assume due to (i) impairment of

the credit portfolio; and (ii) the estimation of loss that will be payed by the securities’ owners. The

prospectus of the transaction defines that the excess Cash Reserve, which was constituted with the issue

of the said Class C bonds, is distributed as interest to the holders of these bonds.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 30 March

2016, ending on 30 March 2057, the legal maturity date for all of the tranches. The amounts of interim



2016 1,192,200,000 (83,280,105) 1,108,919,895

2017 1,108,919,895 (101,091,136) 1,007,828,760

2018 1,007,828,760 (1,007,828,760) -


94


2018 2017

Audit fee - 24,600


Issuer fee - 1,120

Agent bank fee - 607



Other payables - 6,046

- -

- 37,513

The item "Other" records the consideration for overdue interest recognised in the item "Loans and


is received.


2018 2017

Credits written off - -

Assets received as collateral - 1,883,139,247


- 1,883,139,247

5 Castilho Mortgages No.1

On 25 September 2013, the Company carried out the transaction “Castilho Mortgages No. 1”. This

transaction was for the acquisition of a mortgage portfolio of Deutsche Bank AG (Portugal branch) in

the amount of €1,332,764,298 and the respective issuance of securitised bonds divided into 4 tranches:

€1,132,800,000 Class A, €199,900,000 Class B, €40,500,000 Class C and €1 Variable Funding Note.

The 4 tranches were issued at par. These bonds were placed privately and subsequently registered with

the Portuguese Securities Market Commission (CMVM).


Fitch DBRS

Class A A+ AA

Class B - -

Class C - -

VFN - -



amounts available after the transaction's other responsibilities have been met, as stipulated in its terms

and conditions. The Variable Funding Note only provides entitlement to receive borrowed capital.

Pursuant to the provisions of the contractual agreement, with the exception of Class C, the bonds'

repayment date began on 22 October 2016, ending on 22 October 2058, the legal maturity date for all of

the tranches. The first repayment of Class C occurred in 2014.




95

Impairment









31.12.2018

Int Rate on

31.12.2017

Castilho Mortagages No.1

Class A - Notes October 2058 736,153,383 EUR 3 M + 0,30% - -

Class B - Notes October 2058 199,900,000 EUR 3 M + 0,50% 0.179% 0.168%

Class C - Notes October 2058 39,981,000 - - -

Variable Funding Note October 2058 1 - - -

976,034,384


the securitisation transaction. This issuance corresponds to 4 tranches of bonds. The remuneration of the

first two tranches is indexed to the three-month Euribor plus a 0.3% spread for Class A and a 0.50%

spread for Class B. The Class C bonds have no set interest rate, with entitlement to amounts available

after the transaction's other responsibilities have been met, as stipulated in its terms and conditions. The

Variable Funding Note only provides entitlement to receive borrowed capital.



96

Income Statement


2018 2017



Net interest income 1,211,998 1,377,867



value through profit or loss2,269,693 1,222,022

General and administrative costs (1,211,998) (1,377,867)

Total operating income 1,057,695 (155,845)




Income taxes - -




97


2018 2017

Assets





Other assets 24,886,675 4,526

Total assets 967,827,600 1,062,465,434

Liabilities

Other loans - -


Debt securities issued 967,603,450 1,062,183,292


Total Liabilities 967,827,600 1,062,465,434

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities 967,827,600 1,062,465,434




98



2018 2017





Receivables:

Client loans 67,068,926 105,351,836


Payments





Receivables:


Payments










99


2018 2017




Portfolio acquisition premium (9,973) (9,973)

5,750,415 5,774,627





Premium bond issue - -

(4,538,417) (4,396,760)



2018 2017





2,269,693 1,222,022





- -


fair value through profit or loss2,269,693 1,222,022

The items “Other gains/ (other losses) arising from financial operations “include the recognition, during

the year, of the shortcoming/surplus assumed by the holders of the securities (note 5.8).


100

5.3 General and administrative costs 2018 2017

Audit fee (1,057) (25,777)

Servicer Fee (979,974) (1,077,447)

Issuer fee (168,044) (221,655)




Euronext (66) -

Interbolsa (19,984) (28,733)


Banking comissions - -

Legal Fee (8,381) (9,802)



CMVM (22,012) (986)

Commitment Fee - -

Others - -

(1,211,998) (1,377,867)


2018 2017

Impairment losses


Reversals for the financial year - 17,727

(2,269,693) (1,222,022)


2018 2017

Deposits 7,685 26,701,010

Cash Reserve 39,981,000 39,981,000

Liquidity Account 1 1

39,988,686 66,682,011

The item “Deposits” corresponds to demand deposits at Deutsche Bank, AG – Portugal branch.

5.6 Loans and advances to customers 2018 2017

Loans 903,907,555 995,351,085


Porfolio acquisition premium / (discount) 397,267 407,240



Lonas impairment (1,821,659) (456,359)

902,952,238 995,778,897


securitisation transaction totalling €1,332,764,298, minus interim capital receipts and impairment losses,

plus the amount of buybacks of new credit, accrued interest and financing costs for the portfolio's

acquisition (this cost is amortised over the transaction's lifetime).


101

Amounts for interim capital receipts, buybacks of new credit and write-offs have the following

breakdown:


2013 1,332,764,298 (26,405,170) 104 1,306,463,565

2014 1,306,463,565 (70,952,559) 46,618,446 (1,015,763) 1,281,113,689

2015 1,281,113,689 (83,692,476) (3,187,523) 1,194,233,690

2016 1,194,233,690 (97,958,797) - (2,138,668) 1,094,136,226

2017 1,094,136,226 (97,294,079) - (1,422,812) 995,419,335

2018 995,419,335 (90,538,579) - (904,394) 903,976,363


2018 2017

Loans impairment

Balance on January 1st (456,359) (657,149)


Reversals of impairment losses - 17,727

Loans writen-off 904,394 1,422,812

Balance on December 31st (1,821,659) (456,359)

The item "Loan impairment" records the estimated losses incurred in the year’s closing date, determined



5.7 Other assets

2018 2017

Receivables 24,882,259 -


24,886,675 4,526

The entire item "Receivable" is from principal and interest already charged by the originator, but whose

financial transfer to the transaction did only occur in 2019.

The item "Up-front fee" records the amount not yet recognised in the results for the initial fee paid for



5.8 Debt securities issued 2018 2017

Securitisation notes 976,034,384 1,068,349,754




Other (10,490,818) (8,221,125)

967,603,450 1,062,183,292


holders of the issued securities if the transaction ended on 31st December 2018.


102

Pursuant to the provisions of the contractual agreement, with the exception of Class C, the bonds'

repayment date began on 22 October 2016, ending on 22 October 2058, the legal maturity date for all of

the tranches. The first repayment of Class C occurred in 2014.

Year Initial

Balance Amortization Ending

Balance

2013 1.373.200.001 - 1.373.200.001

2014 1.373.200.001 (519) 1.372.681.001

2015 1.372.681.001 - 1.372.681.001

2016 1.372.681.001 (74.802.230) 1.297.878.771

2017 1.297.878.771 (229.529.017) 1.068.349.754

2018 1.068.349.754 (92.315.370) 976.034.384


2018 2017

Audit fee - 24,600

Servicer Fee 180,337 195,690

Issuer fee 34,161 54,080





- -

224,150 282,142



is received.


2018 2017


Assets received as collateral 2,988,235,102 3,130,074,498


2,992,632,193 3,134,475,959


103

6 Chaves Funding No. 7

On 10 July 2017, the Company carried out the transaction “Chaves Funding No.7”. This transaction was

for the acquisition of a portfolio of consumer credit lines and savings plans of 321 Crédito – IFC, S.A in

the amount of €28,800,000 and the respective issuance of securitised bonds divided into 2 tranches:

€25,800,000 Class A, €17,000,000 Class B, Tranche A was issued at par and B was issued with a

premium of 22,575.. These bonds were placed privately and subsequently registered with the Portuguese

Securities Market Commission (CMVM).


Fitch S&P

Class A n.a n.a

Class B - -

Class A remunerations is indexed to 1-Month Euribor plus a spread of 1.25%. Class B does not have a

defined interest rate. Pursuant to the provisions of the contractual agreement, the bonds' remuneration

(including the repayment of capital) is dependent on the assets' performance; in the event of these assets'

delinquency, this is fully reflected in the remuneration of the bonds.

In accordance with the contractual provisions, the date of repayment of the obligations will begin on

August 20, 2019 ending on March 20, 2035, the legal maturity date for all tranches.

The credits assigned correspond to capital repayment benefits and the payment of interest and other

amounts due to the assignor under mortgage loan agreements.

Impairment









31.12.2018

Int Rate on

31.12.2017

Chaves Funding No. 7

Class A - Notes March 2035 159,200,000 EUR 1 M + 1,25% 1.250% 1.250%

Class B - Notes March 2035 40,162,576 - - -

199,362,576


the securitisation transaction. This issuance corresponds to 2 tranches of bonds. The remuneration of the

first tranche is indexed to the one-month Euribor plus a 1.25% spread. The Class B bonds have no set

interest rate; with entitlement to amounts available after the transactions of the other responsibilities have

been met, as stipulated in its terms and conditions. The Variable Funding Note only provides entitlement

to receive borrowed capital.

Next, the transaction’s financial statements are shown in reference to 31st December 2018 and 2017:


104

Income Statement


2018 2017



Net interest income 1,074,278 663,660




General and administrative costs (1,034,791) (629,235)





Income taxes - -




105


2018 2017

Assets






Total assets 198,221,805 78,311,773

Liabilities

Other loans - -

Financial liabilities held for trading 23,517 18,198




Equity

Share capital - -




Total Equity - -





106



2018 2017


Other receivables / (payments) associated with the operating activities (1,011,813) (594,876)

Cash flows arising from operating activities (1,011,813) (594,876)


Receivables:

Client loans (118,626,949) 8,260,502

Interest income 10,336,275 2,119,892

Payments



Cash flows arising from investing activities (108,290,674) (75,856,255)


Receivables:


Payments

Debt securities issued (1,258,995) (522,713)

Interest expense (6,908,182) (618,740)


Cash flows arising from financing activities 112,559,965 79,205,604






107


2018 2017





10,819,430 2,380,434





Premium bond issue 1,748 135

(9,745,152) (1,716,775)

Net interest income 1,074,278 663,660


2018 2017



Operations with financial instruments- Swaps 34,068 16,227


2,563,265 2,871,885



Operations with financial instruments- Swaps (39,387) (34,425)

Other losses araising from financial operations (34,168) (16,227)

(73,555) (50,652)



The item profits/ (losses) in Operations with financial instruments –swaps includes fair value variations

and the accrued interest on financial derivatives.




