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���������ֳ� - Madrid - 30 Dec 2022: ���������ֳ� has upgraded 10 tranches of five AyT Genova Hipotecario Spanish RMBS transactions and affirmed the rest. The Outlooks are Stable. A full list of rating actions is below.

Transaction Summary

The RMBS transactions are Spanish residential mortgage securitisations serviced by CaixaBank, S.A. (BBB+/Stable/F2).

KEY RATING DRIVERS

Sound Performance: Today's rating actions reflect the satisfactory asset performance of the securitised portfolios. This was driven by a low share of loans in arrears over 90 days, at less than 0.5% of the current portfolio balance as of the latest reporting periods, and the positive effect on the transactions of the recent Euribor increase.

Minimum Loss Floors: The transactions' derived loss levels are small, primarily as a result of the low loan-to-value (LTV) of assets in the pools (between 0.1% and 1.1% at 'AAAsf'). However, ���������ֳ� European RMBS Rating Criteria establish a minimum loss floor of 5% for 'AAAsf' ratings. This floor is negatively affecting the ratings, as it enlarges the loss applied in ���������ֳ�'s analysis at all rating categories.

Rating Capped by Counterparty Risk: AyT Genova VI, FTH class C and D notes' ratings are capped at the account bank provider's deposit rating (Societé Generale, 'A' long-term deposit rating) as the transactions' cash reserves held at this entity represent a material source of credit enhancement (CE) for these notes.

The rating cap reflects the excessive counterparty dependence on the SPV account bank holding the cash reserve as the sudden loss of these funds would result in a material reduction in CE available to the notes, in accordance with ���������ֳ�'s Structured Finance and Covered Bonds Counterparty Rating Criteria.

Account Bank Eligibility Triggers: The affirmations of AyT Genova Hipotecario X senior classes at 'A+sf' with Stable Outlook reflect their rating cap due to the account bank eligibility triggers being set at 'BBB+' and 'F2'. This limits the maximum achievable rating on the notes to 'A+sf' under ���������ֳ�'s Structured Finance and Covered Bonds Counterparty Rating Criteria.

CE to Continue Increasing: We expect structural CE to continue increasing in the short term for all transactions, given the prevailing sequential amortisation of AyT Genova Hipotecario VI, VII, VIII and IX, pro-rata amortisation on AyT Genova X after tranche thickness targets (class notes balance as a share of total notes balance) have been met, and the non-amortising reserve funds that are below their absolute floor levels. However, for the sequentially amortising transactions CE ratios could decrease if the pro-rata amortisation mechanism is activated with the application of a reverse sequential amortisation of the notes until the class B, C and D tranche thickness targets are met.

A switch to pro-rata is subject to performance triggers, such as the reserve funds being at their respective target amounts, which have been historically below. Moreover, a mandatory switch-back to sequential will occur once the remaining portfolio reaches 10% of its initial balance (currently at around 11%-19%).

AyT Genova Hipotecario X, FTH has an ESG Relevance Score of '5' for Transaction Parties & Operational Risk due to account bank eligibility thresholds, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in the ratings being at least one notch lower.

RATING SENSITIVITIES

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

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

For Genova VI's class A2 and B notes, Genova VII's class A2 and Genova VIII's class A notes, a downgrade to Spain's Long-Term Issuer Default Rating (IDR) that could lower the maximum achievable rating for Spanish structured finance transactions may result in a corresponding action on the notes. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR.

For Genova VI's class C and D notes, a downgrade of Societe Generale's long-term deposit rating may result in a downgrade as it is the SPV account bank provider, and the notes' ratings are capped at the bank's rating due to excessive counterparty risk exposure.

In addition, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes' ratings susceptible to a negative rating action depending on the extent of the decline in recoveries. ���������ֳ� conducts sensitivity analyses by stressing both a transaction's base-case foreclosure frequency (FF) and recovery-rate (RR) assumptions, and examining the rating implications on all class notes. A 15% increase in weighted average WAFF and a 15% decrease in WARR indicate downgrades of up to two notches on the notes.

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

Genova VI's class A2 and B notes, Genova VII's class A2, Genova VIII's class A notes and Genova X's class A2 and B notes are rated at the highest level on ���������ֳ�'s scale and therefore cannot be upgraded.

Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and, potentially, upgrades. A decrease in WAFF of 15% and an increase in WARR of 15% indicate upgrades of no more than three notches on the notes.

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.

ESG Considerations

AyT Genova Hipotecario X, FTH has an ESG Relevance Score of '5' for Transaction Parties & Operational Risk due to account bank eligibility thresholds that are inconsistent with ratings above 'A+sf'. This has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating.

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

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, v1.8.5 (1)

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