Fitch Places Four AyT CGH Caja Vital 1 Tranches on RWN Following Error Discovery
KEY RATING DRIVERS
Fitch has found that, in the 22 June 2016 rating action for notes issued by AyT CGH Caja Vital 1, the calculation of the Performance Adjustment Factor was inconsistent with the Fitch's EMEA RMBS Rating Criteria and the variation thereto as set forth in the rating action commentary.
The effect of the error will be determined by conducting a full analysis of the transaction.
The resolution of the RWN may result in downgrades up to three notches.
DUE DILIGENCE USAGE
Fitch has not checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
The rating actions are as follows:
Class A notes (ISIN ES0312273081): 'AAsf' placed on RWN
Class B notes (ISIN ES0312273099): 'Asf' placed on RWN
Class C notes (ISIN ES0312273107): 'BBsf' placed on RWN
Class D notes (ISIN ES0312273115): 'Bsf' placed on RWN
SOURCES OF INFORMATION
Investor and servicer reports provided by Haya Titulizacion since close and until May 2016.
Loan-by-loan data sourced from the European Data Warehouse with a cut-off date of August 2016.