108


2018 2017

Audit fee (17,716) (15,375)

Servicer Fee (366,997) (88,360)

Issuer fee (68,616) (35,135)

Agent bank fee - -



Euronext - -

Interbolsa (5,996) (1,223)


Banking fees - -

Legal Fee (24,513) (118,713)



CMVM (1,340) -

Commitment Fee (427,380) (353,628)

Others (84,140) (680)

(1,034,791) (629,235)


2018 2017

Impairment losses


Reversals for the financial year - -

(2,529,197) (2,855,658)


2018 2017

Deposits 5,311,060 2,254,472

Cash Reserve 700,890 500,000


6,011,950 2,754,472

The item “Deposits” corresponds to demand deposits at Citibank, – London branch.


109


2018 2017

Loans 194,746,225 77,463,383






192,205,272 75,552,435


securitisation transaction totalling €42.322.575, minus interim capital receipts and impairment losses,

plus the amount of buybacks of new credit, accrued interest and financing costs for the portfolio's

acquisition (this cost is amortised over the transaction's lifetime).


breakdown:


2017 42,322,575 (8,260,501) 44,006,734 (425,113) 77,643,695

2018 77,643,695 (30,160,998) 148,787,947 (1,257,910) 195,012,733


2018 2017

Loans impairment

Balance on January 1st (2,430,545) -


Reversals of impairment losses - -

Loans writen-off 1,257,910 425,113


The item “Loan impairment” records the estimated losses incurred in the year’s closing date, determined



6.7 Other assets

2018 2017

Receivables - -


4,583 4,865


110

6.8 Financial liabilities held for trading

2018 2017

Swaps - 133

- 489

126 4,870

636 12,705

22,746 -

9 -

23,517 18,198

The items Swaps refers to the fair value of the interest rating swap operation, made in scope of Chaves

Funding Nº.7 transaction and the respective accrued interest.

The breakdown of the fair value of Swap for the years ended on 31st December 2018 and 2017 is as

follows:

Notianal Maturity Fair value in: Fair value in:

Amount 2018 2017

Swap 1 50,000,000 28-03-2019 0 133

Swap 2 25,000,000 28-08-2019 0 489

Swap 3 25,000,000 20-06-2020 126 4,870

Swap 4 25,000,000 20-12-2020 636 12,705

Swap 5 25,000,000 20-10-2022 22,746 -

Swap 6 25,000,000 20-12-2019 9 -

175,000,000 23,517 18,198

As previously referred, the counterparty of this derivative is Citibank.


2018 2017


Accrued interest 3,408,188 784,427



Other (4,805,760) (2,525,688)

197,985,696 78,175,609


2018 2017

Audit fee 9,368 15,375



Agent bank fee - -




- -

212,592 117,966


111

The item “Other payables” includes the counterparty of the accrued interest already detailed on the item

“Loans and advances to customers” (note 6.6). This interest will only be recognised when received.


2018 2017

Credits written off 1,683,024 375,798

Assets received as collateral - -

Swap interest rate 175,000,000 125,000,000

176,683,024 125,375,798

7 Lusitano Finance No. 3

On 25 November 2011, the Company carried out the transaction “Lusitano Finance No. 3”. This

transaction was for the acquisition of a portfolio of consumer credit lines and savings plans of Banco

Espírito Santo, S.A. in the amount of €657,980,973 and the respective issuance of securitised bonds

divided into 3 tranches: €450,700,000 Class A, €207,200,000 Class B, €20,000,000 Class C. Class C was

issued at a premium. These bonds were placed privately and subsequently registered with the Portuguese

Securities Market Commission (CMVM). The bonds' remuneration is indexed to the three-month

Euribor, plus a spread of 1% and 2% for Class A and Class B, respectively. The Class C Bonds do not

have a set interest rate, with entitlement to the available amounts after the transaction's other

responsibilities have been fulfilled, as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 21st January

2012, ending on 21 October 2029, the legal maturity date for all of the tranches. Pursuant to the provisions

of the contractual agreement, the bonds' remuneration (including the repayment of capital) is dependent

on the assets' performance; in the event of these assets' delinquency, this is fully reflected in the

remuneration of the bonds.

The operation terminated earlier, on October 17, 2018. The remaining class B and C were fully

reimbursed.

Impairment








The item “Debt securities issued” records the carrying value of securitisation bonds issued within the

scope of the securitisation transaction. This issuance includes three tranches of bonds (“Class A Notes”

and “Class B Notes”) with variable remuneration indexed to the three-month Euribor plus a 1% and 2%

spread, respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be the

difference between the amounts received and the remuneration paid to “Class A” and “Class B”. Each

quarter, all amounts received from securitised credit interest and transferred to the transaction are

calculated. This amount minus costs will be paid to the holders of the bonds.



112

Income Statement


2018 2017

Interest and similar income (1,822,201) 2,014,157

Interest expense and similar charges 1,944,054 (1,865,629)




value through profit or loss2,487 (1,657,553)


Total operating income (119,365) (1,806,081)

Impairment losses on loans, net of reversals and recoveries (2,487) 1,657,553

Operating income -


Income taxes - -




113

Balance Sheet Statement

as at 31st December 2018 and 2017

2018 2017

Assets





Other assets - 6,562


Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -





114



2018 2017





Receivables:

Client loans 43,624,362 26,189,439

Interest income 882,396 2,078,746

Payments





Receivables:


Payments










115


2018 2017




Portfolio acquisition premium (2,935,116) (248,450)

(1,822,201) 2,014,157





Premium bond issue 3,164,771 267,890

1,944,054 (1,865,629)



2018 2017




Other gains araising from financial operations 2,487 -

2,487 -




Other losses araising from financial operations - (1,657,553)

- (1,657,553)


fair value through profit or loss2,487 (1,657,553)




116


2018 2017

Audit fee (27,151) (32,187)

Servicer Fee (52,652) (99,169)

Issuer fee (10,979) (8,644)




Euronext - -

Interbolsa (2,336) (2,808)


Banking Commissions (4) -

Legal Fee (23,665) (123)



CMVM (1,165) -

Commitment Fee - -

Others - -

(121,853) (148,528)


2018 2017

Impairment losses

Reversals of impairment losses (26,445) -

Reversals for the financial year 23,958 1,657,553

(2,487) 1,657,553


2018 2017

Deposits - 6,038,935

Cash Reserve - 10,000,000


- 16,038,935

The item “Deposits” corresponds to demand deposits at NOVO BANCO – London Branch.


2018 2017

Loans - 43,604,369

Overdue loans - 498,927

Porfolio acquisition premium / (discount) - 2,935,116

Overdue interest - 105,241


Lonas impairment - (730,377)

- 46,477,194


117


securitisation transaction totalling €657.980.973, minus interim capital receipts and impairment losses,

and plus accrued interest. Amounts for capital receipts and write-offs have the following breakdown:


2011 657,980,973 (29,242,647) 628,738,326

2012 628,738,326 (196,077,635) (71) 432,589,422

2013 432,589,422 (143,741,122) (1,761,723) 287,086,577

2014 287,086,577 (102,931,991) (5,566,507) 178,588,079

2015 178,588,079 (61,451,831) (3,268,446) 113,867,802

2016 113,867,802 (41,204,251) - (1,701,663) 70,961,888

2017 70,961,888 (26,190,147) 708 (669,153) 44,103,296

2018 44,103,296 (43,624,507) 145 (478,934) -


2018 2017

Loans impairment

Balance on January 1st (730,377) (3,321,929)

Impairment losses (26,445) -

Reversals of impairment losses 23,958 1,657,553

Loans writen-off 732,865 933,998

Balance on December 31st - (730,377)




7.7 Other assets

2018 2017

Receivables - -

Up Front Fee - 6,562

- 6,562






118

2018 2017



Issued notes premium - 3,164,771


Other - (311,858)

- 62,368,609

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 21st January

2012, ending on 21 October 2029, the legal maturity date for all of the tranches.

On October 17, 2018, this operation terminated and was fully reimbursed.

The amounts of interim securitisation bond repayments had the following breakdown:


2011 677,900,000 - 677,900,000

2012 677,900,000 (181,420,902) 496,479,098

2013 496,479,098 (172,006,594) 324,472,504

2014 324,472,504 (116,543,627) 207,928,877

2015 207,928,877 (72,231,494) 135,697,383

2016 135,697,383 (47,014,509) 88,682,874

2017 88,682,874 (29,770,206) 58,912,668

2018 58,912,668 (58,912,668) -

7.9 Other liabilites

2018 2017

Audit fee - 30,750


Issuer fee - 1,242

Agent bank fee - 1,300


Paying agent fee - 1,300

Other payables - 105,241

- -

- 154,081



is received.


119


2018 2017

Credits written off - 12,442,243



- 12,442,243

8 Pelican Finance No. 1

On 30 April 2014, the Company carried out the transaction “Pelican Finance No. 1”. This transaction

entailed the acquisition of a portfolio of consumer credit lines and auto loans of Caixa Económica

Montepio Geral totalling €293,994,013.71, with €176,535,071.95 from Montepio and €117,458,941.71

from Montepio Crédito. In addition, the transaction resulted in the issuance of securitised bonds divided

into 3 tranches: €202,900,000 Class A, €91,100,000 Class B, €14,700,000 Class C. The 3 tranches were

issued at par. These bonds were placed privately and subsequently registered with the Portuguese



Fitch DBRS

Class A Notes A+ A

Class B Notes - -

Class C Notes - -

The remuneration of the first 2 tranches is fixed at 3% for Class A and at 4% for Class B. The Class C

Bonds do not have a set interest rate, with entitlement to the available amounts after the transaction's

other responsibilities have been fulfilled, as stipulated in its terms and conditions.

The Class A Notes are registered with the securities settlement company Interbolsa and listed on the

Euronext Lisbon stock exchange. Pursuant to the provisions of the contractual agreement, the bonds'

repayment date will begin in November 2017, ending in December 2028, the legal maturity date for all

of the tranches.

Pursuant to the provisions of the contractual agreement, the bonds' remuneration (including the

repayment of capital) is dependent on the assets' performance; in the event of these assets' delinquency,

this is fully reflected in the remuneration of the bonds.


due to the grantor under agreements for the granting of consumer credit lines and auto loans.

Impairment








120



31.12.2018

Int Rate on

31.12.2017

Pelican Finance No.1

Class A Notes December 2028 116,042,221 Fixa 3.000% 3.000%

Class B Notes December 2028 70,960,970 Fixa 4.000% 4.000%

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

201,703,191


scope of the securitisation transaction. This issuance includes three tranches of bonds (“Class A Notes”

and “Class B Notes”) with fixed remuneration of 3% and 4%, respectively, and a third tranche of bonds

(“Class C Notes”) whose remuneration will be the difference between the amounts received and the

remuneration paid to “Class A” and “Class B”.


