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Rating Action:

Moody's takes action on Spanish RMBS transaction issued by AyT Hipotecario Mixto V

14 May 2014

Madrid, May 14, 2014 -- Moody's Investors Service has today confirmed ratings on Classes A and B, and affirmed Class C issued by AyT Hipotecario Mixto V, FTA Spanish residential mortgage backed securities.

Issuer: AyT HIPOTECARIO MIXTO V, FTA

....EUR 649.4M Class A Notes, Confirmed at Baa3 (sf); previously on Mar 17, 2014 Baa3 (sf) Placed Under Review for Possible Upgrade

....EUR 12.2M Class B Notes, Confirmed at B3 (sf); previously on Mar 17, 2014 B3 (sf) Placed Under Review for Possible Upgrade

....EUR 13.4M Class C Notes, Affirmed Caa3 (sf); previously on May 22, 2013 Downgraded to Caa3 (sf)

The ratings were placed on review for upgrade on 17 March 2014, following the upgrade of the Spanish Sovereign rating to Baa2 from Baa3 and the resulting increase of the local-currency country ceiling to A1 from A3 (https://www.moodys.com/research/Moodys-takes-rating-actions-on-Spanish-ABS-and-RMBS-transactions--PR_294803).

Today's actions conclude the review of the notes mentioned above after a revision of key collateral assumptions and a detailed analysis of decreased sovereign risk and counterparty risk taking into account the new approach to swap counterparty linkage. Today's actions also reflect the correction of one model input in relation to the modelling of interest deferral triggers.

RATINGS RATIONALE

Today's action is the result of a detailed analysis of counterparty risk and decreased sovereign risk combined with the correction of one model input since the last rating action. Regarding counterparty risk, at closing there were three unrated entities, whereas today more than 60% of the pool is serviced by investment grade rated entities which positively affects our commingling risk assessment. However, the rating action on Classes A and B primarily reflects the insufficiency of credit enhancement to achieve a higher rating when combined with the correction of one of the inputs for interest deferral modelling for Classes B and C. Previously modelled Interest Deferral Triggers were assumed to be hit earlier than expected. This correction has a negative impact which offsets the reduced sovereign risk and improvement in servicer ratings.

-- Key collateral assumptions

Moody's has not revised the Milan CE assumption for this deal which remains at 15.0%. Moody's has also maintained its Expected Loss (EL) assumption as a percentage of original pool balance to 2.4%.

Although the performance of AyT Hipotecario Mixto V has slightly deteriorated since March 2013: 90+ arrears as a percentage of pool's current balance increased from 2.09% as of March 2013 to 2.55% as of March 2014 and cumulative defaults as a percentage of original balance increased from 0.57% to 1.07% in the same period, Moody's considers this increase to be within its expectation.

-- Exposure to Counterparty Risk

Treasury Account is held by Barclays Bank Plc (A2/P-1).

There is no back up servicer in place. This is a multi-servicer transaction, which partly mitigates servicer disruption risk. In addition, there is an independent BUS facilitator and independent cash manager. The conclusion of Moody's rating review of AyT Hipotecario Mixto V takes into consideration the exposure to Banco Bilbao Vizcaya Argentaria, S.A. (BBVA, Baa2/P-2)), Banco Mare Nostrum (NR) and CaixaBank (Baa3/P-3) as servicers.

The conclusion of Moody's rating review of AyT Hipotecario Mixto V also takes into consideration the exposure to CECABank S.A. (Ba3/NP) which acts as swap counterparty. As part of its review, Moody's has incorporated the risk of additional losses on the notes in the event of them becoming un-hedged after a swap counterparty default, following the rating agency's updated approach to assessing swap counterparty linkage in structured finance cash flow transactions ("Approach to Assessing Swap Counterparties in Structured Finance Cash Flow Transactions" published on the 12 November 2013).

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to a downgrade of the ratings affected by today's action would be the worse-than-expected performance of the underlying collateral, deterioration in the credit quality of the counterparties and an increase in sovereign risk.

Factors or circumstances that could lead to an upgrade of the ratings affected by today's action would be the better-than-expected performance of the underlying assets, and a decline in both counterparty and sovereign risk.

The principal methodology used in this rating was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

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

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

As the section on loss and cash flow analysis describes, Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Maria Turbica Manrique
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Alberto Barbachano
VP-Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes action on Spanish RMBS transaction issued by AyT Hipotecario Mixto V
No Related Data.
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