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Fitch Ratings-London/Madrid-18 June 2010: Fitch Ratings has today upgraded four and affirmed 25 tranches of AyT Genova Hipotecario, Fondo de Titulizacion Hipotecario (Genova) series and AyT Goya Hipotecario II, Fondo de Titulizacion de Activos (AyT Goya), Spanish RMBS transactions originated by Barclays Bank SA. The agency has revised its Outlook on Genova XII's class B notes to Negative from Stable due to limited credit enhancement growth, and an expected further deterioration in the performance of the underlying collateral. A full rating breakdown is provided at the end of this comment. The performance of the Genova series transactions has remained strong and continues to outperform most other Spanish RMBS transactions. Fitch believes the low weighted average loan to value ratios (LTV), in the range of 40%-50%, have contributed to the low level of arrears and defaults seen in the transactions. The low and steady flow of defaults has also meant that the transactions have been able to efficiently utilise excess spread to provision for defaults (loans in arrears for more than 18 months). Although some transactions within the series have utilised their reserve funds, in particular the most recent deals Genova X and Genova XII, due to increased period defaults, Fitch expects these transactions will be able to top up their reserve funds in the future, or at worst see minimal further draws. With the exception of Genova III, all Genova transactions are currently amortising sequentially. The sequential amortisation has resulted in credit enhancement growth within the transactions, which further supports the rating actions taken by Fitch today. In the near future, the agency expects performance criteria for pro-rata amortisation on older vintage transactions to be met. This will limit the potential for further positive rating action, and has been reflected in the revision of some Outlooks to Stable from Positive. Genova XII, a 2008 vintage transaction, has experienced slow credit enhancement growth and unlike earlier transactions, the excess spread generated by the transaction has been limited. With the current volume of loans in higher arrears buckets, Fitch expects defaults to continue to be realised, placing continued stress on excess spread and possibly resulting in a further utilisation of the reserve fund. Fitch notes that although the reserve fund is being utilised to provision defaulted loans, future recoveries will help the transaction to top up its reserve fund back to its target amount.In Genova III and IV, the revision of the class B notes' Outlook to Stable from Positive is due to the fact that the credit enhancement is provided solely by the reserve fund deposited in the account bank, Barclays ('AA-/F1+'Stable Outlook). As per Fitch's counterparty criteria, the agency would not upgrade junior notes beyond the rating of the counterparty where the majority of subordination is provided by a reserve fund held with one entity. The AyT Goya transaction, although also containing loans originated by Barclays, has a riskier profile in Fitch's opinion. The transaction has a weighted average LTV of 51.58%, but notably includes 16.31% of loans with an original loan to value (OLTV) over 80%. The transaction also contained 10% of broker originated-loans at closing. Fitch increased the default probability of these loans as part of its original analysis of the transaction and has maintained this in its review as evidence from the Spanish market as a whole supports this view. The sequential amortisation of the notes in AyT Goya has allowed a build up in credit enhancement since closing. During the last two quarters (February 2010 and May 2010), the gross excess spread generated by the underlying assets was not enough to cover newly defaulted loans and therefore the transaction had to draw on its reserve fund to provision for these loans. Despite this, the sequential amortisation has meant that credit enhancement, as a percentage of each note, has still increased. Fitch expects that further reserve fund draws are likely due to the volume of loans in higher arrears buckets that will likely roll-through to default. Fitch calculates that to date nearly all loans more than 12 months in arrears have eventually rolled