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Rating Action:

Moody's upgrades the ratings of 11 notes in 4 Spanish RMBS transactions

18 Feb 2015

Madrid, February 18, 2015 -- Moody's Investors Service has today upgraded the ratings of 11 notes and affirmed the ratings of 2 notes in 4 Spanish residential mortgage-backed securities (RMBS) transactions: AyT GÉNOVA HIPOTECARIO IV, FTH , AyT GÉNOVA HIPOTECARIO VI, FTH, AyT GÉNOVA HIPOTECARIO IX, FTH and AyT HIPOTECARIO MIXTO V, FTA.

Today's rating action concludes the review of 11 notes initiated on 23 January 2015, following the upgrade of the Spanish country ceiling to Aa2 from A1. (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_316959).

Please refer to the end of the Ratings Rationale section for a list of affected ratings.

RATINGS RATIONALE

Today's rating upgrades reflect (1) the increase in the Spanish local-currency country ceiling to Aa2, (2) sufficiency of credit enhancement in the affected transactions for the revised rating levels and (3) in the case of AyT GÉNOVA HIPOTECARIO IV, VI and IX, FTH the reduction in the portfolio credit enhancement (MILAN CE) following the removal of minimum country requirements.

Today's affirmations reflect that the current credit enhancement is sufficient to maintain the current ratings.

-- Reduced Sovereign Risk

The country ceilings reflect a range of risks that issuers in any jurisdiction are exposed to, including economic, legal and political risks. On 20 January 2015, Moody's announced a six-notch uplift between a government bond rating and its country risk ceiling for Spain. As a result, the maximum achievable rating for structured finance transactions was increased to Aa2 (sf) from A1(sf) for Spain.

-- Revision of Key collateral assumptions

Moody's has reassessed its lifetime loss expectation taking into account the collateral performance of the four transactions to date. Expected Losses on Original Balances have not been updated in any of the deals as the performance of the underlying asset portfolio remains in line with Moody's assumptions.

As part of the review, Moody's has assessed the loan-by-loan information for the four pools to determine the MILAN CE. On 20 January, Moody's announced that the minimum portfolio CE is no longer applicable for most EMEA markets following the updates to its ABS and RMBS rating methodologies (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_316183). As a result Moody's reduced the MILAN CE to 6% from 10%, for AyT GÉNOVA HIPOTECARIO IV, VI and IX, FTH. AyT HIPOTECARIO MIXTO V, FTA Milan CE assumption was maintained at 15%.

-- Pro-rata versus sequential amortization

There is a performance trigger in the four transactions that could switch the amortization and loss allocation from pro-rata to sequential among senior and junior notes. The trigger will be hit once the reserve fund falls below its required level. For AyT GÉNOVA HIPOTECARIO IV, FTH, which recently switched to sequential, it could revert to pro-rata amortization in case the Reserve Fund rebuilds to target level.

For AyT GÉNOVA HIPOTECARIO VI, FTH, Moody's believe notes will continue to pay pro-rata, given the low level of delinquencies and the fully funded Reserve Fund but the possibility to revert to sequential amortization was reflected in modelling.

For AyT GÉNOVA HIPOTECARIO IX, FTH and Ayt HIPOTECARIO MIXTO V, FTA, Moody's believe notes will continue to pay sequentially though possibility to revert to pro-rata was also reflected in the modelling.

-- Exposure to Counterparties

Moody's rating analysis also took into consideration the exposure to key transaction counterparties including the roles of servicer, account bank and swap provider.

Today's rating action takes into account the servicer commingling exposure to Barclays Bank, S.A. (NR) for AyT GÉNOVA HIPOTECARIO IV, VI and IX, FTH.

Today's rating action takes into account the servicer commingling exposure to Banco Bilbao Vizcaya Argentaria, S.A. (Baa2/P-2), Banco Mare Nostrum (NR) and Caixabank (Baa3/P-3) for AyT HIPOTECARIO MIXTO V, FTA.

--Principal Methodology

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in January 2015. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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

Factors or circumstances that could lead to an upgrade of the ratings include (1) further reduction in sovereign risk, (2) performance of the underlying collateral that is better than Moody's expected, (3) deleveraging of the capital structure and (4) improvements in the credit quality of the transaction counterparties.

Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expects, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties.

LIST OF AFFECTED RATINGS:

Issuer: AyT GÉNOVA HIPOTECARIO IV, FTH

....EUR776M Class A Notes, Upgraded to A1 (sf); previously on Jan 23, 2015 A3 (sf) Placed Under Review for Possible Upgrade

....EUR24M Class B Notes, Upgraded to Ba1 (sf); previously on Jan 23, 2015 B1 (sf) Placed Under Review for Possible Upgrade

Issuer: AyT GÉNOVA HIPOTECARIO VI, FTH

....EUR524M Class A2 Notes, Upgraded to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under Review for Possible Upgrade

....EUR7M Class B Notes, Upgraded to Ba1 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under Review for Possible Upgrade

....EUR7.7M Class C Notes, Upgraded to B1 (sf); previously on Jan 23, 2015 B2 (sf) Placed Under Review for Possible Upgrade

....EUR7.3M Class D Notes, Affirmed B3 (sf); previously on Sep 25, 2014 Confirmed at B3 (sf)

Issuer: AyT GÉNOVA HIPOTECARIO IX, FTH

....EUR750M Class A2 Notes, Upgraded to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under Review for Possible Upgrade

....EUR11M Class B Notes, Upgraded to Baa3 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under Review for Possible Upgrade

....EUR10.8M Class C Notes, Upgraded to Ba3 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under Review for Possible Upgrade

....EUR10.7M Class D Notes, Upgraded to B3 (sf); previously on Jan 23, 2015 Caa1 (sf) Placed Under Review for Possible Upgrade

Issuer: AyT HIPOTECARIO MIXTO V, FTA

....EUR649.4M Class A Notes, Upgraded to Baa2 (sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under Review for Possible Upgrade

....EUR12.2M Class B Notes, Upgraded to B2 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under Review for Possible Upgrade

....EUR13.4M Class C Notes, Affirmed Caa3 (sf); previously on May 14, 2014 Affirmed Caa3 (sf)

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 these transactions 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.

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

Nadia Lamniai
Associate Analyst 2
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Masako Oshima
Senior Vice President
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 upgrades the ratings of 11 notes in 4 Spanish RMBS transactions
No Related Data.
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