DBRS Assigns Provisional Rating to Series 21 Notes from Fondo de Titulización del Déficit del Sistema Eléctrico, F.T.A.

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of A (low) (sf), Trend Stable to the Series 21 notes issued by Fondo de Titulización del Déficit del Sistema Eléctrico, F.T.A. (FADE or the Fund). The Series 21 notes have a nominal amount of EUR 1.3 billion and final maturity date of September 2019.

FADE is a fund created under the provisions dictated in the Royal Decree 437/2010 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 22 billion. On 27 August 2013, the Kingdom of Spain approved an additional EUR 4 billion extension of the guarantee that results in a total guarantee to the FADE programme of EUR 26 billion.

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

FADE benefits from a EUR 2 billion 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 address 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’s 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 26 billion.

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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Legal Criteria for European Structured Finance Transactions”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

DBRS conducted a partial review of the transaction’s legal documents as the majority of the documents have remained unchanged since the most recent rating action. 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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary 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 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 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 20 May 2015, when the Trend was changed to Stable from Negative on all outstanding Series.

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: David Sanchez Rodriguez
Initial Final Rating Date: 16 September 2013
Rating Committee Chair: Chuck Weilamann

Last Rating Date: 20 May 2015

Lead Surveillance Analyst: Vito Natale
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.
-- Master European Structured Finance Surveillance Methodology.
-- Operational Risk Assessment for European Structured Finance Servicers.

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.