Income Statement


2018 2017












Income taxes - -




121


2018 2017

Assets






Total assets 201,914,906 301,217,373

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




122



2018 2017





Receivables:

Client loans 92,777,570 6,263,165

Interest income 17,636,890 21,702,965

Payments





Receivables:


Payments





Net changes in cash and cash equivalents (2,625,116) (431,888)





123


2018 2017





17,365,688 21,686,495



Interest from deposits (96,165) (114,933)



(16,961,383) (21,184,566)



2018 2017





2,792,369 1,817,700





- -



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

shortcoming/surplus assumed by the holders of the securities (note 8.8).


124


2018 2017

Audit fee (22,039) (21,236)

Servicer Fee (264,633) (348,692)

Issuer fee (49,764) (67,076)

Agent bank fee (10,400) (8,733)



Euronext (136) (161)

Interbolsa (8,271) (8,310)



Legal Fee (6,251) (6,416)



CMVM (3,785) (2,279)

Commitment Fee - -

Others - -

(404,305) (501,929)


2018 2017

Impairment losses


Reversals for the financial year 421,357 889,601

(2,792,369) (1,817,700)


2018 2017

Deposits 8,173,892 10,799,008

Cash Reserve 14,700,449 14,700,449


22,874,341 25,499,457

The item “Deposits” corresponds to demand deposits at Deutsche Bank, AG – London.


2018 2017

Loans 182,741,549 277,894,203

Overdue loans 5,464,107 4,103,478





179,037,153 275,714,164


125


securitisation transaction totalling €293,994,014, minus interim capital receipts and impairment losses,

plus the amount of buybacks of new credit and accrued interest.


breakdown:


2014 293,994,014 (91,411,564) 82,569,467 (5) 285,146,419

2015 285,146,419 (117,683,453) 119,853,708 (6) 287,310,671

2016 287,310,671 (114,340,019) 116,078,840 (16,980) 289,032,512

2017 289,032,512 (109,400,082) 102,247,316 117,936 281,997,681

2018 281,997,681 (93,792,026) - - 188,205,655


2018 2017

Loans impairment



Reversals of impairment losses 421,357 889,601

Loans writen-off - 34,195





The amount of impairment registed is under the Deemed Principal Loss (DPL) policy.

8.7 Other assets

2018 2017

Receivables - -


3,411 3,752





2018 2017





Other (2,510,476) (1,428,469)

200,983,063 300,445,548


126



8.9. Other liabilities

2018 2017

Audit fee 11,020 20,295



Agent bank fee 867 867




- -

931,843 771,825



is received.


127

9 Nostrum Mortgages No. 2

On 05 November 2010, the Company carried out the transaction “Nostrum Mortgages No. 2”. This

transaction was for the acquisition of a mortgage portfolio of Caixa Geral de Depósitos in the amount of

€5,345,050,000 and the respective issuance of securitised bonds divided into 3 tranches: €4,008,800,000

Class A, €1,336,250,000 Class B, €84,900,000 Class C. The 3 tranches were issued at par. These bonds

were placed privately and subsequently registered with the Portuguese Securities Market Commission

(CMVM).


Fitch Moody's S&P

Class A AA A1 A

Class B - - -

Class C - - -

The bonds' remuneration is indexed to the three-month Euribor, plus a spread of 0.2% and 0.3% for Class

A and Class B, respectively. The Class C Bonds do not have a set interest rate, with entitlement to the

available amounts after the transaction's other responsibilities have been fulfilled, as stipulated in its

terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began on 20 February

2011, ending on 20 May 2065, the legal maturity date for all of the tranches. Pursuant to the provisions

of the contractual agreement, the bonds' remuneration (including the repayment of capital) is dependent

on the assets' performance; in the event of these assets' delinquency, this is fully reflected in the

remuneration of the bonds.



Impairment





shortage of funds to settle the bonds' principal and interest. These losses will be assumed exclusively by

the holders of the bonds.



31.12.2018

Int Rate on

31.12.2017

Nostrum Mortgage No.2

Class A-Notes May 2065 2,068,256,035 EUR 3 M + 0,2% - -

Class B-Notes May 2065 1,336,250,000 EUR 3 M + 0,3% - -

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

3,484,681,785


scope of the securitisation transaction. This issuance includes two tranches of bonds (“Class A Notes”

and “Class B Notes”) with variable remuneration indexed to the three-month Euribor plus a 0.2% and

0.3% spread, respectively, and a third tranche of bonds (“Class C Notes”) whose remuneration will be


128

the difference between the amounts received and the remuneration paid to“Class A” and “Class B”. Each

quarter, all amounts received from securitised credit interest and transferred to the transaction are

calculated. This amount minus costs will be paid to the holders of the bonds.


Income Statement


2018 2017












Income taxes - -




129


2018 2017

Assets


Balances due from other credit institutions 24,819,072 28,412,205

Loans and advances to customers 3,346,340,105 3,644,150,268


Other assets - -

Total assets 3,531,353,102 3,810,767,437

Liabilities

Other loans - -

Financial liabilities held for trading 23,352,856 30,160,923

Debt securities issued 3,482,956,728 3,751,923,917

Other liabilities 25,043,518 28,682,596

Total Liabilities 3,531,353,102 3,810,767,437

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities 3,531,353,102 3,810,767,437




130



2018 2017





Receivables:

Client loans 291,425,695 275,252,421

Interest income 83,100,478 67,494,246

Payments





Receivables:


Payments










131


2018 2017





64,406,999 47,543,677






(57,924,857) (39,684,485)



2018 2017



Operations with financial instruments- Swaps 27,999,166 30,774,318


39,151,443 47,371,542



Operations with financial instruments- Swaps (26,719,230) (27,200,440)

Other losses araising from financial operations (9,562,533) (11,090,210)

(36,281,763) (38,290,651)



The item "Profits/ (losses) in transactions with financial trading instruments – swaps" includes changes

in fair value and interest accrued from financial derivatives.

The items “Other gains/ (other losses) arising from financial operations” include the recognition, during



132


2018 2017

Audit fee (33,392) (32,187)

Servicer Fee (360,625) (390,651)

Issuer fee (270,469) (292,988)

Agent bank fee (15,600) (15,600)

Irish stock exchange fee - (312)


Euronext (50) (66)

Interbolsa (79,078) (80,290)


Banking Commissions (650) (650)

Legal Fee (738) (3,487)



CMVM (51,705) (29,004)

Commitment Fee (467) (284)

Others - -

(889,597) (931,566)


2018 2017

Impairment losses


Reversals for the financial year 591,507 1,114,409

(8,462,226) (16,008,519)


2018 2017

Deposits 80,018,174 58,029,214

Cash Reserve 80,175,750 80,175,750


160,193,924 138,204,964

The item “Deposits” corresponds to demand deposits at Banco Santander SA (Madrid).


133

9.6 Balances due from other credit institutions

2018 2017

Deposits at other credit institutions 24,819,072 28,412,205

24,819,072 28,412,205

The balance of this account corresponds to the margin account under the contracted swap.


2018 2017

Loans 3,348,736,224 3,649,237,914

Overdue loans 4,000,869 3,892,638



Accrued interest 877,457 1,022,664


3,346,340,105 3,644,150,268


securitisation transaction totalling €5,345,050,000, minus interim capital receipts and impairment losses,

and plus accrued interest. Amounts for capital receipts and write-offs have the following breakdown:


2010 5,345,050,000 (64,014,228) - 5,281,035,772

2011 5,281,035,772 (219,759,792) (1,688,477) 5,059,587,503

2012 5,059,587,503 (144,048,444) (54,362,910) 4,861,176,149

2013 4,861,176,149 (158,505,681) (57,347,593) 4,645,322,875

2014 4,645,322,875 (173,084,405) (27,033,951) 4,445,204,519

2015 4,445,204,519 (201,652,366) (31,796,125) 4,211,756,028

2016 4,211,756,028 (241,503,460) 139,859 (26,889,806) 3,943,502,622

2017 3,943,502,622 (272,317,426) 86,307 (18,140,950) 3,653,130,552

2018 3,653,130,552 (289,179,633) - (11,213,827) 3,352,737,092


2018 2017

Loans impairment



Reversals of impairment losses 591,507 1,114,409

Loans writen-off 11,216,655 18,140,950






134

9.8 Financial Liabilities held for trading

2018 2017

Swaps 23,352,856 30,160,923

23,352,856 30,160,923

The item "Swaps" corresponds to the fair value of the interest rate swap under the Nostrum Mortgages

No. 2 transaction and accrued interest.

The detail of the fair value of the swap in reference to 31st December 2018 and 2017 is shown in the

following table:

Montante Maturidade Justo valor em: Justo valor em:

Nocional 2018 2017

Nostrum Mortgage No.2 3,393,436,181 Maio 2065 22,707,745 29,580,227

The counterparty of the Derivative is Bank Santander, S.A.


2018 2017

Securitisation notes 3,484,681,785 3,784,109,514




Other (41,580,338) (52,602,423)

3,482,956,728 3,751,923,917

The item "Other" recognizes the shortcoming/surplus that would be assumed by the holders of the issued

securities if the transactions were closed out on 31st December 2018.

The amounts of interim repayments had the following breakdown:


2011 5,429,950,000 (267,213,955) 5,162,736,045

2012 5,162,736,045 (183,537,385) 4,979,198,660

2013 4,979,198,660 (220,287,043) 4,758,911,617

2014 4,758,911,617 (198,112,853) 4,560,798,764

2015 4,560,798,764 (226,709,509) 4,334,089,255

2016 4,334,089,255 (265,769,087) 4,068,320,168

2017 4,068,320,168 (284,210,654) 3,784,109,514

2018 3,784,109,514 (299,427,729) 3,484,681,785


135


2018 2017

Audit fee 16,696 30,750


Issuer fee 29,084 31,642




Other payables 24,956,359 28,575,416

- -

25,043,518 28,682,596

The item "Other" includes the consideration for overdue interest recognised in the item "Loans and


is received. On 31st of December 2018, this item had a balance on the amount of €24.819.072 for the

margin account under the contracted swap.


2018 2017


Assets received as collateral 5,531,337,413 4,747,449,571

Swap interest rate 3,393,436,181 3,828,450,926

9,028,743,643 8,706,518,463


136

10 Silk Finance No. 4

On 16 November 2015, the Company carried out the transaction “Silk Finance No. 4”. This transaction

was for the acquisition of a consumer credit portfolio of Banco Santander Consumer Portugal, S.A. in

the amount of €611,022,649 and the respective issuance of securitised bonds divided into 4 tranches:

€509,400,000 Class A, €101,500,000 Class B, €3,700,000 Class C and €1 Variable Funding Note. The 4

tranches were issued at par. These bonds were placed privately and subsequently registered with the

Portuguese Securities Market Commission (CMVM).

