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TEXT-Fitch maintains TDA Credifimo transactions on negative watch
August 21, 2012 / 4:32 PM / 5 years ago

TEXT-Fitch maintains TDA Credifimo transactions on negative watch

Aug 21 - Fitch Ratings has maintained seven tranches of TDA 24 and 27, a
series of Spanish RMBS transactions on Rating Watch Negative (RWN). A full list
of rating actions is at the end of this commentary.

The maintained RWN is due to Fitch's continued concern about the eligibility of
Credifimo loans in the underlying portfolios, following the discovery of
non-compliant loans in the related RMBS transaction, TDA 28.

In November 2011, the management company (Titulizacion de Activos; TdA),
announced that it had conducted an independent audit of the loans in TDA 28 and
that more than 1,700 Credifimo loans (equivalent to EUR173.9m), were identified
as not having been originated in compliance with the standard criteria.
Credifimo was asked to replace these loans, but no such action has been taken.
Therefore, in February 2012, TdA commenced legal action against Credifimo.

As the Credifimo assets in TDA 28 are similar to the Credifimo mortgages in TDA
24 and 27, it is plausible that Credifimo loans in these deals may also be
affected by the same non-eligibility claim. Therefore, in December 2011, Fitch
placed all deals with tranches rated above 'CCCsf' with Credifimo exposure on
RWN until further information surrounding the reason for non-eligibility is

Fitch is waiting for details from the legal case to emerge and will seek to
resolve the RWN as soon as this information is made available.

The rating actions are as follows:

TDA 24:
Class A1 (ISIN ES0377952009) 'BBBsf'; RWN maintained
Class A2 (ISIN ES0377952017) 'BBBsf'; RWN maintained
Class B (ISIN ES0377952025) 'Bsf'; RWN maintained
Class C (ISIN ES0377952033) Ratings unaffected at 'CCCsf'; Recovery Estimate 0%
Class D (ISIN ES0377952041) Ratings unaffected at 'CCsf'; Recovery Estimate 0%

TDA 27:
Class A2 (ISIN ES0377954013) 'BBB-sf'; RWN maintained
Class A3 (ISIN ES0377954021) 'BBB-sf'; RWN maintained
Class B (ISIN ES0377954039) 'BBsf'; RWN maintained
Class C (ISIN ES0377954047) 'Bsf'; RWN maintained
Class D (ISIN ES0377954054) Ratings unaffected at 'CCCsf'; Recovery Estimate 0%
Class E (ISIN ES0377954062) Ratings unaffected at 'CCsf'; Recovery Estimate 0%
Class F (ISIN ES0377954070) Ratings unaffected at 'CCsf'; Recovery Estimate 0%

Additional information is available on The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Sources of information- in addition to those mentioned in the applicable
criteria, the sources of information used to assess these ratings were Investor

Applicable criteria, 'Global Structured Finance Rating Criteria' dated 06 June
2012' EMEA Residential Mortgage Loss Criteria' dated 7 June 2012, and 'EMEA
Residential Mortgage Loss Criteria Addendum - Spain dated 24 July 2012
'Counterparty Criteria for Structured Finance Transactions' and 'Counterparty
Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May
2012 are available at

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Spain - Mortgage and Cashflow Assumptions
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum

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