Spanish RMBS Index Report Q1 2013: Severe Delinquencies Reach An All-Time High, Yet Vary Widely Among Servicers

STRUCTURED FINANCE RESEARCH
Spanish RMBS Index Report Q1 2013: Severe Delinquencies Reach An All-Time High, Yet Vary Widely Among Servicers
Primary Credit Analyst: Virginie Couchet, Madrid (34) 91-389-6959; virginie.couchet@standardandpoors.com Secondary Contact: Soledad Martinez-Tercero, Madrid (34) 91-389-6954; soledad_martinez-tercero@standardandpoors.com Data Analyst: Pulock Baidya, London (44) 20-7176-3986; pulock_baidya@standardandpoors.com
Table Of Contents
Focus On Index Composition Related Criteria And Research
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Table 1
Performance Indicators (%)

Q1 2013 Indices Total delinquencies Severe delinquencies (including repossessions) Prepayment rate House price growth* Ministerio de Vivienda Instituto Nacional de Estadistica Economic Real GDP growth Unemployment rate (0.50) 27.16 (0.80) 26.10 (0.30) 25.60 (0.40) 24.70 (0.40) 23.80 (7.70) (14.30) (9.75) (12.80) N.A. N.A. (8.30) (14.40) (7.20) (12.60) 7.71 5.38 4.1 7.29 4.89 3.97 6.42 4.21 3.90 5.80 3.61 3.62 5.45 3.36 3.52 Q4 2012 Q3 2012 Q2 2012 Q1 2012
*Year-on-year. Source: Eurostat. Quarter-on-quarter, seasonally-adjusted. Three-month average. N.A.--Not available.
Table 2
2012-2013 Scenarios For Spanish RMBS Collateral

Baseline effect on collateral credit quality
Baseline 2013 Real GDP (year-on-year growth, %) Annual average unemployment rate (%) House prices (year-on-year growth, %) Net mortgage lending (year-on-year growth in balances, %) ECB policy rate (%) (1.5) 2014 0.6
Downside 2013 (2.2) 2014 (0.7)
Actual 2012 (1.4)
Comment
Improving export performance could help stop the domestic economic contraction by 2014 The unemployment rate continues to post new highs Still few signs of improvement as the excess supply of dwellings remains a strongly negative factor Household deleveraging looks set to continue We expect the ECB to keep its policy rate low, given the ongoing eurozone downturn
Unfavorable
26.8 (8.0)
26.5 (5.0)
28.0 N/A
28.5 N/A
25.1 (10.5)
Somewhat unfavorable Unfavorable
(1.5)
(1.4)
N/A
N/A
(3.4)
Somewhat unfavorable
0.5
0.5
0.3
0.3
0.9
Neutral
Sources: Eurostat, OECD, Banco d'Espana, Standard & Poor's. N/A--Not applicable. Baseline--Expected scenario. Downside--Alternative scenario; severe recession.
In the first quarter of 2013, severe delinquencies in Standard & Poor's Ratings Services' Spanish residential mortgage-backed securities (RMBS) index reached a historical peak of 5.38%. In our view, the prolonged economic downturn will continue to cause the credit quality of the assets backing Spanish RMBS transactions to deteriorate. In
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this report, we also take a closer look at our index composition and the contrasting performance that we have observed between different originators. Spanish economic indicators remain bleak. Further expected domestic demand weakness suggests that the economy will remain in recession throughout 2013. We expect GDP growth to decline by 1.5% in 2013 and to increase by only 0.6% in 2014 (see "Entrenched In Recession, Europe Seeks A Balance Between Deleveraging And Growth," published on March 26, 2013). Overview In Q1 2013, severe delinquencies in our index peaked at 5.38%. We expect the economy to remain in recession throughout 2013 and unemployment to continue to rise. The rapid increase in unemployment, as well as severe fiscal consolidation and tight financial market conditions are fueling the housing market's slump. It is likely that we will take more negative rating actions in 2013, as a result of declining credit quality, the lack of structural mitigants, and the increased number of ineligible swap providers in many transactions. Servicer performance differs throughout the credit cycle and the asset and borrower credit quality that the transactions are exposed to is also diverse.
At the end of 2012 and in Q1 2013, the unemployment rate accelerated, exacerbated by a shrinking active labor force. Long-term unemployment continues to rise, and we now forecast unemployment to reach 26.8% in 2013 and 26.5% in 2014. As indicated in previous index reports, we believe that unemployment is a key determinant of delinquencies. The rapid increase in unemployment, as well as severe fiscal consolidation and tight financial market conditions are fueling the housing market's slump (see "Recession Keeps House Prices In The Dumps In Most European Markets," published on May 7, 2013). According to the Spanish Housing Ministry, house prices plunged by 10.5% in 2012 from 6.78% a year earlier and have now fallen by 28% from their March 2008 peak. In our opinion, Spain's housing market remains overvalued as we forecast a further 20% house price drop in the next four years. This is partly due to a large number of unsold houses, which will force prices dowcn. In 2012, the IMF Financial Sector Assessment Program estimated the number of unsold homes on the market at between 700,000 and one million. New property numbers dropped to 70,000 in 2012, from a peak of about 760,000 in 2006, suggesting that the pricing adjustment process is now under way and should continue. We believe that the price-to-income and price-to-rent ratios will still need to adjust further to reach equilibrium. The house price decline has affected regions differently, with eight out of the 17 Spanish regions experiencing house price declines that were above the national average (which was a 14.3% decline in Q1 2013, according to official data). We expect further house price corrections of 8% and 5% for 2013 and 2014, respectively. Despite lower interest rates, household debt ratios declined in 2013 due to contracting credit growth and growing unemployment. The number of mortgages continues to remain very low and decreased again in Q1 2013, after increasing marginally in January. However, the deleveraging process is slow and the level of nonperforming loans in residential market transactions still appears low, compared with the country's total nonperforming loan ratio of 10.7%.
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This is partly driven by doubtful loans in the commercial real estate sector. Given ongoing economic uncertainties, the falling housing market, and increased recovery periods for rated transactions, we expect long-term delinquencies and defaults to increase in the RMBS transactions that we rate, resulting in fewer recoveries, even if Spanish mortgages benefit from low interest rates as the market is predominantly indexed to variable interest rates. As a result, this limits the number of delinquencies observed in the mortgage market. As of Q1 2013, our long-term arrears index was 5.4%, which is more than the 4.79% June 2009 peak. While the growth of severe delinquencies and defaults was slower in Q1 2013 than between end-2007 and mid-2009, severe delinquencies and defaults have now reached an all-time high in our index. Severe delinquencies in December 2012 were 53% higher than in Q4 2011, with the pace of deterioration accelerating in Q4 2012. Q1 2013 saw a more pronounced deterioration. Loans originated from 2006 onward have continued to perform badly, particularly the 2009 and 2010 vintages, while loans originated with loan-to-value (LTV) ratios at closing that were more than 70%, have experienced higher delinquencies. In particular, delinquencies for loans with an original LTV ratio of more than 90% are back at their highest levels since the 2008-2009 period. The prepayment rate freefall observed in our index stopped in the second half of 2012. It has since marginally increased on a quarterly basis since Q3 2012, but this is mainly due to our index composition (low prepayments are associated with seasoned transactions in our index and the inclusion of transactions from 2011). Mortgage servicers are likely to find it increasingly difficult to maintain their mortgage pools' performance as the effectiveness of forbearance arrangements is limited. We believe that the use of these arrangements by mortgage servicers has underestimated the number of reported severe arrears as recently disclosed by the Bank of Spain. As a result of the Bank's initiative (the April 30 Bank of Spain directive) to improve disclosure of nonperforming loans, it is likely that severe delinquencies will spike after its implementation (see "Spain's New Mortgage Laws And Bank Guidelines Could Push Up RMBS Losses But Improve Transparency," published on June 11, 2013). In our view, transactions' structural features will not be able to offset deteriorating credit quality. For example, Spanish RMBS transactions do not benefit from asset overcollateralization and the most junior notes' issuance proceeds usually fund the reserve fund at closing. Recoveries on defaulted assets are also constrained by the depressed Spanish housing sector, with recovery timings lagging further and recovery proceeds reducing. As severe delinquencies continue to roll into defaults, this will further weaken transactions' structural features to mitigate losses. The transactions reported in the "Focus on index composition" section below as underperforming our index have depleted reserve funds, and due to the lack of excess spread and recoveries, are not able to be replenished. The transactions also have very low excess spread and rely on swap mechanisms for credit support. It is likely that we will take more negative rating actions in 2013, as a result of declining credit quality, the lack of structural mitigants, and the increased number of ineligible swap providers in many transactions that are very sensitive to the support that swap agreements provide. The impact of these factors is likely to be less significant for the senior classes of notes in seasoned transactions. This is due to a build-up of credit enhancement and cash flow diversion mechanisms from the junior to the senior notes.
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While we did not rate any new issuance in the Spanish mortgage market in Q1 2013, most of our rating actions were due to counterparty reasons. We expect to take further rating actions for counterparty reasons as remedy periods elapse. Counterparty scenario analysis. In order to provide further transparency on the components of our ratings, at the end of this report, we have set out a scenario analysis using the assumption that all supporting parties and the sovereign are rated 'AAA' in order to demonstrate the likely ratings, were they not a constraining factor (see charts 8 to 12 and table 4).
Focus On Index Composition