The ratings for the different classes on 31st December 2018 were as follows:

S&P DBRS

Class A Notes A A

Class B Notes - -

Class C Notes - -

VFN - -

The remuneration of the first two tranches is fixed at 1.2% for Class A and at 2.4% for Class B. The

remaining classes not have a set interest rate, with entitlement to the available amounts after the

transactions of the other responsibilities have been fulfilled, as stipulated in its terms and conditions.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date will begin on 25

January 2019, ending on 25 January 2031, the legal maturity date for all of the tranches.


due to the grantor under consumer credit agreements.

Impairment









31.12.2018

Int Rate on

31.12.2017

Silk Finance No.4

Class A Notes January 2031 509,400,000 Fixa 1.20% 1.20%

Class B Notes January 2031 101,500,000 Fixa 2.40% 2.40%

Class C Notes January 2031 3,700,000 - - -

Varible Funding Note January 2031 1 - - -

614,600,001


the securitisation transaction. This issuance includes four tranches of bonds (“Class A Notes” and “Class

B Notes”) with fixed remuneration of 1.2% and 2.4%, respectively, and two tranches of bonds (“Class C


137

Notes” and Variable Funding Note) whose remuneration will be the difference between the amounts

received and the remuneration paid to “Class A” and “Class B”.


Income Statement


2018 2017






value through profit or loss922,971 1,397,585

General and administrative costs (6,311,201) (6,332,454)

Total operating income (5,388,230) (4,934,868)

Impairment losses on loans, net of reversals and recoveries (922,971) (1,397,585)

Operating income -


Income taxes - -




138


2018 2017

Assets





Other assets 3,404,921 3,808,357

Total assets 619,966,637 620,452,207

Liabilities

Other loans - -



Other liabilities 1,364,279 1,368,539


Equity

Share capital - -




Total Equity - -




139



2018 2017





Receivables:

Client loans 14,038 202,981,205

Interest income 42,032,983 42,828,948

Payments





Receivables:


Payments





Net changes in cash and cash equivalents 567,844 (492,015)





140


2018 2017





41,674,864 42,927,244





Premium bond issue 8,883 8,883

(35,363,663) (36,594,790)


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

2018 2017





922,971 1,397,585





- -


fair value through profit or loss922,971 1,397,585




141


2018 2017

Audit fee - (43,472)

Servicer Fee (6,192,211) (6,185,350)

Issuer fee (62,314) (62,314)

Agent bank fee (17,680) (15,600)



Euronext (54) (52)

Interbolsa (14,406) (20,815)


Banking Commissions (111) (34)

Legal Fee (7,401) (123)



CMVM (12,864) (534)

Commitment Fee - -

Others - -

(6,311,201) (6,332,454)


2018 2017

Impairment losses


Reversals for the financial year 3,358,253 1,464,400

(922,971) (1,397,585)


2018 2017

Deposits 7,531,540 6,963,696

Cash Reserve 3,700,001 3,700,001


11,231,541 10,663,697

The item “Deposits” in the Silk Finance No. 4 transaction corresponds to demand deposits at BNP Paribas

– London Branch.


142


2018 2017

Loans 605,189,775 607,180,425

Overdue loans 4,858,963 3,757,375





605,330,174 605,980,153


securitisation transaction totalling €611,022,649, minus interim capital receipts and impairment losses,

plus the amount of buybacks of new credit and accrued interest. Amounts for capital receipts, buybacks

of new credit and write-offs have the following breakdown:


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

2016 611,007,729 (201,702,574) 201,634,438 (11,263) 610,928,330

2017 610,928,330 (203,054,168) 203,130,327 (66,688) 610,937,800

2018 610,937,800 (223,419,299) 223,642,513 (1,112,276) 610,048,738


2018 2017

Loans impairment




Loans writen-off 1,112,276 66,688


10.7 Other assets

2018 2017

Receivables 3,404,921 3,808,357

Up Front Fee - -

3,404,921 3,808,357

The whole amount represented in “Receivables” concerns the interest that were already charged by the

issuer, however the financial transfer regarding the transactions occurred only in 2017.


143


2018 2017





Other (7,154,455) (6,453,197)

618,602,358 619,083,668




January 2019, ending on 25 January 2031, the legal maturity date for all of the tranches.


2018 2017

Audit fee 19,344 42,435

Servicer Fee 1,135,973 1,137,143

Issuer fee 11,438 11,438





- -

1,364,279 1,368,539



is received.

The item "Payables" is for amounts to be delivered to the originator for the acquisition of new loans, net

of capital originating from the portfolio already received by the originator, but still not settled in the

transaction.


2018 2017

Credits written off 968,515 55,783



968,515 55,783


144

11 CMEC Volta Electricity Receivables Notes

On 22 December 2014, the Company carried out the transaction “CMEC Volta Electricity Receivables

Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A. ("Transferor"), of

loans for a portion of the 2012 annual tariff deficit adjustment, resulting from the deferral of

compensation for the early termination of power acquisition agreements to 2017 and 2018. Securitised

bonds totalling €243,507,000 were issued. These bonds were placed privately and subsequently

registered with the Portuguese Securities Market Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Pass-Through Notes due 2019” issued

at a discount in the amount of €240,500,000 with remuneration of 2.89678%; “Expense Reserve Notes

due 2019” issued at par for the amount of €317,000 without a set interest rate, with entitlement to amounts

available after the transaction's other responsibilities have been met; and “Liquidity Notes due 2019”

issued at par in the amount of €2,690,000, without remuneration, only giving entitlement to receive the

borrowed capital.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date begins on 10 March

2015, monthly, with final repayment scheduled for 10 February 2019 under the agreement.

Impairment

The Company periodically assesses the impairment of the assets in its portfolio using a model developed

for this purpose.



31.12.2018

Int Rate on

31.12.2017

CMEC Volta Electricity Receivables

Fixed Rate Pass-Through Notes due 2019 February 2019 19,388,996 Fixa 2.897% 2.897%

Liquidity Notes due 2019 February 2019 140,414 - - -

Expense Reserve Notes due 2019 February 2019 317,000 - - -

19,846,410


the securitisation transaction. The amounts received each month are transferred to the transaction's set of

responsibilities in accordance with its terms. Any surpluses generated by the assets will be paid to the

holder of the bonds, while the holder will assume any shortcomings on their cancellation date, with no

result in the Company's operating accounts.



145

Income Statement


2018 2017






value through profit or loss - -






Income taxes - -




146


2018 2017

Assets





Other assets - -

Total assets 19,891,640 136,498,414

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




147



2018 2017





Receivables:

Client loans 114,412,968 104,878,554


Payments





Receivables:


Payments





Net changes in cash and cash equivalents (1,316,626) 8,561,141





2018 2017




Portfolio acquisition premium (877,180) (2,812,171)

2,221,505 5,788,668



Interest from deposits (10,154) -


Premium bond issue (21,553) (21,553)

(2,039,959) (5,613,368)



148


2018 2017

Audit fee (32,732) (16,108)

Servicer Fee (69,000) (69,000)

Issuer fee (50,000) (50,000)

Agent bank fee (15,600) (15,600)

Irish stock exchange fee (1,845) (2,460)


Euronext - -

Interbolsa (4,749) (7,029)



Legal Fee - (7,601)



CMVM (1,380) (1,262)

Commitment Fee - -

Others - -

(181,546) (175,300)


2018 2017

Deposits 9,752,932 10,229,653

Cash Reserve 270,875 275,485

Liquidity Account 140,414 975,709

10,164,221 11,480,847



2018 2017

Loans 9,534,414 123,947,382

Overdue loans - -

Porfolio acquisition premium / (discount) 193,005 1,070,185




9,727,419 125,017,567


securitisation transaction totalling €123.947.382, minus interim capital receipts. This item includes the

loan acquisition premium paid in full at the start of the transaction, totalling €11,005,675. Amounts for

capital receipts are as follows:


149


2014 228,825,936 228,825,936

2015 228,825,936 228,825,936

2016 228,825,936 - - - 228,825,936

2017 228,825,936 (104,878,554) - - 123,947,382

2018 123,947,382 (114,412,968) - - 9,534,414


2018 2017




Issued notes discount (2,480) (24,034)

Other (37,062) 141,339

19,856,039 136,471,822

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in March 2015,

ending in February 2019, the legal maturity date for all of the tranches. The amounts of interim



2014 243,507,000 - 243,507,000

2015 243,507,000 (4,148,290) 239,358,710

2016 239,358,710 (4,376,100) 234,982,610

2017 234,982,610 (98,959,774) 136,022,837

2018 136,022,837 (116,176,426) 19,846,411


2018 2017

Audit fee 24,384 15,375






Other payables - -

- -

35,600 26,592

12 EnergyOn No. 1 Securitisation Notes

On 06 March 2009, the Company carried out the transaction “EnergyOn No. 1 Securitisation Notes”.

This transaction entailed the acquisition, from EDP Serviço Universal, SA, of loans with entitlement to

receive amounts for payments for positive adjustments to electricity acquisition costs for the years 2007

and 2008. Securitised bonds totalling €1,258,600,000 were issued at par. These bonds were placed

privately and subsequently registered with the Portuguese Securities Market Commission (CMVM).


150


Moody's DBRS

Class A1 Aa3 A (low)

Class A2 - -

Class B - -

This issuance corresponds to 3 tranches of bonds: “Class A1 Notes” issued at par in the amount of

€1,253,450,000 with variable remuneration at the one-month Euribor plus a 0.90% spread, with a 1.95%

spread after the step-up date; “Class A2 Notes” issued at par in the amount of €150,000 with remuneration

of 12 consecutive payments, defined as differential step-up amounts, only insofar as such payments are

due; and a third tranche of bonds, “Class B Notes”, issued at par in the amount of €5,000,000, whose

remuneration will be the difference between the amounts received and the remuneration paid to “Class

A1” and “Class A2” and all costs, fees and expenses due on this date. All are registered with the securities

settlement company Interbolsa. Class A1 is listed on the Euronext Lisbon stock exchange. Pursuant to

the provisions of the contractual agreement, the bonds' repayment date began on 12 March 2010,

monthly, beginning with Class A1, followed by Class A2 and finally Class B.

Impairment


for this purpose.



31.12.2018

Int Rate on

31.12.2017

EnergyOn No.1

Class A1-Notes May 2025 568,927,867 EUR 1 M + 1,95% 1.581% 1.579%

Class A2-Notes May 2025 150,000 - - -

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

574,077,867








151

Income Statement


2018 2017



Net interest income 898,567 1,503,491



value through profit or loss(711,440) (1,307,371)


Total operating income (898,567) (1,503,491)




Income taxes - -




152


2018 2017

Assets


Balances due from other credit institutions 2,500,000 -




Total assets 587,335,407 673,635,860

Liabilities

Other loans - -



Other liabilities 2,523,761 39,567


Equity

Share capital - -




Total Equity - -




153



2018 2017


Other receivables / (payments) associated with the operating activities 2,297,371 (194,495)

Cash flows arising from operating activities 2,297,371 (194,495)


Receivables:

Client loans 88,744,106 87,095,615

Interest income 20,916,320 24,052,103

Payments





Receivables:


Payments





Net changes in cash and cash equivalents 2,443,958 (102,213)





154


2018 2017





10,720,405 12,626,177






(9,821,837) (11,122,687)

Net interest income 898,567 1,503,491


2018 2017





14,693,812 21,034,603




Other losses araising from financial operations (1,575,939) (3,970,924)

(15,405,253) (22,341,974)


fair value through profit or loss(711,440) (1,307,371)

The item "Profits/losses in transactions with financial trading instruments – swaps" includes changes in

fair value and interest accrued from financial derivatives.




