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���������ֳ�-London-03 October 2013: ���������ֳ� has affirmed 23 tranches and downgraded three tranches of the Bancaja transactions (Bancaja 3, 4, 5, 6, 7, 8, 9 and 13) a series of Spanish RMBS transactions. Most of the transactions closed between 2002 and 2006, whilst Bancaja 13 closed in 2009. A full list of rating actions is available at or by clicking on the link above.

KEY RATING DRIVERS
Divergence In Asset Performance Across Deals
The earlier Bancaja deals (Bancaja 3-7), comprise highly seasoned, low weighted average current loan-to-value ratio mortgages. Despite the difficult macroeconomic environment, the performance of these deals has remained stable. This is highlighted by the comparatively low three months+ arrears levels, which range between 1.1 % (Bancaja 6) and 1.86% (Bancaja 7).

The later deals, Bancaja 8, 9 and 13, have not performed as well. The weaker performance of the underlying portfolios can be attributed to the more adverse loan characteristics (eg a higher proportion of temporary or self-employed borrowers). A comparison of three months+ arrears of these deals with transactions of the same vintage shows that Bancaja 8, 9 and 13 are among the worst performers. The weaker performance is further evidenced by reserve fund draws caused by high volumes of defaults that are being provisioned for. The level of defaults combined with reserve fund draws have triggered a downgrade of the class B, C and D notes, as the level of credit enhancement available to these tranches is insufficient to withstand the respective rating stresses. ���������ֳ� also notes that the insufficient revenue has led to interest deferral on the uncollateralised class E notes of in Bancaja 9, which has been on-going since June 2008 and is expected to continue in the upcoming payment dates, given the pipeline of late stage arrears.

Pro Rata Amortisation
The good performance of the underlying assets has resulted in the continued pro rata amortisation of Bancaja 3's class A and B notes, as well as the full structure of Bancaja 5. This is expected to continue on the upcoming payment dates. A breach in an arrears trigger in Bancaja 6 has led to a switch to sequential amortisation of the class C notes, while the rest of the structure continues to pay pro rata. The rest of the deals in the series continue to pay down sequentially as a result of arrears being in excess of the trigger levels.

RATING SENSITIVITIES
Deterioration in asset performance may result from either economic factors, in particular the increasing effect of unemployment or the implementation of more stringent criteria for recognition of delinquent and defaulted borrowers, as is the case for some of the banks that have recently been subject to state intervention. A corresponding increase in new defaults and associated pressure on excess spread levels and reserve funds could result in negative rating action, particularly at the lower end of the capital structures.

Sovereign Downgrades
A decline in the creditworthiness of the Spanish sovereign would have affect the ratings of the notes subject to the sovereign cap which is currently 'AA-sf'.

Contacts:
Lead Surveillance Analyst
James Donovan
Analyst
+44 20 3530 1672
���������ֳ� Limited
30 North Colonnade
London E14 5GN

Committee Chairperson
Gregg Kohansky
Managing Director
+44 20 3530 1376

Media Relations: Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.

Additional information is available on .

In addition to those mentioned in the applicable criteria, the sources of information used to assess these ratings were investor reports and pool tapes.

Applicable criteria: 'Global Structured Finance Rating Criteria', dated 24 May 2013, 'EMEA Residential Mortgage Loss Criteria', dated 6 June 2013, and 'EMEA Criteria Addendum - Spain - Mortgage and Cashflow Assumptions', dated 20 March 2013, are available at .

Applicable Criteria and Related Research:




Additional Disclosure