DBRS Confirms Rating on Series 5 Notes issued by Rayo Finance Ireland (No. 1) Limited

DBRS Ratings Limited (DBRS) has today confirmed its A (high) (sf) rating on the Series 5 Notes (the Notes) issued by Rayo Finance Ireland (No. 1) Limited (the Issuer).

The confirmation of the rating on the Notes is based upon the following analytical considerations:

-- The link between the transaction and the sovereign rating of Spain, being the uplift limited to two notches above the Sovereign rating according to DBRS Spanish 2005 Electricity Tariff Methodology. The DBRS Sovereign Group confirmed the Kingdom of Spain’s Long-Term Local Currency Issuer Rating at A (low) with a Stable trend (see press release issued on 10 April 2015 ‘DBRS Confirms the Kingdom of Spain at A (low), Stable Trend’).

-- No adverse change of the legal or regulatory framework or a deterioration in the performance of the public entities involved in the transaction is expected.

-- The transaction is not exposed to the credit risk of any specific entity.

The Issuer is a static securitisation of Spanish electricity tariff deficit receivables. The Notes are backed by 16.47% of the 2005 Tariff Deficit Compensation Entitlement, which had been acquired by Santander SA. The transaction has a principal repayment pass through structure and follows the standard structure under English law.

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.

A review of the transaction’s legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary ‘The Effect of Sovereign Risk on Securitisations in the Euro Area’ on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include monthly investor reports provided by Santander SA.

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 4 September 2014, when DBRS confirmed the rating assigned to the Notes at A (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 (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: Paolo Conti
Initial Rating Date: 22 March 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies 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
-- Spanish 2005 Electricity Tariff
-- 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.