���������ֳ�

���������ֳ� - Madrid - 29 Jan 2025: ���������ֳ� has upgraded seven tranches and affirmed the rest of four AyT Genova Hipotecario Spanish RMBS transactions. ���������ֳ� has removed all tranches from Under Criteria Observation.

Transaction Summary

The RMBS transactions are Spanish residential mortgage securitisations serviced by CaixaBank, S.A. (A-/Stable/F2) and originated by Barclays Bank, S.A. between 2005 and 2007.

KEY RATING DRIVERS

European RMBS Criteria Updated: The rating actions reflect ���������ֳ�'s updated European RMBS Rating Criteria, which adopted a non-indexed current loan-to-value (LTV) approach to derive the base foreclosure frequency (FF) on the portfolio, instead of the original LTV approach applied before.

Another relevant change under the new criteria is the updated loan level recovery rate cap of 85%, lower than the 100% before. For the four transactions, the credit analysis is driven by the minimum portfolio loss vector (e.g. 5% at the 'AAA' rating case). For more information see "���������ֳ� Updates European RMBS Rating Criteria; Sets FF and HPD Assumptions" dated 30 October 2024.

Stable Asset Performance Expectation: 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 (below 0.5% of outstanding pool balance as of the latest reporting dates) and are protected by substantial seasoning of the portfolios of around 18 years and low current LTV ratios below 25%. The transactions' cumulative default balances are also limited, below 2% relative to the initial pool balances.

Ratings Capped by Counterparty Risks: Genova X's maximum achievable rating remains at 'A+sf' due to the transaction account bank (TAB) minimum eligibility ratings being set at 'BBB+' and 'F2', which are not compatible with 'AAsf' or 'AAAsf' rating categories as per ���������ֳ�'s Counterparty Criteria.

The maximum achievable rating for Genova VII's class C notes, Genova VIII's class D notes, Genova IX's class C and D notes and Genova X's class D notes is equivalent to the respective TAB deposit rating (Societe Generale S.A.; A-/Stable/F1, long-term deposits 'A' for Genova VII, VIII and IX and CaixaBank, S.A.; A-/Stable/F2, long-term deposits 'A' for Genova X). This is because the cash reserves held at the TAB represent a material source of credit enhancement (CE) for the notes, and simulating the sudden loss of these funds would imply a model-implied downgrade of 10 or more notches in accordance with ���������ֳ�'s 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 Genova VII, VIII and X's notes, and pro-rata amortisation for Genova IX with a non-amortising reserve fund that remain at the absolute floor. CE ratios for Genova IX will increase more rapidly once the portfolio factor reaches 10% of its initial pool balance (currently at around 12%) when a switch to mandatory sequential amortisation of the notes will be activated.

Genova X's class A2 and B notes' ratings are limited due to the TAB eligibility thresholds. The TAB eligibility triggers have been changed during the life of the transaction; the initially defined eligibility triggers of 'A' and 'F1' as of closing date were modified to 'BBB+' and 'F2' in March 2016, which has a negative impact on the credit profile, and is highly relevant to the rating.

RATING SENSITIVITIES

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

- For the notes rated 'AAAsf, a downgrade of 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 Genova VII and Genova IX's class C notes and Genova VIII's class D notes, a downgrade of the TAB provider's deposit rating as the notes are rated at their maximum achievable rating due to excessive counterparty risk exposure.

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

- Tranches rated 'AAAsf' cannot be upgraded as they are at the highest level on ���������ֳ�'s scale

- For Genova VII and Genova IX's class C notes, an upgrade of the TAB long-term deposit rating could trigger a corresponding upgrade of the notes. This is because their ratings are capped at the TAB rating due to excessive counterparty risk.

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

AyT Genova Hipotecario IX, FTH, AyT Genova Hipotecario VII, FTH, AyT Genova Hipotecario VIII, FTH, AyT Genova Hipotecario X, FTH

���������ֳ� 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 transaction's 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 and Genova IX's class C notes and Genova VIII's class D notes' ratings are directly linked to their TAB's long-term deposit rating due to excessive counterparty dependence.

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'. The TAB eligibility triggers have been changed during the life of the transaction with a material impact to the ratings; the initially defined eligibility triggers of 'A' and 'F1' as of closing date were modified to 'BBB+' and 'F2' in March 2016.

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, v3.4.0 (1)
• ResiGlobal Model: Europe, v1.11.0 (1)

ADDITIONAL DISCLOSURES

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

ENDORSEMENT STATUS