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Rating Action:

Moody's Investors Service assigns provisional ratings to Spanish RMBS notes issued by AyT Colaterales Global Hipotecario Caja Granada I, FTA

10 Dec 2010

EUR 399.9 million of rated debt securities affected

Madrid, December 10, 2010 -- Moody's Investors Service has today assigned provisional credit ratings to the following classes of notes issued by AyT Colaterales Global Hipotecario Caja Granada I, FTA

(P) Aa2 (sf) to the Euro 369,100,000 Class A Mortgage Backed Floating Rate Notes due 2047

(P) Ba1 (sf) to the Euro 18,000,000 Class B Mortgage Backed Floating Rate Notes due 2047

(P) Caa3 (sf) to the Euro 8,000,000 Class C Mortgage Backed Floating Rate Notes due 2047

(P) C (sf) to the Euro 4,800,000 Class D Mortgage Backed Floating Rate Notes due 2047

RATINGS RATIONALE

The ratings of the notes takes into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement and the portfolio expected loss, as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. The expected portfolio loss of 3.00% and the MILAN Aaa required Credit Enhancement of 11.00% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report "The Lognormal Method Applied to ABS Analysis", published in September 2000.

The key drivers for the MILAN Aaa Credit Enhancement number, which is in line with other prime Spanish RMBS deals, are (i) the weighted-average current LTV of 68.74%, with 24.19% of loans above 80% LTV, (ii) the high geographical concentration (Andalusia represents 86%) and (iii) the weighted average seasoning of 5.01 years.

The key drivers for the expected loss are (i) the already available performance for this very same transaction, which is worse than the average reported in the Spain index, (ii) the static historical information on delinquencies and recoveries received from the originator for its global mortgage book and (iii) the weak economic conditions in Spain. Given the historical performance of the transaction and the originator's mortgage book, Moody's believes the assumed expected loss is appropriate for this transaction.

The strengths of the structure are (i) a reserve fund fully funded upfront equal to 1.50% of the initial notes balance (it currently represents 1.60% of the outstanding balance of the notes) to cover potential shortfall in interest and principal, and (ii) a strong interest rate swap in place which provides a guaranteed excess spread (0.60%) above Euribor to the transaction.

The rating addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and principal with respect of the classes of notes A and B by the legal final maturity, and payment of interest and principal with respect of the classes of notes C and D by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The transaction closed in December 2007 and was initially not rated by Moody's. The initial notes balance issued at closing (shown above next to the assigned rating) amounted to EUR 399.9 million. The outstanding notes balance as of the last payment date in November 2010 amounts to EUR 294.3 million.

Moody's rating analysis of the notes is based on the transaction structure after the last payment date in November 2010. The next payment date will take place in May 2011.

The V Score for this transaction is Medium, which is in line with the V score assigned for the Spanish RMBS sector. No sub components underlying the V Score deviate from the average for the Spanish RMBS sector. V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V-Score has been assigned accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities: the model output indicated that Class A would have achieved Aa2 even if expected loss was as high as 9.0% (3.0x base case) assuming Milan Aaa CE at 11.0% (base case) and all other factors remained the same. Classes B, C and D would have achieved <B3 for this same scenario.

The model output further indicated that the Class A would not have achieved Aa2 with Milan Aaa CE of 15.4% (1.4x base case), and expected loss of 3.0% (base case). Classes B, C and D would have achieved Ba1, <B3 and <B3 respectively for this same scenario.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

The principal methodologies used in this rating were Moody's updated methodology for rating Spanish RMBS published in October 2009 and Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model (Moody's Analyser of Residential Cash Flows) published in January 2006.

Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence report had a neutral impact on the rating.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of assigning a credit rating.

The reports mentioned above are available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website.

Additional research, including the pre-sale report for this transaction and reports for prior transactions, are available at www.moodys.com. In addition Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

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

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

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service 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 the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Madrid
Mario Tarin
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Annabel Schaafsma
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service assigns provisional ratings to Spanish RMBS notes issued by AyT Colaterales Global Hipotecario Caja Granada I, FTA
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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