Our index composition has changed a lot since mid-2012, which saw the redemption at the issuers' request of better performing transactions (for example, the Foncaixa 6, 7, and 9 transactions to include some of the loans backing these transactions in covered bonds collateral). The Spanish RMBS market as a whole cannot be classified as homogeneous, as portfolio performance varies widely among market participants. Servicer performance differs throughout the credit cycle and the asset and borrower credit quality that the transactions are exposed to is also diverse. The range of portfolio performance, therefore, varies widely among market participants. In this context, we have identified a group of originators and servicers that have underperformed our index throughout 2012 and Q1 2013. Transactions originated and serviced by Catalunya Banc, S.A. have experienced the highest credit quality deterioration. The pace of this deterioration since March 2012 in the five Hipocat transactions that we rate has been higher than what we have observed in any of the other Spanish RMBS transactions that we rate. Delinquencies in transactions originated by Caja Ahorros del Mediterraneo (CAM)now part of Banco de Sabadellhave peaked at their highest level in Q1 2013, at almost 11%, while the annual rise in 2012 was 55%. While transactions originated by Caja de Ahorros y Monte de Piedad de Madrid (Caja Madrid), and now serviced by Bankia S.A., haven't experienced the same level of severe delinquencies as in 2009, when they peaked at 15.3%, the credit quality of the loans backing the Madrid RMBS 1, 2, 3, and 4 transactions has significantly deteriorated. Severe delinquencies in Caja Madrid-originated transactions totaled 11.62% in Q1 2013 after increasing by almost 43% in 2013. While this is still lower than the 2008 level, in 2008 and 2009, Caja Madrid removed the nonperforming assets from its portfolios. Among the transactions previously originated by Caja Madrid, the performance varies widely between two groups: The Madrid RMBS I, II, III, and IV transactions, which closed between 2006 and 2007, featured higher mortgage LTV ratios at closing; and The Madrid Residencial I and II transactions, which closed in 2008 and 2010, respectively, have better credit quality portfolio features. Now part of the Bankia group, Bancaja has the same servicing capabilities as Caja Madrid. However, the collateral backing Bancaja-originated transactions differs significantly in terms of loan and borrower features. Severe delinquencies stand at 6% after significantly deteriorating in 2012. The performance of the Bancaja RMBS transactions
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that we rate is largely influenced by Bancaja 10 and Bancaja 11's performance (both closed in 2007). This is because these transactions have experienced higher severe delinquencies and defaults than the other ex-Bancaja originated transactions that we rate. The remaining Bancaja transactions that we rate are more seasoned and have different portfolio features. We rate three RMBS transactions originated by Banco PastorIM Pastor 2, 3, and 4. In our opinion, these transactions clearly demonstrate the highest delinquencies and defaults seen in broker-originated loans (loans granted by a bank outside of its geographical core market). In Q1 2013, severe delinquencies in IM Pastor 3 and 4 were 17.7% and 14.7%, respectively, compared with just 1.75% in IM Pastor 2. Severe delinquencies observed in the Pastor-originated transactions were 10% in Q1 2013, peaking at 11.4% in Q4 2012, 46% higher than in Q4 2011. While severe delinquencies are historically higher in UCI-originated transactions, their loan and borrower features have resulted in delinquencies peaking at 15.20% in Q1 2013, compared with 14.60% in September 2009. The volume of delinquencies and defaults varies by closing date. Transactions that closed before 2005 (UCI 7, 8, 9, and 10) have the lowest severe delinquencies (the lowest being UCI 7 at 0.8%). By contrast, transactions that closed after 2005 report higher delinquencies, with UCI 16 at 21.4%, followed by UCI 17 at 19.4%. After peaking in September 2010, and underperforming our index until Q4 2012, severe delinquencies in Banco Santander S.A. originated transactions have been decreasing for a while. We cannot be sure, however, if this will continue in the long term. Loans originated by Bankinter S.A., Barclays Bank S.A., Banco Bilbao Vizcaya Argentaria S.A., Ibercaja Banco S.A., Kutxabank S.A., or savings banks that didn't originate loans outside of their core geographical region, have continued to experience very limited credit quality deterioration.
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Chart 1
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Chart 2
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Chart 3
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Chart 4
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Chart 5
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Chart 6
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Chart 7
Table 3
Spanish RMBS Transactions Included In Index

Closing date Mar 04, 2011 Jan 28, 2011 Jul 27, 2010 Jul 14, 2010 Jun 24, 2010 May 24, 2010 Apr 22, 2010 Mar 16, 2010 ABSXchange Ticker BANESTO.5 MBSFTA.3 FONCAIX.11 BANKINT.20 Name Fondo de Titulizacin Hipotecaria Banesto 5 MBSCAT 3, Fondo de Titulizacin de Activos FonCaixa Hipotecario 11, Fondo de Titulizacin de Activos Bankinter 20, Fondo de Titulizacin de Activos Originator Banco Espaol de Credito S.A. Caixa d'Estalvis de Catalunya, Tarragona I Manresa Caixabank S.A. Bankinter S.A. Caja de Ahorros y Monte de Piedad de Madrid Banco Santander Central Hispano S.A. Banco Bilbao Vizcaya Argentaria, S.A. Banco Popular Espaol, S.A. Redeemed? Yes Yes Yes Yes No No No No
MADRIDRS.2 MADRID RESIDENCIAL II, Fondo de Titulizacin de Activos SANTHIP.6 BBVARMBS.9 IMBP.2 Fondo de Titulizacin de Activos Santander Hipotecario 6 BBVA RMBS 9, Fondo de Titulizacin de Activos IM Banco Popular, Fondo de Titulizacin de Activos MBS 2
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Table 3
Spanish RMBS Transactions Included In Index (cont.)

Dec 21, 2009 Aug 28, 2009 Jul 29, 2009 Jul 29, 2009 IBERCAJA.7 AYTCGH.CM1 AYTIFIII.CAI AYTIFIII.CAJARIOJA TDA Ibercaja 7, Fondo de Titulizacin de Activos AyT Colaterales Global Hipotecario FTA Caixa Manlleu I Ayt ICO-FTVPO III Fondo de Titulizacin de Activos (CAI) Ayt ICO-FTVPO III Fondo de Titulizacin de Activos (Caja Rioja) AyT ICO-FTVPO CAJASOL, Fondo de Titulizacin de Activos IM BANKOA MBS 1, FONDO DE Titulizacin DE ACTIVOS AyT ICO-FTVPO Caja Murcia Fondo de Titulizacin de Activos AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacin de Activos AyT Kutxa Hipotecario IV Fondo de Titulizacin de Activos SOL-LION, Fondo de Titulizacin de Activos Bancaja - BVA VPO 1 Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos UCI 19 MBS Bancaja 6 Fondo de Titulizacin de Activos MADRID RESIDENCIAL I, Fondo de Titulizacin de Activos MADRID ICO-FTVPO I, Fondo de Titulizacin de Activos BBVA RMBS 7, Fondo de Titulizacin de Activos TDA 31, Fondo de Titulizacin de Activos Bankinter 18, Fondo de Titulizacin de Activos BBVA RMBS 6, Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos Santander Hipotecario 5 TDA CREDIFIMO 1, Fondo de Titulizacin de Activos Cassiopeia QEX B.V IM Sabadell RMBS 2, Fondo de Titulizacin de Activos Bankinter 17 Fondo de Titulizacin de Activos AyT Goya Hipotecario II Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Caixa d'Estalvis Comarcal de Manlleu Caja Inmaculada Caja de Ahorros de la Rioja No Yes No No
Jul 8, 2009 Jul 3, 2009 Jul 1, 2009 Jun 12, 2009 May 22, 2009 May 21, 2009 Apr 7, 2009 Mar 18, 2009 Feb 4, 2009 Dec 30, 2008 Dec 23, 2008 Nov 27, 2008 Nov 19, 2008 Nov 13, 2008 Nov 13, 2008 Nov 5, 2008 Aug 6, 2008 Jul 17, 2008 Jun 25, 2008 Jun 12, 2008 Jun 11, 2008
AYT.IFC1 IMBMFTA.1 AYT.IFCM1 AYT.IFCG1 AYTKUTXA.4 SOLLION.1 BANCAJA.BVAVPO1 UCI.19 MBSBANC.6 MADRIDRS.1 MADRIDIC.1 BBVARMBS.7 TDA.31 BANKINT.18 BBVARMBS.6 SANTHIP.5 TDA.CRDFMO1 CSSPIA.QEX1 IMSABDEL.2 BANKINT.17 AYTGOYA.2
Monte de piedad y Caja de Ahorros San Fernando de Huela, Jerez y Sevilla Bankoa S.A. Caja de Ahorros de Murcia Caja de Ahorros de Galicia Kutxabank S.A. ING Direct N.V. Caja de Ahorros de Valencia, Castellon y Alicante and Banco de Valencia, S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caja de Ahorros de Valencia, Castellon y Alicante Caja de Ahorros y Monte de Piedad de Madrid Caja de Ahorros y Monte de Piedad de Madrid Banco Bilbao Vizcaya Argentaria, S.A. Banco Guipuzcoano Bankinter S.A. Banco Bilbao Vizcaya Argentaria, S.A. Banco Santander Central Hispano S.A. Credifimo, E.F.C, S.A.U. Banco Espaol de Credito S.A. Banco de Sabadell S.A. Bankinter S.A. Barclays Bank S.A.
Yes Yes No No Yes No No Yes No No No Yes No Yes Yes Yes Yes Yes No Yes Yes
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Table 3

