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Spanish RMBS Index Report Q1 2014: collateral performance continues to deteriorate despite signs of economic recovery. The unemployment rate looks set to decline, but only slowly Improving export performance could help stop economic contraction in 2014 Neutral Unemployment rate (annual average; %) 26. 25. 24. 28. 28.
Spanish RMBS Index Report Q1 2014: collateral performance continues to deteriorate despite signs of economic recovery. The unemployment rate looks set to decline, but only slowly Improving export performance could help stop economic contraction in 2014 Neutral Unemployment rate (annual average; %) 26. 25. 24. 28. 28.
Spanish RMBS Index Report Q1 2014: collateral performance continues to deteriorate despite signs of economic recovery. The unemployment rate looks set to decline, but only slowly Improving export performance could help stop economic contraction in 2014 Neutral Unemployment rate (annual average; %) 26. 25. 24. 28. 28.
Deteriorate Despite Signs Of Economic Recovery Primary Credit Analyst: Soledad Martinez-Tercero, Madrid (34) 91-389-6954; soledad.martinez-tercero@standardandpoors.com Secondary Contact: Virginie Couchet, Madrid (34) 91-389-6959; virginie.couchet@standardandpoors.com Research Contributor: Sridevi R Sekar, Mumbai (91) 22-4040-2945; sridevi.sekar@standardandpoors.com Table Of Contents Related Criteria And Research STRUCTURED FINANCE RESEARCH WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 1 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 1 Performance Indicators (%) Q1 2014 Q4 2013 Q3 2013 Q2 2013 Q1 2013 Q4 2012 Indices Total delinquencies 8.07 7.90 7.76 7.73 7.43 7.29 Severe delinquencies (including repossessions) 6.17 6.05 5.82 5.57 5.16 4.89 Prepayment rate 3.49 3.54 3.51 3.80 4.01 3.89 House price growth* Ministerio de Vivienda (3.75) (4.20) (4.49) (6.45) (8.06) (10.02) Instituto Nacional de Estadistica N.A. (7.80) (7.90) (12.00) (14.30) (12.80) Economic Real GDP growth 0.40 0.20 0.10 (0.10) (0.40) (1.90) Unemployment rate 25.4 25.80 26.10 26.30 27.16 26.1 *Year-on-year. Source: Eurostat. Quarter-on-quarter, seasonally-adjusted. Three-month average. N.A.--Not available. Table 2 Scenarios For Spanish RMBS Collateral: 2014 And 2015 Actual Baseline Downside Comment Baseline effect on collateral credit quality 2013 2014 2015 2014 2015 Real GDP (year-on-year growth; %) (1.2) 0.8 1.4 0.1 (0.2) Improving export performance could help stop economic contraction in 2014 Neutral Unemployment rate (annual average; %) 26.4 25.7 24.5 28.5 28.0 The unemployment rate looks set to decline, but only slowly Somewhat unfavorable House prices (year-on-year growth; %) (4.6) (2.0) 0.0 N.A. N.A. Still few signs of improvement as the excess supply of dwellings remains a negative factor Unfavorable Net mortgage lending (year-on-year growth in balances, %) (4.3) (0.7) 0.3 N.A. N.A. Household deleveraging looks set to continue Somewhat unfavorable ECB policy rate (end of year; %) 0.25 0.15 0.15 N.A. N.A. We expect the ECB could adopt unconventional monetary measures later in the year, given deflation risks Neutral Sources: Eurostat, OECD, Banco d'Espana, Standard & Poor's. N/A--Not available. In the first quarter of 2014, severe delinquencies in the Spanish residential mortgage-backed securities (RMBS) transactions that Standard & Poor's Ratings Services rates continued to increase, albeit more slowly, for the third consecutive quarter. Although Eurostat's macroeconomic indicators suggest signs of an economic recovery, persistently high delinquencies lead us to believe that the Spanish RMBS market could potentially stagnate in 2014. We anticipate that continued high unemployment and low household income ratios will constrain any potential WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 2 1329607 | 301112013 improvement in the transactions' collateral performance in the short term. Severe delinquencies of more than 90 days reached 6.17% in Q1 2014, up from Q4 2013's previous peak of 6.05%, and up by almost 19.6% year-on-year. Quarterly, this ratio increased by 1.98% between Q4 2013 and Q1 2014, compared with 3.95% between Q3 and Q4 2014, 4.49% between Q2 and Q3 2014, and 7.95% between Q1 and Q2 2014. Despite a lower quarterly increase, we still think that this results mainly from our index composition and is not a sign of clear improving collateral performance. Overview Severe delinquencies in our Spanish RMBS index rose for the third consecutive quarter in Q1 2014. We continue to forecast further credit quality deterioration due to difficult economic conditions. House prices are starting to moderate, but the market's recovery is not yet on solid ground, in our view. Our rating actions in Q1 2014 were mainly due to worsening collateral performance and note defaults. Despite decreasing unemployment over the past four quarters and GDP growth picking up for the third consecutive quarter in Q1 2014 (according to the Spanish National Statistics Institute [INE]), we continue to forecast further credit quality deterioration due to persistently difficult macroeconomic conditions. According to the Bank of Spain, nonperforming loans in the Spanish RMBS market increased 43% quarter-on-quarter to 5.8% in Q1 2014, in line with the 48% experienced from Q3 2012 to Q4 2013, mainly due to the reclassification of forbearance arrangements. However, as we highlighted in our previous report, forbearance measures have generally had a limited impact on the collateral performance of securitizations in our index because of the eligibility criteria established in the transactions' documentation, which limit loan modifications relating to amortization, maturity, and mortgage conditions. Consequently, the 24% increase in severe delinquencies that we saw between Q4 2012 and Q4 2013and 19% between Q1 2014 and Q1 2013was mainly due to tough macroeconomic conditions, not forbearance measures. Therefore, we still forecast further credit quality deterioration due to only mild signs of economic recovery. Our analysis already takes into account further credit quality deterioration and weaker structural mitigants against increased projected defaults and lower recoveries. Based on the credit quality of the assets alone, we are not likely to take significant negative rating actions in the coming months. Our forecasts for moderated house price declines remain at 2% for 2014 and 0% for 2015. However, we still expect overall losses from the transactions in our index to increase as recoveries decline. Although Spain's house price slowdown eased at the end of 2013, we don't think the housing market has turned the corner just yet as supply continues to significantly exceed demand, while credit conditions remain tight. In addition, the market still appears between 9% and 18% overvalued, compared with incomes, rents, and long-term average house prices (see "Europe's Housing