DBRS Downgrades AyT Goya Hipotecario IV, FTA Class A and Confirms Class B

DBRS Ratings Limited (DBRS) has today downgraded AyT Goya Hipotecario IV, Fondo de Titulización de Activos' (the Issuer) Class A Mortgage-Backed Floating Rate Securitsation Notes (the Class A Notes) to A (high) (sf) from AAA (sf). DBRS has also confirmed the Issuer’s Class B Mortgage-Backed Floating Rate Securitsation Notes (the Class B Notes) at B (sf).

AyT Goya Hipotecario IV, Fondo de Titulización de Activos is a securitisation of a portfolio of residential mortgage loans originated and serviced by Barclays Bank, SA in Spain. The transaction originally closed in April 2011 with Barclays Bank PLC serving as holder of the Treasury Account. As of 23 January Barclays Bank PLC has been substituted by Barclays Bank SA in such role.

The downgrade of the Class A Notes rating is due to the following:
-- A change of ownership of Barclays Bank, SA, which was fully acquired by CaixaBank S.A. (rated A (low)/R-1 (low) with Negative trends by DBRS) on 2015 January 2 and
-- Amendments to the legal documentation executed on 23 January 2015, which include substitution of the Treasury Account holder and lowering of the replacement trigger for such role.

The downgrade of the Class A Notes and confirmation of the Class B Notes are also based upon the following analytical considerations:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the 15 September 2014 Payment Date.
-- Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.
-- Current available credit enhancement to the Class A Notes and the Class B Notes to cover the Expected Losses at the A (high) (sf) and B (sf) rating levels, respectively.

The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio is currently equal to 1.99%.

Cumulative (loans greater than 18 months in arrears) defaults as a percentage of the original balance are currently 0.64%, in line with the seasoning of the portfolio.

Credit enhancement to the Class A Notes is provided by subordination of the Class B Notes and the Reserve Fund. Credit enhancement to the Class B Notes is solely provided by the Reserve Fund. Current credit enhancements as a percentage of the performing balance of the portfolio for the Class A Notes and Class B Notes is 30.66% and 6.86%, respectively. The Reserve Fund has an amortising target subject to transaction triggers. The current target is 5.00% of the original balance of the Class A Notes and Class B Notes (EUR 65 million). As of the last Payment Date the Reserve Fund balance was EUR 59.3 million, a EUR 5.7 million deficit.

The transaction benefits from a basis swap entered into with Barclays Bank PLC, Sucursal en Espana. The DBRS rating of Barclays Bank PLC (rated AA (low)/R-1 (middle) with Stable trends by DBRS) 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 euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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 10 February 2014, when DBRS confirmed the ratings of AAA (sf) on the Class A Notes and B (sf) on the 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 6.35% and 17.69%, respectively. The corresponding levels at the A (high) (sf) rating level are 19.95% and 31.85%.
• 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 the Class A Notes would be expected to fall to A (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to fall to BBB (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 BBB (low) (sf).

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of A (high) (sf)
• 50% increase in LGD, expected rating of A (low) (sf)
• 25% increase in PD, expected rating of A (low) (sf)
• 50% increase in PD, expected rating of BBB (high) (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 (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (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 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: Alastair Bigley
Initial Rating Date: 19 April 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 10 February 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Mary Jane Potthoff

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