155


2018 2017

Audit fee (32,071) (32,187)

Servicer Fee (25,000) (25,000)

Issuer fee (62,873) (73,369)

Agent bank fee (12,480) (12,480)




Interbolsa (13,727) (15,611)



Legal Fee - (123)



CMVM (9,267) (5,543)

Commitment Fee - -

Others (510) (241)

(187,127) (196,119)


2018 2017

Deposits 8,287,547 8,301,999

Cash Reserve 4,842,959 4,884,549


13,130,506 13,186,548


12.5. Deposits at other credit institutions

2018 2017

Depósitos em instituições de crédito 2,500,000 -

2,500,000 -

The balance on this account is the result of the margin account of the hired Swap.


156


2018 2017

Loans 571,702,896 660,447,002

Overdue loans - -





571,702,896 660,447,002


securitisation transaction totalling €1,275,682,000, minus interim capital receipts and plus accrued

interest. Amounts for capital receipts are as follows:


2009 1,275,682,000 - 1,275,682,000

2010 1,275,682,000 (62,647,812) 1,213,034,188

2011 1,213,034,188 (71,719,681) 1,141,314,507

2012 1,141,314,507 (70,602,017) 1,070,712,490

2013 1,070,712,490 (76,216,664) 994,495,826

2014 994,495,826 (80,193,335) 914,302,491

2015 914,302,491 (82,145,302) 832,157,189

2016 832,157,189 (84,614,572) - - 747,542,617

2017 747,542,617 (87,095,615) - - 660,447,002

2018 660,447,002 (88,744,106) - - 571,702,896

12.7 Other assets

2018 2017

Receivables - -


2,006 2,310





The detail of the swaps, paid and calculated monthly, is shown in the following table:

2018 2017

Swaps 13,287,848 14,322,780

13,287,848 14,322,780

The item "Swaps" corresponds to the fair value of the interest rate swap under the EnergyOn No. 1

Securitisation Notes and accrued interest. As mentioned before, the counterparty of this operation is

Deutsche Bank AG.


157


following table:


Nocional 2018 2017

EnergyOn No.1 579,109,176 12-02-2025 13,103,758 14,065,146


2018 2017





Other (3,379,110) (2,779,150)

571,523,798 659,273,513




ending in May 2025, the legal maturity date for all of the tranches. The amounts of interim securitisation

bond repayments had the following breakdown:


2010 1,258,600,000 (55,967,280) 1,202,632,720

2011 1,202,632,720 (70,177,276) 1,132,455,444

2012 1,132,455,444 (69,507,872) 1,062,947,572

2013 1,062,947,572 (74,384,954) 988,562,618

2014 988,562,618 (78,497,378) 910,065,240

2015 910,065,240 (80,577,864) 829,487,376

2016 829,487,376 (82,943,450) 746,543,926

2017 746,543,926 (85,386,057) 661,157,869

2018 661,157,869 (87,080,001) 574,077,868


2018 2017

Audit fee 15,375 30,750






Other payables 2,500,000 -

- -

2,523,761 39,567

The item Others refers to the margin account regarding the hired Swap.


158

12.11 Off-balance sheet account

2018 2017




579,109,176 667,722,186

13 EnergyOn No. 2 Securitisation Notes

On 03 December 2009, the Company carried out the transaction “EnergyOn No. 2 Securitisation Notes”.

This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of loans with entitlement to

receive amounts for payments for positive adjustments to electricity acquisition costs for the year 2009.

Securitised bonds totalling €440,850,000 were issued at par. These bonds were placed privately and

subsequently registered with the Portuguese Securities Market Commission (CMVM).


Moody's DBRS

Class A A1 A (low)

Class B - -

This issuance corresponds to 2 tranches of bonds: “Class A Notes” issued at par in the amount of

€440,650,000 with variable remuneration at the one-month Euribor plus a 0.90% spread, with a 1.60%

spread after the step-up date; “Class B Notes” issued at par in the amount of €200,000 with remuneration

corresponding to 12 consecutive payments, defined as differential step-up amounts, only insofar as these

payments are due. All are registered with the securities settlement company Interbolsa. Class A is listed

on the Euronext Lisbon stock exchange. Pursuant to the provisions of the contractual agreement, the

bonds' repayment date began on 12 March 2010, monthly, beginning with Class A, followed by Class B.

Impairment


for this purpose.



31.12.2018

Int Rate on

31.12.2017

EnergyOn No.2

Class A-Notes May 2025 199,905,977 EUR 1 M + 1,60% 1.231% 1.229%

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

200,105,977





159




Income Statement


2018 2017






value through profit or loss(177,657) (368,182)






Income taxes - -




160


2018 2017

Assets






Total assets 205,137,693 236,303,938

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




161



2018 2017





Receivables:

Client loans 31,128,634 30,550,393


Payments





Receivables:


Payments










162


2018 2017




Portfolio acquisition premium (769,112) (876,770)

2,991,263 3,552,093






(2,688,298) (3,041,857)



2018 2017





5,145,621 49,487,166




Other losses araising from financial operations (570,241) (23,118,230)

(5,323,278) (49,855,348)


fair value through profit or loss(177,657) (368,182)

The item "Profits/losses in transactions with financial trading instruments – swaps" includes changes in

fair value and interest accrued from financial derivatives. The items “Other gains/ (other losses) arising

from financial operations” include the recognition, during the year, of the shortcoming/surplus assumed

by the holders of the securities (note 13.8).


163

13.3 General administrative costs

2018 2017

Audit fee (13,357) (25,777)

Servicer Fee (25,000) (25,000)

Issuer fee (32,245) (39,986)

Agent bank fee (10,400) (10,400)




Interbolsa (5,754) (6,412)



Legal Fee - (123)



CMVM (3,235) (1,938)

Commitment Fee - -

Others (510) (241)

(125,308) (142,053)


2018 2017

Deposits 2,907,081 2,912,150

Cash Reserve 1,693,163 1,725,386


4,600,244 4,637,536



2018 2017

Loans 200,535,348 231,663,982

Overdue loans - -





200,535,348 231,663,982

The item "Loans" records the nominal value of the credit acquired under the securitisation transaction

totalling €447,469.00, minus interim capital receipts and plus accrued interest. Amounts for capital

receipts are as follows:


164


2009 447,469,000 447,469,000

2010 447,469,000 (21,974,874) 425,494,126

2011 425,494,126 (25,157,001) 400,337,125

2012 400,337,125 (24,764,954) 375,572,171

2013 375,572,171 (26,734,399) 348,837,772

2014 348,837,772 (28,129,291) 320,708,481

2015 320,708,481 (28,813,981) 291,894,500

2016 291,894,500 (29,680,125) - - 262,214,375

2017 262,214,375 (30,550,393) - - 231,663,982

2018 231,663,982 (31,128,634) - - 200,535,348

13.6 Other assets

2018 2017

Receivables - -


2,101 2,420





2018 2017

Swaps 3,623,158 3,906,415

3,623,158 3,906,415

The item "Swaps" corresponds to the fair value of the interest rate swap transaction and accrued interest.


following table:


Nocional 2018 2017

EnergyOn No.2 200,147,169 12-02-2025 3,681,105 3,944,511

As mentioned before, the counterparty of this derivative is Banco Santander, S.A.


2018 2017





Other 1,176,913 1,390,124

201,508,650 232,366,794


165




ending in May 2025, the legal maturity date for all of the tranches. The amounts of interim securitisation

bond repayments had the following breakdown:


2009 440,850,000 - 440,850,000

2010 440,850,000 (19,683,496) 421,166,504

2011 421,166,504 (24,681,102) 396,485,402

2012 396,485,402 (24,445,670) 372,039,732

2013 372,039,732 (26,160,926) 345,878,806

2014 345,878,806 (27,607,250) 318,271,556

2015 318,271,556 (28,338,952) 289,932,604

2016 289,932,604 (29,170,923) 260,761,681

2017 260,761,681 (30,029,976) 230,731,705

2018 230,731,705 (30,625,728) 200,105,977


2018 2017

Audit fee - 24,600



Agent bank fee 867 867



Other payables - -

- -

5,885 30,729


2018 2017




200,147,169 234,215,869

14 Volta Electricity Receivables Notes

On 30 May 2013, the Company carried out the transaction “Volta Electricity Receivables Securitisation

Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A. ("Transferor") of

loans corresponding to a portion of the 2012 tariff deficit, which resulted from a 5-year deferral of the

recovery of the 2012 surcharge for the acquisition of power from producers under a special scheme

(including the 2010 and 2011 adjustments). Securitised bonds totalling €455,095,000 were issued at par.


166

These bonds were placed privately and subsequently registered with the Portuguese Securities Market

Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Notes due 2017” issued at par in

the amount of €450,000,000 with remuneration of 4.172%; “Class R Notes due 2017” issued at par for

the amount of €400,000 without a set interest rate, with entitlement to amounts available after the

transaction's other responsibilities have been met; and “Liquidity Notes due 2017” issued at par in the

amount of €4,695,000, without remuneration, only giving entitlement to receive the borrowed capital.

The senior tranche is registered with the securities settlement company Interbolsa and listed on the


repayment date began on 16 July 2013, monthly, beginning with the “Fixed Rate Senior Notes due 2017”,

and with the final repayment scheduled for 16 February 2017, the legal maturity date for all of the

tranches.

As schedule all the bond classes reached maturity during 2017.



167

Income Statement


2018 2017

Interest and similar income - 41,160

Interest expense and similar charges - 28,030

Net interest income - 69,190




General and administrative costs - (69,190)

Total operating income - (69,190)




Income taxes - -




168


2018 2017

Assets



Loans and advances to customers - -


Other assets - -

Total assets - 3,516

Liabilities

Other loans - -


Debt securities issued - 3,516

Other liabilities - -

Total Liabilities - 3,516

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities - 3,516



169



2018 2017


Other receivables / (payments) associated with the operating activities - (96,035)

Cash flows arising from operating activities - (96,035)


Receivables:

Client loans - 10,421,669

Interest income - 658,649

Payments



Cash flows arising from investing activities - 11,080,318


Receivables:


Payments

Debt securities issued - (22,445,405)

Interest expense (3,516) (143,160)


Cash flows arising from financing activities (3,516) (22,588,565)

Net changes in cash and cash equivalents (3,516) (11,604,281)

Cash and Cash equivalents balance at the beggining of the year 3,516 11,607,799

Cash and Cash equivalents balance at the end of the year - 3,516



170


2018 2017


Interest from loans and advances - 658,654


Portfolio acquisition premium - (617,494)

- 41,160


Interest from debt securities issued - 28,030




- 28,030

Net interest income - 69,190


2018 2017

Audit fee - (11,836)

Servicer Fee - (5,000)

Issuer fee - (338)

Agent bank fee - (2,043)


Rating Agency fee - (45,059)

Euronext - -

Interbolsa - (3,743)

Paying Agent fee - (1,040)


Legal Fee - (123)



CMVM - (7)

Commitment Fee - -

Others - -

- (69,190)



171

2018 2017

Deposits - 2,453

Cash Reserve - 96

Liquidity Account - 967

- 3,516


The amount registered on 31st of December 2017, concerns an amount pending liquidation to the notes’

holders. This amount was entirely settled during 2018.