Market Recovery Is Not Yet On Solid Ground," published on April 30, 2014). Q1 2014's delinquency trends by originator were unchanged from Q4 2013 (transactions originated between 2005 and 2007 continued to be the worst performers, with quarterly severe delinquency increases of between 8% and 11%). Delinquencies continue to roll over into defaults, indicating that servicers are finding it difficult to cure severe delinquencies, while recoveries on defaulted assets are low due to a depressed housing market and longer recovery WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 3 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery timings for transactions. The prepayment rate has stabilized at approximately 4% and is relatively flat among transaction servicers. Our Q1 2014 rating actions were mainly due to worsening collateral performance and note defaults (see "Related Criteria And Research"). We recently raised our long- and short-term foreign and local currency sovereign ratings on Spain (see "Ratings On Spain Raised To 'BBB/A-2' On Improved Economic Prospects; Outlook Stable," published on May 23, 2014). We will summarize the effect of the sovereign upgrade on our ratings in Spanish RMBS transactions in our Q2 2014 index report. Potential effects of proposed criteria changes. Our ratings are based on our applicable criteria, including those set out in the criteria articles "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions," published on June 14, 2011, "Criteria for Rating Spanish Residential Mortgage-Backed Securities," published on March 1, 2002, and "Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential Mortgage-Backed Securities," published on Jan. 6, 2009. However, these criteria are under review (see "Request For Comment: Methodology And Assumptions For Ratings Above The Sovereign--Single Jurisdiction Structured Finance," published on Oct. 14, 2013, and "Request for Comment: Italy And Spain RMBS Methodology And Assumptions," published on Oct. 28, 2013). As a result of this review, our future criteria applicable to ratings above the sovereign and to rating transactions backed by Spanish mortgage assets may differ from our current criteria. These criteria changes may affect the ratings on the outstanding RMBS transactions that we rate. Until such time that we adopt new criteria, we will continue to rate and surveil these transactions using our existing criteria (see "Related Criteria And Research"). WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 4 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 1 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 5 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 2 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 6 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 3 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 7 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 4 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 8 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 5 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 9 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 6 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 10 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 7 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 11 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 8 Table 3 Spanish RMBS Transactions Included In Index Closing date ABSXchange Ticker Name Originator Redeemed? Mar 04, 2011 BANESTO.5 Fondo de Titulizacin Hipotecaria Banesto 5 Banco Espaol de Credito S.A. Yes Jan 28, 2011 MBSFTA.3 MBSCAT 3, Fondo de Titulizacin de Activos Caixa d'Estalvis de Catalunya, Tarragona I Manresa Yes Jul 27, 2010 FONCAIX.11 FonCaixa Hipotecario 11, Fondo de Titulizacin de Activos Caixabank S.A. Yes Jul 14, 2010 BANKINT.20 Bankinter 20, Fondo de Titulizacin de Activos Bankinter S.A. Yes Jun 24, 2010 MADRIDRS.2 MADRID RESIDENCIAL II, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No May 24, 2010 SANTHIP.6 Fondo de Titulizacin de Activos Santander Hipotecario 6 Banco Santander Central Hispano S.A. Yes Apr 22, 2010 BBVARMBS.9 BBVA RMBS 9, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. No Jun 22, 2011 BBVARMBS.10 BBVA RMBS 10, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 12 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 20, 2012 BBVARMBS.11 BBVA RMBS 11, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. No Mar 16, 2010 IMBP.2 IM Banco Popular, Fondo de Titulizacin de Activos MBS 2 Banco Popular Espaol, S.A. No Dec 21, 2009 IBERCAJA.7 TDA Ibercaja 7, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Aug 28, 2009 AYTCGH.CM1 AyT Colaterales Global Hipotecario FTA Caixa Manlleu I Caixa d'Estalvis Comarcal de Manlleu Yes Jul 29, 2009 AYTIFIII.CAI Ayt ICO-FTVPO III Fondo de Titulizacin de Activos (CAI) Caja Inmaculada No Jul 29, 2009 AYTIFIII.CAJARIOJA Ayt ICO-FTVPO III Fondo de Titulizacin de Activos (Caja Rioja) Caja de Ahorros de la Rioja No Jul 8, 2009 AYT.IFC1 AyT ICO-FTVPO CAJASOL, Fondo de Titulizacin de Activos Monte de piedad y Caja de Ahorros San Fernando de Huela, Jerez y Sevilla Yes Jul 3, 2009 IMBMFTA.1 IM BANKOA MBS 1, FONDO DE Titulizacin DE ACTIVOS Bankoa S.A. Yes Jul 1, 2009 AYT.IFCM1 AyT ICO-FTVPO Caja Murcia Fondo de Titulizacin de Activos Caja de Ahorros de Murcia No Jun 12, 2009 AYT.IFCG1 AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacin de Activos Caja de Ahorros de Galicia Yes May 22, 2009 AYTKUTXA.4 AyT Kutxa Hipotecario IV Fondo de Titulizacin de Activos Kutxabank S.A. Yes May 21, 2009 SOLLION.1 SOL-LION, Fondo de Titulizacin de Activos ING Direct N.V. No Apr 7, 2009 BANCAJA.BVAVPO1 Bancaja - BVA VPO 1 Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante and Banco de Valencia, S.A. No Mar 18, 2009 UCI.19 Fondo de Titulizacin de Activos UCI 19 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Yes Feb 4, 2009 MBSBANC.6 MBS Bancaja 6 Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Dec 30, 2008 MADRIDRS.1 MADRID RESIDENCIAL I, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Dec 23, 2008 MADRIDIC.1 MADRID ICO-FTVPO I, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Nov 27, 2008 BBVARMBS.7 BBVA RMBS 7, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. Yes Nov 19, 2008 TDA.31 TDA 31, Fondo de Titulizacin de Activos Banco Guipuzcoano No Nov 13, 2008 BANKINT.18 Bankinter 18, Fondo de Titulizacin de Activos Bankinter S.A. Yes Nov 13, 2008 BBVARMBS.6 BBVA RMBS 6, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. Yes Nov 5, 2008 SANTHIP.5 Fondo de Titulizacin de Activos Santander Hipotecario 5 Banco Santander Central Hispano S.A. Yes Aug 6, 2008 TDA.CRDFMO1 TDA CREDIFIMO 1, Fondo de Titulizacin de Activos Credifimo, E.F.C, S.A.U. Yes Jul 17, 2008 CSSPIA.QEX1 Cassiopeia QEX B.V Banco Espaol de Credito S.A. Yes Jun 25, 2008 IMSABDEL.2 IM Sabadell RMBS 2, Fondo de Titulizacin de Activos Banco de Sabadell