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