Silk Finance No. 4 (Article 62 Asset Identification Code TGSBSCS00N0086) 509,400,000 Class A Asset-Backed Fixed Rate Securitisation Notes due

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Silk Finance No. 4 (Article 62 Asset Identification Code TGSBSCS00N0086) 509,400,000 Class A Asset-Backed Fixed Rate Securitisation Notes due ,500,000 Class B Asset-Backed Fixed Rate Securitisation
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Silk Finance No. 4 (Article 62 Asset Identification Code TGSBSCS00N0086) 509,400,000 Class A Asset-Backed Fixed Rate Securitisation Notes due ,500,000 Class B Asset-Backed Fixed Rate Securitisation Notes due ,700,000 Class C Notes due Variable Funding Note due 2031 Issue Price: 100 per cent. for the Class A Notes and the Class B Notes, per cent. for the Class C Notes and 100 for the VFN Admission to trading of the Class A Notes Issued by TAGUS Sociedade de Titularização de Créditos, S.A. (Incorporated in Portugal with limited liability under sole commercial registration and tax payer number with a share capital of 250,000 and head office at Rua Castilho, no. 20, Lisbon, Portugal) This prospectus is dated 12 November 2015 and relates to the admission to trading on a regulated market of the Class A Notes described herein. The 509,400,000 Class A Asset-Backed Fixed Rate Securitisation Notes due 2031 (the Class A Notes ), the 101,500,000 Class B Asset-Backed Fixed Rate Securitisation Notes due 2031 (the Class B Notes and together with the Class A Notes, the Asset- Backed Notes ), the 3,700,000 Class C Notes due 2031 (the Class C Notes and the 1 Variable Funding Note due 2031 (the VFN ) and together with the Asset-Backed Notes and the Class C Notes, the Notes ), of TAGUS Sociedade de Titularização de Créditos, S.A. (the Issuer ) will be issued on 16 November 2015 (the Closing Date ). Interest on the Asset-Backed Notes issued on the Closing Date is firstly payable on 25 January 2016 and thereafter interest on the Asset-Backed Notes shall be payable quarterly in arrears on the 25 th day of April, July, October and January in each year (or, if such day is not a Business Day, the next succeeding Business Day). Interest on the Asset-Backed Notes is payable in respect of each Interest Period at an annual rate of 1.2 per cent. in relation to the Class A Notes and 2.4 per cent. per annum in relation to the Class B Notes. The Class C Notes will not bear interest but will be entitled to the Class C Distribution Amount, to the extent of available funds and subject to the relevant priority of payments. The VFN shall not bear interest. Payments on the Notes will be made in euro after any Tax Deduction (as defined below). The Notes will not provide for additional payments by way of gross-up in the case that interest payable under the Notes is or becomes subject to Tax. See Principal Features of the Notes Taxation in respect of the Notes. During the Revolving Period, Principal Collections Proceeds will be used firstly to purchase Additional Receivables, in accordance with the Payment Priorities. During the Revolving Period there will be no repayment of principal on the Notes, unless as provided in this Prospectus. After the end of the Revolving Period, repayment of principal on the Asset-Backed Notes on an Interest Payment Date will be made sequentially by redeeming all principal due on the Class A Notes and thereafter by redeeming all principal due on the Class B Notes and thereafter by redeeming all principal due on the VFN (except for 1, which will be redeemed on the Final Legal Maturity Date) and thereafter by redeeming all principal due on the Class C Notes. The Notes will be redeemed at their Principal Amount Outstanding on the Final Legal Maturity Date to the extent not previously redeemed. The Notes will be subject to mandatory redemption in whole or in part on each Interest Payment Date on which the Issuer has an Available Principal Distribution Amount available for redeeming the Notes in such class. The Notes will be subject to optional redemption (in whole but not in part) at their Principal Amount Outstanding together with accrued interest at the option of the Issuer on any Interest Payment Date, subject to the provisions of the Securitisation Law then in force: (a) following the occurrence of certain tax changes concerning, inter alia, the Issuer, the Receivables and/or the Notes; or (b) following the Calculation Date on which the Aggregate Principal Outstanding Balance of the Receivables is equal to or less than 10 (ten) per cent. of the Aggregate Principal Outstanding Balance of the Receivables as at the Initial Collateral Determination Date. The Notes will be subject to optional redemption (in whole but not in part) at their Principal Amount Outstanding together with accrued interest at the option of the sole Noteholder, if on any Interest Payment Date, 100 per cent. of the Notes then outstanding are held by the sole Noteholder. (see Principal Features of the Notes and the Terms and Conditions of the Notes ). The source of funds for the payment