S.A. No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 13 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 12, 2008 BANKINT.17 Bankinter 17 Fondo de Titulizacin de Activos Bankinter S.A. Yes Jun 11, 2008 AYTGOYA.2 AyT Goya Hipotecario II Fondo de Titulizacin de Activos Barclays Bank S.A. Yes May 29, 2008 BBVARMBS.5 BBVA RMBS 5, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. No May 19, 2008 HIPOCAT.15 Hipocat 15, Fondo de Titulizacin de Activos Caixa dEstalvis de Catalunya Yes May 12, 2008 MBSBANC.5 MBS Bancaja 5 Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante Yes Apr 30, 2008 AYTKUTXA.3 AyT Kutxa Hipotecario III Fondo de Titulizacin de Activos Kutxabank S.A. Yes Apr 11, 2008 BANCAJA.12 Bancaja 12, Fondo de Titulizacin de Activos Banco CAM S.A. Yes Mar 14, 2008 BANKINT.16 Bankinter 16 Fondo de Titulizacin de Activos Bankinter S.A. Yes Feb 29, 2008 UCI.18 Fondo de Titulizacin de Activos UCI 18 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Dec 31, 2007 AYTCGH.CCM1 AyT Colaterales Global Hipotecario FTA CCM I Caja de Ahorros de Castilla la Mancha (CCM) No Dec 19, 2007 MADRID.4 MADRID RMBS IV, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Dec 13, 2007 AYTGEN.11 AyT Genova Hipotecario XI Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Dec 12, 2007 TDA.CAM10 TDA CAM 10, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante Yes Dec 5, 2007 TDATARRA.1 TDA Tarragona 1, Fondo de Titulizacion de Activos Caixa d'Estalvis de Tarragona No Nov 22, 2007 BBVARMBS.4 BBVA RMBS 4, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. Yes Oct 22, 2007 IMGOYA.1 IM GOYA HIPOTECARIO I, Fondo de Titulizacin de Activos Barclays Bank S.A. Yes Oct 11, 2007 BANKINT.15 Bankinter 15, Fondo de Titulizacin Hipotecaria Bankinter S.A. Yes Oct 4, 2007 SANTHIP.4 Fondo de Titulizacin de Activos Santander Hipotecario 4 Banco Santander Central Hispano S.A. Yes Oct 1, 2007 CAIXAPEN.2 CAIXA PENEDES 2 TDA, Fondo de Titulizacin de Activos Caixa d'Estalvis del Penedes No Jul 30, 2007 AYTCGH.SANOSTRA1 AyT Colaterales Global Hipotecario FTA Sa Nostra I Caja de Ahorros y Monte de Piedad de la Baleares (Sa Nostra) No Jul 23, 2007 TDA.28 TDA 28, Fondo de Titulizacin de Activos Multi-originator Ratings withdrawn Jul 20, 2007 BANCAJA.11 Bancaja 11, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Jul 11, 2007 MADRID.3 MADRID RMBS III, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Jul 6, 2007 TDA.CAM9 TDA CAM 9, Fondo de Titulizacin de Activos Banco CAM S.A. No Jun 29, 2007 AYTCG.1 AyT CajaGranada Hipotecario I Fondo de Titulizacin de Activos Caja de Ahorros de Granada No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 14 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 26, 2007 AYTGEN.10 AyT Genova Hipotecario X Fondo de Titulizacin Hipotecaria Barclays Bank PLC No Jun 19, 2007 GCPASTOR.5 GC Pastor Hipotecario 5, Fondo de Titulizacin de Activos Banco Pastor S.A. No May 29, 2007 FONCAIX.10 FonCaixa Hipotecario 10, Fondo de Titulizacin de Activos Caixabank S.A. Yes May 11, 2007 IBERCAJA.5 TDA Ibercaja 5, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No May 9, 2007 UCI.17 Fondo de Titulizacin de Activos UCI 17 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Apr 4, 2007 SANTHIP.3 Fondo de Titulizacin de Activos Santander Hipotecario 3 Banco Santander Central Hispano S.A. No Mar 29, 2007 BBVARMBS.2 BBVA RMBS 2, Fondo de Titulizacin de Activos Banco Bilbao Vizcaya Argentaria, S.A. No Mar 23, 2007 BANKINT.14 Bankinter 14, Fondo de Titulizacin Hipotecaria Bankinter S.A. Yes Mar 15, 2007 HIPOCAT.11 Hipocat 11, Fondo de Titulizacin de Activos Caixa dEstalvis de Catalunya No Mar 13, 2007 TDA.CAM8 TDA CAM 8, Fondo de Titulizacin de Activos Banco CAM S.A. No Feb 16, 2007 AYTKUTXA.2 AyT Kutxa Hipotecario II, Fondo de Titulizacin de Activos Kutxabank S.A. No Jan 30, 2007 BANCAJA.10 Bancaja 10, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Dec 22, 2006 TDA.27 TDA 27, Fondo de Titulizacin de Activos Multi-originator Ratings withdrawn Dec 18, 2006 MADRID.2 MADRID RMBS II, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Dec 5, 2006 AYTGEN.9 AyT Genova Hipotecario IX Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Nov 27, 2006 BANKINT.13 Bankinter 13, Fondo de Titulizacin de Activos Bankinter S.A. No Nov 22, 2006 MADRID.1 MADRID RMBS I, Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Madrid No Nov 6, 2006 AYTCM.2 Ayt Caja Murcia Hipotecario II, Fondo de Titulizacin de Activos Caja de Ahorros de Murcia No Oct 23, 2006 CAIXAPEN.1 CAIXA PENEDES 1 TDA, Fondo de Titulizacin de Activos Caixa d'Estalvis del Penedes No Oct 23, 2006 IBERCAJA.4 TDA Ibercaja 4 Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Oct 20, 2006 UCI.16 Fondo de Titulizacin de Activos UCI 16 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Oct 19, 2006 TDA.CAM7 TDA CAM 7, Fondo de Titulizacin de Activos Banco CAM S.A. No Aug 2, 2006 TDA.25 TDA 25, Fondo de Titulizacin de Activos Multi-originator Ratings withdrawn Jul 21, 2006 AYTHM.5 AyT Hipotecario Mixto V, Fondo de Titulizacin de Activos Multi-originator No Jul 10, 2006 HIPOCAT.10 Hipocat 10, Fondo de Titulizacin de Activos Caixa d'Estalvis de Catalunya No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 15 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 30, 2006 SANTHIP.2 Fondo de Titulizacin de Activos Santander Hipotecario 2 Banco Santander Central Hispano S.A. No Jun 12, 2006 AYTGEN.8 AyT Genova Hipotecario VIII Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Jun 9, 2006 IMPAST.4 IM PASTOR 4, Fondo de Titulizacin de Activos Banco Pastor S.A. No May 31, 2006 AYTKUTXA.1 AyT Kutxa Hipotecario I, Fondo de Titulizacin de Activos Kutxabank S.A. No May 18, 2006 IBERCAJA.3 TDA Ibercaja 3 Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Apr 28, 2006 UCI.15 Fondo de Titulizacin de Activos UCI 15 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Mar 31, 2006 FONCAIX.9 FonCaixa Hipotecario 9, Fondo de Titulizacin de Activos Caixabank S.A. Yes Dec 22, 2005 AYTCM.1 AyT Caja Murcia Hipotecario I, Fondo de Titulizacin de Activos Caja de Ahorros de Murcia No Dec 2, 2005 BANKINT.11 Bankinter 11, Fondo de Titulizacin de Activos Bankinter S.A. No Dec 1, 2005 TDA.24 TDA 24, Fondo de Titulizacin de Activos Multi-originator Ratings withdrawn Nov 30, 2005 HIPOCAT.9 Hipocat 9, Fondo de Titulizacin de Activos Caixa d'Estalvis de Catalunya No Nov 28, 2005 AYTGEN.7 AyT Genova Hipotecario VII Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Nov 28, 2005 UCI.14 Fondo de Titulizacin de Activos UCI 14 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Oct 18, 2005 IBERCAJA.2 TDA Ibercaja 2 Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Jun 30, 2005 BANKINT.10 Bankinter 10, Fondo de Titulizacin de Activos Bankinter S.A. No Jun 14, 2005 AYTGEN.6 AyT Genova Hipotecario VI Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Jun 14, 2005 IMPAST.3 IM PASTOR 3, Fondo de Titulizacin