DBRS Downgrades Series A and Series B of AyT Caixanova Hipotecario I, FTA

DBRS Ratings Limited (“DBRS”) has today downgraded the rating on the following Notes issued by AyT Caixanova Hipotecario I, FTA and has removed the Notes from Under Review with Negative Implications:
• Series A downgraded from AA (low) (sf) to ‘A’ (sf)
• Series B downgraded from BBB (high) (sf) to BBB (low) (sf)

The action follows the Notes remaining Under Review with Negative Implications on 2 January 2013 owing to performance issues and pending resolution of counterparty replacement.

The notes are downgraded due to:
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance.
• Increase of the time to recovery assumption to 48 months from 30 months as detailed in the DBRS Master European Residential Mortgage-Backed Securities Rating Methodology.
• Inability of the Notes to withstand expected losses at the respective categories due to stressed cash flow.

Confederacion Espanola de Cajas de Ahorros (“CECA”) is the swap counterparty for the transaction. CECA is below the counterparty rating threshold for the highest assigned rating to a transaction not higher than ‘A’ (high) per the DBRS Swap criteria for European Structured Finance Transactions. Although not required to post collateral under the transaction documents, CECA has not been replaced with an eligible counterparty. As such, DBRS analysed the expected cash flows of the transactions without the benefit of the interest rate swap.

Barclays Bank PLC is the holder of the Treasury Account for the fund. Barclays Bank PLC meets the minimum institution rating necessary for the highest security to be rated ‘A’ in accordance with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include monthly investor reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see the linking document.

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

Initial Lead Analyst: Lain Gutierrez
Initial Rating Date: 4 October 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 2 January 2013
Rating Committee Chair: Erin Stafford