May 29, 2008 May 19, 2008 May 12, 2008 Apr 30, 2008 Apr 11, 2008 Mar 14, 2008 Feb 29, 2008 Dec 31, 2007 Dec 19, 2007 Dec 13, 2007 Dec 12, 2007 Dec 5, 2007 Nov 22, 2007 Oct 22, 2007 Oct 11, 2007 Oct 4, 2007 Oct 1, 2007 Jul 30, 2007 Jul 23, 2007 Jul 20, 2007 Jul 11, 2007 Jul 6, 2007 Jun 29, 2007 Jun 26, 2007 Jun 19, 2007 BBVARMBS.5 HIPOCAT.15 MBSBANC.5 AYTKUTXA.3 BANCAJA.12 BANKINT.16 UCI.18 AYTCGH.CCM1 MADRID.4 AYTGEN.11 TDA.CAM10 TDATARRA.1 BBVARMBS.4 IMGOYA.1 BANKINT.15 SANTHIP.4 CAIXAPEN.2 AYTCGH.SANOSTRA1 TDA.28 BANCAJA.11 MADRID.3 TDA.CAM9 AYTCG.1 AYTGEN.10 GCPASTOR.5 BBVA RMBS 5, Fondo de Titulizacin de Activos Hipocat 15, Fondo de Titulizacin de Activos MBS Bancaja 5 Fondo de Titulizacin de Activos AyT Kutxa Hipotecario III Fondo de Titulizacin de Activos Bancaja 12, Fondo de Titulizacin de Activos Bankinter 16 Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos UCI 18 AyT Colaterales Global Hipotecario FTA CCM I MADRID RMBS IV, Fondo de Titulizacin de Activos AyT Genova Hipotecario XI Fondo de Titulizacin Hipotecaria TDA CAM 10, Fondo de Titulizacin de Activos TDA Tarragona 1, Fondo de Titulizacion de Activos BBVA RMBS 4, Fondo de Titulizacin de Activos IM GOYA HIPOTECARIO I, Fondo de Titulizacin de Activos Bankinter 15, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos Santander Hipotecario 4 CAIXA PENEDES 2 TDA, Fondo de Titulizacin de Activos AyT Colaterales Global Hipotecario FTA Sa Nostra I TDA 28, Fondo de Titulizacin de Activos Bancaja 11, Fondo de Titulizacin de Activos MADRID RMBS III, Fondo de Titulizacin de Activos TDA CAM 9, Fondo de Titulizacin de Activos AyT CajaGranada Hipotecario I Fondo de Titulizacin de Activos AyT Genova Hipotecario X Fondo de Titulizacin Hipotecaria GC Pastor Hipotecario 5, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. Caixa dEstalvis de Catalunya Caja de Ahorros de Valencia, Castellon y Alicante Kutxabank S.A. Banco CAM S.A. Bankinter S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caja de Ahorros de Castilla la Mancha (CCM) Caja de Ahorros y Monte de Piedad de Madrid Barclays Bank S.A. Caja de Ahorros de Valencia, Castellon y Alicante Caixa d'Estalvis de Tarragona Banco Bilbao Vizcaya Argentaria, S.A. Barclays Bank S.A. Bankinter S.A. Banco Santander Central Hispano S.A. Caixa d'Estalvis del Penedes Caja de Ahorros y Monte de Piedad de la Baleares (Sa Nostra) Caixa dEstalvis de Terrassa Caja de Ahorros de Valencia, Castellon y Alicante Caja de Ahorros y Monte de Piedad de Madrid Banco CAM S.A. Caja de Ahorros de Granada Barclays Bank PLC Banco Pastor S.A. No Yes Yes Yes Yes Yes No No No No No No Yes Yes Yes Yes No No Yes No No No No No No
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Table 3

May 29, 2007 May 11, 2007 May 9, 2007 Apr 4, 2007 Mar 29, 2007 Mar 23, 2007 Mar 15, 2007 Mar 13, 2007 Feb 16, 2007 Jan 30, 2007 Dec 22, 2006 Dec 18, 2006 Dec 5, 2006 Nov 27, 2006 Nov 22, 2006 Nov 6, 2006 Oct 23, 2006 Oct 23, 2006 Oct 20, 2006 Oct 19, 2006 Aug 2, 2006 Jul 21, 2006 Jul 10, 2006 Jun 30, 2006 Jun 12, 2006 FONCAIX.10 IBERCAJA.5 UCI.17 SANTHIP.3 BBVARMBS.2 BANKINT.14 HIPOCAT.11 TDA.CAM8 AYTKUTXA.2 BANCAJA.10 TDA.27 MADRID.2 AYTGEN.9 BANKINT.13 MADRID.1 AYTCM.2 CAIXAPEN.1 IBERCAJA.4 UCI.16 TDA.CAM7 TDA.25 AYTHM.5 HIPOCAT.10 SANTHIP.2 AYTGEN.8 FonCaixa Hipotecario 10, Fondo de Titulizacin de Activos TDA Ibercaja 5, Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos UCI 17 Fondo de Titulizacin de Activos Santander Hipotecario 3 BBVA RMBS 2, Fondo de Titulizacin de Activos Bankinter 14, Fondo de Titulizacin Hipotecaria Hipocat 11, Fondo de Titulizacin de Activos TDA CAM 8, Fondo de Titulizacin de Activos AyT Kutxa Hipotecario II, Fondo de Titulizacin de Activos Bancaja 10, Fondo de Titulizacin de Activos TDA 27, Fondo de Titulizacin de Activos MADRID RMBS II, Fondo de Titulizacin de Activos AyT Genova Hipotecario IX Fondo de Titulizacin Hipotecaria Bankinter 13, Fondo de Titulizacin de Activos MADRID RMBS I, Fondo de Titulizacin de Activos Ayt Caja Murcia Hipotecario II, Fondo de Titulizacin de Activos CAIXA PENEDES 1 TDA, Fondo de Titulizacin de Activos TDA Ibercaja 4 Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos UCI 16 TDA CAM 7, Fondo de Titulizacin de Activos TDA 25, Fondo de Titulizacin de Activos AyT Hipotecario Mixto V, Fondo de Titulizacin de Activos Hipocat 10, Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos Santander Hipotecario 2 AyT Genova Hipotecario VIII Fondo de Titulizacin Hipotecaria Caixabank S.A. Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Banco Santander Central Hispano S.A. Banco Bilbao Vizcaya Argentaria, S.A. Bankinter S.A. Caixa dEstalvis de Catalunya Banco CAM S.A. Kutxabank S.A. Caja de Ahorros de Valencia, Castellon y Alicante Caixa d'Estalvis de Terrassa Caja de Ahorros y Monte de Piedad de Madrid Barclays Bank S.A. Bankinter S.A. Caja de Ahorros y Monte de Piedad de Madrid Caja de Ahorros de Murcia Caixa d'Estalvis del Penedes Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Banco CAM S.A. Multi-originator Multi-originator Caixa d'Estalvis de Catalunya Banco Santander Central Hispano S.A. Barclays Bank S.A. Yes No No No No Yes No No No No Ratings withdrawn No No No No No No No No No Ratings withdrawn No No No No
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Table 3

