Prouff has introduced recently, at FSE 2005, the notion of transparency order of S-boxes. This new characteristic is related to the ability of an S-box, used in a cryptosystem in which the round keys are introduced by addition, to thwart single-bit or multi-bit DPA attacks on the system. If this parameter has sufficiently small value, then the S-box is able to withstand DPA attacks without that ad-hoc modifications in the implementation be necessary (these modifications make the encryption about twice slower). We prove a lower bound on the transparency order of highly nonlinear S-boxes. We show that some highly nonlinear functions, and in particular the S-box of AES, have very bad transparency orders.