2018 2017

Loans - -

Overdue loans - -





- -

The item "Loans and advances to customers - Notes" records the nominal value of the credit acquired

under the securitisation transaction totalling €422,691,767, minus interim capital receipts. This item

includes the loan acquisition premium paid in full at the start of the transaction, totalling €26,406,933.

Amounts for capital receipts are as follows:


2013 422,691,767 (60,700,241) 628,738,326

2014 361,991,526 (110,085,952) 251,905,574

2015 251,905,574 (117,043,380) 134,862,194

2016 134,862,194 (124,440,530) - - 10,421,664

2017 10,421,664 (10,421,664) - - -

14.5 Other assets

2018 2017

Receivables - -

Up Front Fee - -

- -





172


2018 2017

Securitisation notes - -




Other - -

- 3,516

The amount registered at 31st December 2017, corresponds to the amount to be payed to the notes’

holders.

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in July 2013,




2013 455,095,000 (57,993,084) 397,101,916

2014 397,101,916 (119,669,648) 277,432,268

2015 277,432,268 (124,758,849) 152,673,419

2016 152,673,419 (130,064,477) 22,608,943

2017 22,608,943 (22,608,943) -


2018 2017

Audit fee - -

Servicer Fee - -

Issuer fee - -

Agent bank fee - -



Other payables - -

- -

- -


173

15 Volta II Electricity Receivables Securitisation Notes

On 26 March 2014, the Company carried out the transaction “Volta II Electricity Receivables

Securitisation Notes”. This transaction entailed the acquisition, from EDP – Serviço Universal, S.A.

("Transferor") of loans corresponding to a portion of the 2013 tariff deficit, which resulted from a 5-year

deferral of the recovery of the 2013 surcharge for the acquisition of power from producers under a special

scheme (including the 2011 and 2012 adjustments). Securitised bonds totalling €756,061,000 were issued

at par. These bonds were placed privately and subsequently registered with the Portuguese Securities

Market Commission (CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Notes due 2018” issued at par in

the amount of €750,000,000 with remuneration of 2.98%; “Class R Notes due 2018” issued at par for the

amount of €473,000 without a set interest rate, with entitlement to amounts available after the

transaction's other responsibilities have been met; and “Liquidity Notes due 2018” issued at par in the

amount of €5,588,000, without remuneration, only giving entitlement to receive the borrowed capital.



repayment date began on 16 May 2014, monthly, beginning with the “Fixed Rate Senior Notes due

2018”, and with the final repayment scheduled for 16 February 2018, the legal maturity date for all of

the tranches.

Impairment


for this purpose.









174

Income Statement


2018 2017

Interest and similar income 46,406 4,040,718

Interest expense and similar charges 33,093 (3,829,170)










Income taxes - -




175


2018 2017

Assets





Other assets - -


Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




176



2018 2017





Receivables:

Client loans 16,356,744 195,377,605

Interest income 956,170 12,377,363

Payments





Receivables:


Payments


Interest expense (157,367) (4,624,796)








177


2018 2017


Interest from loans and advances 956,170 12,377,363


Portfolio acquisition premium (909,764) (8,336,645)

46,406 4,040,718


Interest from debt securities issued 33,093 (3,829,170)




33,093 (3,829,170)


15.2 General and administrative costs 2018 2017

Audit fee (10,455) (19,312)

Servicer Fee (5,750) (69,000)

Issuer fee (307) (26,210)

Agent bank fee (1,300) (15,600)




Interbolsa (3,184) (6,230)



Legal Fee - (7,841)



CMVM (235) (1,118)

Commitment Fee - -

Others - -

(79,500) (211,548)


2018 2017

Deposits - 17,317,651

Cash Reserve - 297,966

Liquidity Account - 257,297

- 17,872,915



178


2018 2017

Loans - 16,356,744

Overdue loans - -

Porfolio acquisition premium / (discount) - 909,764




- 17,266,508

The item "Loans and advances to customers - Notes" records the nominal value of the credit acquired

under the securitisation transaction totalling €694,856,546, minus interim capital receipts. This item

includes the loan acquisition premium paid in full at the start of the transaction, totalling €54.267.537.



2014 694,856,546 (124,142,297) 570,714,249

2015 570,714,249 (174,392,712) 396,321,537

2016 396,321,537 (184,587,188) - - 211,734,349

2017 211,734,349 (195,377,605) - - 16,356,744

2018 16,356,744 (16,356,744) - - -


2018 2017





Other - (149,455)

- 35,113,356

Pursuant to the provisions of the contractual agreement, the bonds' repayment date began in May 2014,




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

2016 418,236,593 (178,610,590) 239,626,003

2017 239,626,003 (204,477,770) 35,148,233

2018 35,148,233 (35,148,233) -


179


2018 2017

Audit fee - 18,450


Issuer fee - 566

Agent bank fee - 1,300



Other payables - -

- -

- 26,066

16 Volta III Electricity Receivables Notes

On 24 March 2015, the Company carried out the transaction “Volta III Electricity Receivables

Securitisation Notes”. This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of

loans with entitlement to receive amounts for payments for positive adjustments to electricity acquisition

costs for the year 2014. Securitised bonds totalling €502,898,000 were issued at par. These bonds were

placed privately and subsequently registered with the Portuguese Securities Market Commission

(CMVM).

These issuances correspond to 3 tranches of bonds: “Fixed Rate Senior Asset-Backed Notes due 2019”

issued at par in the amount of €500,000,000 with remuneration of 1.99%; “Liquidity Notes due 2019”

issued at par for the amount of €2,488,000 without a set interest rate; and “Class R Notes due 2019”

issued at par in the amount of €410,000, without remuneration, with the latter two tranches only giving

entitlement to receive the borrowed capital.


Moody's Fitch DBRS

Fixed Rate Senior Asset-Backed A1 BBB A (low)

Liquidity Notes - - -

Class R Notes - - -



repayment date began on 12 May 2015, monthly, with final repayment scheduled for 12 February 2019,

the legal maturity date for all of the tranches.

Impairment


for this purpose.



180


31.12.2018

Int Rate on

31.12.2017

Volta III Electricity Receivables Securitisation Notes

Fixed Rate Senior Asset-Backed Notes due 2019 February 2019 22,540,764 Fixa 1.990% 1.990%

Liquidity Notes due 2019 February 2019 410,000 - - -

Class R Notes due 2019 February 2019 112,140 - - -

23,062,904







Income Statement


2018 2017












Income taxes - -




181


2018 2017

Assets





Other assets - -

Total assets 23,063,462 157,923,452

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -




182



2018 2017





Receivables:

Client loans 129,234,608 123,286,644

Interest income 6,756,496 12,704,460

Payments





Receivables:


Payments










183


2018 2017




Portfolio acquisition premium (4,926,922) (7,984,528)

1,829,574 4,719,932






(1,609,626) (4,492,543)



2018 2017

Audit fee (41,895) (20,595)

Servicer Fee (66,000) (66,000)

Issuer fee (17,193) (43,991)

Agent bank fee (15,600) (15,600)




Interbolsa (5,038) (7,722)



Legal Fee (8,113) (7,915)



CMVM (1,763) (1,778)

Commitment Fee - -

Others - -

(219,948) (227,389)


184


2018 2017

Deposits 11,346,236 11,346,236

Cash Reserve 293,446 326,812

Liquidity Account 112,140 777,234

11,751,823 12,450,282



2018 2017

Loans 10,811,006 140,045,614

Overdue loans - -

Porfolio acquisition premium / (discount) 500,633 5,427,555




11,311,639 145,473,169


securitisation transaction totalling €465,418,199, minus interim capital receipts. This item includes the

loan acquisition premium paid in full at the start of the transaction, totalling €34.042.977. Amounts for



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

2016 380,944,685 (117,612,427) - - 263,332,258

2017 263,332,258 (123,286,644) - - 140,045,614

2018 140,045,614 (129,234,608) - - 10,811,006


2018 2017





Other (101,824) 200,187

23,025,029 157,894,261





185


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

2016 418,236,593 (129,114,267) 289,122,326

2017 289,122,326 (131,707,205) 157,415,122

2018 157,415,122 (134,352,218) 23,062,904


2018 2017

Audit fee 31,210 19,680


Issuer fee 423 2,711




Other payables - -

- -

38,433 29,191

17 Volta IV Electricity Receivables Securitisation Notes

On 03 August 2016, the Company carried out the transaction “Volta IV Electricity Receivables

Securitisation Notes”. This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of




(CMVM).


Moody's Fitch DBRS

Fixed Rate Senior Asset-Backed A1 (sf) BBB (sf) BBB (high) (sf)

Liquidity Notes - - -

Class R Notes - - -

This issuance corresponds to 3 tranches of bonds: “Senior Notes” issued in the amount of €600,000,000;

“Class R Notes” issued in the amount of €381,000; “Liquidity Notes” issued in the amount of €3,635,000.

The remuneration of the Senior Notes is fixed, with an annual rate of 2.423%. The remaining classes not

have a set interest rate, with entitlement to the available amounts after the transaction's other



September 2016, ending on 12 February 2021, the legal maturity date for all of the tranches.



repayment date began on 12 September 2016, monthly, with final repayment scheduled for 12 February

2021, the legal maturity date for all of the tranches.


186

Impairment


for this purpose.