Jun 9, 2006 May 31, 2006 May 18, 2006 Apr 28, 2006 Mar 31, 2006 Dec 22, 2005 Dec 2, 2005 Dec 1, 2005 Nov 30, 2005 Nov 28, 2005 Nov 28, 2005 Oct 18, 2005 Jun 30, 2005 Jun 14, 2005 Jun 14, 2005 Jun 2, 2005 May 23, 2005 May 12, 2005 Mar 18, 2005 Nov 22, 2004 Jul 16, 2004 Jul 16, 2004 Jun 29, 2004 Jun 16, 2004 Jun 14, 2004 IMPAST.4 AYTKUTXA.1 IBERCAJA.3 UCI.15 FONCAIX.9 AYTCM.1 BANKINT.11 TDA.24 HIPOCAT.9 AYTGEN.7 UCI.14 IBERCAJA.2 BANKINT.10 AYTGEN.6 IMPAST.3 UCI.12 TDACAJAM.2 HIPOCAT.8 FONCAIX.8 UCI.11 BANCAJA.7 GCSAB.1 IMPAST.2 SANTHIP.1 HIPOCAT.7 IM PASTOR 4, Fondo de Titulizacin de Activos AyT Kutxa Hipotecario I, Fondo de Titulizacin de Activos TDA Ibercaja 3 Fondo de Titulizacin de Activos Fondo de Titulizacin de Activos UCI 15 FonCaixa Hipotecario 9, Fondo de Titulizacin de Activos AyT Caja Murcia Hipotecario I, Fondo de Titulizacin de Activos Bankinter 11, Fondo de Titulizacin de Activos TDA 24, Fondo de Titulizacin de Activos Hipocat 9, Fondo de Titulizacin de Activos AyT Genova Hipotecario VII Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos UCI 14 TDA Ibercaja 2 Fondo de Titulizacin de Activos Bankinter 10, Fondo de Titulizacin de Activos AyT Genova Hipotecario VI Fondo de Titulizacin Hipotecaria IM PASTOR 3, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin Hipotecaria UCI 12 TDA Cajamar 2, Fondo de Titulizacin de Activos Hipocat 8, Fondo de Titulizacin de Activos Foncaixa Hipotecario 8, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos UCI 11 Bancaja 7, Fondo de Titulizacin de Activos GC SABADELL 1, Fondo de Titulizacin Hipotecario IM PASTOR 2, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos Santander Hipotecario 1 Hipocat 7, Fondo de Titulizacin de Activos Banco Pastor S.A. Kutxabank S.A. Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caixabank S.A. Caja de Ahorros de Murcia Bankinter S.A. Multi-originator Caixa d'Estalvis de Catalunya Barclays Bank S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Bankinter S.A. Barclays Bank S.A. Banco Pastor S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caja Rural Intermediterranea, Sociedad Cooperativa de Credito Caixa d'Estalvis de Catalunya Caixabank S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Caja de Ahorros de Valencia, Castellon y Alicante Banco de Sabadell S.A. Banco Pastor S.A. Banco Santander Central Hispano S.A. Caixa d'Estalvis de Catalunya No No No No Yes No No Ratings withdrawn No No No No No No No No No No Yes No No No No No No
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Table 3

May 19, 2004 Apr 5, 2004 Mar 9, 2004 Dec 16, 2003 Dec 5, 2003 Nov 12, 2003 Oct 14, 2003 Sep 30, 2003 Sep 30, 2003 Jun 19, 2003 May 30, 2003 Apr 17, 2003 Dec 18, 2002 Dec 17, 2002 Nov 28, 2002 Nov 8, 2002 Oct 31, 2002 Sep 25, 2002 Jun 27, 2002 Jun 3, 2002 Mar 7, 2002 Oct 30, 2001 Oct 25, 2001 Jun 30, 1998 May 8, 1998 UCI.10 AYTGEN.4 BANKINT.8 BANESTO.4 BANCAJA.6 AYTGEN.3 IBERCAJA.1 BANKINT.6 FONCAIX.7 UCI.9 AYTGEN.2 BANCAJA.5 FONCAIX.6 BANKINT.5 HIPO.11 BANCAJA.4 AYT.11 BANKINT.4 UCI.8 AYT.8 HIPO.10 UCI.7 BANKINT.3 UCI.4 HIPO.7 Fondo de Titulizacin Hipotecaria UCI 10 AyT Genova Hipotecario IV Fondo de Titulizacin Hipotecaria Bankinter 8, Fondo de Titulizacin de Activos Fondo de Titulizacin Hipotecaria Banesto 4 Bancaja 6, Fondo de Titulizacin de Activos AyT Genova Hipotecario III Fondo de Titulizacin Hipotecaria TDA Ibercaja 1 Fondo de Titulizacin de Activos Bankinter 6, Fondo de Titulizacin Hipotecaria FonCaixa Hipotecario 7, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos UCI 9 AyT Genova Hipotecario II Fondo de Titulizacin Hipotecaria Bancaja 5, Fondo de Titulizacin de Activos FonCaixa Hipotecario 6, Fondo de Titulizacin Hipotecaria Bankinter 5, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos, Hipotebansa 11 Bancaja 4, Fondo de Titulizacin Hipotecaria AyT 11 Fondo de Titulizacin Hipotecaria Bankinter 4, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos UCI 8 AyT.8 Barclays Hipotecario I, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin de Activos, Hipotebansa X Fondo de Titulizacin de Activos UCI 7 Bankinter 3, Fondo de Titulizacin Hipotecaria Fondo de Titulizacin Hipotecaria UCI 4 Fondo de Titulizacin de Activos, Hipotebansa VII Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Barclays Bank S.A. Bankinter S.A. Banco Espaol de Credito S.A. Caja de Ahorros de Valencia, Castellon y Alicante Barclays Bank S.A. Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Bankinter S.A. Caixabank S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Barclays Bank S.A. Caja de Ahorros de Valencia, Castellon y Alicante Caixabank S.A. Bankinter S.A. Banco Santander Central Hispano S.A. Caja de Ahorros de Valencia, Castellon y Alicante Multi-originator Bankinter S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Barclays Bank S.A. Banco Santander Central Hispano S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Bankinter S.A. Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Banco Santander Central Hispano S.A. No No No Yes No No No No Yes No No No Yes No No Yes No No No Yes No No No Yes Yes
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Table 3

