EUR 1,300 million of rated debt securities affected
Frankfurt am Main, April 13, 2011 -- Moody's Investors Service has today assigned provisional credit ratings
to the following classes of notes issued by AyT Goya Hipotecario IV,
FTA:
EUR1,066M Serie A (P) Aaa (sf)
EUR234M Serie B (P) Caa1 (sf)
The transaction represents the securitisation of Spanish residential mortgage
loans originated by Barclays Bank SA, a subsidiary of Barclays Bank
Plc (Aa3/P-1). The assets supporting the notes are prime
mortgage loans secured on residential properties located in Spain.
The portfolio will be serviced by Barclays Bank SA.
RATINGS RATIONALE
The rating of the notes takes into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Aaa
Credit Enhancement and the portfolio expected loss. The expected
portfolio loss of 3.5% and the MILAN Aaa required Credit
Enhancement of 14.0% served as input parameters for Moody's
cash flow model, which is based on a probabilistic lognormal distribution
as described in the report "The Lognormal Method Applied to ABS Analysis",
published in September 2000.
The key drivers for the MILAN Aaa Credit Enhancement , which is
in line with other prime Spanish RMBS transactions that closed during
the past twelve months, are (i) the weighted-average current
LTV of 67.3%, (ii) the proportion of loans with an
LTV above 80% (30.4%) , (iii) the geographical
concentration of the portfolio (25.5% in Madrid) and the
weighted average seasoning of 1.7 years.
The key drivers for the expected loss, which is in line with other
prime Spanish RMBS transactions that closed during the past twelve months,
are (i) the performance of the seller's precedent transactions and the
performance of the seller's book (ii) benchmarking with comparable transactions
in the Spanish RMBS market and (iii) the overall weak economic conditions
in Spain.
The transaction benefits from a reserve fund that will be upfront funded
at 5% of the rated notes balance to cover potential shortfalls
in interest and principal. The total credit enhancement for the
Aaa rated notes is 23%. The transaction benefits from a
swap to hedge the interest rate risk.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect to the
class A and the class B notes by the legal final maturity. Moody's
ratings only address the credit risk associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
The V Score for this transaction is Medium which is in line with the V
score assigned for the Spanish RMBS sector. Only one sub component
underlying the V Score deviate from the average of the Spanish RMBS sector.
Disclosure of securitisation collateral pool characteristics is assessed
a Medium which is higher than the Low/Medium V score assigned for the
Spanish RMBS sector for this sub component.
V-Scores are a relative assessment of the quality of available
credit information and of the degree of dependence on various assumptions
used in determining the rating. High variability in key assumptions
could expose a rating to more likelihood of rating changes. The
V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: The model output indicated that
class A would have achieved Aaa even if the expected loss was as high
as 10.5% (3.0x base case) assuming Milan Aaa CE at
14.0% (base case) and all other factors remained the same.
The model output further indicated that class A would have achieved Aa1
with Milan Aaa CE of 16.8% (1.2x base case) and an
expected loss of 3.5% (base case).
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the transaction
has not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in rating the notes were: Moody's
updated methodology for rating Spanish RMBS published in October 2009,
Cash Flow Analysis in EMEA RMBS: Testing Structural Features with
the MARCO Model (Moody's Analyser of Residential Cash Flows) published
in January 2006 and Global Structured Finance Operational Risk Guidelines:
Moody's Approach to Analyzing Performance Disruption Risk published
in March 2011. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found on Moody's
website.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website.
Moody's did not receive or take into account a third party due diligence
report on the underlying assets or financial instruments in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Frankfurt am Main
Olimpia da Silva
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Annabel Schaafsma
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns provisional ratings to Spanish RMBS notes issued by AyT Goya Hipotecario IV, FTA