Hipotecaria Banco Pastor S.A. No Jun 2, 2005 UCI.12 Fondo de Titulizacin Hipotecaria UCI 12 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No May 23, 2005 TDACAJAM.2 TDA Cajamar 2, Fondo de Titulizacin de Activos Caja Rural Intermediterranea, Sociedad Cooperativa de Credito No May 12, 2005 HIPOCAT.8 Hipocat 8, Fondo de Titulizacin de Activos Caixa d'Estalvis de Catalunya No Mar 18, 2005 FONCAIX.8 Foncaixa Hipotecario 8, Fondo de Titulizacin Hipotecaria Caixabank S.A. Yes Nov 22, 2004 UCI.11 Fondo de Titulizacin de Activos UCI 11 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Jul 16, 2004 BANCAJA.7 Bancaja 7, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Jul 16, 2004 GCSAB.1 GC SABADELL 1, Fondo de Titulizacin Hipotecario Banco de Sabadell S.A. No Jun 29, 2004 IMPAST.2 IM PASTOR 2, Fondo de Titulizacin Hipotecaria Banco Pastor S.A. No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 16 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 16, 2004 SANTHIP.1 Fondo de Titulizacin de Activos Santander Hipotecario 1 Banco Santander Central Hispano S.A. No Jun 14, 2004 HIPOCAT.7 Hipocat 7, Fondo de Titulizacin de Activos Caixa d'Estalvis de Catalunya No May 19, 2004 UCI.10 Fondo de Titulizacin Hipotecaria UCI 10 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Apr 5, 2004 AYTGEN.4 AyT Genova Hipotecario IV Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Mar 9, 2004 BANKINT.8 Bankinter 8, Fondo de Titulizacin de Activos Bankinter S.A. No Dec 16, 2003 BANESTO.4 Fondo de Titulizacin Hipotecaria Banesto 4 Banco Espaol de Credito S.A. Yes Dec 5, 2003 BANCAJA.6 Bancaja 6, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Nov 12, 2003 AYTGEN.3 AyT Genova Hipotecario III Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Oct 14, 2003 IBERCAJA.1 TDA Ibercaja 1 Fondo de Titulizacin de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Sep 30, 2003 BANKINT.6 Bankinter 6, Fondo de Titulizacin Hipotecaria Bankinter S.A. No Sep 30, 2003 FONCAIX.7 FonCaixa Hipotecario 7, Fondo de Titulizacin Hipotecaria Caixabank S.A. Yes Jun 19, 2003 UCI.9 Fondo de Titulizacin de Activos UCI 9 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No May 30, 2003 AYTGEN.2 AyT Genova Hipotecario II Fondo de Titulizacin Hipotecaria Barclays Bank S.A. No Apr 17, 2003 BANCAJA.5 Bancaja 5, Fondo de Titulizacin de Activos Caja de Ahorros de Valencia, Castellon y Alicante No Dec 18, 2002 FONCAIX.6 FonCaixa Hipotecario 6, Fondo de Titulizacin Hipotecaria Caixabank S.A. Yes Dec 17, 2002 BANKINT.5 Bankinter 5, Fondo de Titulizacin Hipotecaria Bankinter S.A. No Nov 28, 2002 HIPO.11 Fondo de Titulizacin de Activos, Hipotebansa 11 Banco Santander Central Hispano S.A. No Nov 8, 2002 BANCAJA.4 Bancaja 4, Fondo de Titulizacin Hipotecaria Caja de Ahorros de Valencia, Castellon y Alicante Yes Oct 31, 2002 AYT.11 AyT 11 Fondo de Titulizacin Hipotecaria Multi-originator No Sep 25, 2002 BANKINT.4 Bankinter 4, Fondo de Titulizacin Hipotecaria Bankinter S.A. No Jun 27, 2002 UCI.8 Fondo de Titulizacin de Activos UCI 8 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Jun 3, 2002 AYT.8 AyT.8 Barclays Hipotecario I, Fondo de Titulizacin Hipotecaria Barclays Bank S.A. Yes Mar 7, 2002 HIPO.10 Fondo de Titulizacin de Activos, Hipotebansa X Banco Santander Central Hispano S.A. No Oct 30, 2001 UCI.7 Fondo de Titulizacin de Activos UCI 7 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito No Oct 25, 2001 BANKINT.3 Bankinter 3, Fondo de Titulizacin Hipotecaria Bankinter S.A. No WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 17 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Table 3 Spanish RMBS Transactions Included In Index (cont.) Jun 30, 1998 UCI.4 Fondo de Titulizacin Hipotecaria UCI 4 Union de Creditos Inmobiliarios, Establecimento Financiero de Credito Yes May 8, 1998 HIPO.7 Fondo de Titulizacin de Activos, Hipotebansa VII Banco Santander Central Hispano S.A. Yes Jul 24, 2008 AYTCGH.CL1 AyT Colaterales Global Hipotecario FTA Caixa Laietana I Caixa D'Estlavis Laietana No Jun 25, 2008 IBERCAJA.6 TDA Ibercaja 6, Fondo de Titulizacion de Activos Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Dec 20, 2010 AYTGOYA.3 AyT Goya Hipotecario III Fondo de Titulizacin de Activos Barclays Bank S.A. No Jul 29, 2011 IMURMBS.1 IM UNNIM RMBS 1, Fondo de Titulizacion de Activos Caixa D'Estalvis Uni de Caixes de Manlleu, Sabadell i Terrassa (UNNIM) Yes Mar 25, 2008 AYTCGH.CAJC1 AyT Colaterales Global Hipotecario FTA Caja Circulo I Caja de Ahorros y monte de piedad del circulo catolico de obreros de burges No Jul 16, 2009 TDAICF.1 TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon y Rioja (IBERCAJA) No Dec 20, 2007 AYTCGH.CE1 AyT Colaterales Global Hipotecario FTA Caja Espana I Caja Espaa de Inversiones, Salamanca y Soria, Caja de Ahorros y Monte de Piedad No RMBS--Residential mortgage-backed securities. Counterparty scenario analysis. We will summarize the effect of the sovereign upgrade on our ratings in Spanish RMBS transactions in our Q2 2014 index report. 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 4 is current as of March 31, 2014, and as we take further rating actions, it may be subject to change. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 18 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 9 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 19 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 10 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 20 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 11 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 21 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 12 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 22 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Chart 13 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.) Transaction Series Class Current rating* Scenario 1 - Estimated rating if all counterparties were rated 'AAA' Scenario 2 - Estimated rating if the sovereign were rated 'AAA' Scenario 3 - Estimated rating if all counterparties and the sovereign were rated 'AAA' AyT 11 Fondo de Titulizacion Hipotecaria N/A A A (sf) AA- A AAA AyT 11 Fondo de Titulizacion Hipotecaria N/A B A (sf) A+ A A AyT CAIXA SABADELL HIPOTECARIO I, FONDO DE TITULIZACION DE ACTIVOS N/A A A+ (sf) A+ A+ A+ AyT Caja Murcia Hipotecario I, Fondo de Titulizacion de Activos N/A A AA- (sf) AA AA- AA AyT Caja Murcia Hipotecario I, Fondo de Titulizacion de Activos N/A B A (sf) A A A WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 23 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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 N/A C BBB (sf) BBB BBB BBB Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos N/A A A (sf) A A A Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos N/A B BB+ (sf) A BB+ A Ayt Caja Murcia Hipotecario II, Fondo de Titulizacion de Activos N/A C BB+ (sf) BBB BB+ BBB AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos