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Rating Action:

Moody's takes action on Spanish RMBS Notes Issued by Ayt Hipotecario BBK I and Ayt Hipotecario BBK II

15 Oct 2009

EUR 167.5 million of debt securities affected

London, 15 October 2009 -- Moody's Investors Service has today upgraded the ratings of the mezzanine and junior notes issued by Ayt Hipotecario BBK I (BBK I):

- Class A, EUR 914.5 Million, Affirmed at Aaa

- Class B, EUR 46.0 Million, Upgraded to Aa1, previously on 10th June 2008 A1 Placed under Review for Possible Upgrade

- Class C, EUR 39.5 Million, Upgraded to A3, previously on 10th June 2008 Baa3 Placed under Review for Possible Upgrade

Moody's Investors Service has confirmed the rating of the mezzanine and junior notes issued by Ayt Hipotecario BBK II (BBK II):

- Class A, EUR 918.0 Million, Affirmed at Aaa

- Class B, EUR 43.5 Million, Confirmed at A1, previously on 10th June 2008 A1 Placed under Review for Possible Upgrade

- Class C, EUR 38.5 Million, Confirmed at Baa3, previously on 10th June 2008 Baa3 Placed under Review for Possible Upgrade

The notes were placed on review for possible upgrade given better-than-expected collateral performance. Today's action concludes the review.

Despite of the weakening of the Spanish macro-economic environment and Moody's negative sector outlook for Spanish RMBS, the upgrade in BBK I has been prompted by the better-than-expected collateral performance and the significant build-up in credit enhancement. Although BBK II is performing better than comparable high LTV Spanish RMBS, credit trends in BBK II remains modestly weaker than for BBK I. Additionally, BBK II has not benefited as much from the increase in credit enhancement compared to BBK I. As a result of the review, Moody's has confirmed the rating of the mezzanine and junior notes in BBK II.

Both transactions, issued in June 2005 and June 2006 respectively, are backed by a portfolio of first-ranking mortgage loans secured on residential properties located in Spain, for an overall balance at closing of EUR 1 billion. At closing the collateral consisted of a majority of loans with loan-to-value ratios (LTV) over 80%. Although the pools include a relatively high share of high LTV loans, the two transactions have been performing better than the Spanish indices of comparable vintages, both in terms of defaults and delinquencies. 90+ days delinquencies in both RMBS transactions have been rising over the last two reporting periods but remain relatively low, standing at 0. 7% and 0.82% of the current pool balance in BBKI and BBK II respectively as at the last payment date. Current defaults - default definition being 18 months delinquent - represented 0.06% and 0.21% of original pool balance in BBK I and BBK II respectively. The pool factors for both transactions stand at 63.3% and 77.1% respectively as at April 2009.

The mortgage portfolios exhibit a high concentration in the Basque country (71% of the pool in BBK I and 64% in BBK II), one of the regions least affected by the Spanish economic deterioration. According to the Spanish National Statistics Office, the unemployment rate for the Basque Country stood at 10.52% in Q2-09 compared to 17.92% for Spain. Another positive feature is that all the securitized mortgage loans have been originated at branch level and not through brokers.

Moody's has reassessed its loss expectation for BBK I and II to account for the collateral performance to date as well as Moody's expectations for these transactions in the context of a weakening macroeconomic environment in Spain. Moody's has revised the expected loss assumption in BBK I from 1.5% of original pool balance to 1.3% of original pool balance. In the case of BBK II Moody's has affirmed the expected loss assumption used at closing of 1.42% of original pool balance.

As part of its analysis, Moody's has also assessed loan-by-loan information for the outstanding portfolios to determine the credit support consistent with target rating levels and the volatility of the distribution of future losses. For this review, "Moody's Updated Methodology for Rating Spanish RMBS" was used. Despite exhibiting a large share of high LTV loans at closing, the two transactions have benefited from increased seasoning and a reduction in the mortgage loan LTV. The seasonings for the two RMBS are currently 6 and 5.4 years respectively, up from 2 years at closing. The share of loans with current non-indexed LTV loans over 80% represents 71% and 53% of the outstanding pool balance in BBK I and BBK II respectively as at August 2009, down from respectively nearly 100% and 81.6% at closing. As a result, Moody's has decreased the MILAN Aaa credit enhancement (MILAN Aaa CE) assumption to 10% for both transactions from the respective 13.2% and 11.5% Milan Aaa used initially. Current credit enhancement in terms of mezzanine and junior classes and threshold amount under Aaa-rated Class A notes is 10.95% and 10.35% for BBK I and BBKII respectively as at the last payment date.

We also tested the sensitivity of the ratings to various stress scenarios by adjusting the lifetime losses and the MILAN Aaa CE. For BBK I, we tested the resilience of the revised ratings against the expected loss assumption of 1.5% voted at closing. For both transactions, we increased the Milan Aaa and tested the possible impact on the ratings of adjusting the standard deviation of the loss distribution in line with the original standard deviation at closing. The sensitivity analysis concluded that the upgraded ratings were not affected.

Both transactions include an interest rate swap to hedge interest rate risk in the transaction. The swap guarantees 6 months Euribor plus 70bps over the notional of the outstanding amount of the loans not more than 90 days in arrears. Bilbao Bizkaia Kutxa (A1/P-1) acts as swap counterparty in both RMBS. In our analysis, we also assessed the effects of higher delinquencies which would result in lower swap notional and lesser swap payments to be received. Moody's notice that the current swap language is not in compliance with the current Framework for De-linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions. Moody's note that the transactions would be exposed to a linkage to Bilbao Bizkaia Kutxa, should Bilbao Bizkaia Kutxa, acting as swap counterparty, be downgraded in the future.

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transaction. Other risks have not been addressed, but may have a significant effect on yield to investors.

Moody's initially analysed the transactions referred to in this press release using the rating methodology for Spanish RMBS transactions as described in the report "Moody's Approach to Rating Spanish RMBS: the 'Milan' Model", March 2005, and it monitors the performance of the transaction using rating methodologies described in the reports "Moody's Updated Methodology for Rating Spanish RMBS", July 2008, and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction", December 2008. These reports can be found at 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. 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.

Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Carole Bernard
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes action on Spanish RMBS Notes Issued by Ayt Hipotecario BBK I and Ayt Hipotecario BBK II
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