OREANDA-NEWS. Fitch Ratings has affirmed AyT Goya Hipotecario III, FTA (Goya III) and AyT Goya Hipotecario V, FTA (Goya V), as follows:

Goya III
Class A (ES0312274006) affirmed at 'A-sf', Outlook Stable
Class B (ES0312274014) affirmed at 'BBBsf', Outlook Positive

Goya V
Class A (ES0312276001) affirmed at 'A-sf', Outlook Stable

The Spanish RMBS transactions comprise loans originated by Barclays Bank SAU and serviced by CaixaBank, S.A. (BBB/Positive/F2).

KEY RATING DRIVERS
Reserve Funds Reduction
The maximum reserve fund (RF) balance of both transactions will be reduced to 5% of the initial collateral balance as of the next payment date in October 2015, from 6.7% and 5.8% for Goya III and Goya V, respectively. This follows the restructuring terms implemented by the transactions' sponsor, which aims to maintain the rated notes as eligible collateral for ECB liquidity purposes. The RF reductions do not affect the notes' ratings, as the resulting credit enhancement (CE) remains sufficient to mitigate the credit and cash flow risks of the corresponding rating scenarios.

For Goya III, the RF reduction reduces CE to 16.3% for the class A notes from 18.9% and to 7.3% from 9.8% for the class B notes. For Goya V, CE has decreased to 33.3% from 34.3%.

Stable Asset Performance
The transactions' asset performance has been better than the Spanish prime RMBS sector. As of the latest reporting periods, three-months plus arrears (excluding defaults) as a percentage of the current pool balance remain below 1.2% for both transactions, which is below Fitch's index of three-months plus arrears (excluding defaults) of 1.6%.

Cumulative defaults, defined as mortgages in arrears by more than 18 months in both deals, stand at 0.9% and 0.5% of the initial portfolio balance for Goya III and Goya V respectively, below the sector average of 5%. However, Fitch believes that these levels may rise as late-stage arrears roll through to default.

RATING SENSITIVITIES
A worsening of the Spanish macroeconomic environment, especially employment conditions, or an abrupt shift in interest rates could jeopardise the ability of the underlying borrowers to meet their payment obligations.

Fitch could also take negative rating action if material RF draws were to occur, to the extent that the then available CE to the junior classes was insufficient to mitigate credit and cash flow risk associated with the notes' ratings.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Documentation about the reserve fund reduction terms provided by Haya Titulizacion S.G.F.T, S.A.U.
- Investor and servicer reports since the close of the deals until 22 June 2015 for Goya Hipotecario III and 16 March 2015 for Goya Hipotecario V, provided by Haya Titulizacion S.G.F.T, S.A.U.
- Loan-by-loan data provided by Haya Titulizacion S.G.F.T, S.A.U. and sourced from the European Data Warehouse with a cut-off date of 30 April 2015.

MODELS
The model below was used in the analysis. Click on the link for a description of the model.
EMEA RMBS Surveillance Model.