Jul 24, 2008 Jun 25, 2008 Dec 20, 2010 Jul 29, 2011 Mar 25, 2008 Jul 16, 2009 Dec 20, 2007 AYTCGH.CL1 IBERCAJA.6 AYTGOYA.3 IMURMBS.1 AYTCGH.CAJC1 TDAICF.1 AYTCGH.CE1 AyT Colaterales Global Hipotecario FTA Caixa Laietana I TDA Ibercaja 6, Fondo de Titulizacion de Activos AyT Goya Hipotecario III Fondo de Titulizacin de Activos IM UNNIM RMBS 1, Fondo de Titulizacion de Activos AyT Colaterales Global Hipotecario FTA Caja Circulo I TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria AyT Colaterales Global Hipotecario FTA Caja Espana I Caixa D'Estlavis Laietana Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Barclays Bank S.A. Caixa D'Estalvis Uni de Caixes de Manlleu, Sabadell i Terrassa (UNNIM) Caja de Ahorros y monte de piedad del circulo catolico de obreros de burges Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) Caja Espaa de Inversiones, Salamanca y Soria, Caja de Ahorros y Monte de Piedad No No No Yes No No No
RMBS--Residential mortgage-backed securities.
Counterparty scenario analysis. We have carried out a scenario analysis using the following assumptions: Scenario 1: All supporting parties are rated 'AAA'; Scenario 2: All sovereigns are rated 'AAA' and there is no cap on the ratings due to country risk; and Scenario 3: All supporting parties are rated 'AAA' and all sovereigns are rated 'AAA' and there is no cap on the ratings due to country risk. In scenarios 2 and 3, we have not included all of the factors that we usually take into account when determining the maximum differential between sovereign and nonsovereign ratings (see "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions," published on June 14, 2011). If these factors were taken into account, the potential outcomes could be significantly lower. The results of this analysis are intended to provide transparency on the components of our ratings, and are not credit ratings in themselves. Note that the ratings list provided in table 3 is current as of May 31, 2013, and as we take further rating actions, it may be subject to change.
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Chart 8
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Chart 9
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Chart 10
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Chart 11
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Chart 12
Table 4
Estimated Ratings Under Scenario Analysis (Scenario 1, Third Column From The Right. Scenario 2, Second Column From The Right. Scenario 3, Right-Hand Column.)
Scenario 1 Estimated rating if all counterparties were rated 'AAA' AA- (sf) A+ (sf) A+ (sf) Scenario 2 Estimated rating if the sovereign was rated 'AAA' A (sf) A(sf) A+ (sf) Scenario 3 - Estimated rating if all counterparties and the sovereign were rated 'AAA' AAA (sf) A (sf) A+ (sf)
Transaction AyT 11 Fondo de Titulizacion Hipotecaria AyT 11 Fondo de Titulizacion Hipotecaria AyT CAIXA SABADELL HIPOTECARIO I, FONDO DE TITULIZACION DE ACTIVOS AyT Caja Murcia Hipotecario I, Fondo de Titulizacion de Activos AyT Caja Murcia Hipotecario I, Fondo de Titulizacion de Activos
Series N/A N/A N/A
Class A B A
Current rating A (sf) A (sf) A+ (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
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Table 4
Estimated Ratings Under Scenario Analysis (Scenario 1, Third Column From The Right. Scenario 2, Second Column From The Right. Scenario 3, Right-Hand Column.) (cont.)
AyT Caja Murcia Hipotecario I, Fondo de Titulizacion de Activos Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos AyT Colaterales Global Hipotecario FTA Caixa Laietana I AyT Colaterales Global Hipotecario FTA Caixa Laietana I AyT Colaterales Global Hipotecario FTA Caja Circulo I AyT Colaterales Global Hipotecario FTA Caja Circulo I AyT Colaterales Global Hipotecario FTA Caja Circulo I AyT Colaterales Global Hipotecario FTA Caja Circulo I AyT Colaterales Global Hipotecario FTA Caja Espana I AyT Colaterales Global Hipotecario FTA Caja Espana I AyT Colaterales Global Hipotecario FTA Caja Espana I AyT Colaterales Global Hipotecario FTA Caja Espana I N/A C BBB (sf) BBB (sf) BBB (sf) BBB (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BB+ (sf)
A (sf)
BB+ (sf)
A (sf)
N/A
BB+ (sf)
BBB (sf)
BB+ (sf)
BBB (sf)
N/A
AA- (sf)
AA- (sf)
AA- (sf)
AA- (sf)
N/A
BBB (sf)
BBB (sf)
BBB (sf)
BBB (sf)
N/A
BB- (sf)
BB- (sf)
BB- (sf)
BB- (sf)
N/A
B (sf)
B (sf)
B (sf)
B (sf)
N/A
A- (sf)
AA- (sf)
A- (sf)
AA (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
A- (sf)
AA- (sf)
A- (sf)
AA (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
B (sf)
B (sf)
B (sf)
B (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
BBB- (sf)
AA- (sf)
BBB- (sf)
AA (sf)
N/A
BBB- (sf)
BBB (sf)
BBB- (sf)
BBB (sf)
N/A
BBB- (sf)
BBB- (sf)
BBB- (sf)
BBB- (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
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Table 4
AyT Colaterales Global Hipotecario FTA CCM I AyT Colaterales Global Hipotecario FTA Sa Nostra I AyT Genova Hipotecario II Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario II Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario III Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario III Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IV Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IV Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria N/A N/A A A A (sf) A- (sf) AA- (sf) AA- (sf) A (sf) A- (sf) AA- (sf) AA (sf)
N/A
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA- (sf)
AA- (sf)
N/A
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA- (sf)
AA- (sf)
N/A
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA- (sf)
AA- (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
A+ (sf)
A+ (sf)
A+ (sf)
A+ (sf)
N/A
A- (sf)
A- (sf)
A- (sf)
A- (sf)
N/A
BBB- (sf)
BBB- (sf)
BBB- (sf)
BBB- (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA- (sf)
AA- (sf)
N/A
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
A+ (sf)
A+ (sf)
A+ (sf)
A+ (sf)
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Table 4
AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria AyT Goya Hipotecario III Fondo De Titulizacion De Activos AyT Goya Hipotecario III Fondo De Titulizacion De Activos AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos N/A C BBB (sf) BBB (sf) BBB (sf) BBB (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BBB- (sf)
BBB- (sf)
BBB- (sf)
BBB- (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
BB- (sf)
BB- (sf)
BB- (sf)
BB- (sf)
N/A
A2
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
BB- (sf)
BB- (sf)
BB- (sf)
BB- (sf)
N/A
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
BB+ (sf)
BB+ (sf)
BB+ (sf)
BB+ (sf)
N/A
BB- (sf)
BB- (sf)
BB- (sf)
BB- (sf)
N/A
B (sf)
B (sf)
B (sf)
B (sf)
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Table 4
AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos AyT ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos AyT ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos AyT ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos Ayt ICO-FTVPO III Fondo de Titulizacion de Activos AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos Bancaja 10, Fondo de Titulizacion de Activos Bancaja 10, Fondo de Titulizacion de Activos N/A A(G) BB+ (sf) AA- (sf) BB+ (sf) AAA (sf)
N/A
BB+ (sf)
AA- (sf)
BB+ (sf)
AA (sf)
N/A
BB+ (sf)
BBB (sf)
BB+ (sf)
BBB (sf)
N/A
A(G)
BB+ (sf)
AA- (sf)
BB+ (sf)
AAA (sf)
N/A
BB+ (sf)
AA- (sf)
BB+ (sf)
AA+ (sf)
N/A
BB+ (sf)
A (sf)
BB+ (sf)
A (sf)
CAI CAJA RIOJA CAI CAJA RIOJA CAI CAJA RIOJA N/A
A(G) A(G) B B C C A
BBB (sf) A- (sf) BBB (sf) A- (sf) BBB (sf) A- (sf) AA- (sf)
AA- (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) A (sf) AA- (sf)
BBB (sf) A- (sf) BBB (sf) A- (sf) BBB (sf) A- (sf) AAA (sf)
AAA (sf) AAA (sf) AA (sf) AA (sf) A (sf) A (sf) AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
B- (sf)
B- (sf)
B- (sf)
B- (sf)
N/A N/A
A2 A3
AA- (sf) AA- (sf)
AA- (sf) AA- (sf)
AA (sf) AA (sf)
AA (sf) AA (sf)
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Table 4
Bancaja 10, Fondo de Titulizacion de Activos Bancaja 10, Fondo de Titulizacion de Activos Bancaja 10, Fondo de Titulizacion de Activos Bancaja 10, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 11, Fondo de Titulizacion de Activos Bancaja 5 Fondo de Titulizacion de Activos Bancaja 5 Fondo de Titulizacion de Activos Bancaja 5 Fondo de Titulizacion de Activos Bancaja 6 Fondo de Titulizacion de Activos Bancaja 6 Fondo de Titulizacion de Activos Bancaja 6 Fondo de Titulizacion de Activos Bancaja 7 Fondo de Titulizacion de Activos Bancaja 7 Fondo de Titulizacion de Activos Bancaja 7 Fondo de Titulizacion de Activos Bancaja 7 Fondo de Titulizacion de Activos Bancaja-BVA VPO 1, Fondo de Titulizacion de Activos Bankinter 10, Fondo de Titulizacion de Activos Bankinter 10, Fondo de Titulizacion de Activos Bankinter 10, Fondo de Titulizacion de Activos Bankinter 10, Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A B C D E A2 A3 B C D E A B C A2 B C A2 B C D A BBB- (sf) B+ (sf) CCC (sf) D (sf) A (sf) A (sf) BB (sf) B (sf) D (sf) D (sf) AA- (sf) AA- (sf) A- (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) AA- (sf) BBB (sf) BB (sf) A (sf) BBB- (sf) B+ (sf) CCC (sf) D (sf) A (sf) A (sf) BB (sf) B (sf) D (sf) D (sf) AA- (sf) AA- (sf) A- (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) AA- (sf) BBB (sf) BB (sf) A (sf) BBB- (sf) B+ (sf) CCC (sf) D (sf) A (sf) A (sf) BB (sf) B (sf) D (sf) D (sf) AAA (sf) AA- (sf) A- (sf) AAA (sf) AA (sf) A (sf) AAA (sf) AA- (sf) BBB (sf) BB (sf) A (sf) BBB- (sf) B+ (sf) CCC (sf) D (sf) A (sf) A (sf) BB (sf) B (sf) D (sf) D (sf) AAA (sf) AA- (sf) A- (sf) AAA (sf) AA (sf) A (sf) AAA (sf) AA- (sf) BBB (sf) BB (sf) A (sf)
N/A N/A N/A N/A
A2 B C D
AA- (sf) A (sf) BBB- (sf) BB- (sf)
AA- (sf) A (sf) BBB- (sf) BB- (sf)
AAA (sf) A (sf) BBB- (sf) BB- (sf)
AAA (sf) A (sf) BBB- (sf) BB- (sf)
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Table 4
Bankinter 10, Fondo de Titulizacion de Activos Bankinter 11, Fondo de Titulizacion de Activos Bankinter 11, Fondo de Titulizacion de Activos Bankinter 11, Fondo de Titulizacion de Activos Bankinter 11, Fondo de Titulizacion de Activos Bankinter 13, Fondo de Titulizacion de Activos Bankinter 13, Fondo de Titulizacion de Activos Bankinter 13, Fondo de Titulizacion de Activos Bankinter 13, Fondo de Titulizacion de Activos Bankinter 13, Fondo de Titulizacion de Activos Bankinter 3 Fondo de Titulizacion Hipotecaria Bankinter 3 Fondo de Titulizacion Hipotecaria Bankinter 3 Fondo de Titulizacion Hipotecaria Bankinter 4 Fondo de Titulizacion Hipotecaria Bankinter 4 Fondo de Titulizacion Hipotecaria Bankinter 4 Fondo de Titulizacion Hipotecaria Bankinter 5 Fondo de Titulizacion Hipotecaria Bankinter 5 Fondo de Titulizacion Hipotecaria Bankinter 5 Fondo de Titulizacion Hipotecaria Bankinter 6 Fondo de Titulizacion Hipotecaria Bankinter 6 Fondo de Titulizacion Hipotecaria Bankinter 6 Fondo de Titulizacion Hipotecaria Bankinter 8 Fondo de Titulizacion de Activos Bankinter 8 Fondo de Titulizacion de Activos Bankinter 8 Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A E A2 B C D A2 B C D E A B C A B C A B C A B C A B C CCC- (sf) AA- (sf) A (sf) BBB- (sf) BB- (sf) AA- (sf) A (sf) BBB (sf) BB- (sf) D (sf) AA- (sf) AA- (sf) BBB+ (sf) A+ (sf) BBB (sf) BB+ (sf) A+ (sf) A+ (sf) A (sf) AA- (sf) A+ (sf) A (sf) AA- (sf) A+ (sf) A- (sf) CCC- (sf) AA- (sf) A (sf) BBB- (sf) BB- (sf) AA- (sf) A (sf) BBB (sf) BB- (sf) D (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) BB+ (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) AA- (sf) A- (sf) CCC- (sf) AAA (sf) A (sf) BBB- (sf) BB- (sf) AAA (sf) A (sf) BBB (sf) BB- (sf) D (sf) AA+ (sf) AA+ (sf) BBB+ A+ (sf) BBB (sf) BB+ (sf) A+ (sf) A+ (sf) A (sf) AAA (sf) A+ (sf) A (sf) AAA (sf) A+ (sf) A- (sf) CCC- (sf) AAA (sf) A (sf) BBB- (sf) BB- (sf) AAA (sf) A (sf) BBB (sf) BB- (sf) D (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) BB+ (sf) AAA (sf) AA (sf) A (sf) AAA (sf) AA (sf) A (sf) AAA (sf) AA- (sf) A- (sf)