31.12.2018

Int Rate on

31.12.2017

Volta IV Electricity Receivables Securitisation Notes

Fixed Rate Senior Asset-Backed February 2021 327,458,221 Fixa 2.423% 2.423%

Liquidity Notes February 2021 1,983,578 - - -

Class R Notes February 2021 381,000 - - -

329,822,799







Income Statement


2018 2017












Income taxes - -




187


2018 2017

Assets





Other assets - -

Total assets 330,750,406 477,197,620

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -



188



2018 2017





Receivables:

Client loans 145,394,390 132,192,070

Interest income 10,274,746 13,235,710

Payments





Receivables:


Payments





Net changes in cash and cash equivalents (907,412) 9,484,913





189


2018 2017




Portfolio acquisition premium (145,413) 401,512

10,129,333 13,637,223






(9,806,322) (13,357,734)


17.2 General and administrative cost

2018 2017

Audit fee (21,370) (20,595)

Servicer Fee (60,000) (60,000)

Issuer fee (59,577) (81,155)

Agent bank fee - -




Interbolsa (11,171) (13,562)



Legal Fee (8,106) (7,726)



CMVM (6,546) (4,123)

Commitment Fee - -

Others - -

(323,011) (279,488)


190

17.3 Deposits at other Credit Institutions:

2018 2017

Deposits 12,972,428 12,972,428

Cash Reserve 332,828 359,244

Liquidity Account 1,983,578 2,864,573

15,288,834 16,196,246

The item "Deposits at other Credit Institutions - Notes" corresponds to demand deposits at CitiBank –

London Branch.


2018 2017

Loans 313,320,020 458,714,410

Overdue loans - -

Porfolio acquisition premium / (discount) 2,141,552 2,286,965




315,461,572 461,001,375


securitisation transaction totalling €599.987.316, minus interim capital receipts. This item includes the

loan acquisition discount paid in full at the start of the transaction, totalling €2.286.625. Amounts for



2016 599,987,316 (9,080,836) - 590,906,480

2017 590,906,480 (132,192,070) - - 458,714,410

2018 458,714,410 (145,394,390) - - 313,320,020


2018 2017





Other 222,491 59,150

330,724,057 477,165,645





191


2016 604,016,000 (5,597,518) 598,418,482

2017 598,418,482 (122,275,956) 476,142,526

2018 476,142,526 (146,319,727) 329,822,799


2018 2017

Audit fee 10,685 19,680



Agent bank fee - -



Other payables - -

- -

26,348 31,975

18 Volta V Electricity Receivables Securitisation Notes

On 06 December 2017, the Company carried out the transaction “Volta V Electricity Receivables

Securitisation Notes” – This transaction entailed the acquisition, from EDP Serviço Universal, S.A., of




(CMVM).


Moody's Fitch

Fixed Rate Senior Asset-Backed A1 (sf) BBB (sf)

Liquidity Notes - -

Class R Notes - -

This issuance corresponds to 3 tranches of bonds: “Senior Notes” issued in the amount of €600,000,000;

“Class R Notes” issued in the amount of €372,000; “Liquidity Notes” issued in the amount of €1,275,000.

The remuneration of the Senior Notes is fixed, with an annual rate of 0.85%. The remaining classes do

not have a set interest rate, with entitlement to the available amounts after the transactions of other



January 2018, ending on 12 February 2022, the legal maturity date for all of the tranches.



repayment date began on 12 January 2018, monthly, with final repayment scheduled for 12 February

2022, the legal maturity date for all of the tranches.


192

Impairment


for this purpose.



31.12.2018

Volta V Electricity Receivables Securitisation Notes

Fixed Rate Senior Asset-Backed February 2022 471,872,520 Fixa 0.850%

Liquidity Notes February 2022 1,002,729 - -

Class R Notes February 2022 372,000 - -

473,247,249






Below, the transaction's financial statements are shown in reference to 31st December 2018 and 2017:

Income Statement


2018 2017

Interest and similar income 4,735,135 953,724

Interest expense and similar charges (4,434,655) (926,488)










Income taxes - -




193

Balance Sheet for the years ended on 31st December 2018 and 2017

2018 2017

Assets





Other assets - -

Total assets 473,731,885 602,600,724

Liabilities

Other loans - -





Equity

Share capital - -




Total Equity - -



194



2018 2017


Other receivables / (payments) associated with the operating activities (301,186) -

Cash flows arising from operating activities (301,186) -


Receivables:

Client loans 131,445,103 2,573,954

Interest income 10,912,838 953,724

Payments



Cash flows arising from investing activities 142,357,941 (596,457,888)


Receivables:


Payments

Debt securities issued (128,399,751) -

Interest expense (4,903,036) -


Cash flows arising from financing activities (133,302,787) 601,647,000






195


2018 2017


Interest from loans and advances 10,912,838 953,724


Portfolio acquisition premium (6,177,703) -

4,735,135 953,724


Interest from debt securities issued (4,434,655) (926,488)




(4,434,655) (926,488)


18.2 General and administrative costs:

2018 2017

Audit fee (27,938) (13,112)

Servicer Fee (60,000) (5,000)

Issuer fee (80,975) (7,521)

Agent bank fee - -


Rating Agency fee (20,910) -

Euronext (7,472) -

Interbolsa (11,366) -



Legal Fee (23,927) -



CMVM (8,083) -

Commitment Fee - -

Others - -

(300,480) (27,236)


196


2018 2017

Deposits 12,634,347 3,542,112

Cash Reserve 306,003 372,000

Liquidity Account 1,002,729 1,275,000

13,943,080 5,189,112


London Branch.


2018 2017

Loans 449,519,694 580,964,797

Overdue loans - -

Porfolio acquisition premium / (discount) 10,269,111 16,446,814




459,788,806 597,411,612

The amount of capital receipts is as follows:


2017 583,538,751 (19,020,768) 16,446,815 - 580,964,797

2018 580,964,797 (131,445,103) - - 449,519,694


2018 2017





Other 123,863 370,954

473,705,355 602,573,488

In accordance with the contractual provisions, the repayment date for the bonds began in May 2015,

ending in February 2012, the legal maturity date for all tranches. The amounts referring to the

amortizations of securitisation obligations that have occurred in the meantime are analysed as follows:


2017 601,647,000 - 601,647,000

2018 601,647,000 (128,399,751) 473,247,249


197


2018 2017

Audit fee 10,685 13,112



Agent bank fee - -



Other payables - -

- -

26,530 27,236

19 Volta VI Electricity Receivables Securitisation Notes

On June 21, 2018, the Company carried out the transaction “Volta VI Electricity Receivables

Securitisation Notes” – This transaction entailed the acquisition, from EDP Serviço Universal, S.A. of

loans with entitlement to receive from payments for positive adjustments from the costs incurred in

acquisition of electric energy relative to the year 2017. Securitised bonds totalling €652.163.000 were

issued at par. These bonds were placed privately and subsequently registered with the Portuguese


The ratings for the different classes on 31st of December 2018, were as follows:

Moody's Fitch

Fixed Rate Senior Asset-Backed A1 (sf) A- (sf)

Liquidity Notes - -

Class R Notes - -

This issue corresponds to three tranches of bonds: “Senior Notes”, issued for €650.000.000; “Class R

Notes” issued for €375.000; “Liquidity Notes” issued for €1.788.000.

The remuneration of the Senior Notes is fixed, with an annual rate of 1.10%. The remaining classes do

ot have a defined interest rate, the letter have however, entitlement to the available amounts after the

transactions of other responsibilities have been fulfilled, as stipulated by the terms and conditions on the

contract.

Pursuant to the provisions of the contractual agreement, the bonds’ repayment daate will begin on August

13, 2018 and will terminate on February 13, 2023, the legal maturity date for all tranches.

The senior tranche is listed on the Euronext Lisbon Stock Exchange. According to the provisions of the

contractual agreement, the bonds’ repayment date began on August 13, 2018, monthly, and the maturity

date is as described previously.

Impairment


for this purpose.



198


31.12.2018

Int Rate on

31.12.2017

Volta VI Electricity Receivables Securitisation Notes

Fixed Rate Senior Asset-Backed February 2023 649,319,247 Fixa 1.100% -

Liquidity Notes February 2023 1,785,628 - - -

Class R Notes February 2023 375,000 - - -

651,479,875

This item “Debt securities issued” records the carrying amount of securitisation bonds within the scope

of the securitisation transaction. The amounts received monthly are transferred to the transaction’s set of

responsibilities in accordance with its terms and conditions. Any surplus generated by the assets will be

paid to the holder of the bonds, while the holder will assume any shortcomings on the cancelation date,

with no results in the Company’s operating accounts.

Below, the transaction's financial statements are shown in reference to 31st December 2018 and 2017:

Income Statement


2018 2017

Interest and similar income 4,013,368 -

Interest expense and similar charges (3,874,741) -

Net interest income 138,627 -




General and administrative costs (138,627) -

Total operating income (138,627) -




Income taxes - -




199

Balance Sheet for the years ended 31st December 2018 and 2017

2018 2017

Assets

Deposits at other Credit Institutions 2,789,505 -


Loans and advances to customers 649,050,446 -


Other assets - -

Total assets 651,839,951 -

Liabilities

Other loans - -


Debt securities issued 651,805,202 -

Other liabilities 34,748 -

Total Liabilities 651,839,951 -

Equity

Share capital - -




Total Equity - -

Total Equity and Liabilities 651,839,951 -


200


For the years ended 31st December 2018 and 2017

2018 2017


Other receivables / (payments) associated with the operating activities (103,879) -

Cash flows arising from operating activities (103,879) -


Receivables:

Client loans - -

Interest income 4,782,053 -

Payments

Loan portfolio acquisition (649,819,131) -


Cash flows arising from investing activities (645,037,078) -


Receivables:

Debt securities issued 652,163,000 -

Payments

Debt securities issued (683,125) -

Interest expense (3,549,413) -


Cash flows arising from financing activities 647,930,462 -

Net changes in cash and cash equivalents 2,789,505 -

Cash and Cash equivalents balance at the beggining of the year - -

Cash and Cash equivalents balance at the end of the year 2,789,505 -

Deposits at other Credit Institutions 2,789,505 -


201


2018 2017


Interest from loans and advances 4,782,053 -


Portfolio acquisition premium (768,685) -

4,013,368 -


Interest from debt securities issued (3,874,741) -




(3,874,741) -

Net interest income 138,627 -


2018 2017

Audit fee (19,065) -

Servicer Fee (30,000) -

Issuer fee (48,893) -

Agent bank fee - -



Euronext (7,563) -

Interbolsa (4,772) -



Legal Fee (13,500) -

Transaction Manager (14,596) -


CMVM (239) -

Commitment Fee - -

Others - -

(138,627) -


2018 2017

Deposits 811,040 -

Cash Reserve 192,837 -

Liquidity Account 1,785,628 -

2,789,505 -


202


London Branch.