N/A A AA- (sf) AA- AA- AA- AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos N/A B BBB (sf) BBB BBB BBB AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos N/A C BB- (sf) BB- BB- BB- AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos N/A D B (sf) B B B AyT Colaterales Global Hipotecario FTA Caixa Laietana I N/A A A- (sf) AA A- AA AyT Colaterales Global Hipotecario FTA Caixa Laietana I N/A B BB (sf) BB BB BB AyT Colaterales Global Hipotecario FTA Caja Circulo I N/A A A- (sf) AA A- AA AyT Colaterales Global Hipotecario FTA Caja Circulo I N/A B BB (sf) BB BB BB AyT Colaterales Global Hipotecario FTA Caja Circulo I N/A C B (sf) B B B AyT Colaterales Global Hipotecario FTA Caja Circulo I N/A D CCC (sf) CCC CCC CCC AyT Colaterales Global Hipotecario FTA Caja Espana I N/A A BBB (sf) A- BBB A- AyT Colaterales Global Hipotecario FTA Caja Espana I N/A B BBB- (sf) BBB BBB- BBB AyT Colaterales Global Hipotecario FTA Caja Espana I N/A C BBB- (sf) BBB- BBB- BBB- AyT Colaterales Global Hipotecario FTA Caja Espana I N/A D BB- (sf) BB- BB- BB- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 24 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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 Colaterales Global Hipotecario FTA CCM I N/A A A (sf) AA- A AA- AyT Colaterales Global Hipotecario FTA Sa Nostra I N/A A A- (sf) AA A- AA AyT Genova Hipotecario II Fondo de Titulizacion Hipotecaria N/A A AA (sf) AA AAA AAA AyT Genova Hipotecario II Fondo de Titulizacion Hipotecaria N/A B AA- (sf) AA- AA- AA- AyT Genova Hipotecario III Fondo de Titulizacion Hipotecaria N/A A AA (sf) AA AAA AAA AyT Genova Hipotecario III Fondo de Titulizacion Hipotecaria N/A B AA- (sf) AA- AA- AA- AyT Genova Hipotecario IV Fondo de Titulizacion Hipotecaria N/A A AA (sf) AA AAA AAA AyT Genova Hipotecario IV Fondo de Titulizacion Hipotecaria N/A B AA- (sf) AA- AA- AA- AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria N/A B A+ (sf) A+ A+ A+ AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria N/A C A- (sf) A- A- A- AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria N/A D BBB- (sf) BBB- BBB- BBB- AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria N/A B AA- (sf) AA- AA- AA- AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria N/A C BBB+ (sf) BBB+ BBB+ BBB+ AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria N/A D BB (sf) BB BB BB AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria N/A B A+ (sf) A+ A+ A+ WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 25 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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 Genova Hipotecario VII Fondo de Titulizacion Hipotecaria N/A C BBB (sf) BBB BBB BBB AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria N/A B AA- (sf) AA AA- AA AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria N/A C A (sf) A A A AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria N/A D BBB- (sf) BBB- BBB- BBB- AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria N/A B A (sf) A A A AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria N/A C BBB+ (sf) BBB+ BBB+ BBB+ AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria N/A D BB- (sf) BB- BB- BB- AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria N/A A2 AA (sf) AA AAA AAA AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria N/A B A (sf) A A A AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria N/A C BBB+ (sf) BBB+ BBB+ BBB+ AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria N/A D BB- (sf) BB- BB- BB- AyT Goya Hipotecario III Fondo De Titulizacion De Activos N/A A AA (sf) AA AAA AAA AyT Goya Hipotecario III Fondo De Titulizacion De Activos N/A B AA (sf) AA AA AA AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos N/A A BB+ (sf) BB+ BB+ BB+ AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos N/A B BB- (sf) BB- BB- BB- AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos N/A C B (sf) B B B WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 26 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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 ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos N/A A(G) BBB (sf) AA BBB AAA AyT ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos N/A B BBB (sf) AA BBB AAA AyT ICO-FTVPO Caja Murcia Fondo de Titulizacion de Activos N/A C BBB (sf) A BBB A Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAI A(G) BBB (sf) AA BBB AAA Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAJA RIOJA A(G) A- (sf) AA A- AAA Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAI B BBB (sf) AA BBB AA Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAJA RIOJA B A- (sf) AA A- AA Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAI C BBB (sf) A BBB A Ayt ICO-FTVPO III Fondo de Titulizacion de Activos CAJA RIOJA C A- (sf) A A- A AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos N/A A AA (sf) AA AAA AAA AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos N/A B AA- (sf) AA- AA- AA- AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos N/A C BBB+ (sf) BBB+ BBB+ BBB+ AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos N/A A A (sf) A A A AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos N/A B BB (sf) BB BB BB AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- Bancaja 10, Fondo de Titulizacion de Activos N/A A2 AA- (sf) AA- AA- AA- Bancaja 10, Fondo de Titulizacion de Activos N/A A3 AA- (sf) AA- AA- AA- Bancaja 10, Fondo de Titulizacion de Activos N/A B B+ (sf) B+ B+ B+ Bancaja 10, Fondo de Titulizacion de Activos N/A C D (sf) D D D Bancaja 10, Fondo de Titulizacion de Activos N/A D D (sf) D D D Bancaja 10, Fondo de Titulizacion de Activos N/A E D (sf) D D D WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 27 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Bancaja 11, Fondo de Titulizacion de Activos N/A A2 A- (sf) A- A- A- Bancaja 11, Fondo de Titulizacion de Activos N/A A3 BBB (sf) BBB BBB BBB Bancaja 11, Fondo de Titulizacion de Activos N/A B B (sf) B B B Bancaja 11, Fondo de Titulizacion de Activos N/A C D (sf) D D D Bancaja 11, Fondo de Titulizacion de Activos N/A D D (sf) D D D Bancaja 11, Fondo de Titulizacion de Activos N/A E D (sf) D D D Bancaja 5 Fondo de Titulizacion de Activos N/A A AA- (sf) AA- AA- AA- Bancaja 5 Fondo de Titulizacion de Activos N/A B AA- (sf) AA- AA- AA- Bancaja 5 Fondo de Titulizacion de Activos N/A C A- (sf) A- A- A- Bancaja 6 Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AAA AAA Bancaja 6 Fondo de Titulizacion de Activos N/A B AA- (sf) AA- AA- AA- Bancaja 6 Fondo de Titulizacion de Activos N/A C A (sf) A A A Bancaja 7 Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AAA AAA Bancaja 7 Fondo de Titulizacion de Activos N/A B AA- (sf) AA- AA- AA- Bancaja 7 Fondo de Titulizacion de Activos N/A C BBB (sf) BBB BBB BBB Bancaja 7 Fondo de Titulizacion de Activos N/A D BB (sf) BB BB BB Bancaja-BVA VPO 