Press Release

DBRS Takes Rating Actions on Spanish RMBS Transactions

RMBS

January 02, 2013

DBRS Ratings Limited (DBRS) has today taken rating actions on 31 classes from 19 Spanish RMBS transactions. From the 31 classes, 17 classes were confirmed and the remaining 14 classes remain Under Review with Negative Implications. Additionally, DBRS has removed all confirmed Notes from Under Review with Negative Implications. Additionally the rating of Class A1 notes of Unicaja Andalucia FTVivienda TDA 1 have been discontinued as the notes has repaid.

The rating actions are based upon the following analytical considerations:
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance. The additional stress was prompted by the recent downgrade by DBRS of the Kingdom of Spain’s sovereign rating from ‘A’ (high) Under Review with Negative Implications to ‘A’ (low), with the Negative Trend maintained (see “DBRS Downgrades Spain’s Rating to ‘A’ (low) with Negative Trend”).
• The update to the DBRS Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda in which DBRS changed the Market Value Decline (MVD) assumptions for all rating levels and also increased its time to recovery assumptions for the Spanish Market.
• The transaction parties continue to meet DBRS criteria.

Several classes were left Under Review with Negative Implications owing to performance issues or pending resolution of counterparty replacement. DBRS will undertake a detailed analysis of these transactions as soon as possible.

The following transactions were reviewed:
• AyT Caixanova Hipotecaria I
• AyT Goya Hipotecario IV FTA
• AyT Goya Hipotecario V FTA
• BBVA RMBS 5 FTA
• BBVA RMBS 9 FTA
• BBVA RMBS 10 FTA
• BBVA RMBS 11 FTA
• FTA Santander Hipotecario 7
• FTA Santander Hipotecario 8
• HIPOCAT 14 FTA
• HIPOCAT 17 FTA
• HIPOCAT 18 FTA
• HIPOCAT 19 FTA
• IM Sabadell RMBS 2, FTA
• IM Sabadell RMBS 3, FTA
• MBSCAT 1 FTA
• MBSCAT 2 FTA
• Unicaja Andalucia FTVivienda TDA 1
• Unicaja TDA VPO FTA

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

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 investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please see linking document

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte

Ratings

AyT Caixanova Hipotecario I, FTA

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AA (low) (sf)	--	UR-Neg.	UK
02-Jan-13	Series B	BBB (high) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Class A Mortgage-Backed Floating Rate Securitisation Notes	AAA (sf)	--	Confirmed	UK U
02-Jan-13	Class B Mortgage-Backed Floating Rate Securitisation Notes	B (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AAA (sf)	--	Confirmed	UK U
02-Jan-13	Series B	B (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AAA (sf)	--	Confirmed	UK U
02-Jan-13	Series B	BBB (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AA (sf)	--	Confirmed	UK U
02-Jan-13	Series B	BBB (sf)	--	Confirmed	UK U
02-Jan-13	Series C	B (high) (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	A (sf)	--	Confirmed	UK U
02-Jan-13	Series B	BB (high) (sf)	--	Confirmed	UK U
02-Jan-13	Series C	BB (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Bonds	A (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AAA (sf)	--	UR-Neg.	UK U
02-Jan-13	Series B	BBB (high) (sf)	--	UR-Neg.	UK U
02-Jan-13	Series C	C (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	AAA (sf)	--	UR-Neg.	UK U
02-Jan-13	Series B	BBB (sf)	--	UR-Neg.	UK U
02-Jan-13	Series C	C (sf)	--	Confirmed	UK U

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A Notes	A (high) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A Notes	A (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A Mortgage-Backed Floating Rate Securitisation Notes	AA (sf)	--	Confirmed	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Mortgage-Backed Floating Rate Securitisation Notes	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Class A Mortgage-Backed Floating Rate Securitisation Notes	AA (high) (sf)	--	Confirmed	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Class A Mortgage-Backed Floating Rate Securitisation Notes	AA (high) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A Notes	A (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A Bonds	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A2(G)	AA (high) (sf)	--	UR-Neg.	UK
02-Jan-13	Series A1	Discontinued	--	Disc.-Repaid	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
02-Jan-13	Series A	A (high) (sf)	--	UR-Neg.	UK

AyT Caixanova Hipotecario I, FTA

Series A

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:BBB (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

AyT Goya Hipotecario IV, Fondo de Titulización de Activos

Class A Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Class B Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:B (sf)
Trend:--
Rating Recovery:
Issued:UKU

AyT Goya Hipotecario V, Fondo de Titulización de Activos

Series A

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:B (sf)
Trend:--
Rating Recovery:
Issued:UKU

BBVA RMBS 10 FTA

Series A

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:UKU

BBVA RMBS 11 FTA

Series A

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series C

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:B (high) (sf)
Trend:--
Rating Recovery:
Issued:UKU

BBVA RMBS 5 FTA

Series A

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:BB (high) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series C

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:BB (sf)
Trend:--
Rating Recovery:
Issued:UKU

BBVA RMBS 9 FTA

Bonds

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:UKU

FTA, Santander Hipotecario 7

Series A

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:BBB (high) (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series C

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UKU

FTA, Santander Hipotecario 8

Series A

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series B

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:UKU

Series C

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UKU

Hipocat 14 Fondo de Titulización de Activos

Series A Notes

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:A (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

Hipocat 17 Fondo de Titulización de Activos

Series A Notes

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:UK

Hipocat 18 Fondo de Titulización de Activos

Series A Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

Hipocat 19 Fondo de Titulización de Activos

Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

IM Sabadell RMBS 2 Fondo De Titulizacion De Activos

Class A Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:Confirmed
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

IM Sabadell RMBS 3 Fondo De Titulizacion De Activos

Class A Mortgage-Backed Floating Rate Securitisation Notes

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

MBSCAT 1, Fondo de Titulización de Activos

Series A Notes

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:A (sf)
Trend:--
Rating Recovery:
Issued:UK

MBSCAT 2, Fondo de Titulización de Activos

Series A Bonds

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

UNICAJA ANDALUCÍA FTVIVIENDA TDA 1, F.T.A.

Series A2(G)

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

Series A1

Date Issued:Jan 2, 2013
Rating Action:Disc.-Repaid
Ratings:Discontinued
Trend:--
Rating Recovery:
Issued:UK

UNICAJA TDA VPO, Fondo de Titulizaction de Activos

Series A

Date Issued:Jan 2, 2013
Rating Action:UR-Neg.
Ratings:A (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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