DBRS Confirms Ratings to Ayt Goya Hipotecario V Class A Notes and Class B Notes, FTA

DBRS Ratings Limited (“DBRS”) has reviewed Ayt Goya Hipotecario V (the “Issuer”) and confirms the rating to Class A Notes at AAA (sf) and Class B Notes at B (sf).

Ayt Goya Hipotecario V, FTA is a securitisation of a portfolio of residential mortgage loans originated and serviced by Barclays Banks SA in Spain. The transaction originally closed in December 2011 with Barclays Spain also serving as holder of the Treasury Account.

Confirmation of the ratings for the Class A Notes and Class B Notes is based upon the following analytical consideration:

• Portfolio performance, in terms of defaults and level of delinquencies, as of the 16 September 2013 Payment Date.
• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.
• Current available credit enhancement to Class A Notes and Class B Notes to cover the Expected Losses at respectively, the AAA (sf) and B (sf) rating level.

The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio has been low since the close of the transaction and is currently equal to 0.68%.

Cumulative (loans greater than 18 months in arrears) defaults as a percentage of the original balance are currently 0.031%, relatively low given the seasoning of the portfolio.

Credit enhancement to the Class A Notes is provided by subordination of the Class B Notes and the Cash Reserve Fund. Credit enhancement to the Class B Notes is solely provided by the Cash reserve Fund. Current credit enhancements as a percentage of the performing balance of the portfolio for the Class A and Class B Notes is 29.31% and 6.79%, respectively. The Cash Reserve Fund has an amortising target subject to transaction triggers. The current target is 6.00% of the original balance of the Class A and Class B Notes (EUR 84 million).

Barclays Spain S.A. is the Treasury Account Bank for the transaction. The DBRS private ratings Barclays Spain S.A. is above the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Ahorro y Titulización S.G.F.T., S.A. and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 02 January 2013, when DBRS confirmed the rating of AAA (sf) to Class A Notes and B (sf) to Class B Notes.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. 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 current pool of mortgages for the Issuer are 8.31% and 31.33%, respectively. The corresponding levels at the ‘AAA’ (sf) rating level are 31.94% and 57.00%.
• 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, if the LGD increases by 50%, the rating of Class A would be expected to decrease to ‘AA (high)’ (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to decrease to ‘AA (high)’ (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating would be expected to decrease to ‘A (high)’ (sf).

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘AAA’ (sf)
• 50% increase in LGD, expected rating of ‘AA (high)’ (sf)
• 25% increase in PD, expected rating of ‘AAA’ (sf)
• 50% increase in PD, expected rating of ‘AA (high)’ (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of ‘AA (high)’ (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 ‘A (high)’ (sf)

Class B Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘B’ (sf)
• 50% increase in LGD, expected rating of ‘B (sf)
• 25% increase in PD, expected rating of ‘B’ (sf)
• 50% increase in PD, expected rating of ‘B’ (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of ‘B (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of ‘B’ (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of ‘B’ (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of ‘B’ (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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.

Initial Lead Analyst: David Sanchez
Initial Rating Date: 27 December 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 02 January 2013

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies

• Legal Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Unified Interest Rate Model for European Securitisations