1, Fondo de Titulizacion de Activos N/A A A (sf) A A A Bankinter 10, Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AAA AAA Bankinter 10, Fondo de Titulizacion de Activos N/A B A+ (sf) A+ A+ A+ Bankinter 10, Fondo de Titulizacion de Activos N/A C A- (sf) A- A- A- Bankinter 10, Fondo de Titulizacion de Activos N/A D B (sf) B B B Bankinter 10, Fondo de Titulizacion de Activos N/A E CCC- (sf) CCC- CCC- CCC- Bankinter 11, Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AAA AAA Bankinter 11, Fondo de Titulizacion de Activos N/A B A (sf) A A A Bankinter 11, Fondo de Titulizacion de Activos N/A C BBB- (sf) BBB- BBB- BBB- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 28 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Bankinter 11, Fondo de Titulizacion de Activos N/A D B (sf) B B B Bankinter 13, Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AAA AAA Bankinter 13, Fondo de Titulizacion de Activos N/A B A (sf) A A A Bankinter 13, Fondo de Titulizacion de Activos N/A C BBB (sf) BBB BBB BBB Bankinter 13, Fondo de Titulizacion de Activos N/A D BB- (sf) BB- BB- BB- Bankinter 13, Fondo de Titulizacion de Activos N/A E D (sf) D D D Bankinter 3 Fondo de Titulizacion Hipotecaria N/A A AA (sf) AA AA+ AA+ Bankinter 3 Fondo de Titulizacion Hipotecaria N/A B AA (sf) AA AA+ AA+ Bankinter 3 Fondo de Titulizacion Hipotecaria N/A C BBB+ (sf) AA+ BBB+ AA+ Bankinter 4 Fondo de Titulizacion Hipotecaria N/A A A+ (sf) AA- A+ AA+ Bankinter 4 Fondo de Titulizacion Hipotecaria N/A B BBB (sf) AA- BBB AA+ Bankinter 4 Fondo de Titulizacion Hipotecaria N/A C BB+ (sf) BB+ BB+ BB+ Bankinter 5 Fondo de Titulizacion Hipotecaria N/A A A+ (sf) AA A+ AA Bankinter 5 Fondo de Titulizacion Hipotecaria N/A B A+ (sf) AA- A+ AA- Bankinter 5 Fondo de Titulizacion Hipotecaria N/A C BBB (sf) BBB BBB BBB Bankinter 6 Fondo de Titulizacion Hipotecaria N/A A AA (sf) AA AAA AAA Bankinter 6 Fondo de Titulizacion Hipotecaria N/A B A+ (sf) AA- A+ AA Bankinter 6 Fondo de Titulizacion Hipotecaria N/A C A (sf) A A A Bankinter 8 Fondo de Titulizacion de Activos N/A A AA (sf) AA AAA AAA Bankinter 8 Fondo de Titulizacion de Activos N/A B A+ (sf) AA- A+ AA- Bankinter 8 Fondo de Titulizacion de Activos N/A C A- (sf) A- A- A- BBVA RMBS 2, Fondo de Titulizacion de Activos N/A A2 BBB+ (sf) BBB+ BBB+ BBB+ BBVA RMBS 2, Fondo de Titulizacion de Activos N/A A3 BBB+ (sf) BBB+ BBB+ BBB+ BBVA RMBS 2, Fondo de Titulizacion de Activos N/A A4 BBB+ (sf) BBB+ BBB+ BBB+ BBVA RMBS 2, Fondo de Titulizacion de Activos N/A B BB (sf) BB BB BB WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 29 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) BBVA RMBS 2, Fondo de Titulizacion de Activos N/A C B (sf) B B B BBVA RMBS 5 Fondo de Titulizacion de Activos N/A A A- (sf) AA- AAA AAA BBVA RMBS 5 Fondo de Titulizacion de Activos N/A B A- (sf) A A- A BBVA RMBS 5 Fondo de Titulizacion de Activos N/A C BBB (sf) BBB BBB BBB BBVA RMBS 9, Fondo de Titulizacion de Activos N/A 0 A- (sf) AA AAA AAA CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos N/A A AA (sf) AA AAA AAA CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos N/A B A (sf) A A A CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos N/A C BB (sf) BB BB BB CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos N/A A AA (sf) AA AAA AAA CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos N/A B AA- (sf) AA- AA- AA- CAIXA PENEDES 2 TDA, Fondo de Titulizacion de Activos N/A C BBB (sf) BBB BBB BBB castellana finance. ltd. N/A A BBB (sf) BBB BBB BBB castellana finance. ltd. N/A B1 BB+ (sf) BB+ BB+ BB+ castellana finance. ltd. N/A B2 BB (sf) BB BB BB castellana finance. ltd. N/A C1 B+ (sf) B+ B+ B+ castellana finance. ltd. N/A C2 B- (sf) B- B- B- Fondo de Titulizacion de Activos Santander Hipotecario 1 N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos Santander Hipotecario 1 N/A B AA (sf) AA AAA AAA Fondo de Titulizacion de Activos Santander Hipotecario 1 N/A C AA (sf) AA AA AA Fondo de Titulizacion de Activos Santander Hipotecario 1 N/A D A (sf) A A A Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A A BBB (sf) BBB BBB BBB Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A B BB- (sf) BB- BB- BB- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 30 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A C B- (sf) B- B- B- Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A D CCC+ (sf) CCC+ CCC+ CCC+ Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A E CCC- (sf) CCC- CCC- CCC- Fondo de Titulizacion de Activos Santander Hipotecario 2 N/A F D (sf) D D D Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A A1 BBB- (sf) BBB- BBB- BBB- Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A A2 BBB- (sf) BBB- BBB- BBB- Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A A3 BBB- (sf) BBB- BBB- BBB- Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A B CCC+ (sf) CCC+ CCC+ CCC+ Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A C CCC- (sf) CCC- CCC- CCC- Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A D CC (sf) CC CC CC Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A E D (sf) D D D Fondo de Titulizacion de Activos Santander Hipotecario 3 N/A F D (sf) D D D Fondo de Titulizacion de Activos UCI 11 N/A A AA (sf) AA AA AA Fondo de Titulizacion de Activos UCI 11 N/A B BBB (sf) BBB BBB BBB Fondo de Titulizacion de Activos UCI 11 N/A C BB (sf) BB BB BB Fondo de Titulizacion de Activos UCI 14 N/A A A (sf) A A A Fondo de Titulizacion de Activos UCI 14 N/A B BB (sf) BB BB BB Fondo de Titulizacion de Activos UCI 14 N/A C B- (sf) B- B- B- Fondo de Titulizacion de Activos UCI 15 N/A A AA (sf) AA AA AA Fondo de Titulizacion de Activos UCI 15 N/A B B (sf) B B B WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 31 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Fondo de Titulizacion de Activos UCI 15 N/A C B- (sf) B- B- B- Fondo de Titulizacion de Activos UCI 16 N/A A2 BBB- (sf) BBB- BBB- BBB- Fondo de Titulizacion de Activos UCI 16 N/A B B- (sf) B- B- B- Fondo de Titulizacion de Activos UCI 16 N/A C CCC (sf) CCC CCC CCC Fondo de Titulizacion de Activos UCI 16 N/A D CCC- (sf) CCC- CCC- CCC- Fondo de Titulizacion de Activos UCI 16 N/A E D (sf) D D D Fondo de Titulizacion de Activos UCI 17 N/A A2 BBB (sf) BBB BBB BBB Fondo de Titulizacion de Activos UCI 17 N/A B CCC (sf) CCC CCC CCC Fondo de Titulizacion de Activos UCI 17 N/A C D (sf) D D D Fondo de Titulizacion de Activos UCI 17 N/A D D (sf) D D D Fondo de Titulizacion de Activos UCI 18 N/A A BB (sf) BB BB BB Fondo de Titulizacion de Activos UCI 18 N/A B B- (sf) B- B- B- Fondo de Titulizacion de Activos UCI 18 N/A C CCC- (sf) CCC- CCC- CCC- Fondo de Titulizacion de Activos UCI 18 N/A D D (sf) D D D Fondo de Titulizacion de Activos UCI 7 N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos UCI 7 N/A B AA (sf) AA AA AA Fondo de Titulizacion de Activos UCI 8 N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos UCI 8 N/A B AA (sf) AA AAA