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Table 4
BBVA RMBS 2, Fondo de Titulizacion de Activos BBVA RMBS 2, Fondo de Titulizacion de Activos BBVA RMBS 2, Fondo de Titulizacion de Activos BBVA RMBS 2, Fondo de Titulizacion de Activos BBVA RMBS 2, Fondo de Titulizacion de Activos BBVA RMBS 5 Fondo de Titulizacion de Activos BBVA RMBS 5 Fondo de Titulizacion de Activos BBVA RMBS 5 Fondo de Titulizacion de Activos BBVA RMBS 9, Fondo de Titulizacion de Activos CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos castellana finance. ltd. castellana finance. ltd. castellana finance. ltd. castellana finance. ltd. castellana finance. ltd. Fondo de Titulizacion de Activos Santander Hipotecario 1 Fondo de Titulizacion de Activos Santander Hipotecario 1 Fondo de Titulizacion de Activos Santander Hipotecario 1 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A A2 A3 A4 B C A B C 0 A BBB+ (sf) BBB+ (sf) BBB+ (sf) BB (sf) B (sf) A- (sf) A- (sf) BBB (sf) A- (sf) AA- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BB (sf) B (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) AA- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BB (sf) B (sf) AAA (sf) A- (sf) BBB (sf) AAA (sf) AAA (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BB (sf) B (sf) AAA (sf) A- (sf) BBB (sf) AAA (sf) AAA (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BBB (sf)
BBB (sf)
BBB (sf)
BBB (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
N/A
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A N/A N/A N/A N/A N/A
A B1 B2 C1 C2 A
BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AA- (sf)
BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AA- (sf)
BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AAA (sf)
BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AAA (sf)
N/A
AA- (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
AA- (sf)
AA- (sf)
AA (sf)
AA (sf)
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Table 4
Fondo de Titulizacion de Activos Santander Hipotecario 1 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 2 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 3 Fondo de Titulizacion de Activos Santander Hipotecario 6 Fondo de Titulizacion de Activos Santander Hipotecario 6 Fondo de Titulizacion de Activos Santander Hipotecario 6 N/A D A- (sf) A- (sf) A- (sf) A- (sf)
N/A
A (sf)
A (sf)
A (sf)
A (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
B (sf)
B (sf)
B (sf)
B (sf)
N/A
B- (sf)
B- (sf)
B- (sf)
B- (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
D (sf)
D (sf)
D (sf)
D (sf)
N/A
A1
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
A2
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
A3
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
BBB+ (sf)
N/A
B- (sf)
B- (sf)
B- (sf)
B- (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
D (sf)
D (sf)
D (sf)
D (sf)
N/A
BBB(sf)
AA (sf)
BBB (sf)
AA (sf)
N/A
BBB(sf)
AA- (sf)
BBB (sf)
AA- (sf)
N/A
BBB(sf)
A (sf)
BBB (sf)
A (sf)
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Table 4
Fondo de Titulizacion de Activos Santander Hipotecario 6 Fondo de Titulizacion de Activos Santander Hipotecario 6 Fondo de Titulizacion de Activos Santander Hipotecario 6 Fondo de Titulizacion de Activos UCI 11 Fondo de Titulizacion de Activos UCI 11 Fondo de Titulizacion de Activos UCI 11 Fondo de Titulizacion de Activos UCI 14 Fondo de Titulizacion de Activos UCI 14 Fondo de Titulizacion de Activos UCI 14 Fondo de Titulizacion de Activos UCI 15 Fondo de Titulizacion de Activos UCI 15 Fondo de Titulizacion de Activos UCI 15 Fondo de Titulizacion de Activos UCI 16 Fondo de Titulizacion de Activos UCI 16 Fondo de Titulizacion de Activos UCI 16 Fondo de Titulizacion de Activos UCI 16 Fondo de Titulizacion de Activos UCI 16 Fondo de Titulizacion de Activos UCI 17 Fondo de Titulizacion de Activos UCI 17 Fondo de Titulizacion de Activos UCI 17 Fondo de Titulizacion de Activos UCI 17 Fondo de Titulizacion de Activos UCI 18 Fondo de Titulizacion de Activos UCI 18 Fondo de Titulizacion de Activos UCI 18 N/A D BBB(sf) BBB (sf) BBB (sf) BBB (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
D (sf)
D (sf)
D (sf)
D (sf)
N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A B C A B C A B C A2 B C D E A2 B C D A B C
AA- (sf) BBB (sf) BB (sf) A (sf) BB (sf) B- (sf) AA- (sf) B (sf) B- (sf) BBB (sf) B- (sf) B- (sf) CCC- (sf) D (sf) A+ (sf) B- (sf) D (sf) D (sf) BBB (sf) B (sf) B- (sf)
AA- (sf) BBB (sf) BB (sf) A (sf) BB (sf) B- (sf) AA- (sf) B (sf) B- (sf) BBB (sf) B- (sf) B- (sf) CCC- (sf) D (sf) A+ (sf) B- (sf) D (sf) D (sf) BBB (sf) B (sf) B- (sf)
AA (sf) BBB (sf) BB (sf) A (sf) BB (sf) B- (sf) AA (sf) B (sf) B- (sf) BBB (sf) B- (sf) B- (sf) CCC- (sf) D (sf) A+ (sf) B- (sf) D (sf) D (sf) BBB (sf) B (sf) B- (sf)
AA (sf) BBB (sf) BB (sf) A (sf) BB (sf) B- (sf) AA (sf) B (sf) B- (sf) BBB (sf) B- (sf) B- (sf) CCC- (sf) D (sf) A+ (sf) B- (sf) D (sf) D (sf) BBB (sf) B (sf) B- (sf)
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Table 4
Fondo de Titulizacion de Activos UCI 18 Fondo de Titulizacion de Activos UCI 7 Fondo de Titulizacion de Activos UCI 7 Fondo de Titulizacion de Activos UCI 8 Fondo de Titulizacion de Activos UCI 8 Fondo de Titulizacion de Activos UCI 9 Fondo de Titulizacion de Activos UCI 9 Fondo de Titulizacion de Activos UCI 9 Fondo de Titulizacion de Activos, Hipotebansa 11 Fondo de Titulizacion de Activos, Hipotebansa 11 Fondo de Titulizacion de Activos, Hipotebansa X Fondo de Titulizacion de Activos, Hipotebansa X Fondo de Titulizacion Hipotecaria UCI 10 Fondo de Titulizacion Hipotecaria UCI 10 Fondo de Titulizacion Hipotecaria UCI 12 Fondo de Titulizacion Hipotecaria UCI 12 Fondo de Titulizacion Hipotecaria UCI 12 GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos GC SABADELL 1, Fondo de Titulizacion Hipotecario GC SABADELL 1, Fondo de Titulizacion Hipotecario N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A D A B A B A B C A B A B A B A B C A2 D (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) BB- (sf) AA- (sf) BB+ (sf) AA- (sf) BB (sf) AA- (sf) A- (sf) BB (sf) BBB+ (sf) D (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) AA- (sf) BB- (sf) AA- (sf) BB+ (sf) AA- (sf) BB (sf) AA- (sf) A- (sf) BB (sf) BBB+ (sf) D (sf) AAA (sf) AA (sf) AAA (sf) AA (sf) AAA (sf) AA (sf) A (sf) AAA (sf) BB- (sf) AAA (sf) BB+ (sf) AA (sf) BB (sf) AA (sf) A- (sf) BB (sf) BBB+ (sf) D (sf) AAA (sf) AA (sf) AAA (sf) AA (sf) AAA (sf) AA (sf) A (sf) AAA (sf) BB- (sf) AAA (sf) BB+ (sf) AA (sf) BB (sf) AA (sf) A- (sf) BB (sf) BBB+ (sf)
N/A
BB- (sf)
BB- (sf)
BB- (sf)
BB- (sf)
N/A
CCC (sf)
CCC (sf)
CCC (sf)
CCC (sf)
N/A
D (sf)
D (sf)
D (sf)
D (sf)
N/A
A2
BBB- (sf)
A- (sf)
BBB- (sf)
A- (sf)
N/A
BB (sf)
A- (sf)
BB (sf)
A- (sf)
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Table 4
GC SABADELL 1, Fondo de Titulizacion Hipotecario Hipocat 10, Fondo de Titulizacion de Activos Hipocat 10, Fondo de Titulizacion de Activos Hipocat 10, Fondo de Titulizacion de Activos Hipocat 10, Fondo de Titulizacion de Activos Hipocat 10, Fondo de Titulizacion de Activos Hipocat 11, Fondo de Titulizacion de Activos Hipocat 11, Fondo de Titulizacion de Activos Hipocat 11, Fondo de Titulizacion de Activos Hipocat 11, Fondo de Titulizacion de Activos Hipocat 11, Fondo de Titulizacion de Activos Hipocat 7, Fondo de Titulizacion de Activos Hipocat 7, Fondo de Titulizacion de Activos Hipocat 7, Fondo de Titulizacion de Activos Hipocat 7, Fondo de Titulizacion de Activos Hipocat 8, Fondo de Titulizacion de Activos Hipocat 8, Fondo de Titulizacion de Activos Hipocat 8, Fondo de Titulizacion de Activos Hipocat 8, Fondo de Titulizacion de Activos Hipocat 9, Fondo de Titulizacion de Activos Hipocat 9, Fondo de Titulizacion de Activos Hipocat 9, Fondo de Titulizacion de Activos Hipocat 9, Fondo de Titulizacion de Activos Hipocat 9, Fondo de Titulizacion de Activos N/A C BB (sf) BB (sf) BB (sf) BB (sf)
N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A2 A3 B C D A2 A3 B C D A2 B C D A2 B C D A2a A2b B C D
BB+ (sf) BB+ (sf) CCC- (sf) D (sf) D (sf) B (sf) B (sf) D (sf) D (sf) D (sf) BBB+ (sf) BBB- (sf) BB+ (sf) BB (sf) A (sf) BBB- (sf) BB+ (sf) B (sf) BBB (sf) BBB (sf) BB+ (sf) BB- (sf) B- (sf)
BBB (sf) BBB (sf) CCC- (sf) D (sf) D (sf) B (sf) B (sf) D (sf) D (sf) D (sf) AA- (sf) A+ (sf) A- (sf) BB (sf) AA (sf) AA- (sf) BBB- (sf) B (sf) A+ (sf) A+ (sf) BBB- (sf) BB- (sf) B- (sf)
BB+ (sf) BB+ (sf) CCC- (sf) D (sf) D (sf) B (sf) B (sf) D (sf) D (sf) D (sf) BBB+ (sf) BBB- (sf) BB+ (sf) BB (sf) A (sf) BBB- (sf) BB+ (sf) B (sf) BBB (sf) BBB (sf) BB+ (sf) BB- (sf) B- (sf)
BBB (sf) BBB (sf) CCC- (sf) D (sf) D (sf) B (sf) B (sf) D (sf) D (sf) D (sf) AA- (sf) A+ (sf) A- (sf) BB (sf) AA (sf) AA- (sf) BBB- (sf) B (sf) A+ (sf) A+ (sf) BBB- (sf) BB- (sf) B- (sf)
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Table 4
IM Banco Popular MBS 2, Fondo de Titulizacion de Activos IM Banco Popular MBS 2, Fondo de Titulizacion de Activos IM PASTOR 2, Fondo de Titulizacion Hipotecaria IM PASTOR 2, Fondo de Titulizacion Hipotecaria IM PASTOR 2, Fondo de Titulizacion Hipotecaria IM PASTOR 2, Fondo de Titulizacion Hipotecaria IM PASTOR 3, Fondo de Titulizacion Hipotecaria IM PASTOR 3, Fondo de Titulizacion Hipotecaria IM PASTOR 3, Fondo de Titulizacion Hipotecaria IM PASTOR 3, Fondo de Titulizacion Hipotecaria IM PASTOR 4, Fondo de Titulizacion de Activos IM PASTOR 4, Fondo de Titulizacion de Activos IM PASTOR 4, Fondo de Titulizacion de Activos IM PASTOR 4, Fondo de Titulizacion de Activos IM Sabadell RMBS 2, Fondo de Titulizacion de Activos IM Sabadell RMBS 2, Fondo de Titulizacion de Activos IM Sabadell RMBS 2, Fondo de Titulizacion de Activos IM UNNIM RMBS 1, Fondo de Titulizacion de Activos MADRID ICO-FTVPO I, Fondo de Titulizacion de Activos MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos MADRID Residencial II, Fondo de Titulizacion de Activos N/A A A-(sf) AA- (sf) A-(sf) AAA (sf)
N/A
BB (sf)
A (sf)
BB (sf)
A (sf)
N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A B C D A B C D A B C D A
AA-(sf) A- (sf) BB+ (sf) BB+ (sf) B+ (sf) B- (sf) B- (sf) CCC (sf) B+ (sf) B- (sf) B- (sf) CCC- (sf) A- (sf)
AA- (sf) AA- (sf) A- (sf) BBB (sf) B+ (sf) B- (sf) B- (sf) CCC (sf) B+ (sf) B- (sf) B- (sf) CCC- (sf) A- (sf)
AA- (sf) A- (sf) BB+ (sf) BB+ (sf) B+ (sf) B- (sf) B- (sf) CCC (sf) B+ (sf) B- (sf) B- (sf) CCC- (sf) A- (sf)
AAA (sf) AA (sf) A- (sf) BBB (sf) B+ (sf) B- (sf) B- (sf) CCC (sf) B+ (sf) B- (sf) B- (sf) CCC- (sf) A- (sf)
N/A
BB (sf)
A- (sf)
BB (sf)
A- (sf)
N/A
BB (sf)
BB+ (sf)
BB (sf)
BB+ (sf)
N/A
NR
NR
NR
NR
N/A
A (G)
A (sf)
AA- (sf)
A (sf)
AAA (sf)
N/A
A (sf)
AA- (sf)
AAA (sf)
AAA (sf)
N/A
A (sf)
AA- (sf)
A (sf)
AA (sf)
JUNE 17, 2013 36

