���������ֳ�

���������ֳ� - Madrid - 21 Oct 2022: ���������ֳ� has upgraded four tranches, downgraded two and affirmed nine tranches of three Spanish RMBS transactions. The Rating Outlooks are Stable.

Transaction Summary

The transactions comprise fully amortising Spanish residential mortgages serviced by CaixaBank, S.A. (BBB+/Stable/F2).

KEY RATING DRIVERS

Stable Performance Expectations: The rating actions reflect our expectation of broadly stable asset performance for the securitised portfolios, driven by the low share of loans in arrears over 90 days (less than 1.8% of the current portfolio balance as of the latest reporting dates for all transactions), very high portfolio seasoning of more than 17 years and low current loan-to-value ratios (in the range between 30% and 37% for the three deals).

Credit Enhancement (CE) Trends: The upgrades and affirmations reflect ���������ֳ�'s view that CE protection on the notes is sufficient to fully compensate the credit and cash flow stresses defined for the corresponding rating scenarios. For the three transactions, we expect CE ratios to fall in the short to medium term as the pro-rata note amortisation is likely to occur via the application of a reverse sequential amortisation and a reserve fund reduction. If activated, the CE reduction will be to a percentage that is around twice the initial CE protection. The rating analysis has taken into account the current and projected CE ratios.

For all the transactions, the notes will amortise strictly sequentially when the outstanding portfolio balance represents less than 10% of their initial amount (currently ranging between 10.8% and 14.3% for the three transactions).

Portfolio Risky Attributes: For MBS Bancaja 3 and 4, the portfolios are materially exposed to loans for the acquisition of second homes (around 35% and 80% for MBS Bancaja 3 and 4 portfolio balance), which are considered riskier than loans for the purchase of first residences, and are therefore subject to a foreclosure frequency (FF) adjustment of 150% in line with ���������ֳ�´s European RMBS rating criteria. Moreover, both transactions are exposed to loans granted to self-employed borrowers (more than 20%) and the three transactions are exposed to loans originated via third-party brokers, features that carry a FF adjustment of 170% and 150%, respectively, within the agency credit analysis.

Additionally, all transactions are exposed to regional concentration risk mainly in the area of Valencia. In line with ���������ֳ�´s European RMBS rating criteria, higher rating multiples are applied to the base FF assumption to the portion of the portfolio that exceeds two and a half times the population share of this region relative to the national count.

Ratings Capped by Counterparty Arrangements: The downgrade of MBS Bancaja 3 and 4 class D note ratings to 'Asf' reflects the excessive counterparty dependence on the transaction account bank (TAB) provider (Société Generale, S.A. Spanish Branch, 'A-'/'F1', 'A' deposit rating) holding the cash reserves, in accordance with ���������ֳ�'s Structured Finance and Covered Bonds Counterparty Rating Criteria, as such cash reserves represent the main source of structural CE for these notes. These ratings are capped to the TAB provider deposit rating.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

- For the notes that are rated at 'AAAsf, a downgrade to Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions.

- Long-term asset performance deterioration such as increased delinquencies or larger defaults, which could be driven by changes to macroeconomic conditions, interest rate increases or borrower behaviour.

- For MBS Bancaja 3 and 4 class D notes, 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.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

- Notes rated at 'AAAsf' are rated at the highest level on ���������ֳ�'s scale and cannot be upgraded.

- For mezzanine and junior notes, CE increases as the transactions deleverage sufficient to fully compensate for the credit losses and cash flow stresses that are commensurate with higher rating scenarios.

- For MBS Bancaja 3 and 4 class D notes, 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.

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.

CRITERIA VARIATION

Recovery Rate Haircut: For Bancaja 9, ���������ֳ� has applied a 15% haircut to the ResiGlobal model-estimated recovery rates across all rating scenarios considering the materially lower transaction recoveries on cumulative defaults observed to date (around 62%) versus un-adjusted model expectations (around 96%). This constitutes a variation from our European RMBS Rating Criteria with a maximum model-implied rating impact of minus two notches for class D.

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

For MBS Bancaja 3 and 4, ���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that affected the rating analysis. Because the latest loan-by-loan portfolio data sourced from the European Data Warehouse did not include information about property occupancy status, ���������ֳ� assumed 34.6% and 80.3% of the portfolio for MBS Bancaja 3 and 4, respectively, to be linked to second homes, consistent with the exposure reported as of transactions closing dates. This assumption is considered adequate as the granular portfolios comprise fully amortising loans so the exposure to second homes is expected to remain stable over time.

���������ֳ� 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 the 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.

For Bancaja 9, ���������ֳ� 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, ���������ֳ�'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.

For MBS Bancaja 3 and 4, because the latest loan-by-loan portfolio data sourced from the European Data Warehouse did not include information about property occupancy status, ���������ֳ� assumed a 34.6% and 80.3% of the portfolio for MBS Bancaja 3 and 4, respectively, to be linked to second homes consistent with the exposure reported as of transactions closing dates. This assumption is considered adequate as the granular portfolios comprise fully amortising loans so the exposure to second homes is expected to remain stable over time.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

MBS Bancaja 3 and 4 class D notes' ratings are capped at the transaction account bank long-term deposit rating due to excessive counterparty dependency.

ESG Considerations

The highest level of ESG credit relevance, if present, 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 to 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

APPLICABLE MODELS

Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).

• Multi-Asset Cash Flow Model, v2.12.2 (1)
• ResiGlobal Model: Europe, v1.8.2 (1)

ADDITIONAL DISCLOSURES

• Dodd-Frank Rating Information Disclosure Form
• Solicitation Status
• Endorsement Policy

ENDORSEMENT STATUS