TEXT-Fitch affirms AyT Caja Granada 1, AyT Colaterales Global Hipotecario

Tue Nov 27, 2012 2:08pm EST

Nov 27 - Fitch Ratings has affirmed AyT Caja Granada 1 and AyT Colaterales
Global Hipotecario, FTA Serie AyT Colaterales Global Hipotecario CAJA Granada
(AyT CGH Caja Granada) and removed the Rating Watch Negative of the class A
notes of AyT Caja Granada 1 and class A and B notes of AyT CGH Caja Granada. The
rating actions are as follows:

AyT Caja Granada 1:
--Class A (ISIN ES0312212006) affirmed at 'AA-sf'; removed from Negative Watch;
Outlook Negative;
--Class B (ISIN ES0312212014) affirmed at 'BBBsf'; Outlook Negative;
--Class C (ISIN ES0312212022) affirmed at 'BBsf'; Outlook Negative;
--Class D (ISIN ES0312212030) affirmed at 'Bsf'; Outlook Negative.

AyT CGH Caja Granada:
--Class A (ES0312273164) affirmed at 'AA-sf'; removed from Negative Watch;
Outlook Negative;
--Class B (ES0312273172) affirmed at 'Asf'; removed from Negative Watch; Outlook
Negative;
--Class C (ES0312273180) affirmed at 'BBsf'; Outlook Negative;
--Class D (ES0312273198) affirmed at 'Bsf'; Outlook Negative.

Both portfolios comprise residential mortgage loans originated and serviced by
Caja General de Ahorros de Granada, part of Banco Mare Nostrum S.A. (rated
'BB+'/'B' with a Stable Outlook by Fitch). The funds from borrowers are
collected in an account held with Caja General de Ahorros de Granada, and are
transferred daily into the issuer account held with Barclays Bank plc (rated
'A'/'F1' with a Stable Outlook). Given the sub-investment grade rating of the
servicer, in Fitch's view the transactions are exposed to payment interruption
in the event of a servicer default. For this reason, Fitch placed AyT Caja
Granada 1's class A notes on Negative Watch on 11 July 2012 and maintained Ayt
CGH Caja Granada's A and B notes on Negative Watch on 6 September 2012.

Fitch has been informed that on 23 November 2012 Banco Mare Nostrum S.A.
deposited 6 months' worth of interest on the class A notes with Barclays Bank
plc. In Fitch's view, the amount that has been deposited is sufficient to
mitigate the potential loss of liquidity should Banco Mare Nostrum S.A. default.
For this reason the Negative Watch was removed.

The affirmation reflects the asset performance, which remains in line with
Fitch's expectations, as well as the sufficient level of credit support
available to the rated notes.

Additional information is available at 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 06
August 2012, 'EMEA Residential Mortgage Loss Criteria' dated 07 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
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
FILED UNDER:
Comments (0)
This discussion is now closed. We welcome comments on our articles for a limited period after their publication.