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Table 4
MADRID RMBS I, Fondo de Titulizacion de Activos MADRID RMBS I, Fondo de Titulizacion de Activos MADRID RMBS I, Fondo de Titulizacion de Activos MADRID RMBS I, Fondo de Titulizacion de Activos MADRID RMBS I, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS II, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS III, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MADRID RMBS IV, Fondo de Titulizacion de Activos MBS Bancaja 6 Fondo de Titulizacion de Activos SOL-LION, Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A A2 B C D E A2 A3 B C D E A2 A3 B C D E A1 A2 B C D E A A A- (sf) BB- (sf) B- (sf) CCC+ (sf) CCC- (sf) A+ (sf) A+ (sf) BB- (sf) B- (sf) CCC+ (sf) D (sf) A- (sf) A- (sf) CCC+ (sf) D (sf) D (sf) D (sf) A (sf) A (sf) A (sf) BB+ (sf) B+ (sf) B- (sf) A (sf) AA- (sf) A- (sf) BB- (sf) B- (sf) CCC+ (SF) CCC- (sf) A+ (sf) A+ (sf) BB- (sf) B- (sf) CCC+ (sf) D (sf) A- (sf) A- (sf) CCC+ (sf) D (sf) D (sf) D (sf) AA- (sf) AA- (sf) A (sf) BB+ (sf) B+ (sf) B- (sf) A (sf) AA- (sf) A- (sf) BB- (sf) B- (sf) CCC+ (SF) CCC- (sf) A+ (sf) A+ (sf) BB- (sf) B- (sf) CCC+ (sf) D (sf) A- (sf) A- (sf) CCC+ (sf) D (sf) D (sf) D (sf) A (sf) A (sf) A (sf) BB+ (sf) B+ (sf) B- (sf) A (sf) AAA (sf) A- (sf) BB- (sf) B- (sf) CCC+ (SF) CCC- (sf) A+ (sf) A+ (sf) BB- (sf) B- (sf) CCC+ (sf) D (sf) A- (sf) A- (sf) CCC+ (sf) D (sf) D (sf) D (sf) AA (sf) AA (sf) A (sf) BB+ (sf) B+ (sf) B- (sf) A (sf) AAA (sf)
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Table 4
SOL-LION, Fondo de Titulizacion de Activos SOL-LION, Fondo de Titulizacion de Activos TDA 31, Fondo de Titulizacin de Activos TDA 31, Fondo de Titulizacin de Activos TDA 31, Fondo de Titulizacin de Activos TDA Cajamar 2, Fondo de Titulizacion de Activos TDA Cajamar 2, Fondo de Titulizacion de Activos TDA Cajamar 2, Fondo de Titulizacion de Activos TDA Cajamar 2, Fondo de Titulizacion de Activos TDA Cajamar 2, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 10, Fondo de Titulizacion de Activos TDA CAM 7, Fondo de Titulizacion de Activos TDA CAM 7, Fondo de Titulizacion de Activos TDA CAM 7, Fondo de Titulizacion de Activos TDA CAM 8, Fondo de Titulizacion de Activos TDA CAM 8, Fondo de Titulizacion de Activos TDA CAM 8, Fondo de Titulizacion de Activos TDA CAM 8, Fondo de Titulizacion de Activos TDA CAM 9, Fondo de Titulizacion de Activos TDA CAM 9, Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A B C A B C A2 A3 B C D A2 A3 A4 B C D A2 A3 B A B C D A1 A2 A (sf) A- (sf) AA- (sf) BBB (sf) BB- (sf) AA- (sf) A (sf) A (sf) A- (sf) BBB- (sf) AA- (sf) AA- (sf) AA- (sf) B- (sf) D (sf) D (sf) AA- (sf) AA- (sf) CCC (sf) AA- (sf) CCC (sf) D (sf) D (sf) AA- (sf) AA- (sf) A (sf) A- (sf) AA- (sf) BBB (sf) BB- (sf) AA- (sf) AA- (sf) AA- (sf) A- (sf) BBB- (sf) AA- (sf) AA- (sf) AA- (sf) B- (sf) D (sf) D (sf) AA- (sf) AA- (sf) CCC (sf) AA- (sf) CCC (sf) D (sf) D (sf) AA- (sf) AA- (sf) A (sf) A- (sf) AA (sf) BBB (sf) BB- (sf) AAA (sf) A (sf) A (sf) A- (sf) BBB- (sf) AA- (sf) AA- (sf) AA- (sf) B- (sf) D (sf) D (sf) AAA (sf) AAA (sf) CCC (sf) AA- (sf) CCC (sf) D (sf) D (sf) AA- (sf) AA- (sf) A (sf) A- (sf) AAA (sf) BBB (sf) BB- (sf) AAA (sf) AAA (sf) AA (sf) A- (sf) BBB- (sf) AA- (sf) AA- (sf) AA- (sf) B- (sf) D (sf) D (sf) AAA (sf) AAA (sf) CCC (sf) AA- (sf) CCC (sf) D (sf) D (sf) AA- (sf) AA- (sf)
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Table 4
TDA CAM 9, Fondo de Titulizacion de Activos TDA CAM 9, Fondo de Titulizacion de Activos TDA CAM 9, Fondo de Titulizacion de Activos TDA CAM 9, Fondo de Titulizacion de Activos TDA Ibercaja 1 Fondo de Titulizacion de Activos TDA Ibercaja 1 Fondo de Titulizacion de Activos TDA Ibercaja 1 Fondo de Titulizacion de Activos TDA Ibercaja 1 Fondo de Titulizacion de Activos TDA Ibercaja 2 Fondo de Titulizacion de Activos TDA Ibercaja 2 Fondo de Titulizacion de Activos TDA Ibercaja 2 Fondo de Titulizacion de Activos TDA Ibercaja 2 Fondo de Titulizacion de Activos TDA Ibercaja 3 Fondo de Titulizacion de Activos TDA Ibercaja 3 Fondo de Titulizacion de Activos TDA Ibercaja 3 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 4 Fondo de Titulizacion de Activos TDA Ibercaja 5, Fondo de Titulizacion de Activos TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A A3 B C D A B C D A B C D A B C A1 A2 A3PAC B C D E F A1 A2 AA- (sf) D (sf) D (sf) D (sf) AA- (sf) A+ (sf) BBB+ (sf) BB+ (sf) AA- (sf) A (sf) BBB (sf) BB (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) BBB (sf) BB (sf) D (sf) AA- (sf) AA- (sf) AA- (sf) D (sf) D (sf) D (sf) AA- (sf) A+ (sf) BBB+ (sf) BB+ (sf) AA- (sf) A (sf) BBB (sf) BB (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA (sf) BBB (sf) BB (sf) D (sf) AA- (sf) AA- (sf) AA- (sf) D (sf) D (sf) D (sf) AAA (sf) A+ (sf) BBB+ (sf) BB+ (sf) AA- (sf) A (sf) BBB (sf) BB (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) BBB (sf) BB (sf) D (sf) AA- (sf) AA- (sf) AA- (sf) D (sf) D (sf) D (sf) AAA (sf) A+ (sf) BBB+ (sf) BB+ (sf) AA- (sf) A (sf) BBB (sf) BB (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) AA- (sf) AA- (sf) AA- (sf) AA (sf) BBB (sf) BB (sf) D (sf) AA- (sf) AA- (sf)
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Table 4
TDA Ibercaja 5, Fondo de Titulizacion de Activos TDA Ibercaja 5, Fondo de Titulizacion de Activos TDA Ibercaja 5, Fondo de Titulizacion de Activos TDA Ibercaja 5, Fondo de Titulizacion de Activos TDA Ibercaja 6, Fondo de Titulizacion de Activos TDA Ibercaja 6, Fondo de Titulizacion de Activos TDA Ibercaja 6, Fondo de Titulizacion de Activos TDA Ibercaja 6, Fondo de Titulizacion de Activos TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria TDA Tarragona 1 Fondo de Titulizacion de Activos TDA Tarragona 1 Fondo de Titulizacion de Activos N/A N/A N/A N/A N/A N/A N/A N/A N/A B C D E A B C D A A (sf) BBB- (sf) BB (sf) D (sf) BBB (sf) BBB (sf) BBB- (sf) BB- (sf) BBB (sf) A (sf) BBB- (sf) BB (sf) D (sf) AA- (sf) A- (sf) BBB- (sf) BB- (sf) AA- (sf) A (sf) BBB- (sf) BB (sf) D (sf) BBB (sf) BBB (sf) BBB- (sf) BB- (sf) BBB (sf) A (sf) BBB- (sf) BB (sf) D (sf) AA (sf) A- (sf) BBB- (sf) BB- (sf) AAA (sf)
N/A
BB (sf)
BB (sf)
BB (sf)
BB (sf)
N/A
CCC- (sf)
CCC- (sf)
CCC- (sf)
CCC- (sf)
N/A
A(G)
A-
AA- (sf)
A- (sf)
AA (sf)
N/A
D (sf)
D (sf)
D (sf)
D (sf)
N/A N/A
A B
BB+ (sf) BB+ (sf)
AA- (sf) A (sf)
BB+ (sf) BB+ (sf)
AA+ (sf) A (sf)
N/A--Not applicable. NR--Not rated.
Related Criteria And Research

