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TEXT-S&P lowers rtgs in Spanish RMBS deal AyT Kutxa Hipotecario IV
November 6, 2012 / 1:01 PM / in 5 years

TEXT-S&P lowers rtgs in Spanish RMBS deal AyT Kutxa Hipotecario IV

(The following statement was released by the rating agency)

Nov 06 -

OVERVIEW

-- On April 30, 2012, we lowered our long-term rating on Kutxabank, the guaranteed investment contract (GIC) and swap provider in the transaction.

-- Since then, under the transaction documents for Ayt Kutxa Hipotecario IV, the 60-day remedy period has expired and the counterparty is no longer considered to be eligible.

-- The trustee has advised that the GIC and the swap provider, Kutxabank, will not take any remedy actions. Our 2012 counterparty criteria therefore link the ratings in the transaction to the long-term rating on the GIC and the swap provider, Kutxabank.

-- Consequently, we have today lowered and placed on CreditWatch negative our ratings on all classes of notes in the transaction following the application of our 2012 counterparty criteria.

-- Ayt Kutxa Hipotecario IV, which closed in May 2009, securitizes a portfolio of residential mortgage loans secured over properties in Spain.

Standard & Poor’s Ratings Services today lowered to ‘BBB- (sf)’ its credit ratings on all classes of notes in Ayt Kutxa Hipotecario IV, Fondo de Titulizacion de Activos (see list below).

Today’s rating actions follow our April 30, 2012, downgrade of Kutxabank S.A. (BBB-/Watch Neg/A-3), which acts as the guaranteed investment contract (GIC) and swap provider in this transaction, and the application of our 2012 counterparty criteria (see “Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade,” published on April 30, 2012, and “Counterparty Risk Framework Methodology And Assumptions,” published on May 31, 2012).

The transaction documents, which reflect our (superseded) 2010 counterparty criteria, stipulate that remedy actions need to be taken if the GIC provider and the swap counterparty cease to have the required rating to maintain a minimum rating of ‘A (sf)’ on the notes. Following our April 30, 2012, downgrade of Kutxabank, under the transaction documents, the 60-day remedy period has expired and the counterparty is no longer eligible.

The trustee has advised that the GIC and the swap provider, Kutxabank, will not take any remedy actions regarding the GIC or the swap counterparty. Our 2012 counterparty criteria therefore link the ratings in the transactions to the long-term ICR on the GIC and the swap provider, Kutxabank.

Consequently, we have today lowered to ‘BBB- (sf)’ and placed on CreditWatch negative our ratings on all classes of notes in this transaction following the application of our 2012 counterparty criteria.

Ayt Kutxa Hipotecario IV, which closed in May 2009, securitizes a portfolio of residential mortgage loans secured over properties in Spain.

RELATED CRITERIA AND RESEARCH

-- Various Rating Actions On Spanish Financial Institutions Following Sovereign Downgrade, Oct. 15, 2012

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade, April 30, 2012

-- Various Rating Actions Taken In Spanish RMBS Transactions AyT Kutxa Hipotecario I, II, III, And IV, March 29, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Ratings Lowered On Eight Classes Of Notes In Five AyT Spanish RMBS Transactions After Counterparty Downgrades, Dec. 9, 2011

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 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

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

RATINGS LIST

Class Rating

To From

Ratings Lowered

AyT Kutxa Hipotecario IV, Fondo de Titulizacion de Activos

EUR2 Billion Mortgage-Backed Floating-Rate Notes

A1 BBB- (sf) A (sf)

A2 BBB- (sf) A (sf)

B BBB- (sf) A (sf)

C BBB- (sf) BBB (sf)

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