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Rating Action:

Moody's assigns definitive ratings to Spanish RMBS notes issued by TDA 31

20 Nov 2008
Moody's assigns definitive ratings to Spanish RMBS notes issued by TDA 31

EUR 300 mlln of debt securities affected

Paris, November 20, 2008 -- Moody's Investors Service has assigned the following definitive ratings to the following classes of Notes issued by TDA 31 Fondo de Titulización de Activos ("the Fondo"), a Spanish Asset Securitisation Fund:

- Aaa to the EUR280.5 million Series A notes

- A2 to the EUR6 million Series B notes

- Baa3 to the EUR13.5 million Series C notes

Moody's had assigned provisional ratings on November 17, 2008

The transaction represents the securitisation of Spanish residential mortgage loans originated by Banco Guipuzcoano (Baa1/Prime-2). The assets supporting the Notes are prime mortgage loans secured on residential properties located in Spain. The portfolio will be serviced by Banco Guipuzcoano.

The ratings of the Notes are based upon the analysis of the characteristics of the mortgage pool backing the Notes, the protection the Notes receive from credit enhancement against defaults and arrears in the mortgage pool, the legal and structural integrity of the issue and the credit quality of the parties involved in the transaction.

Given the current rating of the Originato/Servicer, the collections from the borrowers will be transferred to an account with Banco Santander (Aa1/Prime-1) on a weekly basis every Tuesday. The pool is comprised of vanilla mortgages including some second liens. However the percentage of second liens is limited (less than 1%).

The definitive ratings address the expected loss posed to investors by the legal final maturity. The structure allows for timely payment of interest and ultimate payment of principal on Classes A, B, and C at par on or before the legal final 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 the yield to investors.

The Spanish Government announced on November 4th 2008 a package of aid to assist unemployed, self employed and retired borrowers through a form of mortgage subsidy aid. It is unclear how this package will be implemented, and also if it is implemented, how the transaction will be affected, although both liquidity and credit implications are possible on this portfolio. However, any implications on the ratings will ultimately depend on the actual financial aid conditions which will be approved.

Moody's initially analysed and monitors this transaction using the rating methodology for EMEA RMBS transactions as described in the Rating Methodology reports "Moody's Updated Methodology for Rating Spanish RMBS", July 2008 and "Cash Flow analysis in EMEA RMBS: testing structural features with the MARCO model" January 2006

A copy of Moody's New Issue Report on this transaction will soon be available on Moody's.com

London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Maria Pena
Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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