OREANDA-NEWS. Fitch Ratings has affirmed 27 tranches, downgraded two tranches and revised the Outlook to Stable from Negative on two tranches of nine AyT Genova transactions. Fitch has also affirmed one tranche and upgraded eight tranches of GAT ICO-FTVPO 1. A full list of rating actions is at the end of this commentary.

The Genova series of Spanish RMBS transactions comprise loans originated by Barclays Bank SAU and serviced by CaixaBank, S.A. (BBB/Positive/F2) while the GAT deal was originated by Catalunya Banc (now part of BBVA Group (A-/Stable/F2)), Caixa Penedes (now part of Banco Mare Nostrum (BB+/Stable/B)) and Unnim Banc (part of BBVA Group).

KEY RATING DRIVERS
Counterparty Exposure
The reserve fund is the only source of credit enhancement for AyT Genova Hipotecario III and IV's class B notes. As a result, the agency has capped the notes' ratings at the Long-term Issuer Default Rating of the account bank (Societe Generale (A/Stable/F1), as reflected in their downgrade.

Sound Asset Performance
To date, the volume of defaulted mortgages, defined as loans with at least 18 unpaid instalments (12 for GAT ICO), remains limited to less than 1.6% of the initial pool, while the late-stage arrears (loans with at least three instalments unpaid) are reported below 0.9% of the current pool balance. Both metrics are far below Fitch's indices, which currently stand at 5.08% and 1.42%, respectively. Fitch believes that this is mainly driven by the high seasoning, and low current average loan-to-value ratio (less than 45%) of the underlying mortgages.

The underlying pool of GAT ICO-FTVPO 1 comprises loans backed by Viviendas de Proteccion Oficial (VPO) properties. These properties are part of social housing programmes (VPO programmes) and are sold below market price to low income borrowers that meet certain eligibility criteria. The prices of the VPO properties are regulated by the Spanish government and VPO borrowers are eligible to obtain government sponsorship in the form of partial (up to 20%) subsidy to the monthly instalment. Currently, 36% of the underlying pool benefits from a government monthly subsidy within the VPO scheme. In Fitch's opinion, this further incentivises the borrowers to remain current.

Low Excess Spread
The structures of the Genova transactions generate limited gross excess spread, which is on average 12bp (per annum) of the outstanding portfolio balance. While the cash flows generated by the structures in the more seasoned deals (AyT Genova III, IV, VI, VII and VIII) have so far been sufficient to fully provision for defaulted loans and ensure reserve fund draws remain limited, if any, this has not been the case in the more recent transactions. The reserve funds of AyT Genova X, XI and XII are presently between 65% and 88% of their target amounts.

Fitch has taken into account the gross excess spread available in each transaction when assessing the overall credit profile of the rated notes. The agency has maintained a Negative Outlook on the junior tranche of AyT Genova X, reflecting its expectations of possible future reserve fund draws.

Loan Modifications
The Genova portfolios comprise loans that have been subject to modifications, ranging between 0.2% (Genova IV) and 7.9% (Genova VIII) of the current portfolio. To account for the weaker credit profile of these borrowers, Fitch has applied additional default probability stresses. The analysis showed that in most cases the recovery levels needed to maintain the notes' ratings can sustain significant stress levels, which is reflected in the rating actions.

Subsidy Interruption
In its analysis of GAT ICO, Fitch tested potential interruption of the government subsidy by assigning a higher probability of default to subsidised loans. The analysis showed that the credit enhancement was sufficient to withstand these stresses.

RATING SENSITIVITIES
A worsening of the Spanish macroeconomic environment, especially employment conditions, or an abrupt shift in interest rates could jeopardise the ability of the underlying borrowers to meet their payment obligations. Fitch may also take negative rating action if draws on the reserve fund occur on the next payment dates and are in excess of our assumptions, as this may compromise credit protection for the junior classes.

The agency notes that AyT Genova VIII is exposed to the largest shares of modified loans (7.9%) and therefore is the most exposed to adverse macroeconomic changes.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch 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.

Fitch 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 Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch'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.