Spain's New Mortgage Laws And Bank Guidelines Could Push Up RMBS Losses But Improve Transparency, June 11, 2013 Europe Continues To Be The Achilles' Heel For Global Credit Conditions, May 13, 2013 Recession Keeps House Prices In The Dumps In Most European Markets, May 7, 2013 Entrenched In Recession, Europe Seeks A Balance Between Deleveraging And Growth, March 26, 2013 Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012 How Our Downgrade Of Spain Could Affect Spanish Issuers And Structured Finance Issues, April 26, 2012
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Scenario Analysis: Whats Driving Spanish Mortgage Arrears?, April 13, 2012 How Spains New Best Practices For Mortgage Lenders Could Affect RMBS Credit Quality, March 22, 2012 Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011 Principles Of Credit Ratings, Feb. 16, 2011 Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009 Update To The Criteria For Rating Spanish Residential Mortgage-Backed Securities, Jan. 6, 2009 Methodology Behind European RMBS Indices, Nov. 8, 2004
Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com
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Spanish RMBS Index Report Q1 2013: Severe Delinquencies Reach An All-Time High, Yet Vary Widely Among Servicers

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Spanish RMBS Index Report Q1 2013: Severe Delinquencies Reach An All-Time High, Yet Vary Widely Among Servicers

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STRUCTURED FINANCE RESEARCH

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Performance Indicators (%)

*Year-on-year. Source: Eurostat. Quarter-on-quarter, seasonally-adjusted. Three-month average. N.A.--Not available.

2012-2013 Scenarios For Spanish RMBS Collateral

Downside 2013 (2.2) 2014 (0.7)

Actual 2012 (1.4)

Somewhat unfavorable Unfavorable

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Focus On Index Composition

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Spanish RMBS Transactions Included In Index

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Spanish RMBS Transactions Included In Index (cont.)

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Spanish RMBS Transactions Included In Index (cont.)

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Spanish RMBS Transactions Included In Index (cont.)

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Spanish RMBS Transactions Included In Index (cont.)

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Spanish RMBS Transactions Included In Index (cont.)

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Spanish RMBS Transactions Included In Index (cont.)

RMBS--Residential mortgage-backed securities.

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Series N/A N/A N/A

Current rating A (sf) A (sf) A+ (sf)

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AA- (sf) AA- (sf)

AA- (sf) AA- (sf)

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N/A N/A N/A N/A

AA- (sf) A (sf) BBB- (sf) BB- (sf)

AA- (sf) A (sf) BBB- (sf) BB- (sf)

AAA (sf) A (sf) BBB- (sf) BB- (sf)

AAA (sf) A (sf) BBB- (sf) BB- (sf)

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N/A N/A N/A N/A N/A N/A

BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AA- (sf)

BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AA- (sf)

BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AAA (sf)

BBB (sf) BB+ (sf) BB (sf) B+ (sf) B- (sf) AAA (sf)

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