...This report describes Fitch Ratings' methodology for analysing credit risk in utility credit rights securitisations in Portugal and Spain. Utility credit rights are regulatory assets established by law, offering its owner the right to a future cash flow stream sourced from a largely diversified and granular obligor base for the delivery of basic services like electricity, gas or water. The utility credit rights securitised so far are related to the recovery of tariff deficits (TD) in the electricity sector, or more generally to utility imbalances, which arise when regulated revenues are insufficient to pay regulated costs of the respective utility sector. The ratings address the relative vulnerability to a default of the notes, with regards to the receipt of interest and principal, in accordance with the terms of the notes' documentation....
