DBRS Confirms Rating on Volta Electricity Receivables Securitisation

DBRS Ratings Limited (DBRS) has today confirmed its rating on the Senior Notes of Volta Electricity Receivables Securitisation (the Issuer) at BBB (high) (sf).

Based on the DBRS “Rating Portuguese Electricity Tariff Securitisations” methodology, the rating of the above transaction is limited to a two-notch increase above the current local currency sovereign rating of the Republic of Portugal. The DBRS Sovereign Group confirmed the Republic of Portugal’s Long-Term Foreign and Local Currency Issuer Ratings at BBB (low) with a Stable trend in November 2014 (see press release issued on 21 November 2014 entitled “DBRS Confirms Republic of Portugal’s Rating at BBB (low), Stable Trend”).

This is a static securitisation of Portuguese electricity tariff receivables assigned to 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), correspond 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 at 1.19%.

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 2.64 million and EUR 0.35 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 Transactions.”
Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release.

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

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 rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

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 2 June 2014, when DBRS confirmed the rating on 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 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: Diana Turner

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960.

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

-- 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.

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.