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

DBRS Ratings GmbH (Morningstar DBRS) confirmed the following credit ratings on the bonds issued by two Spanish residential mortgage-backed security (RMBS) transactions as follows:

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

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

The credit ratings on the Series A and Series B notes address the timely payment of interest and the ultimate repayment of principal on or before the notes' respective final maturity dates.

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

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the March 2025 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancements to the rated notes to cover the expected losses at their respective credit rating levels.

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

For Goya IV, as of March 2025, loans that were two to three months in arrears represented 0.07% of the outstanding portfolio balance, down from 0.14% in March 2024; the 90+-day delinquency ratio was 0.90%, up from 0.37% a year earlier; and the cumulative default ratio remained unchanged at 1.8%.

For Goya V, as of March 2025, loans that were two to three months in arrears represented 0.04% of the outstanding portfolio balance, down from 0.12% in March 2024; the 90+-day delinquency ratio was 0.40%, down from 0.59% a year earlier; and the cumulative default ratio remained unchanged at 1.4%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction and updated its base case PD and LGD assumptions to 1.4% and 4.6%, respectively, for Goya IV and to 1.2% and 2.9%, 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 2025 payment date, credit enhancement available to the Series A notes was 48.6%, up from 46.5% at the last annual review, and credit enhancement available to the Series B notes was 12.9%, up from 10.7% at the last annual review. For Goya V, as of the March 2025 payment date, credit enhancement available to the Series A notes was 52.2%, up from 50.5% at the last annual review, and credit enhancement available to the Series B notes was 12.3%, up from 10.7% at the last annual review.

RESERVE FUNDS

The 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 32.5 million and, for Goya V, the reserve fund is currently at EUR 35.0 million. Both reserve funds have reached their respective floors and are at their respective target levels.

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

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at: https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

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

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

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

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

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

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

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

The last credit rating actions on these transactions took place on 3 May 2024, when Morningstar DBRS upgraded its credit ratings on the Series B notes in both transactions to AA (sf) from AA (low) (sf) and confirmed its credit ratings on the Series A notes in both transactions at AA (high) (sf).

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

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

-- Morningstar DBRS 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 1.4% and 4.6%, respectively.
-- For Goya V, the base case PD and LGD assumptions are 1.2% and 2.9%, respectively.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

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

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

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

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

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

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

Lead Analyst: Baran Cetin, Assistant Vice President
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date:
Goya IV: 4 May 2011
Goya V: 29 December 2011

DBRS Ratings GmbH
Neue Mainzer Straße 75
D-60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at:
https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- European RMBS Insight Methodology and European RMBS Insight Model version 10.1.0.0 (28 February 2025),
https://dbrs.morningstar.com/research/449129/

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.