DBRS Reviews AyT CAIXANOVA HIPOTECARIO I, FTA

DBRS, Inc. (DBRS) has reviewed the amendment documents in connection with the AyT Caixanova Hipotecario I, FTA transaction in connection with a change in the Paying Agent. The existing Paying Agent, Confederación Española de Cajas de Ahorros, has been replaced with Barclays Bank plc. Barclays Bank plc meets DBRS criteria to act as Paying Agent. Accordingly, this change does not impact the AA (low) (sf) rating of the Series A bonds and the BBB (high) (sf) rating of the Series B bonds. These ratings remain Under Review with Negative Implications since Spain’s sovereign rating is currently Under Review with Negative Implications.

The receivables securitised consist of obligations arising under mortgages to individuals and small and medium-sized enterprises secured by residential and commercial properties. The mortgages were originated by Caixa de Aforros de Vigo, Ourense e Pontevedra (“Caixanova”) which is a predecessor to NCG Banco S.A.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria For European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area.”

The sources of information used for this rating include performance data relating to the receivables provided by NCG Banco S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see the linking document.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Lain Gutierrez
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: September 27, 2011