DBRS Downgrades the Series 5 Notes from Rayo Finance Ireland (No.1) Limited

DBRS, Inc. (DBRS) has today downgraded the Series 5 Notes issued by Rayo Finance Ireland (No.1) Limited from AA (sf) to A (high) (sf). This rating was also removed from Under Review with Negative Implications (see “DBRS Ratings Limited Puts 23 Classes from 16 European ABS Structured Finance Transactions Under Review with Negative Implications”, published on May 25, 2012)

Based on DBRS rating methodology, the rating of the above transaction is limited to a two notch increase above the current local currency sovereign rating of the Kingdom of Spain. DBRS has recently downgraded Spain’s long-term foreign and local currency debt rating to A (low) from A (high) with the Negative Trend maintained (see press release “DBRS Downgrades Spain’s Rating to A (low) with Negative Trend”, published on August 8, 2012).

The principal methodologies applicable are:
• Spanish 2005 Electricity Tariff Methodology
• Legal Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under 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”.

The sources of information used for this rating include JP Morgan Securities Ltd in its capacity as arranger and Santander S.A. in its capacity as originator. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating involves a securitization of electricity tariff deficit for which historical data is limited.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

For additional information on this rating, please see the linking document.

Lead Analyst: Paolo Conti
Lead Surveillance Analyst: Mark Zelmanovich
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: March 22, 2012