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Rating Action:

Moody's Investors Service downgrades Spanish RMBS notes issued by AyT Hipotecario Mixto III FTA.

18 Mar 2011

Madrid, March 18, 2011 -- Moody's Investors Service announced today that it has downgraded the rating of all notes issued by AyT Hipotecario Mixto III FTA. A detailed list of the rating actions is provided at the end of this press release.

Moody's placed on review class B note in November 2009 due to worse than expected collateral performance. Class A notes was placed on review on the 2nd of March 2011 following the assessment of the transaction under the Moody's "Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk" methodology published on March 2nd.

RATINGS RATIONALE

Today's rating action concludes the review and takes into consideration the worse-than-expected performance of the collateral. It also reflects Moody's negative sector outlook for Spanish RMBS and the weakening of the macro-economic environment in Spain, including high unemployment rates. The rating action also considers the credit quality of Caja de Ahorros de Granada and Credifimo that are acting as servicers in the transaction.

The ratings of the notes take into account the credit quality of the underlying mortgage loan pools, from which Moody's determined the MILAN Aaa Credit Enhancement (MILAN Aaa CE) and the lifetime losses (expected loss), as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. The expected loss and the Milan Aaa CE are the two key parameters used by Moody's to calibrate its loss distribution curve, used in the cash flow model to rate European RMBS transactions.

Portfolio Expected Loss:

Moody's has reassessed its lifetime loss expectation taking into account the collateral performance to date, as well as the current macroeconomic environment in Spain. In January 2011, cumulative write-offs rose to 2.66% of the original pool balance. The share of 90+ day arrears stood at 2.17% of current pool balance. The reserve funds is almost fully depleted. Moody's expects the portfolio credit performance to be under stress, as Spanish unemployment remains elevated. The rating agency believes that the anticipated tightening of Spanish fiscal policies is likely to weigh on the recovery in the Spanish labour market and constrain future Spanish households finances. Moody's also has concerns over the timing and degree of future recoveries in a weaker Spanish housing market. On the basis of Moody's negative sector outlook for Spanish RMBS, the rating agency has updated the portfolio expected loss assumption to 2.80% of original pool balance up from 0.78%.

MILAN Aaa CE:

Moody's has assessed the loan-by-loan information to determine the MILAN Aaa CE. Moody's has increased its MILAN Aaa CE assumptions to 15%, up from 6.20% at closing. The increase in the MILAN Aaa CE reflects the exposure to broker origination and non Spanish nationals.

Operational Risk:

Caja de Ahorros de Granada and Credifimo are unrated servicers. Moody's takes into consideration the low credit quality of both entities in today's rating action. Moody's notes that this transaction is exposed to operational risk as there is no back-up servicer and there is not sufficient liquidity in case of a servicer disruption. The reserve fund is not fully funded (35% of the target). As a result the operational risk is the main driver of the rating action on class A notes.

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 notes 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.

TRANSACTION FEATURES

AyT Hipotecario Mixto III closed in April 2005. The transactions is backed by portfolios of first-ranking mortgage loans originated by Caja de Ahorros de Grananda y Credifimo secured on residential properties located in Spain, for an overall balance at closing of EUR 370.0 million. The securitized mortgage portfolio benefit from a relatively low weighted average LTV, currently about 62%. Credifimo is a specialized lender focused on low credit quality debtors. The origination process in Credifimo is mainly carried out via real estate agents.

Reserve fund: The reserve fund is not fully funded. The rapidly increasing levels of write-offs ultimately resulted in draws to the reserve fund.

Commingling: All of the payments under the loans in this pool are collected by the servicers under a direct debit scheme and are paid directly into collection account, which are accounts at each servicer. Cash in the collections accounts is transferred by the servicers into the treasury account held at Confederación de Cajas de Ahorro (CECA Aa3 under review for possible downgrade /P1) on a weekly basis. The commingling risk has been taken into account in the review of the transaction .

For details on the deal structure, please refer to the AyT Hipotecario Mixto III FTA, new issue reports. Both reports are available on www.moodys.com.

The principal methodologies used in this rating were Moody's Updated Methodology for Rating Spanish RMBS published in July 2008, Cash Flow Analysis in EMEA RMBS: Testing Features with the MARCO Model (Moody's Analyser of Residential Cash Flows) published in January 2006, Moody's Approach to Automated Valuation Models in Rating UK RMBS published in August 2008, A Framework for Stressing House Prices in RMBS Transactions in EMEA published in July 2008 and Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in March 2011.

Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

LIST OF RATINGS ACTIONS

Issuer: AyT Hipotecario Mixto III Fondo de Titulizacion de Activos

....EUR342.2M A Certificate, Downgraded to A3 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR27.8M B Certificate, Downgraded to Caa1 (sf); previously on Nov 30, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

The ratings have 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 ratings 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.

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

London
Barbara Rismondo
VP - Senior Credit Officer
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 downgrades Spanish RMBS notes issued by AyT Hipotecario Mixto III FTA.
No Related Data.
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