OREANDA-NEWS. Fitch Ratings has downgraded four and affirmed three tranches of AyT Genova Hipotecario XI and AyT Goya Hipotecario III and V Spanish RMBS. A full list of rating actions is at the end of this commentary.

The transactions comprise loans originated and serviced by Barclays Bank SAU, which is now fully owned by CaixaBank SA (BBB/Positive/F2).

KEY RATING DRIVERS
Downgrades Driven by Lower Counterparty Triggers
Barclays Bank SAU and the SPV trustee, as the contractual parties to the SPV bank account agreements in all three deals and swap agreement in AyT Goya V, have replaced the counterparty trigger definition within the contracts to 'BBB'/'F2' from 'A/F1'.

Fitch considers this new counterparty trigger definition is not compatible with the eligibility rating for direct support counterparties in the 'AAsf' rating category, as per its counterparty criteria. Consequently, Fitch has downgraded the senior most tranches of the transactions to 'A-sf' and removed them from Rating Watch Negative (RWN).

While the 'BBB'/'F2' trigger definition captured within the transaction documents is marginally outside the 'BBB+'/'F2' definition as per our counterparty criteria, Fitch considers the 'BBB'/'F2' to be sufficiently robust to support a maximum rating of 'A-sf'.

CaixaBank announced on 2 January 2015 the full acquisition of Barclays Bank SAU shares from Barclays Bank Plc (A/Stable/F1).

Stable Arrears Performance
The affirmations reflect the robust performance of the underlying assets. As of the latest reporting periods, three-month plus arrears (excluding defaults) stood at 1.0% of the current pool balance in AyT Goya V, 1.12% in AyT Goya III and 1.31% in AyT Genova XI, which are below Fitch's three-month plus arrears Spanish RMBS index of 1.7%. Fitch expects a continuation of the good performance due to the more stable macroeconomic environment.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the increasing effects of unemployment. An increase in new defaults and associated pressure on excess spread levels and reserve funds beyond Fitch's expectations could result in negative rating action.

The rating actions are as follows:
AyT Genova Hipotecario XI
Class A2 (ES0312302013) downgraded to 'A-sf' from 'AA-sf'; off RWN, Outlook Stable
Class B (ES0312302021) downgraded to 'A-sf' from 'Asf'; off RWN, Outlook Stable
Class C (ES0312302039) affirmed at 'BBB+sf'; Outlook Stable
Class D (ES0312302047) affirmed at 'BBBsf'; Outlook Stable

AyT Goya Hipotecario III
Class A (ES0312274006) downgraded to 'A-sf' from 'AA+sf'; off RWN, Outlook Stable
Class B (ES0312274014) affirmed at 'BBB+sf'; off RWN, Outlook Stable

AyT Goya Hipotecario V
Class A (ES0312276001) downgraded to 'A-sf' from 'AA+sf'; off RWN, Outlook Stable