EUR 2 billion of debt securities rated
Note: On November 3, 2011, the press release was revised as follows: in the last paragraph preceding Regulatory Disclosures section, substitute “In Moody's opinion, the structure allows for ultimate payment of interest and principal on the Notes” for “In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal on the Notes."
Milan, March 24, 2011 -- Moody's Investors Service has today assigned provisional rating to notes
to be issued by Fondo de Titulización del déficit del sistema
eléctrico, FTA (FADE).
Issuer: Fondo de Titulización del déficit del sistema
eléctrico, FTA
.... EUR2 billion Series 3, assigned
(P)Aa2(sf)
RATINGS RATIONALE
The provisional (P) Aa2(sf) rating for this transaction takes into account
its specific nature and unique structure, which differs substantially
from other electricity tariff securitisations and is recognised by a Spanish
government royal decree. Moody's assigned the ratings primarily
based on: (i) an evaluation of the guarantee from the government
of Spain; (ii) the current rating of the government of Spain (Aa2/(P)P-1);
and (iii) an evaluation of the structural features of the transaction.
As such, the rating of the notes are fully linked to the rating
of the government of Spain, as the claims of the issuer under the
guarantee represent an unconditional, irrevocable, legal,
valid and binding obligation of the Spanish government, as confirmed
by the transaction's legal counsel.
This transaction is a securitisation of credit receivables attributed
to certain Spanish utility companies and recognised by Spanish government
royal decree. The securitisation allows the utility companies to
obtain compensation for shortfalls in the settlement of their regulated
activities in the electricity market ("tariff deficit"). The tariff
deficit is the difference between the costs incurred to supply the power
and the regulated tariffs charged to the end users. The compensation
is considered a fixed cost and a fixed amount is added to the electricity
bills of the consumers in order to cover this deficit over the next 15
years. The Spanish electricity regulator (Spanish Comision Nacional
de Energia) sets, administers and receives these amounts and passes
them on to the specified utilities companies.
The issuer has acquired a portion of the tariff deficit receivables generated
between 2008 and 2010. This share accounts for approximately EUR2
billion as of the closing date. The issuer previously issued series
1 and series 2 for a total amount of EUR4 billion (rated Aa2) as part
of the programme. The issuer will be able to acquire additional
tariff deficit receivables over the next five years and issue new series
notes, as well as issue notes to refinance existing series over
the next 20 years. All series of notes will rank pari passu.
Both interest and principal due under the notes will be guaranteed by
the Government of Spain (rated Aa2/(P)P-1, negative).
The main features of the guarantee granted by the Government of Spain
are:
? The guarantee is irrevocable and unconditional
? The maximum limit for the programme amount is EUR22 billion.
This limit may be increased to EUR25 billion, subject to ongoing
approval of the guarantee limit in the General State Budget Law.
? The obligations assumed shall be enforceable on the date where
the guaranteed obligation becomes due (principal or ordinary interest).
? The structure envisions that the guarantee will be enforced by
the management company (on behalf of the investors).
? The amounts due under the notes accrue penalty interest from due
payment date. This penalty interest is covered by the government
guarantee from the date the interest / principal payments are due (i.e.
from the payment date when a shortfall occurs and needs to be covered
by the guarantee), as long as the management company requires the
payment to the guarantor within five days from the payment date.
In addition, a credit line granted by Instituto de Credito Oficial
(ICO; Aa2/P-1) for a maximum amount of EUR2 billion will be
available to cover the issuer's regular senior expenses as well as interest
and principal on all series of notes.
Moody's did not perform any cash flow analysis or simulation of stress
scenarios as the rating is based on the rating of the Spanish government
through the guarantee.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
Moody's issues provisional ratings in advance of the final sale of securities
and the above rating reflects Moody's preliminary credit opinions regarding
the transaction only. Upon a conclusive review of the final documentation
and the final note structure, Moody's will endeavour to assign a
definitive rating to the above notes. A definitive rating may differ
from a provisional rating. The rating addresses the expected loss
posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal on the Notes. Moody's ratings address only the credit risks associated with the transaction.
Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Milan
Paula Lichtensztein
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Milan
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100
Moody's Assigns Provisional Rating to Fondo de Titulización del Déficit del Sistema Eléctrico, FTA Notes
