DBRS Confirms Ratings on the Notes Issued by AyT Goya Hipotecario IV, Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the Notes issued by AyT Goya Hipotecario IV, Fondo de Titulización de Activos (the Issuer):

-- Class A Notes rating is confirmed at A (high) (sf)
-- Class B Notes rating is confirmed at B (sf)

The rating actions are based on the following analytical considerations as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of September 2015.
-- Portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to cover the expected losses at the A (high) (sf) and B (sf) rating levels.

AyT Goya Hipotecario IV, Fondo de Titulización de Activos closed in April 2011 and is a securitisation of Spanish prime residential mortgages originated and serviced by Barclays Bank S.A. On 14 May 2015, CaixaBank S.A. acquired Barclays Bank S.A. and assumed all of the functions in this transaction.

The portfolio is performing in line with DBRS’s expectations. As of the September 2015 payment date, the cumulative gross default (loans more than 18 months in arrears) as a percentage of collateral balance at transaction closing was at 1.15%. The 90+ delinquency ratio as a percentage of the outstanding collateral portfolio balance is low at 0.63%.

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 32.41% and 6.13%, respectively.

As of the September 2015 payment date, the Cash Reserve Fund target was EUR 65 million, representing 7.29% of the total outstanding balance of the Class A and Class B Notes. The Cash Reserve Fund balance was EUR 55.18 million, EUR 9.8 million below the target.

CaixaBank S.A. (A (low)/R-1 (low)) is the Treasury Account Bank for the transaction. Its rating complies with the Minimum Institution Rating requirement given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction benefits from a basis swap entered into with Barclays Bank PLC, Sucursal en España. Its DBRS private rating meets the rating requirement given the rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include investor reports from Haya Titulización S.G.F.T., S.A. (formerly Ahorro y Titulización S.G.F.T., S.A.) and the loan-by-loan data from the European DataWarehouse GmbH.

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 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 30 January 2015, when the rating on the Class A Notes was downgraded and the rating on the Class B Notes was confirmed.

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

To assess the impact of 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 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 6.35% and 17.69%, respectively. At the A (high) (sf) rating level, the corresponding PD is 19.95% and the LGD is 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 be at A (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 be at A (high) (sf), assuming no change in the LGD. Furthermore, if both the 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 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)

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

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
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
-- Derivative 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

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.