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Rating Action:

MOODY'S ASSIGNS PROVISIONAL RATINGS TO FIVE SERIES OF SPANISH MORTGAGE-BACKED SECURITIES ISSUED BY AYT GENOVA HIPOTECARIO VIII

18 May 2006
MOODY'S ASSIGNS PROVISIONAL RATINGS TO FIVE SERIES OF SPANISH MORTGAGE-BACKED SECURITIES ISSUED BY AYT GENOVA HIPOTECARIO VIII

Madrid, May 18, 2006 -- Moody's Investors Service today assigned provisional credit ratings to five series of mortgage-backed securities ("Bonos de Titulización Hipotecaria") to be issued by AyT GENOVA HIPOTECARIO VIII Fondo de Titulización de Hipotecaria, a Spanish asset securitisation fund that has been created by Ahorro y Titulización, S.G.F.T, S.A. ("AyT").

Moody's has assigned the following ratings:

- (P)Aaa to the EUR 462.0 million Series A1 notes

- (P)Aaa to the EUR 1,575.0 million Series A2 notes

- (P)Aa3 to the EUR 21.0 million Series B notes

- (P)Baa1 to the EUR 21.0 million Series C notes

- (P)Ba3 to the EUR 21.0 million Series D notes

The ratings address the expected loss posed to investors by the legal final maturity (15 May 2039). In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date, and not at any other expected maturity date. The ratings do not address the full redemption of the notes on the expected maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The fund will be established with the loans sold to the fund by AyT Genova I and by AyT Genova V, with the remaining loans issued by Barclays Bank SA. Barclays is securitising the loans from its Hipoteca Remunerada, a loan product which has very strong underwriting criteria as Barclays is targeting affluent clients in Spain.

According to Moody's, this deal benefits from several credit strengths including the following: (1) good quality collateral in terms of weighted average LTV (56.33%), seasoning (2.03 years) and geographical diversification. Some of the loans come from AyT Genova I and AyT Genova V current seasoned transactions; (2) interest rate swap to hedge interest rate risk in the transaction; (3) a reserve fund that is fully funded upfront to cover any potential shortfall in interest and principal; (4) an 18-month artificial write-off mechanism; (5) the fact that 100% of the loans are secured by first-lien residential mortgages; and (6) the quality of Barclays Bank S.A as originator and servicer.

However, Moody's notes that the deal also features credit weaknesses, notably: (1) lack of information (employment type); however, a penalty was accordingly applied when calculating the credit enhancement, (2) weak margin on the loans (43 bps over 12-month Euribor). This risk is sized in the subordination levels and in the reserve fund; (3) the fact that pro-rata amortisation of the Series B, C and D notes leads to reduced credit enhancement of the senior class in absolute terms. These increased risks were reflected in Moody's credit enhancement calculation; and (4) no limit has been established to the amount of loans for which maturity could be renegotiated, even though the extension of the maturity date could not go beyond April 2036.

The portfolio comprises 17,818 loans representing a provisional portfolio of EUR 2,388,500,356. The securitised products are first-lien mortgage loans granted to individuals, most of whom will use these loans to acquire or refurbish a primary residence. The loans have a weighted average seasoning of approximately 2.03 years. The original weighted average LTV is 62.35%. The current weighted average LTV is 56.33%.The mortgages consist of first charges on residential properties that are all believed to be owner-occupied. All the properties on which the mortgage securities have been granted are covered by property damage insurance and fire insurance.

Moody's based its ratings on (1) an evaluation of the underlying portfolio of mortgage loans securing the structure, and (2) the transaction's structural protections, which include the subordinate position of Series B with respect to Series A, the strength of the cash flows (including the reserve fund) and any excess spread available to cover losses.

Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of the transaction and associated documentation, the rating agency will endeavour to assign a definitive rating. A definitive rating (if any) may differ from a provisional rating.

Madrid
Alberto Barbachano
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Madrid
Juan Pablo Soriano
Managing Director
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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