TEXT-S&P lowers ratings in three AyT ICO-FTVPO Spanish RMBS deals

(The following statement was released by the rating agency)

Oct 03 - OVERVIEW

-- More than 60 days have elapsed, without remedy action being taken, since we lowered our short-term rating on Confederacion Espanola de Cajas de Ahorros (CECA)--the swap provider for AyT ICO-FTVPO Caixa Galicia, AyT ICO-FTVPO Cajasol, and AyT ICO-FTVPO III's series CAI--to below the level required by the transaction documents, which reflect our (superseded) 2010 counterparty criteria.

-- As such, and given that the notes would achieve a lower rating than that on the counterparty without the benefit of the swap, our ratings on the class A(G), B, and C notes in these three transactions are constrained under our 2012 counterparty criteria to our 'BBB-' long-term issuer credit rating on Confederacion Espanola de Cajas de Ahorros.

-- We have therefore lowered our ratings on the class A(G), B, and C notes in these three transactions to the same level as our long-term issuer credit rating on CECA.

-- AyT ICO-FTVPO CAJASOL, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO III's series CAI are Spanish RMBS transactions, each backed by a static portfolio of mortgage loans originated by Cajasol (today Caixabank), Caixa Galicia (today NCG Banco), and Caja de Ahorros de la Inmaculada de Aragon (today Banco Grupo Caja3).

Standard & Poor's Ratings Services today lowered to 'BBB- (sf)' its credit ratings on the class A(G), B, and C notes in AyT ICO-FTVPO CAJASOL Fondo de Titulizacion de Activos, AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos, and AyT ICO-FTVPO III Fondo de Titulizacion de Activos' series CAI (see list below).

More than 60 days have elapsed without remedy action being taken, since we lowered our short-term issuer credit rating (ICR) on Confederacion Espanola de Cajas de Ahorros (CECA; BBB-/Stable/A-3)--the swap provider in these three transactions--to below the level required by the transaction documents, which reflect our (superseded) 2010 counterparty criteria (see "Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade," published on April 30, 2012). In our view, the replacement of the swap counterparty is more difficult than for other transaction types, as the collateral pays a fixed rate while the notes pay a floating rate, and no remedy action has taken place.

Consequently, and given that the notes would achieve a lower rating than that on the counterparty without the benefit of the swap as collateral pays a fixed rate while the notes pay a floating rate, under our 2012 counterparty criteria, there is a direct link between our ratings in these three transactions and our long-term ICR on the swap provider (see "Counterparty Risk Framework Methodology And Assumptions," published on May 31, 2012). Our ratings on the class A(G), B, and C notes in these three transactions are therefore constrained to our 'BBB-' long-term ICR on CECA. We have therefore lowered our ratings on the class A(G), B, and C notes in these three transactions.

Credit performance has been strong in each of the three transactions, in our view, given the nature of the product securitized (the loans benefit from low monthly installments and if they default, they are no longer subsidized by the Spanish government). Based on the latest available investor reports from the trustee (dated July 2012), the levels of loans in arrears for more than 90 days are at 0.91%, 0.19%, and 0.46% of the outstanding balance in AyT ICO-FTVPO Cajasol, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO III's series CAI, respectively, and there are no defaults.

AyT ICO-FTVPO CAJASOL, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO III's series CAI are Spanish residential mortgage-backed securities (RMBS) transactions, backed by subsidized mortgage loans originated by Cajasol (now Caixabank S.A. after a recent merger), Caixa Galicia (now NCG Banco S.A.), and Caja de Ahorros de la Inmaculada de Aragon (today Banco Grupo Caja3) under the ICO-FTVPO subsidy program. Under this program, the Spanish Ministry of Housing and local authorities give borrowers the ability to buy a first residential property, which, due to their economic situation, they might not be able to afford without this subsidy. The subsidy for this type of borrower is two-fold: The subsidized (Vivienda de Proteccion Oficial) properties are cheaper than those on the free market and the Spanish Ministry of Housing pays to the originator up to 40% of the installment on the borrower's behalf. AyT ICO-FTVPO CAJASOL, AyT ICO FTVPO Caixa Galicia, and AyT ICO-FTVPO III's series CAI closed in July 2009, June 2009, and July 2009, respectively.

RELATED CRITERIA AND RESEARCH

-- Spanish RMBS Index Report Q2 2012: High Mortgage Arrears Persist As the Economy Worsens, Aug. 20, 2012

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

-- Principles Of Credit Ratings, Feb. 16, 2011

-- Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009

-- Criteria For Rating Spanish Residential Mortgage-Backed Securities, March 1, 2002 RATINGS LIST Class Rating To From Ratings Lowered AyT ICO-FTVPO CAJASOL Fondo de Titulizacion de Activos EUR115 Million Residential Mortgage-Backed Floating-Rate Notes A BBB- (sf) AA+ (sf) B BBB- (sf) AA (sf) C BBB- (sf) A (sf) AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos EUR160 Million Mortgage-Backed Floating-Rate Notes A BBB- (sf) AA+ (sf) B BBB- (sf) AA (sf) C BBB- (sf) A- (sf) AyT ICO-FTVPO III Fondo de Titulizacion de Activos EUR133.2 Million Mortgage-Backed Floating-Rate Notes Series CAI A BBB- (sf) AA+ (sf) B BBB- (sf) AA (sf) C BBB- (sf) A (sf) ((Bangalore Ratings Team, Hotline: +91 80 4135 5898, Bhanu.priya@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com, Reuters Messaging: Bhanu.Priya.reuters.com@reuters.net))