Moody's downgrades 5 notes, confirms 7 notes and upgrades 1 note in 3 Spanish RMBS transactions

Madrid, February 14, 2014 -- Moody's Investors Service has today confirmed the ratings of seven notes in three Spanish residential mortgage-backed securities (RMBS) transactions: GAT ICO-FTVPO 1, FTH (Gat ICO-FTVPO 1), GC SABADELL 1, FTH (GC Sabadell 1) and IM SABADELL RMBS 3, FTA (IM Sabadell RMBS 3), as a result of the rating agency's detailed analysis of swap counterparty exposure. Moody's has also affirmed the ratings of two other notes in Gat ICO-FTVPO 1 and IM Sabadell RMBS 3, which were not on review for possible downgrade. At the same time Moody's has upgraded the rating of one tranche in GC Sabadell 1 after a detailed analysis of swap counterparty exposure in combination with the increase in credit enhancement. Finally, Moody's downgraded the ratings of five mezzanine and junior notes in Gat ICO-FTVPO 1 as a result of an input correction to the swap modeling undertaken during the review. Swap exposure was also a driver of the downgrade of the rating of C(CA) tranche.

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