Sources of Information:
-Issuer and Servicer reports provided by:
-Haya titulizacion, SGFT, S.A . for all Genova deals since close and until the following dates:
-May 2015 for AyT Genova VIII
-June 2015 for Ayt Genova VII, X and XII
-July 2015 for AyT Genova III, VI and IX
-August 2015 for AyT Genova IV and XI

-Gestion de Activos Titulizados SGFT, S.A. for GAT-ICO FTVPO 1 since the close and until July 2015

-Loan Level Data provided by Haya Titulizacion SGFT, S.A and sourced from the European Data Warehouse and the cut-off dates were:
30 April 2015 for Genova III, IV, VIII and XI
08 July 2015 for Genova IX and VI
08 June 2015 for Genova VII, X and XII
-Loan Level Data provided by Gestion de Activos Titulizados SGFT, S.A and received by email on:
22 June 2015 for GAT-ICO FTVPO 1

-Maturity extension provided by Haya Titulizacion S.G.F.T, S.A with a cut-off date of 28 February 2015 for all Genova deals.

Models
The EMEA RMBS Surveillance model below was used in the analysis. Click on the link for a description of the model.

The rating actions are as follows:

AyT Genova Hipotecario III
Class A (ES0370143002) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0370143010) downgraded to 'Asf' from 'AA-'; Outlook Stable

AyT Genova Hipotecario IV
Class A (ES0370150007) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0370150015) downgraded to 'Asf' from 'AA-'; Outlook Stable

AyT Genova Hipotecario VI
Class A2 (ES0312349014) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0312349022) affirmed at 'AAsf'; Outlook Stable
Class C (ES0312349030) affirmed at 'A+sf'; Outlook Stable
Class D (ES0312349048) affirmed at 'BBBsf'; Outlook Stable

AyT Genova Hipotecario VII
Class A2 (ES0312343017) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0312343025) affirmed at 'AAsf'; Outlook Stable
Class B (ES0312343033) affirmed at 'A-sf'; Outlook Stable

AyT Genova Hipotecario VIII
Class A2 (ES0312344015) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0312344023) affirmed at 'AAsf'; Outlook Stable
Class C (ES0312344031) affirmed at 'Asf'; Outlook Stable
Class D (ES0312344049) affirmed at 'BB+sf'; Outlook Stable

AyT Genova Hipotecario IX
Class A2 (ES0312300017) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0312300025) affirmed at 'AA-sf'; Outlook Stable
Class C (ES0312300033) affirmed at 'BBB+sf'; Outlook Stable
Class D (ES0312300041) affirmed at 'BBsf'; Outlook revised to Stable from Negative

AyT Genova Hipotecario X
Class A2 (ES0312301015) affirmed at 'AA-sf'; Outlook Stable
Class B (ES0312301023) affirmed at 'A+sf'; Outlook Stable
Class C (ES0312301031) affirmed at 'BBB-sf'; Outlook revised to Stable from Negative
Class D (ES0312301049) affirmed at 'Bsf'; Outlook Negative

AyT Genova Hipotecario XI
Class A2 (ES0312302013) affirmed at 'A-sf'; Outlook Stable
Class B (ES0312302021) affirmed at 'A-sf'; Outlook Stable
Class C (ES0312302039) affirmed at 'BBB+sf'; Outlook Stable
Class D (ES0312302047) affirmed at 'BBBsf'; Outlook Stable

AyT Genova Hipotecario XII
Class A (ES0312285002) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0312285010) affirmed at 'Asf'; Outlook Stable

GAT ICO-FTVPO 1
Class AG (ISIN ES0341068007) affirmed at 'AA+sf'; Outlook Stable
Class B (CA) (ISIN ES0341068015) upgraded to 'A+sf' from 'Asf'; Outlook Stable
Class B (CM) (ISIN ES0341068023) upgraded to 'A+sf' from 'Asf'; Outlook Stable
Class B (CP) (ISIN ES0341068031) upgraded to 'A+sf' from 'Asf'; Outlook Stable
Class B (CT) (ISIN ES0341068049) upgraded to 'A+sf' from 'Asf'; Outlook Stable
Class C (CA) (ISIN ES0341068056) upgraded to 'BBB+sf' from 'BBBsf'; Outlook Stable
Class C (CM) (ISIN ES0341068064) upgraded to 'BBB+sf' from 'BBBsf'; Outlook Stable
Class C (CP) (ISIN ES0341068072) upgraded to 'BBB+sf' from 'BBBsf'; Outlook Stable
Class C (CT) (ISIN ES0341068080) upgraded to 'BBB+sf' from 'BBBsf'; Outlook Stable.