DBRS Assigns Provisional Ratings to the increase of Series 4, 16 and 17 Notes from Fondo de Titulización del Déficit del Sistema Eléctrico, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned a provisional rating of ‘A’ (low) (sf) Trend Negative to the EUR 400mn increase of Series 4 Notes, EUR 250mn increase of Series 16 Notes and EUR 300mn increase of Series 17 Notes issued by Fondo de Titulización del Déficit del Sistema Eléctrico, F.T.A. (FADE or The Fund). Each Series of Notes will be issued on 16 October 2013 and constitute an increase to the Series 4, Series 16 and Series 17 Notes previously rated by DBRS on 19 September 2013.

FADE is a fund created under the provisions dictated in the Royal Decree 437/2012 that regulates the amortisation framework of the tariff deficit in Spain. The purpose of FADE is to enable the electricity companies in Spain to sell tariff deficit receivables with different maturities to the Fund and issue series of Notes to be placed in the market.

The Notes issued by FADE are guaranteed by the Kingdom of Spain up to EUR 22bn. On 27 August 2013 the Kingdom of Spain approved an additional EUR 4bn extension of the guarantee that results in a total guarantee to FADE programme of EUR 26bn.

The guarantee can be exercised with regard any of the series issued by FADE to cover ordinary interests, delayed interests and principal up to EUR 26bn. The guarantee in place cannot assure the timely payment of interest and timely principal on the Notes.

FADE benefits of EUR 2bn credit line provided by the Instituto de Crédito Oficial (ICO). The credit line covers for any interest or principal shortfalls on the Notes. The Fund incorporates the possibility to refinance existing series of Notes.

DBRS ratings of the Notes addresses the ultimate distribution of interest and the ultimate distribution of principal on the below referenced Notes on or before the Final Maturity date of the Fund.

DBRS ratings of the Notes issued by the FADE programme described below are based on the obligation of the guarantor, the Kingdom of Spain, to make payment pursuant to the guarantee of the Note interest and principal up to EUR 26bn.

The ratings are based upon DBRS review of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement.
• The credit quality of the receivables backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

Methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include investor reports and documents provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 3 October 2013, when DBRS assigned final rating of ‘A’ (low) (sf) Negative Trend to the Series 18 Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

Generally, the conditions that lead to the assignment of a Negative or Positive Trend are resolved within a twelve month period. DBRS’s outlooks and ratings are under regular surveillance.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: David Sanchez Rodriguez
Initial Rating Date: 16/09/2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: 03/10/2013

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions