(The following statement was released by the rating agency)MADRID/BARCELONA, October 11 (Fitch) Fitch Ratings says that the ratings of AyT Cedulas Cajas Global, FTA's (AyT CCG, the programme) issued notes  will not be affected by the upcoming amortisation of AyT CCG, Series IX and XIX scheduled to take place on 25 and 23 October 2013 respectively.The programme is a cash flow securitisation of Spanish mortgage covered bonds (cedulas hipotecarias or CHs) issued by 18 banks (15 after the amortisation). The programme's current size is EUR36.7bn and the amount to amortise is EUR5.5bn. While each of the notes issued by the programme is collateralised by a specific pool of CHs, the programme as a whole is protected by two liquidity facilities, one for fixed-rate notes, and another for floating-rate notes. Each liquidity facility is shared by all the notes of the same interest rate type (ie fixed or floating). When a series of notes is paid in full, the total amount in the liquidity facilities is reduced by the contribution of that particular series. KEY RATING DRIVERSFitch has received information with regard to the credit limits that will be available under the two liquidity facilities after the scheduled amortisation of Series IX and XIX, ie. EUR660m and EUR866m for fixed- and floating-rate series respectively. The agency considers such amounts to sufficiently mitigate the liquidity risk that may arise in the notes' current rating scenario; most notes are rated 'BBBsf'/Negative. Consequently, Fitch believes the amortisation of Series IX and XIX will not impact the existing ratings of the programme notes rated by Fitch.We believe obligor concentration is a material risk that impacts the expected default rate on the collateral. As a consequence of the consolidation of the Spanish financial system, and the amortisations of some series, the number of participating banks in the programme has reduced. Fitch uses its Portfolio Credit Model (PCM) to analyse the default rate of the CHs. In our analysis, we assume that the probability of default (PD) of a CH is equal to the PD of the issuing bank, or possibly one notch higher if the issuer is rated below the Issuer Default Rating of Spain (BBB/Negative/F2), and we capture a stressed obligor correlation assumption as all CH issuers belong to the same industry, banking services. After the amortisation of the two series, 90.6% of the fixed-rate notes are collateralised by CH judged to be rated 'BBB-' or above, and 89.8% in the case of the floating-rate portfolio.Once the default rate to maturity is calculated, for assessing the liquidity risk for the floating-rate series, Fitch uses a stressed interest rate at each rating scenario and, for the fixed-rate series, the contractual interest rate is applied.RATING SENSITIVITIESThe ratings would be vulnerable to a downgrade if any of the following occurs: i) the IDRs of participating banks are downgraded; ii) the portfolios of the multi-issuer CH see increased concentrations as a result of further consolidation in the banking system; or iii) the level of relied upon OC that Fitch takes into account in its analysis falls below the supporting OC levels reported by Fitch in its OC Tracker report.Contacts:Alvaro UtreraAssociate Director+34 917 025 775Fitch Ratings Spain - MadridGeneral Castanos, 11, 128004 Madrid, Spain Cartlos MasipDirector+31 917 025 773Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com.Additional information is available at 
  www.fitchratings.com.
 Applicable Criteria and Related Research: Multi-Issuer Cedulas Hipotecarias OC Tracker
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=706644
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