TEXT-S&P takes rtg actions in 2 AyT Genova Hipotecario Spanish RMBS

Mon Dec 31, 2012 5:06am EST

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OVERVIEW

-- We have reviewed AyT Genova Hipotecario X and AyT Genova Hipotecario XI's performance and have applied our 2012 counterparty criteria and nonsovereign ratings criteria.

-- In our view, both transactions have demonstrated good performance since closing, with delinquencies and defaults being low compared with similar-vintage Spanish RMBS transactions.

-- We have affirmed all of our ratings in AyT Genova Hipotecario X and have affirmed our ratings in AyT Genova Hipotecario XI, except for our rating on the class B notes, which we have raised.

-- AyT Genova Hipotecario X and AyT Genova Hipotecario XI are RMBS transactions that securitize portfolios of Spanish residential mortgage loans, and were issued by Barclays Bank in June 2007 and December 2007, respectively.

Standard & Poor's Ratings Services today affirmed all of its credit ratings in AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria. At the same time, we have raised our rating on AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria's class B notes and have affirmed our ratings on the class A2, C, and D notes (see list below).

Levels of credit enhancement available to the rated notes in both transactions have increased since our last review in November 2010, due to the transactions' deleveraging. The performance of the underlying collateral has so far been relatively stable.

We used data from the latest available investor reports for our analysis (September 2012 for AyT Genova Hipotecario X and November 2012 for AyT Genova Hipotecario XI). The ratio of cumulative defaults (loans in arrears for more than 18 months) over the original collateral balance was 0.73% compared with 0.21% in November 2010 for AyT Genova Hipotecario X. For the same period, this was 0.89% compared with 0.38% for AyT Genova Hipotecario XI.

Since our last review, long-term delinquencies (defined in the transaction documents as loans in arrears for more than 90 days) have increased to 0.70% from 0.65% for AyT Genova Hipotecario X, and to 0.77% from 1.33% for AyT Genova Hipotecario XI.

As of the latest interest payment dates (September 2012 for AyT Genova Hipotecario X and November 2012 for AyT Genova Hipotecario XI), the reserve funds for both transactions were not at their required levels. We note that AyT Genova Hipotecario X has a larger reserve fund than AyT Genova Hipotecario XI, as in 2010 the issuer increased the required amount to EUR36 million from EUR12 million (the required amount at closing).

Based on the increasing defaults and delinquencies that we have observed in the underlying portfolios of both transactions, the transactions' structural features (such as triggers, reserve funds, and swaps), and the increase in the level of credit enhancement available to the rated notes, we have affirmed all of our ratings on AyT Genova Hipotecario X's classes of notes.

For AyT Genova Hipotecario XI, our credit and cash flow analysis indicates that the level of credit enhancement available to the class B notes is now commensurate with a higher rating than currently assigned. This is partly due to the increased reserve fund for this transaction, which has provided a higher level of credit enhancement for the senior notes.

Our rating on AyT Genova Hipotecario XI's class B notes is also constrained by our sovereign rating on the Kingdom of Spain (BBB-/Negative/A-3) and the application of our nonsovereign ratings criteria, in which we rate issuers or transactions in the European Monetary Union up to six notches above the sovereign rating (see "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions," published on June 14, 2011). We have therefore raised to 'AA- (sf)' from 'A (sf)' our rating on this class of notes. In our opinion, the level of credit enhancement available to the class A2, C, and D notes is commensurate with the current ratings on these classes of notes. We have therefore affirmed these ratings.

The transaction documents, for both transactions, relating to the swap counterparty and bank account provider are in line with our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on Nov. 29, 2012). Under the transaction documents, the counterparties will take remedy actions within a certain period if the counterparty losses the rating required under the documents.

AyT Genova Hipotecario X and AyT Genova Hipotecario XI are Spanish residential mortgage-backed securities (RMBS) transactions backed by pools of first-ranking mortgages secured over owner-occupied residential properties in Spain. Barclays Bank S.A. (BBB-/Negative/A-3) originated the underlying collateral between November 2001 and November 2006 for AyT Genova Hipotecario X, and between June 2007 and December 2007 for AyT Genova Hipotecario XI.

RELATED CRITERIA AND RESEARCH

Related Criteria

-- Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012

-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011

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

-- Methodology: Credit Stability Criteria, May 3, 2010

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

-- Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential Mortgage-Backed Securities, Jan. 6, 2009

-- Criteria for Rating Spanish Residential Mortgage-Backed Securities, March 1, 2002

Related Research

-- Economic Research: The Eurozone Enters An Uncertain 2013 As The New Recession Drags On, Dec. 13, 2012

-- Spanish RMBS Index Report Q3 2012: Delinquencies Keep Rising As Spain's Economy Struggles, Nov. 28, 2012

-- Scenario Analysis: What's Driving Spanish Mortgage Arrears?, April 13, 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

-- Ratings Affirmed In Various AyT Genova Hipotecario Spanish RMBS Transactions; Several Classes On CreditWatch Positive, Nov. 26, 2010

-- Ratings Affirmed In AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria, Nov. 26, 2010

RATINGS LIST

Class Rating

To From

AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria

EUR1.05 Billion Mortgage-Backed Floating-Rate Notes

Ratings Affirmed

A2 AA- (sf)

B A (sf)

C BBB+ (sf)

D BB- (sf)

AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria

EUR1.2 Billion Mortgage-Backed Floating-Rate Notes

Rating Raised

B AA- (sf) A (sf)

Ratings Affirmed

A2 AA- (sf)

C BBB+ (sf)

D BB- (sf)

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