TEXT-Fitch maintains 9 VPO tranches on watch negative

Thu Dec 20, 2012 11:10am EST

Dec 20 - Fitch Ratings has maintained AyT ICO FTVPO III, FTA and GAT ICO
FTVPO 1, FTH on Rating Watch Negative (RWN), as follows:

AyT ICO FTVPO III, FTA:
Series CAI - A(G) (ISIN ES0312289004): 'AA-sf'; RWN maintained
Series CAI - B (ISIN ES0312289012): 'AA-sf'; RWN maintained
Series Caja Rioja - A(G) (ISIN ES0312289038): 'AA-sf'; RWN maintained
Series Caja Rioja - B (ISIN ES0312289046): 'AA-sf'; RWN maintained

GAT ICO FTVPO 1, FTA:
Class AG (ISIN ES0341068007): 'AA-sf'; RWN maintained
Class B (CA) (ISIN ES0341068015): 'Asf'; RWN maintained
Class B (CM) (ISIN ES0341068023): 'Asf'; RWN maintained
Class B (CP) (ISIN ES0341068031): 'Asf'; RWN maintained
Class B (CT) (ISIN ES0341068049): 'Asf'; RWN maintained

Fitch maintained the transactions on RWN on 21 September, due to exposure to
Banco Bilbao Vizcaya Argentaria (BBVA; 'BBB+'/Negative/'F2'), Banco Espanol de
Credito S.A. (Banesto; 'BBB+'/Negative/'F2') and Instituto de Credito Oficial
(ICO; 'BBB'/Negative/'F2'), which perform the roles of a commingling deposit
bank, account bank and liquidity facility provider in the two deals. Fitch has
been informed that the issuer has changed the downgrade language for the account
bank role in AyT ICO FTVPO III, FTA (Series Caja Rioja only), obliging the
issuer to implement remedial actions once the rating of Banesto falls below
'BBB+'/'F2'. The agency is assessing the impact of the change in trigger
language on the ratings of this transaction and has therefore maintained the
class A and B notes of the Caja Rioja series on RWN.

Meanwhile, the issuer in the transaction has not yet been able to replace BBVA
as the commingling bank account. Fitch's understanding is that the issuer is
still willing to mitigate the increased counterparty exposure, but to date this
has not been executed. For this reason, the agency has maintained the class A
and B notes of the CAI series on RWN.

Similarly, remedial actions for the GAT ICO VPO transactions have not yet been
implemented. The issuer has also indicated its willingness to meet the
obligations set out in the transaction documentation. However, due to current
market conditions the process is taking much longer than initially envisaged. As
a result, the agency is maintaining the class A and B notes on RWN.


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