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AyT Genova Hipotecario IX Spanish RMBS Ratings Raised On Three Classes Following Criteria Revision; One Affirmed

Overview

  • We have reviewed AyT Genova Hipotecario IX following the expansion of the global RMBS criteria's scope to include Spain, among other countries.
  • Following our review of AyT Genova Hipotecario IX we have raised our ratings on the class B, C, and D notes. At the same time, we have affirmed our rating on the class A2 notes.
  • AyT Genova Hipotecario IX is a Spanish RMBS transaction that closed in 2006 originated by Barclays and currently serviced by CaixaBank, which acquired Barclays' operations in Spain in 2015.

MADRID (S&P Global Ratings) April 15, 2021--S&P Global Ratings today raised its credit ratings on AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria's class B, C and D notes to 'AAA (sf)', 'AA (sf)', and 'BBB+ (sf)', from 'A+ (sf)', 'BBB+ (sf)', and 'BB (sf)', respectively. At the same time, we have affirmed our 'AAA (sf)' rating on the class A2 notes.

Today's upgrades follow the implementation of our revised criteria and assumptions for assessing pools of Spanish residential loans (see "Related Criteria"). They also reflect our full analysis of the most recent information that we have received and the transaction's current structural features.

Upon expanding our global RMBS criteria to include Spanish transactions, we placed our ratings on the class B, C, and D notes under criteria observation. Following our review of the transaction's performance and the application of our updated criteria for rating Spanish RMBS transactions, the ratings are no longer under criteria observation.

Our weighted-average foreclosure frequency (WAFF) assumptions have decreased due to the calculation of the effective loan-to-value (LTV) ratio, which is based on 80% original LTV (OLTV) ratio and 20% current LTV (CLTV) ratio. Under our previous criteria, we only used the OLTV ratio. In addition, our weighted-average loss severity assumptions (WALS) have decreased, due to lower CLTV ratio and lower market value declines.

Table 1

Credit Analysis Results
Rating WAFF (%) WALS (%) Credit coverage (%)
AAA 6.36 2.00 0.13
AA 4.45 2.00 0.09
A 3.49 2.00 0.07
BBB 2.73 2.00 0.05
BB 1.93 2.00 0.04
B 1.37 2.00 0.03
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Loan-level arrears are low at 0.39%. Overall delinquencies remain well below our Spanish RMBS index (see "Related Research").

There are interest deferral triggers in this transaction, based on gross cumulative defaults, to allow for deferral of interest junior in the waterfall if the transaction's performance deteriorates. The triggers are set at 7%, 5%, and 4% for the class B, C, and D notes, respectively. Currently, the level of gross cumulative defaults as a percentage of the closing pool balance is 1.22%. We expect the interest deferral trigger to be ratings remote in our analysis.

Our analysis also considers the transaction's sensitivity to the potential repercussions of the coronavirus outbreak. Of the pool, as of end of January 2021, 5.9% of loans are on payment holidays under the Spanish sectorial moratorium schemes, and the proportion of loans with either legal or sectorial payment holidays is slightly higher than the market average (below 5%). The government approved a new payment holiday scheme available until March 31, 2021, where the payment holidays could last up to three months, therefore current figures might increase . In our analysis, we considered the potential effect of this scheme extension and the risk the payment holidays could present should they become arrears or defaults.

Our operational, sovereign, counterparty, and legal risk analyses remain unchanged since our previous review. Therefore, the ratings assigned are not capped by any of these criteria.

Credit enhancement available in AyT Genova Hipotecario IX has increased slightly since our previous full review because the notes pay pro rata with the reserve fund at its required level.

We have raised to 'AAA (sf)', 'AA (sf)', and 'BBB+ (sf)', from 'A+ (sf)', 'BBB+ (sf)', and 'BB (sf)', our ratings on the class B, C, and D notes, respectively. The ratings on the classes C and D notes could withstand stresses at a higher rating than those currently assigned. However, we have limited our upgrades based on their overall credit enhancement, the current weak macroeconomic environment, their sensitivities to a more severe economic scenario where payment holidays could become defaults, and the sensitivity to the recoveries on previously defaulted asset.

At the same time, we have affirmed our 'AAA (sf)' rating on the class A2 notes.

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

Related Criteria

Related Research

Primary Credit Analyst:Fabio Alderotti, Madrid + 34 91 788 7214;
fabio.alderotti@spglobal.com
Secondary Contact:Filip Paprocki, London;
filip.paprocki@spglobal.com

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