DBRS Confirms Ratings to Volta Electricity Receivables Securitisation

DBRS Ratings Limited (“DBRS”) has reviewed Volta Electricity Receivables Securitisation and confirms the ratings of the Senior Notes at BBB (high) (sf).

Based on the DBRS Portuguese Electricity Tariff methodology, the ratings of the above transaction is limited to a two notches increase above the current local currency sovereign rating of the Republic of Portugal. DBRS Sovereign Group recently confirmed the Republic of Portugal Long-Term Issuer Rating at BBB (low) and changed the trend from Negative to Stable (see press release issued on May 23, 2014 “DBRS Confirms the Republic of Portugal at BBB (low), Changes Trend from Negative to Stable).

This is a static cash securitisation of Portuguese electricity tariff receivables assigned to TAGUS–Sociedade de Titularização de Créditos (“the Issuer”) by EDP – Serviço Universal (“EDP-SU”). The transaction closed in May 2013.

Pursuant to the Portuguese Decree-law 29/2006, EDP-SU has the right to recover any amounts arising out of the difference between the costs of acquisition of electricity and the sale price of the respective electricity valued according to market prices. Such additional costs incurred by EDP-SU with respect to the purchase of electricity from special regime generators for 2012, including adjustments from the two previous years (2010 and 2011), corresponds to the over costs.
The Senior Notes are supported by subordination of the Liquidity Notes and the Class R Notes. Credit enhancement for the Senior Notes have been stable over the last year and it is currently 1.14%. Although subordinated to the Senior Notes (and in priority respect to the Class R Notes), Liquidity Notes are also amortising.

The transaction benefit from a principal to pay interest mechanism and an amortising Liquidity Reserve to cover against potential liquidity risk. Additionally, an Expense Reserve funded with the proceeds of the Class R Notes covers one year of the annual transaction costs as well as unforeseen transaction costs incurred over the life of the transaction. The Liquidity Reserve and the Expense Reserve are at the current target level of EUR 3.58 million and EUR 0.37 million.

Deutsche Bank AG, London branch is the Account Bank for the transaction. The DBRS private rating of Deutsche Bank AG, London branch is at least equal to the Minimum Institution Rating given the rating assigned to the Senior Notes, as described in the DBRS Legal Criteria for European Structured Finance.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other 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 provided by Deutsche Bank AG, London branch. 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 30 May 2013, when DBRS finalised the provisional ratings assigned to the Senior Notes at BBB (high) (sf).

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

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: Paolo Conti
Initial Rating Date: 30 May 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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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.
• Rating Portuguese Electricity Tariff Securitisations.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.