of principal on the Notes, for payment of interest on the Asset-Backed Notes and in the case of the Class C Notes, the Class C Distribution Amount, will be the right of the Issuer to receive payments in respect of receivables arising under vehicle loans, vehicle leases and vehicle long term rentals (together referred to as Receivables ) originated by Banco Santander Consumer Portugal, S.A. ( Santander Consumer Portugal or the Originator ). The Issuer was structured so as not to constitute a covered fund for purposes of the Volcker Rule under the Dodd-Frank Act (both as defined herein). The Notes are limited recourse obligations and are obligations solely of the Issuer and are not the obligations of, or guaranteed by, and will not be the responsibility of, any other entity, subject to statutory segregation as provided for in the Securitisation Law (as defined in the Risk Factors). In particular, the Notes will not be obligations of and will not be guaranteed by Banco Santander, S.A. ( Banco Santander or the Arranger ), or Santander Consumer Portugal or any of its Affiliates. The Notes have not been, and will not be, registered under the US Securities Act 1933, as amended (the Securities Act ) and are being offered and sold only outside the United States, in offshore transactions in compliance with Regulation S. The Notes are subject to certain restrictions on transfer as described in Subscription and Sale and Transfer Restrictions. The Originator has agreed to purchase the Notes issued on the Closing Date from the Issuer. This Prospectus (the Prospectus ) comprises a prospectus for the purposes of Directive 2003/71/EC, as amended, which includes the amendments introduced by Directive 2010/73/EU to the extent that such amendments have been implemented in the relevant 1 member state (the Prospectus Directive ). The Prospectus has been approved by the Portuguese Securities Market Commission (Comissão do Mercado de Valores Mobiliários or the CMVM ), as competent authority under the Prospectus Directive. The CMVM only approves this Prospectus as meeting the requirements imposed under Portuguese and EU law pursuant to the Prospectus Directive. The approval of this Prospectus by the CMVM as competent authority under the Prospectus Directive does not imply any guarantee as to the information contained herein, the financial situation of the Issuer or as to the opportunity of the issue or the quality of the Notes. Application has been made to the Euronext Lisbon Sociedade Gestora de Mercados Regulamentados, S.A. for the Class A Notes to be admitted to trading on its main market Euronext Lisbon (the Stock Exchange ). No application will be made to list the Class A Notes on any other stock exchange. The Class B Notes, the Class C Notes and the VFN will not be listed. The language of the Prospectus is English, although certain legislative references and technical terms have been cited in their original language in order that the correct technical meaning may be ascribed to them under applicable law. The Class A Notes are expected to be rated by DBRS Ratings Limited. ( DBRS ) and Standard & Poor s Credit Market Services Europe Limited. ( S&P ) and together, the Rating Agencies ), while the Class B Notes, the Class C Notes and the VFN will not be rated. It is a condition precedent to the issuance of the Notes that the Class A Notes receive the ratings set out below: DBRS S&P Class A Notes A(sf) A(sf) A credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time by the Rating Agencies. European regulated investors are restricted from using a rating for regulatory purposes if such rating is not issued by a credit rating agency established in the European Union and registered under the Regulation (EC) no. 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies, as amended pursuant to Regulation (EC) no. 513/2011 of the European Parliament and of the Council of 11 May 2011 and pursuant to Regulation 462/2013 of the European Parliament and of the Council of 21 May 2013 ( CRA Regulation ). DBRS and S&P are established in the European Union and registered under CRA Regulation. The list of registered and certified rating agencies is published by the European Securities and Markets Authority ( ESMA ) on its website (http://www.esma.europa.eu/) in accordance with the CRA Regulation. Particular attention is drawn to the section herein entitled Risk Factors. 2 CONTENTS Heading Page RISK FACTORS... 4 RESPONSIBILITY STATEMENTS THE PARTIES PRINCIPAL FEATURES OF THE NOTES OVERVIEW OF THE TRANSACTION STRUCTURE AND CASH FLOW DIAGRAM OF TRANSACTION DOCUMENTS INCORPORATED BY REFERENCE OVERVIEW OF CERTAIN TRANSACTION DOCUMENTS USE OF PROCEEDS CHARACTERISTICS OF THE RECEIVABLES ESTIMATED AVERAGE LIVES OF THE NOTES AND ASSUMPTIONS ORIGINATOR s STANDARD BUSINESS PRACTICES, SERVICING AND CREDIT ASSESSMENT DESCRIPTION OF THE ISSUER DESCRIPTION OF THE ORIGINATOR DESCRIPTION OF THE ACCOUNTS BANK SELECTED ASPECTS OF LAWS OF THE PORTUGUESE REPUBLIC RELEVANT TO THE RECEIVABLES AND THE TRANSFER OF THE RECEIVABLES SUMMARY OF PROVISIONS RELATING TO THE NOTES CLEARED THROUGH INTERBOLSA TERMS AND CONDITIONS OF THE NOTES TAXATION SUBSCRIPTION AND SALE AND TRANSFER RESTRICTIONS GENERAL INFORMATION INDEX OF DEFINED TERMS Suitability RISK FACTORS Prior to making an investment decision, prospective purchasers of the Notes should consider carefully, in light of the circumstances and their investment objectives, the information contained in this entire Prospectus, including the documents incorporated by reference and reach their own views prior to making any investment decision. Prospective purchasers should nevertheless consider, among other things, the risk factors set out below. Interest rate risk The Asset-Backed Notes will entitle its holders to a fixed interest rate payment in relation to each such Class as from the Closing Date. As the Issuer has not entered into any interest rate swap or other hedging arrangement, it is subject to the risk that the contractual interest rates agreed between the Originator and the Obligors under the Receivable Contracts might be lower than those required by the Issuer in order to meet its payment obligations under the Notes. Absence of a Secondary Market There is currently no market for the Notes and there can be no assurance that a secondary market for any of the Notes will develop or, if a secondary market does develop, that it will provide the holders of such Notes with liquidity of investment or that it will continue for the entire life of the Notes. Consequently, any purchaser of the Notes must be prepared to hold the Notes until final redemption or earlier application in full of the proceeds of enforcement of the Issuer s obligations by the Common Representative. The market price of the capital in the Notes could be subject to fluctuation in response to, among other things, variations in the value of the Receivables, the market for similar securities, prevailing interest rates, changes in regulation and general market and economic conditions. In addition, Noteholders should be aware of the prevailing and widely reported global credit market conditions referred to as the credit crunch (which continue at the date hereof), whereby there is a general lack of liquidity in the secondary market for instruments similar to the Notes. The Issuer cannot predict when these circumstances will change and if and when they do whether conditions of general market illiquidity for the Notes and instruments similar to the Notes will return in the future. Moreover, the liquidity crisis over the last years has stalled the primary market for a number of financial products including instruments similar to the Notes. While most sectors of the global credit markets are improving, there can be no assurance that the market for securities similar to the Notes will recover at the same time or to the same degree as such other recovering global credit market sectors. Transaction Party and Rating Trigger Risk The Issuer faces the possibility that a counterparty will be unable to honour its contractual obligations to it. These parties may default on their obligations to the Issuer due to bankruptcy, lack of liquidity, operational failure or other reasons. This risk may arise, for example, from entering into contracts under which counterparties have obligations to make payments to the Issuer that fail to settle at the required time due to non-delivery by the counterparty or systems failure by clearing agents, exchanges, clearing houses or other financial intermediaries. While certain Transaction Documents provide for rating triggers to address the insolvency risk of counterparties, such rating triggers may be ineffective in certain situations. Rating triggers may require counterparties, inter alia, to arrange for a new counterparty to become a party to the relevant Transaction Document upon a rating downgrade or withdrawal of the original counterparty. It may, however, occur that a counterparty having a requisite rating becomes insolvent before a rating downgrade or withdrawal occurs or that insolvency occurs immediately upon such rating downgrade or withdrawal or that the relevant counterparty does not have sufficient liquidity for implementing the measures required upon a rating downgrade or withdrawal. Issuer as not to constitute a covered fund According to a legal opinion provided to the Issuer related to the description hereinafter, the Issuer was structured so as not to constitute a covered fund for purposes of the regulations adopted to implement Section 619 of the Dodd-Frank Act (such statutory provision together with such implementing regulations, the Volcker Rule ). The Volcker Rule generally prohibits banking entities (which is broadly defined to include U.S. banks and bank holding companies and many non-u.s. banking entities, together with their respective subsidiaries and other affiliates) from (i) engaging in proprietary trading, (ii) acquiring or retaining an ownership interest in or sponsoring a covered fund and (iii) entering into certain relationships with such funds. The