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


  • We have reviewed AyT Genova Hipotecario VI following the expansion of the global RMBS criteria's scope to include Spain, among other countries.
  • Following our review of AyT Genova Hipotecario VI 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 VI is a Spanish RMBS transaction that closed in June 2005 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 VI Fondo de Titulizacion Hipotecaria's class B, C, and D notes to 'AAA (sf)', 'AAA (sf)', and 'AA (sf)', from 'AA+ (sf)', 'AA- (sf)', and 'BBB (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 5.14 2.00 0.10
AA 3.50 2.00 0.07
A 2.68 2.00 0.05
BBB 2.03 2.00 0.04
BB 1.35 2.00 0.03
B 0.87 2.00 0.02
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Loan-level arrears are low at 0.02%. Overall delinquencies remain well below our Spanish RMBS index (see "Related Research").

Our analysis considers the transaction's sensitivity to the potential repercussions of the coronavirus outbreak. Of the pool, as of the end of January 2021, 4.9% of loans are on payment holidays under the Spanish sectorial moratorium schemes, and the proportion of loans with either legal or sectorial payment holidays has remained in line with 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 VI has increased slightly since our previous full review because the notes' amortization switched between pro rata and sequential. All of the conditions to pay pro rata are met except the reserve fund condition that sometimes is slightly below the target level due to the level of available excess spread and the fact that the reserve fund tops up after the repayment of principal. Currently, the reserve fund is at 98% of its required level and the transaction is paying sequentially.

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

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: 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;
Secondary Contact:Filip Paprocki, London;

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