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���������ֳ� - Madrid - 19 Sep 2024: ���������ֳ� has taken rating actions on four AyT Genova Hipotecario Spanish RMBS transactions by upgrading two tranches and affirming the rest. The Outlooks are Stable except for Genova VII class C notes, which carry a Positive Outlook.

Transaction Summary

The RMBS transactions are Spanish residential mortgage securitisations serviced by CaixaBank, S.A. (BBB+/Positive/F2) and originated by Barclays Bank, S.A.

KEY RATING DRIVERS

Stable Asset Performance: The rating actions reflect the transactions' broadly stable asset performance outlook, in line with our neutral asset performance outlook for eurozone RMBS. The transactions have a low share of loans in arrears over 90 days at below 0.5% of outstanding pool balance as of the latest reporting dates. They are also protected by substantial seasoning of the portfolios of over 18 years and low current loan-to-value ratios below 30%. The transactions' cumulative default balances are also very limited at below 2%.

Ratings Capped by Counterparty Risks: The affirmations of Genova X senior class notes at 'A+sf' with Stable Outlook reflect the 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.

Genova VII class C notes' rating is capped at the transaction account bank (TAB) provider's - Societe Generale S.A - 'A' deposit rating. This reflects the excessive counterparty dependence on the account bank holding the cash reserves that are a material source of credit enhancement (CE) for the notes. A sudden loss of these funds would result in a material reduction in CE available to these notes and a multiple-notch downgrade, in accordance with ���������ֳ�'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. This reflects the mandatory sequential amortisation of the notes on AyT Genova Hipotecario VII and VIII, and pro-rata amortisation after tranche thickness (defined as note balance as a share of total notes balance) targets on Ayt Genova IX and AyT Genova X have been met. They also reflect the transactions' non-amortising reserve funds being at their absolute floors.

Moreover, for the pro-rata amortising transactions, a mandatory switch-back to sequential will occur once the portfolio reaches 10% of its initial portfolio balance (currently at around 13%-14%).

Genova X's class A2 and B notes' ratings are capped by 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 VII's class A2 notes and Genova VIII's class A2 and B notes, a downgrade to Spain's Long-Term Issuer Default Rating (IDR) would decrease the maximum achievable rating for Spanish structured finance transactions and lead to a corresponding downgrade of the relevant notes. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR.

In addition, ���������ֳ� found that 15% increase in weighted average foreclosure frequency (WAFF) would lead to downgrades across all transactions of no more than one notch.

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

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

For Genova VII class C notes, an upgrade of the SPV TAB's long-term deposit rating could trigger a corresponding upgrade of the notes, provided CE is sufficient to withstand the stresses associated with the higher rating. This is because the notes' ratings are capped at the TAB's rating, given the excessive counterparty risk exposure.

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% would lead to upgrades of no more than one notch of the notes.

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

Genova VII class C notes´ratings are directly linked to their TAB's long-term deposit rating due to excessive counterparty dependence.

ESG Considerations

Genova X 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.

The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' 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. ���������ֳ�'s ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on ���������ֳ�'s ESG Relevance Scores, visit /topics/esg/products#esg-relevance-scores.

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, v3.2.0 (1)

ADDITIONAL DISCLOSURES

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

ENDORSEMENT STATUS