DBRS Takes Rating Actions on AyT Goya Hipotecario V, FTA

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bond issued by AyT Goya Hipotecario V, FTA (the Issuer):

-- Series A notes confirmed at A (high) (sf)
-- Series B notes confirmed at B (sf)

The rating action reflects the following analytical considerations, as described more fully below:
-- An amendment to the transaction signed on 17 September 2015.
-- Portfolio performance, in terms of delinquencies and defaults, as of the September 2015 payment date.
-- Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to both Series A and B at each rating level respectively.

AyT Goya Hipotecario V, FTA is a securitisation of Spanish prime residential mortgage loans originated and serviced by CaixaBank S.A. (previously Barclays Bank S.A). The transaction follows the Spanish Securitisation Law and closed in December 2011.

The structural amendment consists of reducing the Target level of the Reserve Fund. The new Target level will be sized at 10% of the outstanding collateral balance net of defaults, with a floor of EUR 35 million and a cap of EUR 70 million.

On 15 October 2015, an extraordinary Interest Payment Day will take place, whereby the management company will reduce the Reserve Fund down to the new target level, which is expected to be EUR 70 million.

Prior to this amendment, the target level of the Reserve Fund was 12% of the outstanding collateral balance net of defaults, with a floor of EUR 42 million and a cap of EUR 84 million.

Credit enhancement to Series A is provided by subordination of Series B and the Reserve Fund (EUR 78.83 million). Credit enhancement to Series B is solely provided by the Reserve Fund. Current credit enhancements as a percentage of the performing balance of the portfolio for Series A and Series B are 36.14% and 8.55%, respectively.

The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio is currently equal to 0.87%.

Cumulative defaults (loans greater than 18 months in arrears) as a percentage of the original balance are currently 0.70%, in line with seasoning of the portfolio.

CaixaBank S.A. acts as Account Bank (as holder of the Treasury Account) for this transaction. CaixaBank S.A. Issuer and Senior Debt public rating by DBRS is currently at A (low), which complies with the Minimum Institution Rating given the rating assigned to the Series A and Series B notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. DBRS conducted a review of the second amendment agreement to the deed of incorporation of the fund, which spells out the amendments under consideration, along with the relative notification to CNMV. The other transaction legal documents have remained unchanged since the most recent rating action, and were not reviewed. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

The sources of information used for this rating include investor reports provided by Haya Titulización S.G.F.T., S.A. (formerly Ahorro Y Titulizacion 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 rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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 30 January 2015, when DBRS downgraded the Series A notes to A (high) (sf) from AAA (sf) and confirmed the rating on the Series B at B (sf).

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with 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 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 current pool of mortgages for the Issuer are 5.01% and 18.78%, respectively. At the A (high) (sf) rating level, the corresponding PD is 18.31% and the LGD is 32.61%.
-- 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 Series A notes would be expected to remain at A (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Series A notes would be expected to remain at A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to remain at A (high) (sf).

Series A notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

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

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Diana Turner

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
-- Derivative Criteria for European Structured Finance Transactions

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.