Press Release

DBRS Morningstar Confirms Ratings on AyT Goya Hipotecario IV and V, Fondo de Titulización de Activos

RMBS

May 05, 2023

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings on the notes issued in the following two Spanish residential mortgage-backed securities (RMBS) transactions:

AyT Goya Hipotecario IV, Fondo de Titulización de Activos (Goya IV):
-- Series A Notes at AA (high) (sf)
-- Series B Notes at AA (low) (sf)

AyT Goya Hipotecario V, Fondo de Titulización de Activos (Goya V):
-- Series A Notes at AA (high) (sf)
-- Series B Notes at AA (low) (sf)

The ratings address the timely payment of interest and the ultimate payment of principal on or before the notes’ respective legal final maturity dates.

The confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the March 2023 payment date;
-- Updated portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the outstanding collateral pools; and
-- The credit enhancement available to the rated notes to cover the expected losses at their respective rating levels.

The two transactions are securitisations of Spanish prime residential mortgage loans originated and serviced by CaixaBank, S.A. (CaixaBank; previously, Barclays Bank SA/Spain).

PORTFOLIO PERFORMANCE
The performance of both transactions remains within DBRS Morningstar’s expectations.

For Goya IV, as of March 2023, loans that were two to three months in arrears represented 0.03% of the outstanding portfolio balance, down from 0.07% in March 2022; the 90+ delinquency ratio was 0.56%, up from 0.34% a year earlier; and the cumulative default ratio was 1.7%, stable since March 2022.

For Goya V, as of March 2023, loans that were two to three months in arrears represented 0.24% of the outstanding portfolio balance, up from 0.06% in March 2022; the 90+ delinquency ratio was 0.59%, up from 0.31% a year earlier; and the cumulative default ratio was 1.3%, stable since March 2022.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis on the remaining receivables and updated its base case PD and LGD assumptions to 0.9% and 2.4%, respectively, for Goya IV and to 0.9% and 3.2%, respectively, for Goya V.

CREDIT ENHANCEMENT
The Series A Notes in both transactions are supported by the subordination of the Series B Notes and the respective reserve funds, which are available to cover senior fees, interest, and principal on the Series A and Series B Notes. The Series B Notes are solely supported by the respective reserve funds. For Goya IV, as of the March 2023 payment date, credit enhancement available to the Series A Notes was 46.3%, up from 46.0% at the last annual review, and credit enhancement available to the Series B Notes was 10.5%, up from 10.0% at the last annual review. For Goya V, as of the March 2023 payment date, credit enhancement available to the Series A Notes was 50.3%, up from 50.0% at the last annual review, and credit enhancement available to the Series B Notes was 10.5%, up from 10.0% at the last annual review.

Both transactions switched to pro rata amortisation at the March 2020 (Goya IV) and September 2019 (Goya V) payment dates. The reserve funds may amortise over the life of the transactions, subject to a floor and certain amortisation triggers. For Goya IV, the reserve fund is currently at EUR 38.0 million and, for Goya V, the reserve fund is currently at EUR 41.4 million. Both reserve funds are at their target levels.

CaixaBank acts as the account bank for the transactions. Based on the account bank reference rating of A (high) on CaixaBank (which is one notch below its DBRS Morningstar Long Term Critical Obligations Rating (COR) of AA (low)), the downgrade provisions outlined in the transactions’ documents, and other mitigating factors inherent in the transactions’ structures, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Series A Notes as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

Banco Santander SA (Santander) and CaixaBank act as the swap providers for Goya IV and Goya V, respectively. The DBRS Morningstar CORs on Santander and CaixaBank are above the first rating threshold as described in DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the AA (high) (sf) ratings on the Series A Notes in the transactions.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar analysed the transactions structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (7 February 2023), https://www.dbrsmorningstar.com/research/409485/master-european-structured-finance-surveillance-methodology.

Other methodologies referenced in these transactions are listed at the end of this press release.

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include reports and information received from HAYA Titulización, S.G.F.T., S.A.U. and loan-level data provided by the European DataWarehouse GmbH.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating actions on these transactions took place on 6 May 2022, when DBRS Morningstar upgraded its ratings on the Series B Notes in both transactions to AA (low) (sf) from A (high) (sf) and confirmed its ratings on the Series A Notes in both transactions at AA (high) (sf).

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):

-- DBRS Morningstar expected a lifetime base case PD and 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.
-- For Goya IV, the base case PD and LGD assumptions are 0.9% and 2.4%, respectively.
-- For Goya V, the base case PD and LGD assumptions are 0.9% and 3.2%, respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumptions. For example, if the LGD increases by 50%, the rating on the Goya IV Series A Notes would be expected to remain at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Goya IV Series A Notes would be expected to remain at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Goya IV Series A Notes would be expected to remain at AA (high) (sf).

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

Series B 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 (low) (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 (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

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

Series B 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 (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Helvia Meana, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date:
Goya IV: 4 May 2011
Goya V: 29 December 2011

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

Download This Press Release