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���������ֳ� - Madrid - 17 May 2024: ���������ֳ� has upgraded three tranches of four Spanish AyT Colaterales Global Hipotecario RMBS transactions and affirmed the others.

Transaction Summary

The transactions are static securitisations of Spanish residential mortgages serviced by Kutxabank S.A. (BBB+/Stable/F2) for AyT Colaterales Global Hipotecario, FTA Serie BBK I, AyT Colaterales Global Hipotecario, FTA Serie BBK II and AyT Colaterales Global Hipotecario, FTA Serie Vital I, and Unicaja Banco S.A. (BBB-/Positive/F3) for AyT Colaterales Global Hipotecario, FTA Serie Caja Cantabria I.

KEY RATING DRIVERS

Updated Interest Deferability Rating Approach: The upgrade of Cantabria I's class B notes reflects the update of ���������ֳ�'s Global Structured Finance Rating Criteria on 19 January 2024 in relation to interest deferability, which previously capped the ratings at 'A+sf'.

The removal of the deferral cap under the new criteria reflects our assessment that interest deferability is permitted under transaction documentation for all rated notes, including a defined mechanism for the repayment of deferred amounts, and does not constitute an event of default. It also reflects our view that interest deferrals will be fully recovered by the legal maturity date and that deferrals are a common structural feature in Spanish RMBS. Nevertheless, our analysis shows that Cantabria I's class B notes could defer interests for around two years and be recovered ahead of the notes' legal final maturity date.

Increasing Credit Enhancement: The notes are sufficiently protected by credit enhancement (CE) to absorb projected losses at their respective ratings. For Vital I and BBK I, we expect structural CE to continue increasing given the prevailing sequential amortisation of the notes and, in the case of Vital I, the static reserve fund (RF) as it is at its floor level supporting the upgrade of the class B notes.

BBK I and BBK II are unhedged, with fixed-rate liabilities and floating-rate portfolios mostly linked to 12-m Euribor index, but current and projected CE protection for the rated notes is sufficient to mitigate the associated cash flow risks. Under the current stable rates environment, the difference between floating-rate assets and fixed-rate liabilities is providing excess spread to help gradually replenish their RFs and provide additional CE. This is reflected in the upgrade of the class B notes of BBK II.

Payment Interruption Risk Mitigated: ���������ֳ� views payment interruption risk (PIR) all transactions as mitigated in a servicer disruption. We deem the available structural mitigating factor of a cash RF sufficient to cover stressed senior fees and senior notes interest while an alternative servicer arrangement is implemented.

Excessive Counterparty Exposure: Cantabria I's class D notes' rating is capped at the transaction account bank's (TAB) deposit rating (Banco Santander S.A., A-/Stable/F2, deposit rating A/F1) as the RF is the only source of CE for this tranche. Similarly, BBK II´s class B notes rating upside may also be limited by the TAB´s deposit rating as the RF represents a material share of its CE.

RATING SENSITIVITIES

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

For senior notes rated at 'AAA', a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions and a downgrade of the notes. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR.

Long-term asset performance deterioration such as increased delinquencies or larger defaults, which could be driven by adverse changes to macroeconomic conditions, interest-rate increases or borrower behavior. Higher inflation, larger unemployment and lower economic growth could affect the borrowers' ability to pay its mortgage debt. For instance, an increase of defaults and a decrease of recoveries by 15% each could trigger a downgrade of two notches for Vital I's class C notes and four notches for the class D notes.

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

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

For mezzanine and junior notes, CE ratios increase as the transactions deleverage, able to fully compensate the credit losses and cash flow stresses commensurate with higher ratings, all else being equal, will result in upgrades. ���������ֳ� found that a decrease in the weighted average foreclosure frequencies of 15% and an increase in the weighted average recovery rate of 15% would result in an upgrade of three notches for Vital I's class D notes and up to four notches for its class C 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

Cantabria I's class D notes are capped and linked to the TAB's deposit rating as they are exposed to excessive counterparty risk.

ESG Considerations

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, v3.1.1 (1)
• ResiGlobal Model: Europe, v1.8.11 (1)

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