DBRS Assigns Ratings to AyT Goya Hipotecario IV, Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has assigned a AAA (sf) rating to the Class A notes issued by AyT Goya Hipotecario IV, Fondo de Titulización de Activos, and a rating of B (sf) to the Class B notes issued by AyT Goya Hipotecario IV, Fondo de Titulización de Activos. The transaction is backed by prime, mostly variable rate, first-lien and second-lien mortgage loans secured by residential properties in Spain. They were originated and serviced by Barclays Bank S.A. The transaction size at closing is €1.3bn at its inception in June 2008. The size of the rated A note is €1,066,000,000 at closing and the Class B note is 234,000,000 as at closing.

AyT Goya Hipotecario IV, Fondo de Titulización de Activos has issued two classes of mortgaged-backed floating rate notes. The Class A is the most senior note in the structure and is supported by two classes of subordinated mortgage backed notes, the Class B notes. There is additional subordination below the Class B note in the form of a cash reserve. Total credit support for the Class A note stood at 23.00% of the note balance as at closing.

The transaction will not have a revolving period and principal will be paid sequentially except in the situation where certain performance triggers are met when principal can be paid pro-rata amongst the classes. The cash reserve fund at the time DBRS issued its rating stood at €65,000,000. The reserve fund can amortise when certain performance triggers are met.

Interest and principal payments on the notes will be made half yearly on the 15th day of March and September each year. The first payment date following the issuance of the DBRS rating will be on the 15th September 2011.

DBRS conducted loan-level credit analysis and cash flow analysis, as well as a historical performance review of Barclays Bank S.A’s mortgage portfolio dating back to 2004.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies with adjustments made for the Spanish mortgages and the originator- and servicer-specific historical performance. This is not a newly created financial instrument.

The sources of information used for this rating include data relating to the underlying mortgages provided by Banco De Sabadell S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on these ratings, please refer to the linking document located below.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 18 April 2011