DBRS Confirms Ratings on AyT Goya Hipotecario IV and V, Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has today confirmed the ratings of the Series A and Series B notes issued by two Spanish residential mortgage-backed securities transactions, AyT Goya Hipotecario IV, Fondo de Titulización de Activos (AyT Goya IV) and AyT Goya Hipotecario V, Fondo de Titulización de Activos (AyT Goya V), as follows:

AyT Goya IV:
-- Class A Mortgage-Backed Floating Rate Securitisation Notes confirmed at AA (sf)
-- Class B Mortgage-Backed Floating Rate Securitisation Notes confirmed at BBB (high) (sf)

AyT Goya V:
-- Series A notes confirmed at AA (sf).
-- Series B notes confirmed at BBB (high) (sf).

The confirmations follow an annual review of the transactions and are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults as of the March 2017 payment dates.
-- Updated portfolio default rate (PD), loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current credit enhancement available to the Series A and Series B notes in both transactions to cover the expected losses at the AA (sf) and BBB (high) (sf) rating levels.

The ratings on the Series A and Series B notes address the timely payment of interest and full payment of principal by the legal maturity date.

AyT Goya IV and AyT Goya V closed in 2011 and are securitisations of Spanish prime residential mortgages originated and serviced by CaixaBank S.A. (previously Barclays Bank S.A./Spain).

PORTFOLIO PERFORMANCE
The performances of the mortgage portfolios in the two transactions are within DBRS’s expectations. As of March 2017, loans more than 90 days delinquent as a percentage of the outstanding performing portfolio balance were at 0.43% and 0.29% for AyT Goya IV and AyT Goya V, respectively, and in line with the levels 12 months ago. The cumulative defaulted loans as a percentage of the original portfolio balances at the transaction closings have increased slightly from last year to 1.45% and 0.99% for AyT Goya IV and AyT Goya V, respectively.

PD AND LGD ASSUMPTIONS
At the AA (sf) rating level, the updated PD and LGD are r17.52% and 37.67% for AyT Goya IV, respectively, and 16.44% and 28.79% for AyT Goya V, respectively.

CREDIT ENHANCEMENT AVAILABLE
The credit enhancement (CE) available to the Series A and Series B notes in the two transactions have increased as the transactions continue to deleverage. The CE increased to 38.79% for AyT Goya IV and to 40.53% for Ayt Goya V. CE is provided through subordinated notes and a cash reserve.

CaixaBank SA acts as Account Bank (as holder of the Treasury Account) for both transactions. The Account Bank reference rating of “A,” which is one notch below the DBRS Long-Term Critical Obligations Rating (COR) of CaixaBank SA at A (high), complies with the Minimum Institution Rating, given the rating assigned to the Series A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Banco Santander SA and CaixaBank SA are the swap counterparty for AyT Goya IV and AyT Goya V, respectively. The DBRS CORs of Banco Santander SA and CaixaBank SA are above the First Rating Threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology.”

DBRS has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

On 21 December 2016, the Swap Counterparty of AyT Goya IV was replaced by Banco Santander SA from Barclays Bank PLC, Sucursal en España. DBRS reviewed the related amended documents. A review of any other transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions.

Other methodologies referenced in this transactions are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for the ratings include the investor reports provided by Haya Titulización S.G.F.T., S.A.U. and the loan-by-loan data from European Data Warehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating actions on these transactions took place on 2 June 2016, when DBRS upgraded the ratings on the Series A notes to AA (sf) from A (high) (sf) and the Series B notes to BBB (high) (sf) from B (sf).

The lead analyst responsibilities for these transactions have been transferred to Antonio Di Marco.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transactions parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings (the Base Case):

-- DBRS expected a lifetime Base Case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to Base Case assumptions and therefore have a negative effect on credit ratings.

-- The Base Case PD and LGD of the AyT Goya IV pool of mortgages are 3.39% and 20.79%, respectively. At the AA (sf) rating level, the corresponding PD is 17.52% and the LGD is 37.67%.

-- The Base Case PD and LGD of the AyT Goya V pool of mortgages are 2.77% and 10.46%, respectively. At the AA (sf) rating level, the corresponding PD is 16.44% and the LGD is 28.79%.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, with regard to AyT Goya IV, if the LGD increases by 50%, the rating on the Series A notes would be expected to be at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Series A notes would be expected to be at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Series A notes would be expected to be at AA (sf).

AyT Goya IV Series A notes Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

AyT Goya IV Series B notes Sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

AyT Goya V Series A notes Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

AyT Goya V Series B notes Sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President

AyT Goya IV
Initial Rating Date: 4 May 2011

AyT Goya V
Initial Rating Date: 29 December 2011

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrs.com/about/methodologies

-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.