AAA Fondo de Titulizacion de Activos UCI 9 N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos UCI 9 N/A B AA- (sf) AA AA AA Fondo de Titulizacion de Activos UCI 9 N/A C A (sf) A A A Fondo de Titulizacion de Activos, Hipotebansa 11 N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos, Hipotebansa 11 N/A B B+ (sf) B+ B+ B+ Fondo de Titulizacion de Activos, Hipotebansa X N/A A AA (sf) AA AAA AAA Fondo de Titulizacion de Activos, Hipotebansa X N/A B BB (sf) BB BB BB WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 32 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Fondo de Titulizacion Hipotecaria UCI 10 N/A A AA (sf) AA AA AA Fondo de Titulizacion Hipotecaria UCI 10 N/A B BB (sf) BB BB BB Fondo de Titulizacion Hipotecaria UCI 12 N/A A AA (sf) AA AA AA Fondo de Titulizacion Hipotecaria UCI 12 N/A B A- (sf) A- A- A- Fondo de Titulizacion Hipotecaria UCI 12 N/A C BB (sf) BB BB BB GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos N/A A2 BB (sf) BB BB BB GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos N/A B CCC (sf) CCC CCC CCC GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos N/A C D (sf) D D D GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos N/A D D (sf) D D D GC SABADELL 1, Fondo de Titulizacion Hipotecario N/A A2 BBB- (sf) A- BBB- A- GC SABADELL 1, Fondo de Titulizacion Hipotecario N/A B BB (sf) A- BB A- GC SABADELL 1, Fondo de Titulizacion Hipotecario N/A C BB (sf) BB BB BB Hipocat 10, Fondo de Titulizacion de Activos N/A A2 B (sf) B B B Hipocat 10, Fondo de Titulizacion de Activos N/A A3 B (sf) B B B Hipocat 10, Fondo de Titulizacion de Activos N/A B D (sf) D D D Hipocat 10, Fondo de Titulizacion de Activos N/A C D (sf) D D D Hipocat 10, Fondo de Titulizacion de Activos N/A D D (sf) D D D Hipocat 11, Fondo de Titulizacion de Activos N/A A2 B (sf) B B B Hipocat 11, Fondo de Titulizacion de Activos N/A A3 B (sf) B B B Hipocat 11, Fondo de Titulizacion de Activos N/A B D (sf) D D D Hipocat 11, Fondo de Titulizacion de Activos N/A C D (sf) D D D Hipocat 11, Fondo de Titulizacion de Activos N/A D D (sf) D D D WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 33 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) Hipocat 7, Fondo de Titulizacion de Activos N/A A2 BB+ (sf) BBB BB+ BBB Hipocat 7, Fondo de Titulizacion de Activos N/A B BB (sf) BB BB BB Hipocat 7, Fondo de Titulizacion de Activos N/A C B+ (sf) B+ B+ B+ Hipocat 7, Fondo de Titulizacion de Activos N/A D B- (sf) B- B- B- Hipocat 8, Fondo de Titulizacion de Activos N/A A2 BB+ (sf) BBB- BB+ BBB- Hipocat 8, Fondo de Titulizacion de Activos N/A B BB (sf) BB BB BB Hipocat 8, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- Hipocat 8, Fondo de Titulizacion de Activos N/A D CCC (sf) CCC CCC CCC Hipocat 9, Fondo de Titulizacion de Activos N/A A2a BB (sf) BB BB BB Hipocat 9, Fondo de Titulizacion de Activos N/A A2b BB (sf) BB BB BB Hipocat 9, Fondo de Titulizacion de Activos N/A B B (sf) B B B Hipocat 9, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- Hipocat 9, Fondo de Titulizacion de Activos N/A D CCC- (sf) CCC- CCC- CCC- IM Banco Popular MBS 2, Fondo de Titulizacion de Activos N/A A A- (sf) AA A- AAA IM Banco Popular MBS 2, Fondo de Titulizacion de Activos N/A B BB (sf) A BB A IM PASTOR 2, Fondo de Titulizacion Hipotecaria N/A A AA- (sf) AA AA- AAA IM PASTOR 2, Fondo de Titulizacion Hipotecaria N/A B A- (sf) AA A- AA IM PASTOR 2, Fondo de Titulizacion Hipotecaria N/A C BB+ (sf) A- BB+ A- IM PASTOR 2, Fondo de Titulizacion Hipotecaria N/A D BB+ (sf) BBB BB+ BBB IM PASTOR 3, Fondo de Titulizacion Hipotecaria N/A A B+ (sf) B+ B+ B+ IM PASTOR 3, Fondo de Titulizacion Hipotecaria N/A B B- (sf) B- B- B- IM PASTOR 3, Fondo de Titulizacion Hipotecaria N/A C B- (sf) B- B- B- IM PASTOR 3, Fondo de Titulizacion Hipotecaria N/A D D (sf) D D D IM PASTOR 4, Fondo de Titulizacion de Activos N/A A B+ (sf) B+ B+ B+ WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 34 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) IM PASTOR 4, Fondo de Titulizacion de Activos N/A B B- (sf) B- B- B- IM PASTOR 4, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- IM PASTOR 4, Fondo de Titulizacion de Activos N/A D D (sf) D D D IM Sabadell RMBS 2, Fondo de Titulizacion de Activos N/A A A- (sf) A- A- A- IM Sabadell RMBS 2, Fondo de Titulizacion de Activos N/A B BB (sf) A- BB A- IM Sabadell RMBS 2, Fondo de Titulizacion de Activos N/A C BB (sf) BB+ BB BB+ MADRID ICO-FTVPO I, Fondo de Titulizacion de Activos N/A A (G) A (sf) AA A AAA MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos N/A A A (sf) AA A AAA MADRID Residencial II, Fondo de Titulizacion de Activos N/A A A (sf) AA A AA MADRID RMBS I, Fondo de Titulizacion de Activos N/A A2 A- (sf) A- A- A- MADRID RMBS I, Fondo de Titulizacion de Activos N/A B BB- (sf) BB- BB- BB- MADRID RMBS I, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- MADRID RMBS I, Fondo de Titulizacion de Activos N/A D CCC+ (sf) CCC+ CCC+ CCC+ MADRID RMBS I, Fondo de Titulizacion de Activos N/A E CCC- (sf) CCC- CCC- CCC- MADRID RMBS II, Fondo de Titulizacion de Activos N/A A2 A+ (sf) A+ A+ A+ MADRID RMBS II, Fondo de Titulizacion de Activos N/A A3 A+ (sf) A+ A+ A+ MADRID RMBS II, Fondo de Titulizacion de Activos N/A B BB- (sf) BB- BB- BB- MADRID RMBS II, Fondo de Titulizacion de Activos N/A C B- (sf) B- B- B- MADRID RMBS II, Fondo de Titulizacion de Activos N/A D CCC+ (sf) CCC+ CCC+ CCC+ MADRID RMBS II, Fondo de Titulizacion de Activos N/A E D (sf) D D D MADRID RMBS III, Fondo de Titulizacion de Activos N/A A2 A- (sf) A- A- A- MADRID RMBS III, Fondo de Titulizacion de Activos N/A A3 A- (sf) A- A- A- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 35 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) MADRID RMBS III, Fondo de Titulizacion de Activos N/A B CCC- (sf) CCC- CCC- CCC- MADRID RMBS III, Fondo de Titulizacion de Activos N/A C D (sf) D D D MADRID RMBS III, Fondo de Titulizacion de Activos N/A D D (sf) D D D MADRID RMBS III, Fondo de Titulizacion de Activos N/A E D (sf) D D D MADRID RMBS IV, Fondo de Titulizacion de Activos N/A A1 A (sf) AA A AA MADRID RMBS IV, Fondo de Titulizacion de Activos N/A A2 A (sf) AA A AA MADRID RMBS IV, Fondo de Titulizacion de Activos N/A B A (sf) A A A MADRID RMBS IV, Fondo de Titulizacion de Activos N/A C BB+ (sf) BB+ BB+ BB+ MADRID RMBS IV, Fondo de Titulizacion de Activos N/A D CCC(sf) CCC CCC CCC MADRID RMBS IV, Fondo de Titulizacion de Activos N/A E CC (sf) CC CC CC MBS Bancaja 6 Fondo de Titulizacion de Activos N/A A A (sf) A A A SOL-LION, Fondo de Titulizacion de Activos N/A A AA (sf) AA AAA AAA SOL-LION, Fondo de Titulizacion de Activos N/A B A (sf) A A A SOL-LION, Fondo de Titulizacion de Activos N/A C A- (sf) A- A- A- TDA 31, Fondo de Titulizacin de Activos N/A A AA (sf) AA AA AA TDA 31, Fondo de Titulizacin de Activos N/A B BBB (sf) BBB BBB BBB TDA 31, Fondo de Titulizacin de Activos N/A C BB- (sf) BB- BB- BB- TDA Cajamar 2, Fondo de