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���������ֳ� - Madrid - 13 Jul 2023: ���������ֳ� has revised the Outlook on 23 Spanish structured finance tranches to Positive from Stable and affirmed the ratings, as listed below.

Transaction Summary

The transactions are static securitisations of Spanish residential mortgages and SME loans.

KEY RATING DRIVERS

Counterparty Dependency: The revision of the Outlooks reflects the recent rating action on the transaction account bank (TAB) provider's deposit rating (Societe Generale, S.A.; A-/Positive/F1, deposit rating A/F1; see "���������ֳ� Revises Societe Generale's Outlook to Positive; Affirms at 'A-'").

The notes' ratings are capped at the bank's rating because the cash reserves held at this entity are the main source of structural credit enhancement for these notes. The rating cap reflects the excessive counterparty dependence on the TAB holding the cash reserves, in accordance with ���������ֳ�'s Structured Finance and Covered Bonds Counterparty Rating Criteria.

Model Outputs Higher than Ratings: The Positive Outlook reflects that the last model implied rating (MIR) for the affected notes is above the current rating of the TAB provider, which for some tranches is five notches lower than their MIR.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade

A downgrade of the TAB provider's rating, as the notes' ratings are capped at the bank's ratings due to excessive counterparty risk exposure.

The transactions' performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce CE available to the notes.

Additionally, unanticipated declines in recoveries could also result in lower net proceeds, which may make certain notes susceptible to potential negative rating action depending on the extent of the decline in recoveries. Additional sensitivity analysis is unchanged from the last rating actions, which are available at .

Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade

An upgrade of the TAB provider's rating, as the notes' ratings are capped at the bank's ratings due to excessive counterparty risk exposure.

Additional sensitivity analysis is unchanged from the last rating actions, which are available at .

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit /site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action.

DATA ADEQUACY

���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. ���������ֳ� 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.

���������ֳ� 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 ���������ֳ� is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, and together with any assumptions referred to above, ���������ֳ�'s assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The affected tranches are exposed to excessive counterparty exposure risk to the TAB provider.

ESG CONSIDERATIONS

ESG relevance scores as disclosed in the latest rating action commentaries on each transaction continue to apply and are available at . Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on ���������ֳ�'s ESG Relevance Scores, visit

Additional information is available on

ADDITIONAL DISCLOSURES

• Dodd-Frank Rating Information Disclosure Form
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ENDORSEMENT STATUS