The reorganization and asset transfer to SAREB ("Sociedad de Gestión de Activos procedentes de la Reestructuración Bancaria") has affected the bank's previous overcollateralization. Our asset-liability mismatch (ALMM) risk measure remains susceptible to volatility in light of significant retained issuance in 2011 and 2012. While the issuer has demonstrated a willingness to maintain an adequate level of overcollateralization throughout the reorganization process, available credit enhancement is not sufficient to achieve the maximum rating uplift on the CHs. Credit risk is higher than the average Spanish covered bond issuer, reflecting the previous aggressive underwriting and servicing policies of the merged cajas. The credit quality of the cover pool is exposed to risk arising from an expected further deterioration of the Spanish mortgage
