OREANDA-NEWS. Fitch Ratings has placed 4 Spanish and 1 Portuguese RMBS tranches on Rating Watch Positive (RWP). The rating action follows the publication of the Counterparty Criteria for Structure Finance and Covered Bonds (Counterparty Criteria) on 18 July 2016 and incorporates notes previously capped for payment interruption or account bank exposure.

A full list of ratings can be found at the end of this commentary.

KEY RATING DRIVERS

Revision to the Definition of Eligible Counterparty

The Criteria updates includes a change in the definition of eligible counterparties as it states that for notes rated up to 'A+' a direct support counterparty may have a rating of BBB or F2; as a result Fitch has placed the class A of AyT Genova Hipotecario XI, a Spanish RMBS transaction, on RWP while a full credit analysis is conducted.

Revision of the Exposure to Payment Interruption

The updated Counteprarty Criteria specifies that for notes rated in the Asf category or below, payment interruption risk is generally mitigated if the collection bank long term rating is within five notches of the structured finance rated note and the account holder is a regulated bank in developed markets. As a result, Fitch has placed the class A notes of AyT Kutxa Hipotecario II, Hipocat 8 (two Spanish RMBS transactions) and the class A and B notes of HipoTotta 4 (a Portuguese RMBS transaction) on RWP while a full credit analysis is conducted.

RATING SENSITIVITIES

Fitch will assess the effect of the Counterparty Criteria changes on the ratings of the transactions. The analysis may result in either upgrades or affirmations of tranches that are placed on RWP. All ratings will be reviewed within the next six months.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has not checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions, as this rating action was the result of Fitch's criteria revision and therefore no performance data was used for the purpose of this action.

Sources of Information:

This rating action was the result of Fitch's criteria revision and therefore no transaction information was collected or reviewed for the purpose of this action.

Model

This rating action was the result of Fitch's criteria revision and therefore no models were used for the purpose of this action.

Fitch has taken the following rating actions:

AyT Genova Hipotecario XI

Class A2 (ES0312302013) 'A-sf'; placed on RWP

AyT Kutxa Hipotecario II

Class A (ES0370154009) 'Asf' ; placed on RWP

Hipocat 8, Fondo de Titulizacion de Activos:

Class A2 (ISIN ES0345784013) 'Asf'; placed on RWP

HipoTotta No. 4 Plc

Class A (ISIN XS0237370605): 'Asf'; placed on RWP

Class B (ISIN XS0237370787): 'Asf'; placed on RWP