OREANDA-NEWS. Fitch Ratings has downgraded AyT Genova Hipotecario X and AyT Genova Hipotecario XII. A full list of rating actions is at the end of this rating action commentary.

The Genova series of Spanish RMBS transactions comprise loans originated by Barclays Bank SAU and serviced by Caixabank, S.A. (BBB/Positive/F2).

KEY RATING DRIVERS
Account Bank and Trigger Modification
The transaction documents have been amended with a lower counterparty trigger for remedial actions of 'BBB'/F2' (previously A/F1), and substituting Societe Generale (A/Stable/F1) with Caixabank (BBB/Positive/F2) in its role as SPV account bank and paying agent. As a result, the agency has downgraded AyT Genova Hipotecario X's class A2 and B notes and AyT Genova Hipotecario XII's class A notes to 'A-sf'/Stable, which is the maximum rating level compatible with Fitch's Counterparty Criteria for Structured Finance and Covered Bonds.

While the new trigger is marginally outside the 'BBB+'/'F2' level for 'Asf' category ratings in the agency's criteria, Fitch considers it sufficiently robust to support a maximum achievable rating of 'A-sf' and in line with the spirit of the eligible counterparty definition.

Payment Interruption Risk
The collateral servicer, collection account bank (Caixabank) and the transaction trustee (Haya Titulizacion SGFT, SA) have also agreed to remove a dedicated cash reserve that was available in Genova X as a structural enhancement mechanism to mitigate any payment interruption risk in the event of servicer disruption. Without this liquidity protection mechanism, Fitch views the senior class A and B notes as exposed to the collection account bank's credit profile and their ratings are subject to a cap three notches higher than the bank rating.

The downgrade of Genova XII's class B notes to 'BBBsf' from 'Asf' is because the only layer of structural credit enhancement is from the transaction reserve fund, which is entirely maintained within the SPV account bank, and therefore exposed to excessive counterparty risk.

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.

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
- Investor reports provided by Haya Titulizacion, SGFT, S.A. as at December 2015.
- Updated transaction documentation provided by Haya Titulizacion, SGFT, S.A. as at 4 March 2016.

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 X
Class A2 (ES0312301015) downgraded to 'A-sf' from 'AA-sf'; Outlook Stable
Class B (ES0312301023) downgraded to 'A-sf' from 'A+sf'; Outlook Stable

AyT Genova Hipotecario XII
Class A (ES0312285002) downgraded to 'A-sf' from 'AA+sf'; Outlook Stable
Class B (ES0312285010) downgraded to 'BBBsf' from 'Asf' ; Outlook Stable