DBRS assigns rating to Aggregator of Loans Backed by Assets (A.L.B.A.) 2011-RP1 PL A1 note

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the Class A1 note issued by Aggregator of Loans Backed by Assets (A.L.B.A.) 2011-RP1 PL (Alba 2011-1). The transaction is backed by sub- prime, mostly variable rate, first-lien mortgage loans secured by residential properties in the United Kingdom. They were originated and serviced by 5 different originators mainly at the peak of the UK housing market in 2007. The assets will be serviced by Lapithus Servicing LLP. The transaction is backed by assets totalling £481.5m as of the pool cut off date at inception in December 2008. The size of the rated note is anticipated to be £202.3m at close.

Alba 2011-1 will issue 2 classes of mortgaged-backed floating rate notes and 3 classes of mortgage-backed fixed rate notes. The Class A1 is the most senior note in the structure and is supported by 4 classes of subordinated mortgage backed notes, the class A2 note, and classes B and C and D notes. There is additional subordination below the Class D note in the form of a cash reserve. Total credit support for the Class A note including the Cash reserve fund is 64.14%. The notes also have credit enhancement in the form of overcollateralisation as the mortgage loans will be sold at a discount; meaning that at close the asset balance will exceed the liabilities issued by approximately £122.13m. DBRS is assigning a rating to the Class A1 note only.

The transaction will not have a revolving period and principal will be paid sequentially at all times. The General Reserve Fund is £33.7 million or 7% of the Mortgage balance at close. The reserve fund can amortise when certain performance triggers are met. In addition to the General Reserve Fund there is also a Class A Reserve Fund equal to 1.1% of the Mortgage balance at close. The Class A reserve fund cannot amortise and can only be used to cover items including and senior to the Class A2 PDL in the waterfall.

DBRS analysed the default probability and loss expectation of the transaction in its European Mortgage Backed Securities model and assigned certain loans a 100% default probability to certain loans.

Interest and principal payments on the notes will be made monthly on the 25th day of each month from 25th July 2011.

DBRS conducted loan-level credit analysis of the mortgages backing the pool and cash flow analysis.

Note:
All figures are in GBP unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies with adjustments made for the Spanish mortgages and the originator- and servicer-specific historical performance.

The sources of information used for this rating include data relating to the underlying mortgages provided Credit Suisse Securities (Europe) Limited as arranger. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on these ratings, please refer to the linking document located below.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: June 9 2011