TEXT-Fitch puts AyT Caja Murcia I, II on watch negative

Sept 6 - Fitch Ratings has maintained four and placed two tranches on Rating
Watch Negative (RWN) of AyT Caja Murcia I and II, a Spanish RMBS series. A full
list of rating actions is at the end of this commentary.

The rating actions follow Fitch's request for further information on the
performance of the underlying assets in the portfolio. The agency notes that the
performance to date is a clear outlier in comparison to similar transactions on
the market and is concerned that various arrears management servicing strategies
may have been applied and have disguised the genuine performance trends of the
assets.

As of July 2012, Murcia I had not reported any defaults since close in December
2005, while Murcia II reported a single default, with a subsequent 100%
recovery. The level of loans re-performing has also been unusually high, with
three-months plus arrear levels in Murcia II dropping from 0.78% of collateral
balance in April 2012 to 0.1% in July 2012.

Given the tough macroeconomic environment, Fitch suspects that the originator is
supporting both transactions either through refinancing delinquent borrowers or
by offering various loan modification solutions. The agency has requested
loan-by-loan information from the transaction management company (Ahorro y
Titulizacion, SGFT, SA) in order to assess the magnitude of potential loan
modifications as of December 2011, but to date has not received any indication.

To understand the true credit risk of the assets in these transactions, Fitch
will approach the management company and the collateral servicer Banco Mare
Nostrum ('BB+'/Stable/'B') for details about any loan modifications and/or any
debt management programme that may be implemented on troubled borrowers within
the transactions. The notes have therefore been placed on RWN as Fitch conducts
its investigation, which it expects to finalise in two months.

Failure to provide adequate information could lead to Fitch having to make
conservative assumptions, which could lead to multi-category downgrades and/or
possible withdrawal of the ratings.

The agency initially placed the class A and B tranches on RWN on 3 April 2012
due to the downgrade of Confederacion Espanola de Cajas de Ahorros (CECA,
'Negative'/Stable/'F3') to a level at which the bank was no longer deemed
eligible to perform its role of an account bank without taking appropriate
structural mitigants. On July 2012, the role of account bank and paying agent
was transferred to Barclays Bank Plc ('A'/Stable/'F1') from CECA in both deals,
therefore mitigating the counterparty risk.

The rating actions are as follows:

AyT Caja Murcia Hipotecario I, FTA:
Class A (ISIN ES0312282009): 'AA-sf'; maintained on RWN
Class B (ISIN ES0312282017): 'AA-sf'; maintained on RWN
Class C (ISIN ES0312282025): 'BBBsf'; on RWN

AyT Caja Murcia Hipotecario II, FTA:
Class A (ISIN ES0312272000): 'AA-sf'; maintained on RWN
Class B (ISIN ES0312272018): 'A+sf'; maintained on RWN
Class C (ISIN ES0312272026): 'BBBsf'; on RWN

Additional information is available on www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Sources of information- in addition to those mentioned in the applicable
criteria, the sources of information used to assess these ratings were Investor
Reports

Applicable criteria, 'Global Structured Finance Rating Criteria' dated 6 June
2012 'EMEA Residential Mortgage Loss Criteria' dated 7 June 2012, 'EMEA
Residential Mortgage Loss Criteria Addendum - Spain dated 24 July 2012
'Counterparty Criteria for Structured Finance Transactions' and 'Counterparty
Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May
2012 are available at www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Spain - Mortgage and Cashflow Assumptions
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum