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���������ֳ� - Madrid - 18 Oct 2023: ���������ֳ� has upgraded AyT Genova Hipotecario VII, FTH's (Genova VII) class C notes, AyT Genova Hipotecario VIII, FTH's (Genova VIII) class B, C and D notes, AyT Genova Hipotecario IX, FTH's (Genova IX) class C and D notes and AyT Genova Hipotecario X, FTH's (Genova X) class C and D notes. The remaining tranches have been affirmed. A full list of rating actions is below.

Transaction Summary

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

KEY RATING DRIVERS

Resilient Asset Performance: The rating actions reflect the stable asset performance of the securitised portfolios. The share of loans in arrears over 90 days is fairly low, at less than 0.5% of the current portfolios balance as of the latest reporting periods. ���������ֳ� deems the current levels of credit enhancement (CE) for the transactions sufficient to absorb potential downsides that may arise in an environment of moderate asset deterioration.

Ratings Capped by Counterparty Risks: The affirmation of Genova X's classes A2 and B notes at 'A+sf'/Stable reflects 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's class C notes' rating is capped at the transaction account bank provider's deposit rating (Societe Generale S.A.; A-/Positive/F1, long-term deposits 'A') as the cash reserves held at this entity represent a material source of CE for the notes. The rating cap reflects the excessive counterparty dependence on the account bank holding the cash reserve as the 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 prevailing sequential amortisation of Genova VIII and IX's notes, and pro-rata with tranche thickness targets on Genova VII and Genova X, which have been met, and the non-amortising reserve funds that are at their absolute floors.

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 target class B, C and D balances as a share of total note balance are met (i.e. tranche thickness targets, defined as double the initial size). This switch to pro-rata is subject to performance triggers, such as the reserve funds being at their target amounts, which have been historically below for Genova VIII and Genova IX. A mandatory switch-back to sequential will occur once the portfolio factors reach 10% of initial principal balance (currently between 11% for Genova VII and 16% for Genova X).

Genova X's class A2 and B notes' ratings are limited 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 VII's class A2 and Genova VIII's class A2 and B notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions may result in 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 VII's class C notes, a downgrade of Societe Generale S.A.'s long-term deposit rating may result in a downgrade, as the rating is capped due to excessive counterparty risk exposure.

In addition, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to 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 the weighted average (WA) FF and a 15% decrease in the WARR indicate downgrades of up to three notches for the notes.

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

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

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 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's class C notes' rating is capped at the deposit rating of Societe Generale S.A.

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, 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, v2.13.1 (1)

ADDITIONAL DISCLOSURES

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

ENDORSEMENT STATUS