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Rating Action:

Moody's downgrades Spanish and Portuguese electricity tariff deficit-backed ABS following sovereign downgrades

18 Feb 2012

Transactions rated at highest achievable ratings for structured finance

Paris, February 18, 2012 -- Moody's Investors Service has today downgraded the ABS transactions that rely on the performance of Spanish and Portuguese electricity tariff deficit (ETD) receivables to the highest achievable structured finance ratings for their respective country (please see the detailed list of rating actions below):

- To Aa2(sf) from Aaa(sf) for Spanish transactions

- To Baa1(sf) from A2(sf) for Portuguese transactions

The downgrades reflect the lowering of the highest achievable structured finance ratings for several European countries on 17 February 2012 ("Moody's lowers the highest achievable structured finance ratings in Italy, Portugal and Spain following the recent sovereign rating actions").

-- Spanish transactions

Issuer: Alectra Finance p.l.c.

....EUR1197.05M A Notes, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Assigned Aaa (sf)

Issuer: Bliksem Funding Limited

....EUR200M A Notes, Downgraded to Aa2 (sf); previously on Jul 22, 2008 Assigned Aaa (sf)

Issuer: Delta SPARK Limited 2008-1

....EUR1289.5M A Notes, Downgraded to Aa2 (sf); previously on Sep 30, 2008 Definitive Rating Assigned Aaa (sf)

Issuer: Rayo Finance Ireland (No.1) Limited

....EUR75M Series 1 Notes, Downgraded to Aa2 (sf); previously on Oct 20, 2008 Assigned Aaa (sf)

....EUR507.633303M Series 2 Notes, Downgraded to Aa2 (sf); previously on Oct 20, 2008 Assigned Aaa (sf)

....EUR269.30872M Series 3 Notes, Downgraded to Aa2 (sf); previously on Mar 26, 2009 Assigned Aaa (sf)

....EUR439.269808M Series 4 Notes, Downgraded to Aa2 (sf); previously on Jul 24, 2009 Assigned Aaa (sf)

-- Portuguese transactions

Issuer: (EnergyOn No. 2) Tagus - Sociedade de Titularização de Créditos, S.A.

....EUR440.65M A Notes, Downgraded to Baa1 (sf); previously on Nov 18, 2011 Downgraded to A2 (sf)

Issuer: Tagus - Sociedade de Titularizacao de Creditos, S.A.

....EUR1253.45M A1 Notes, Downgraded to Baa1 (sf); previously on Nov 18, 2011 Downgraded to A2 (sf)

RATINGS RATIONALE

-- Lower maximum achievable structured finance ratings

The lowering of the highest achievable ratings was prompted by the rating sovereign downgrades of the Government of Spain (to A3 from A1) and the Government of Portugal (to Ba3 from Ba2) on 13 February 2012 ("Moody's adjusts ratings of 9 European sovereigns to capture downside risks").

The highest structured finance rating achievable is the rating beyond which structural features or credit enhancement provided by any domestic party cannot mitigate the impact of severe events and the level of uncertainty surrounding such events. The changes that have been announced reflect an increase in the probability of severe economic stress or even default, which, although in most cases extremely low, create a level of uncertainty that is inconsistent with structured finance rating levels higher than the new levels that have been set. The highest achievable structured finance rating may be revised further downwards if the likelihood of those events were to increase.

--ETD transactions rated at the highest achievable structured finance rating

Moody's considers the rating of the notes to be linked to the rating of the government in their respective country of issuance. As the transactions are exposed to some of the economic and fiscal challenges reflected in the ratings of the governments in their jurisdiction, they are subject to the maximum achievable rating that Moody's applies to other structured finance transactions.

The risk of very severe fiscal or macroeconomic stress scenarios emerging in which the government is led to increase significantly the tax burden on consumers; or consumers' ability to service electricity bills becomes severely impaired, creates the potential for politically motivated changes to the terms of the tariff deficit repayment mechanism underlying the transactions. Moody's considers the risk of such scenarios to be linked to sovereign ratings.

-- High quality receivables backing the notes

Moody's considers the nature of the assets that the notes rely on in these transactions to be of high quality. The receivables that secure payments on the notes are essentially claims on the Spanish or Portuguese electricity system. These claims, and their specific repayments mechanisms, were set by specific legislation. The repayment mechanisms encompass the duties of the various parties, which include the regulator, and provide for the obligation to reflect the recovery of past ETDs in the annual costs of the electric system. For most transactions, these annual costs also include ETD amounts not paid in previous years for any reason ("true up" mechanism).

As such, payments under the transactions primary rely on the ability of the Spanish electricity sector to generate sufficient revenues during the transaction horizon to repay the receivables backing the notes in full. In this respect, Moody's notes that the annuity payments related to the recovery of the receivables backing the notes has a limited contribution to the total costs of the electricity system in Portugal (about 3%) and Spain (about 5%), according to 2011 figures.

However, in Spain, the actual revenues of the electric system have chronically been lower than its costs, which puts pressure on the contribution of EDT annuities to end-users' electricity bills (for more details, see "Moody's: Spanish electricity tariff deficit-backed ABS exposed to sovereign-related credit risk", on 15 December 2011).

--COUNTERPARTY EXPOSURES

The ETD-backed transactions are also exposed to counterparty risks. In particular, payments on the notes depend on the performance of swap counterparties or other external parties that are responsible for paying some of the issuer expenses. As such, the ratings of the transactions are also linked to the ratings of these counterparties or the execution of delinking provisions upon rating trigger breaches.

In addition, the Portuguese ETD-backed transactions are specifically exposed to the role of the collection agent, EDP Distribuição - Energia, S.A., which is a subsidiary of Energias de Portugal, S.A. (EDP, Ba1/Non-Prime), as potential provider of liquidity to maintain timely payments in the event of collections from the electricity system falling temporarily under the yearly target set by the regulator. However, several structural mechanisms limit the likelihood and potential incidence of such exposure (for more details, see "Moody's downgrades EnergyOn 1 and 2, Portuguese electricity tariff deficit ABS", 18 November 2011).

-- Methodology Approach and Assumption Sensitivity

Moody's rating methodology for the tariff electricity transactions considers the strength of the specific legislation enacted to set forth the regulatory claims and the repayment mechanisms, the creditworthiness and strategic role of key counterparties. For further information on the rating approach, please see the new issue report publicly available for these transactions on Moody's website.

Key modeling assumptions, sensitivities, cash-flow analysis and stress scenarios on the assets underlying the notes have not been updated as the downgrade has been primarily driven by the lowering of the maximum achievable structured finance ratings in the relevant country. The most stressful scenario considered in Moody's analysis envisions a change to the terms of the receivables repayment mechanism, resulting from the economic and fiscal challenges reflected in the rating of the sovereigns. Therefore, a potential change in the sovereign ratings would negatively affect the credit risk of the transactions.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The ratings have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare each of the ratings are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a 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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or their related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

The below contact information is provided for information purposes only. Please see the issuer page on www.moodys.com for Moody's regulatory disclosure of the name of the lead analyst and the office that has issued the credit rating.

The relevant Releasing Office for each rating is identified under the Debt/Tranche List section on the Ratings tab of each issuer/entity page on moodys.com

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Ariel Weil
Vice President - Senior Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Craole Gintz
VP-Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annick Poulain
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades Spanish and Portuguese electricity tariff deficit-backed ABS following sovereign downgrades
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