Volcker Rule became effective on April 1, 2014, during which banking entities must make good-faith efforts to conform their activities and investments to the Volcker 4 Rule. Under the Volcker Rule, unless otherwise jointly determined otherwise by specified federal regulators, a covered fund does not include an issuer that may rely on an exclusion or exemption from the definition of investment company under the Investment Company Act other than the exclusions contained in Section 3(c)(1) and Section 3(c)(7) of the Investment Company Act. The general effects of the Volcker Rule remain uncertain. Any U.S. bank or a subsidiary or other affiliate thereof that is a prospective investor in the Notes, should consult its own legal advisors regarding such matters and other effects of the Volcker Rule. Eligibility of the Class A Notes for Eurosystem Monetary Policy The Class A Notes are intended to be held in a manner which will allow Eurosystem eligibility, as the Most Senior Class of Notes. This means that the Class A Notes will be upon issue registered with the centralised system (sistema centralizado) and settled through the Portuguese securities settlement system (Central de Valores Mobiliários) operated by Interbolsa Sociedade Gestora de Sistemas de Liquidação e de Sistemas Centralizados de Valores Mobiliários, S.A. and does not necessarily mean that the Class A Notes will be recognised as eligible collateral for Eurosystem monetary policy and intra-day credit operations by the Eurosystem ( Eurosystem Eligible Collateral ) either upon issue, or at any or all times during their life. Such recognition will depend upon satisfaction of the Eurosystem eligibility criteria as specified by the European Central Bank ( ECB ). If the Class A Notes do not satisfy the criteria specified by the ECB, there is a risk that the Class A Notes will not be Eurosystem Eligible Collateral. The Issuer gives no representation, warranty, confirmation or guarantee to any investor in the Class A Notes that the Class A Notes will, either upon issue, or at any or all times during their life, satisfy all or any requirements for Eurosystem eligibility and be recognised as Eurosystem Eligible Collateral. Any potential investors in the Class A Notes should make their own determinations and seek their own advice with respect to whether or not the Notes constitute Eurosystem Eligible Collateral. In particular, please note the guideline of the ECB dated 2 February 2015 (ECB/2014/60) which states, inter alia, that asset-backed securities shall be eligible as Eurosystem eligible Collateral provided that such asset-backed securities has, inter alia, two ratings of, at least, BBB- / BBB level at issuance and at any time subsequently and satisfies all the requirements set out in article 3 of the such guideline. Restrictions on Transfer The Notes have not been, and will not be, registered under the US Securities Act 1933, as amended (the Securities Act ) or with any securities regulatory authority of any state or other jurisdiction of the United States. The Notes may not be offered or sold within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act. Accordingly, the Notes are being offered and sold in offshore transactions in reliance on Regulation S of the Securities Act. In addition, until 40 days after the commencement of the offering, an offer or sale of the Notes within the United States by any dealer (whether or not participating in the offering) may violate the registration requirements of the Securities Act. The Notes are subject to certain restrictions on transfer as described in Subscription and Sale and Transfer Restrictions. Estimated Weighted Average Lives of the Notes The yield to maturity of the Notes will depend on, among other things, the amount and timing of payment of principal (including prepayments, sale proceeds arising on the enforcement of a Receivable and repurchases due to breaches of representations and warranties) on the Receivables and the price paid by the Noteholders and the absence of available funds for further purchases of Additional Receivables or the Originator failing or being unable to offer the Additional Receivables on an Additional Purchase Date. Upon any early payment by the Obligors in respect of the Receivables after the end of the Revolving Period, and upon the anticipated end of the Revolving Period for certain reasons, the principal repayment of the Notes may be earlier than expected and, therefore, the yield on the Notes may be adversely affected by a higher or lower than anticipated rate of prepayment of Receivables. The rate of prepayment of Receivables cannot be predicted and is influenced by a wide variety of economic and other factors, including prevailing interest rates, the availability of alternative financing and local and regional economic conditions. With effect from 6 April 2007 (following publication of Decree-law no. 51/2007 of 7 March 2007, as amended) the ability of banks in Portugal to levy prepayment charge
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