2018 2017

Loans 641,068,818 -

Overdue loans - -

Porfolio acquisition premium / (discount) 7,981,628 -




649,050,446 -



2018 641,068,818 - - - 641,068,818


2018 2017

Securitisation notes 651,479,875 -

Accrued interest 609,600 -



Other (284,272) -

651,805,202 -

In accordance with the contractual provisions, the repayment date for the bonds began in August 2018,

ending in February 2023, the legal maturity date for all tranches. The amounts referring to the

amortizations of securitisation obligations that have occurred in the meantime are analysed as follows:


2018 652,163,000 (683,125) 651,479,875


2018 2017

Audit fee 19,065 -

Servicer Fee 5,000 -

Issuer fee 8,144 -

Agent bank fee - -

Transaction Manager 2,540 -


Other - -

Payables - -

34,748 -

PricewaterhouseCoopers & Associados - Sociedade de Revisores Oficiais de Contas, Lda. Sede: Palácio Sottomayor, Rua Sousa Martins, 1 - 3º, 1069-316 Lisboa, Portugal Receção: Palácio Sottomayor, Avenida Fontes Pereira de Melo, nº16, 1050-121 Lisboa, Portugal Tel +351 213 599 000, Fax +351 213 599 999, www.pwc. pt Matriculada na CRC sob o NUPC 506 628 752, Capital Social Euros 314.000 Inscrita na lista das Sociedades de Revisores Oficiais de Contas sob o nº 183 e na CMVM sob o nº 20161485 PricewaterhouseCoopers & Associados - Sociedade de Revisores Oficiais de Contas, Lda. pertence à rede de entidades que são membros da PricewaterhouseCoopers International Limited, cada uma das quais é uma entidade legal autónoma e independente.

Statutory Audit Report and Auditors’ Report (Free translation from the original in Portuguese) Report on the audit of the financial statements Opinion We have audited the accompanying financial statements of Tagus – Sociedade de Titularização de Créditos, S.A. (the Entity), which comprise the balance sheet as at 31 December 2018 (which shows total assets of Euro 8.127.173.281 and total shareholders' equity of Euro 3.469.455 including a net profit of Euro 516.217), the statement of income, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended, and the notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements present fairly in all material respects, the financial position of Tagus – Sociedade de Titularização de Créditos, S.A. as at 31 December 2018, and its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards (IFRS), as adopted by the European Union. Basis for opinion We conducted our audit in accordance with International Standards on Auditing (ISAs) and other technical and ethical standards and recommendations issued by the Institute of Statutory Auditors. Our responsibilities under those standards are described in the “Auditor’s responsibilities for the audit of the financial statements” section below. In accordance with the law we are independent of the Entity and we have fulfilled our other ethical responsibilities in accordance with the ethics code of the Institute of Statutory Auditors. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Key audit matters Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current year. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Statutory Audit Report and Auditors’ Report (Free translation from the original in Portuguese) Tagus – STC, S.A. 31 December 2018 PwC 2 of 6

Key Audit Matter Summary of the Audit Approach

Impairment losses on loans portfolio Measurement and disclosures related to impairment losses on the loans portfolio acquired within the securitization operations under Entity’s management as presented in Notes 1.2, 1.3, 1.16, 1.17, 7, 11, 21, 23 and 25 of the Entity’s financial statements The significant amounts of loans acquired within the securitization operations under the Entity’s management and the respective impairment losses, which calculation requires the application of a set of complex assumptions regarding the identification of both the moment of recognition and the corresponding amount, justify that it has constituted a key audit matter for the purposes of our audit. As at 31 December 2018, the gross amount of these items amounted to Euro 7.745.350.670 and the impairment losses, recorded at that date amounted to Euro 35.527.270.

The implementation of IFRS 9 - Financial Instruments ("IFRS 9") on 1 January 2018 by the originators/servicers of the securitization operations under Entity’s management implied the introduction of a set of new requirements with impact on the measurement and recognition of impairment of credit on financial assets, calculated by means of an expected losses model to the detriment of the model of losses incurred under IAS 39. The impacts on the Entity’s financial statements arising from the adoption of this new standard, based on the information available at that date by the originators/servicers of the securitization operations, which are presented in notes 1.2, 1.3 and 1.17 attached to the financial statements of the Entity. Impairment losses on the securitization operations under Entity’s management are recognized based on the impairment rates determined by the originators/ servicers of these operations, in accordance with the requirements of IFRS 9, for securitized loan portfolios and/or for credit portfolios with similar characteristics to the securitized credits taking into account the amount of the liabilities of each credit operation and the existence of indications of increased credit risk since origination or default: • For the most significant exposures, the amount

of impairment is determined through a detailed analysis of the economic and financial position of each individual customer, with

The audit procedures we have developed consisted on: (i) evaluate the accounting policies and additional disclosures made available by the originators/ servicers of the securitization operations and confirm with them whether those policies and impairment models developed are in accordance with IFRS 9; (ii) analytically review of the impairment losses of the loan portfolios, whether current or overdue, taking into consideration the type of loan granted , the existing guaranties, the maturity and the behaviour of arrears and the average impairment for the credit portfolio of the originator to similar assets; (iii) review the reasonableness of impairment losses as at 31 December 2018 taking into account the impairment and default triggers verified for the loan portfolio of the operations as of the balance date; (iv) review the loan portfolio, comparing its evolution during 2018 with the monthly reports prepared by the servicers of the operations, and discuss with Entity’s management possible changes in terms of the nature of the asset exposure and its credit risk quality. When necessary, proceed to obtain clarifications regarding the assumptions used by the originators related to impairment losses on the loans portfolio acquired within the securitization operations under Entity’s management. In the specific scope of the implementation of IFRS 9 on 1 January 2018, we proceeded essentially to review the effects made available by the originators / servicers resulting from the adoption of the IFRS 9, as well as to confirm with them the application of the new requirements of IFRS 9 in estimating the initial impacts. Additionally, we proceeded (i) to review the risk grade and the subordination of the debt securities issued, and the priority terms for the payments of principal and interest, taking into account the prospectus of


Key Audit Matter Summary of the Audit Approach

reference to (i) the estimated cash flows that may be generated in the future for the fulfilment of their responsibilities; or (ii) the evaluation attributed to the collateral received in the scope of the credit granted, whenever the recovery is anticipated by means of the assignment, execution and/or sale of the collateral, less the costs inherent to its recovery and sale.

• For exposures not covered by the individual analysis, the impairment is determined through the application of a collective analysis models to calculate expected impairment losses, in light of the requirements of IFRS 9, namely the classification of exposures by different stages according to the evolution of their credit risk since the date of its concession, and not according to the credit risk at the reporting date (stages 1, 2 or 3). These internal models are based on the internal historical information of defaults and recoveries, using also prospective information available in order to be representative of the current economic context and to incorporate a prospect of future economic developments.

In this context, changes in the assumptions or methodologies used by the originators/servicers of the securitization operations under Entity’s management in the analysis and quantification of impairment losses of the credit, as well as different recovery strategies, condition the estimation of recovery flows and timing of their receipt may have a material impact on the determination of the amount of impairment losses recognized in each period.

each securitization operation; and (ii) to clarify with the Entity’s management as to which procedures and controls are in place to guarantee the correct reimbursement, remuneration and result’s distribution to the debt securities noteholders. Our auditing procedures also included a review of the disclosures in the accompanying notes to the financial statements of loans to customers and the respective impairment, taking into account the applicable accounting standards.

Responsibilities of management and supervisory board for the financial statements Management is responsible for: a) the preparation of the financial statements, which present fairly the financial position, the

financial performance and the cash flows of the Entity in accordance with International Financial Reporting Standards (IFRS), as adopted by the European Union;

b) the preparation of the Directors’ Report, including the Corporate governance Report, in

accordance with the applicable law and regulations;


c) the creation and maintenance of an appropriate system of internal control to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error;

d) the adoption of appropriate accounting policies and criteria; and e) the assessment of the Entity’s ability to continue as a going concern, disclosing, as applicable,

events or conditions that may cast significant doubt on the Entity’s ability to continue its activities.

The supervisory board is responsible for overseeing the process of preparation and disclosure of the Entity’s financial information. Auditor’s responsibilities for the audit of the financial statements Our responsibility is to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with ISAs, we exercise professional judgment and maintain professional scepticism throughout the audit. We also: a) identify and assess the risks of material misstatement of the financial statements, whether due

to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

b) obtain an understanding of internal control relevant to the audit in order to design audit

procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Entity’s internal control;

c) evaluate the appropriateness of accounting policies used and the reasonableness of accounting

estimates and related disclosures made by management; d) conclude on the appropriateness of management’s use of the going concern basis of accounting

and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Entity’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence


obtained up to the date of our auditor’s report. However, future events or conditions may cause the Entity to cease to continue as a going concern;

e) evaluate the overall presentation, structure and content of the financial statements, including

the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation;

f) communicate with those charged with governance, including the supervisory board, regarding,

among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit;

g) of the matters we have communicated to those charged with governance, including the

supervisory board, we determine which one’s were the most important in the audit of the financial statements of the current year, these being the key audit matters. We describe these matters in our report, except when the law or regulation prohibits their public disclosure; and

h) confirm to the supervisory board that we comply with the relevant ethical requirements

regarding independence and communicate all relationships and other matters that may be perceived as threats to our independence and, where applicable, the respective safeguards.

Our responsibility also includes verifying that the information included in the Directors’ report is consistent with the financial statements and the verification set forth in paragraphs 4 and 5 of article No. 451 of the Portuguese Company Law. Report on other legal and regulatory requirements Director’s report In compliance with paragraph 3 e) of article No. 451 of the Portuguese Company Law, it is our opinion that the Director’s report has been prepared in accordance with applicable requirements of the law and regulation, that the information included in the Directors’ report is consistent with the audited financial statements and, taking into account the knowledge and assessment about the Entity, no material misstatements were identified. Corporate governance report In compliance with paragraph 4 of article No. 451 of the Portuguese Company Law, it is our understanding that the Corporate governance report includes the information required under article No. 245-A of the Portuguese Securities Market Code, that no material misstatements were identified in the information disclosed in this report and that it complies with paragraphs c), d), f), h), i) and m) of that article.


Additional information required in article No. 10 of the Regulation (EU) 537/2014 In accordance with article No. 10 of Regulation (EU) 537/2014 of the European Parliament and of the Council, of 16 April 2014, and in addition to the key audit matters referred to above, we also provide the following information: a) We were first appointed auditors of the Entity in the Shareholders’ General Meeting of 4 July

2016 for the period from 2016 to 2018. b) The management has confirmed to us it has no knowledge of any allegation of fraud or

suspicions of fraud with material effect in the financial statements. We have maintained professional scepticism throughout the audit and determined overall responses to address the risk of material misstatement due to fraud in the financial statements. Based on the work performed, we have not identified any material misstatement in the financial statements due to fraud.

c) We confirm that our audit opinion is consistent with the additional report that was prepared by

us and issued to the Entity’s supervisory board as of 21 March 2019. d) We declare that we did not provide any prohibited non-audit services referred to in paragraph 8

of article No. 77 of the by-laws of the Institute of Statutory Auditors (“Estatutos da Ordem dos Revisores Oficiais de Contas”) and that we remain independent of the Entity in conducting our audit.

21 March 2019 PricewaterhouseCoopers & Associados - Sociedade de Revisores Oficiais de Contas, Lda. represented by: (Original in Portuguese signed by) José Manuel Henriques Bernardo, R.O.C.

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