OREANDA-NEWS. Fitch Ratings has affirmed four tranches of AyT Genova Hipotecario X, FTH a Spanish prime RMBS comprising loan originated and serviced by Barclays Bank, S.A., which is fully owned by CaixaBank S.A. (BBB/Positive/F2). The class A2 and B notes have been removed from Rating Watch Negative (RWN) following affirmation.

The rating actions are as follows:

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

KEY RATING DRIVERS

Payment Interruption Risk Adequately Mitigated
The removal of RWN on the class A2 and B notes follows the introduction of a dedicated cash reserve aimed at mitigating payment interruption risk on the securitised notes in the event of servicer disruption. Fitch considers this cash reserve to sufficiently mitigate the cash flow stresses commensurate with the current ratings of the notes. This dedicated cash deposit is dynamically sized every quarterly payment date to cover three months of stressed senior classes A2 and B due interest amounts, SPV swap payments and SPV senior expenses.

Stable Arrears Performance
The affirmations reflect the robust performance of the underlying portfolio of residential mortgage loans. As of the latest reporting period in March 2015, three-month plus arrears stood at 0.6% of the current pool balance, which is below Fitch's three-month plus arrears Spanish RMBS index of 1.7%. Fitch expects to see a continuation of the robust performance due to a more stable macroeconomic environment and the prime quality of the underlying portfolio, and consequently has assigned a Stable Outlook to the senior class A2 and B notes.

Loan Modifications
The portfolio comprises 4% of loans that have been subject to modifications, of which the majority is linked to maturity extensions. Fitch sees a weaker credit profile on borrowers who formalise a loan modification compared with those who maintain initial loan terms at all times, and therefore applies an incremental default probability to such modified loans when estimating the credit loss rates on the portfolio.

The Negative Outlook on junior class C and D notes captures the incremental credit risk linked to loan modifications, and indicates that the ratings could be downgraded if credit protection available to these notes should prove insufficient to withstand the credit and cash flow stresses attached to the current rating levels.

RATING SENSITIVITIES

Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and reserve funds could result in negative rating action, particularly at the lower end of the capital structure.