DBRS Downgrades Rayo Finance Ireland (No.1) Limited – Series 2005

DBRS Ratings Limited (DBRS) has today downgraded Class A notes issued by Rayo Finance Ireland (No.1) Limited – Series 2005 from AA (high) (sf) to AA (sf). This rating was also removed from Under Review with Negative Implications (see “DBRS Places Rayo Finance Ireland (No.1) Limited – Series 2005 Under Review with Negative Implications”, published on May 7, 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 (high) from AA (low) with the Negative Trend maintained (see press release “DBRS Downgrades Spain to A (high), Trend Remains Negative”).

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.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

For additional information on these ratings, please refer to the linking document.

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