through to 18 months in arrears and been defined as defaulted. The rating actions are as follows: AyT Genova Hipotecario III, Fondo de Titulizacion Hipotecario: Class A (ISIN ES0370143002): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0370143010): affirmed at 'AA-'; Outlook revised to Stable from Positive; assigned a Loss Severity rating of 'LS-1' AyT Genova Hipotecario IV, Fondo de Titulizacion Hipotecario: Class A (ISIN ES0370150007): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0370150015): affirmed at 'AA-'; Outlook revised to Stable from Positive; assigned a Loss Severity rating of 'LS-1' AyT Genova Hipotecario VI, Fondo de Titulizacion Hipotecario:Class A2 (ISIN ES0312349014): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312349022): affirmed at 'AA+'; Outlook revised to Stable from Positive; assigned a Loss Severity rating of 'LS-2'Class C (ISIN ES0312349030): upgraded to 'A' from 'A-'; Outlook Stable; assigned a Loss Severity rating of 'LS-2'Class D (ISIN ES0312349048): upgraded to 'BBB' from 'BB+'; Outlook Stable; assigned a Loss Severity rating of 'LS-2' AyT Genova Hipotecario VII, Fondo de Titulizacion Hipotecario: Class A2 (ISIN ES0312343017): affirmed at 'AAA'; Outlooks Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312343025): upgraded to 'AA-' from 'A+'; Outlook Stable; assigned a Loss Severity rating of 'LS-2'Class C (ISIN ES0312343033): affirmed at 'A-'; Outlook revised to Stable from Positive; assigned a Loss Severity rating of 'LS-2' AyT Genova Hipotecario VIII, Fondo de Titulizacion Hipotecario: Class A2 (ISIN ES0312344007): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312344023): affirmed at 'AA'; Outlook Stable; assigned a Loss Severity rating of 'LS-2'Class C (ISIN ES0312344031): upgraded to 'A' from 'BBB+'; Outlook Stable; assigned a Loss Severity rating of 'LS-2'Class D (ISIN ES0312344049): affirmed at 'BB+'; Outlook Stable; assigned a Loss Severity rating of 'LS-2' AyT Genova Hipotecario IX, Fondo de Titulizacion Hipotecario: Class A2 (ISIN ES0312300017): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312300025): affirmed at 'AA-'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class C (ISIN ES0312300033): affirmed at 'BBB+'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class D (ISIN ES0312300041): affirmed at 'BB'; Outlook Stable; assigned a Loss Severity rating of 'LS-3' AyT Genova Hipotecario X, Fondo de Titulizacion Hipotecario: Class A2 (ISIN ES0312301015): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312301023): affirmed at 'AA-'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class C (ISIN ES0312301031): affirmed at 'BBB'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class D (ISIN ES0312301049): affirmed at 'BB'; Outlook Stable; assigned a Loss Severity rating of 'LS-3' AyT Genova Hipotecario XII, Fondo de Titulizacion Hipotecario: Class A (ISIN ES0312285002): affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312285010): affirmed at 'A'; Outlook revised to Negative from Stable; assigned a Loss Severity rating of 'LS-2' AyT Goya Hipotecario II, Fondo de Titulizacion de Activos:Class A (ISIN ES0312303003) affirmed at 'AAA'; Outlook Stable; assigned a Loss Severity rating of 'LS-1'Class B (ISIN ES0312303011) affirmed at 'A'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class C (ISIN ES0312303029) affirmed at 'BBB'; Outlook Stable; assigned a Loss Severity rating of 'LS-3'Class D (ISIN ES0312303037) affirmed at 'BB'; Outlook Stable; assigned a Loss Severity rating of 'LS-5' Applicable criteria available at www.fitchratings.com: 'EMEA Residential Mortgage Loss Criteria Addendum - Spain,' dated 23 February 2010.Further commentary and performance data on the transaction are also available at www.fitchratings.com. Contact: Aksel Etingu, London, Tel: +44 (0) 20 7682 7135; Mirella Tinti, +44 (0) 20 7682 7244; Carlos Masip, Madrid, Tel: +34 91 702 5773. Media Relations: Julian Dennison, London, Tel: +44 020 7682 7480, Email: [email protected]. Additional information is available at www.fitchratings.com. Related Research: EMEA Residential Mortgage Loss Criteria Addendum - Spainhttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=500764 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. (END) Dow Jones Newswires June 18, 2010 12:07 ET (16:07 GMT)