Titulizacion de Activos N/A A2 AA (sf) AA AA+ AA+ TDA Cajamar 2, Fondo de Titulizacion de Activos N/A A3 A (sf) AA- A AA+ TDA Cajamar 2, Fondo de Titulizacion de Activos N/A B A (sf) AA- A AA TDA Cajamar 2, Fondo de Titulizacion de Activos N/A C A- (sf) A- A- A- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 36 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) TDA Cajamar 2, Fondo de Titulizacion de Activos N/A D BBB- (sf) BBB- BBB- BBB- TDA CAM 10, Fondo de Titulizacion de Activos N/A A2 BB+ (sf) BBB- BB+ BBB- TDA CAM 10, Fondo de Titulizacion de Activos N/A A3 BB+ (sf) BBB- BB+ BBB- TDA CAM 10, Fondo de Titulizacion de Activos N/A A4 BB+ (sf) BBB- BB+ BBB- TDA CAM 10, Fondo de Titulizacion de Activos N/A B CCC- (sf) CCC- CCC- CCC- TDA CAM 10, Fondo de Titulizacion de Activos N/A C D (sf) D D D TDA CAM 10, Fondo de Titulizacion de Activos N/A D D (sf) D D D TDA CAM 7, Fondo de Titulizacion de Activos N/A A2 A (sf) A A A TDA CAM 7, Fondo de Titulizacion de Activos N/A A3 A (sf) A A A TDA CAM 7, Fondo de Titulizacion de Activos N/A B D (sf) D D D TDA CAM 8, Fondo de Titulizacion de Activos N/A A A (sf) A A A TDA CAM 8, Fondo de Titulizacion de Activos N/A B D (sf) D D D TDA CAM 8, Fondo de Titulizacion de Activos N/A C D (sf) D D D TDA CAM 8, Fondo de Titulizacion de Activos N/A D D (sf) D D D TDA CAM 9, Fondo de Titulizacion de Activos N/A A1 BBB (sf) BBB BBB BBB TDA CAM 9, Fondo de Titulizacion de Activos N/A A2 BBB (sf) BBB BBB BBB TDA CAM 9, Fondo de Titulizacion de Activos N/A A3 BBB (sf) BBB BBB BBB TDA CAM 9, Fondo de Titulizacion de Activos N/A B D (sf) D D D TDA CAM 9, Fondo de Titulizacion de Activos N/A C D (sf) D D D TDA CAM 9, Fondo de Titulizacion de Activos N/A D D (sf) D D D TDA Ibercaja 1 Fondo de Titulizacion de Activos N/A A AA- (sf) AA- AAA AAA TDA Ibercaja 1 Fondo de Titulizacion de Activos N/A B BBB (sf) BBB BBB BBB TDA Ibercaja 1 Fondo de Titulizacion de Activos N/A C BB+ (sf) BB+ BB+ BB+ TDA Ibercaja 1 Fondo de Titulizacion de Activos N/A D BB (sf) BB BB BB TDA Ibercaja 2 Fondo de Titulizacion de Activos N/A A BBB+ (sf) AA- BBB+ AAA WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 37 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) TDA Ibercaja 2 Fondo de Titulizacion de Activos N/A B BB+ (sf) BB+ BB+ BB+ TDA Ibercaja 2 Fondo de Titulizacion de Activos N/A C BB (sf) BB BB BB TDA Ibercaja 2 Fondo de Titulizacion de Activos N/A D B (sf) B B B TDA Ibercaja 3 Fondo de Titulizacion de Activos N/A A AA- (sf) AA AA- AA TDA Ibercaja 3 Fondo de Titulizacion de Activos N/A B BB (sf) BB BB BB TDA Ibercaja 3 Fondo de Titulizacion de Activos N/A C B (sf) B B B TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A A1 A+ (sf) A+ A+ A+ TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A A2 A+ (sf) A+ A+ A+ TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A A3PAC A+ (sf) A+ A+ A+ TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A B BBB (sf) BBB BBB BBB TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A C BBB- (sf) BBB- BBB- BBB- TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A D B (sf) B B B TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A E B- (sf) B- B- B- TDA Ibercaja 4 Fondo de Titulizacion de Activos N/A F D (sf) D D D TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A A1 AA- (sf) AA- AA- AA- TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A A2 AA- (sf) AA- AA- AA- TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A B BB+ (sf) BB+ BB+ BB+ TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A C B (sf) B B B TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A D B- (sf) B- B- B- TDA Ibercaja 5, Fondo de Titulizacion de Activos N/A E D (sf) D D D TDA Ibercaja 6, Fondo de Titulizacion de Activos N/A A BBB (sf) AA- BBB AA TDA Ibercaja 6, Fondo de Titulizacion de Activos N/A B BBB (sf) A- BBB A- TDA Ibercaja 6, Fondo de Titulizacion de Activos N/A C BBB- (sf) BBB- BBB- BBB- TDA Ibercaja 6, Fondo de Titulizacion de Activos N/A D BB- (sf) BB- BB- BB- WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 38 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery 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.) TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS N/A A BBB (sf) AA- BBB AA TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS N/A B BB- (sf) BB- BB- BB- TDA IBERCAJA 7, FONDO DE TITULIZACION DE ACTIVOS N/A C D (sf) D D D TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria N/A A(G) AA- (sf) AA- AAA AAA TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria N/A B D (sf) D D D TDA Tarragona 1 Fondo de Titulizacion de Activos N/A A BB+ (sf) AA- BB+ AA+ TDA Tarragona 1 Fondo de Titulizacion de Activos N/A B BB- (sf) BB- BB- BB- *Ratings shown are current as of the publication of the index report. N/A--Not applicable. Related Criteria And Research Ratings On Spain Raised To 'BBB/A-2' On Improved Economic Prospects; Outlook Stable, May 23, 2014 Europe's Housing Market Recovery Is Not Yet On Solid Ground, April 30, 2014 Ratings Lowered In Spanish RMBS Transaction Fondo de Titulizacion de Activos UCI 17 Due To Deteriorating Performance, March 28, 2014 Various Rating Actions Taken In Spanish Transaction MADRID RMBS III Due To Performance Reasons, March 21, 2014 Ratings Lowered On Spanish RMBS Transaction Fondo de Titulizacion de Activos UCI 18's Class A And B Notes, March 18, 2014 Ratings Lowered In Three Of Catalunya Banc's Hipocat Spanish RMBS Transactions After Performance Deterioration, March 14, 2014 Rating Lowered To 'D (sf)' On Spanish RMBS Transaction Bancaja 10's Class C Notes Following Interest Payment Default, March 12, 2014 Request for Comment: Italy And Spain RMBS Methodology And Assumptions, Oct. 28, 2013 Request for Comment: Methodology And Assumptions For Ratings Above The Sovereign--Single Jurisdiction Structured Finance, Oct. 14, 2013 Fewer Spanish Mortgage Floor Clauses Will Have A Limited Impact On RMBS Credit, July 24, 2013 Counterparty Risk Framework Methodology And Assumptions, June 25, 2013 Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011 Spain's New Mortgage Laws And Bank Guidelines Could Push Up RMBS Losses But Improve Transparency, June 11, 2013 Principles Of Credit Ratings, Feb. 16, 2011 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 39 1329607 | 301112013 Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of Economic Recovery Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009 Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential Mortgage-Backed Securities, Jan. 6, 2009 Methodology Behind European RMBS Indices, Nov. 8, 2004 Criteria for Rating Spanish Residential Mortgage-Backed Securities, March 1, 2002 Under Standard & Poor's policies, only a Rating Committee can determine a Credit Rating Action (including a Credit Rating change, affirmation or withdrawal, Rating Outlook change, or CreditWatch action). 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