DBRS Assigns Ratings to Glacier Securities Limited-Series 2011-1 Notes

DBRS Ratings Limited (DBRS) has today assigned ratings to certain notes issued under Glacier Securities Limited-Series 2011-1 (Glacier Series 2011-1) as shown below:

•AAA (sf) rating to the Class A notes aggregating EUR77,596,000, paying a fixed coupon of 0.25% p.a.;
•AA (sf) rating to the Class B notes aggregating EUR13,500,000, paying a fixed coupon of 0.30% p.a.;
•A (sf) rating to the Class C notes aggregating 14,800,000, paying a fixed coupon of 0.35% p.a. and
•BBB (sf) rating to the Class D notes aggregating EUR14,300,000, paying a fixed coupon of 0.40% p.a.

The Class E and Class F notes, which are junior to the above class of notes, are not rated by DBRS.

Glacier Securities Limited (the Issuer) is an issuer under the Glacier Multi-Issuer Asset-Backed Medium Term Note Programme (the Programme). The transaction is backed by EUR235 million (face value amount) of Class A notes (Underlying Notes), due March 2046, issued by Mortgage Funding 2008-1 PLC (MF2008-1) (ISIN: XS0350039912). The Underlying Notes have been sold by special purpose vehicle Tamarin Securities Limited to the Issuer.

The rating is based upon review by DBRS of the following analytical considerations:

•The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination and excess spread, if available. The Class A is the most senior class of notes in the structure and is supported by 5 classes of subordinated notes, the class B, C, D, E and F notes. Total credit support for the Class A notes is at 51.8%. Likewise, the Class B notes have a credit enhancement of 43.42%, Class C notes have 34.22% credit enhancement and Class D notes have 25.34% credit enhancement from subordinated classes respectively.

•The Underlying Notes are denominated in EUR whereas the mortgages backing these notes are denominated in GBP. The currency risk exposure for the Underlying Notes’ holders, which was hedged at close of MF2008-1, is currently unhedged after the collapse of Lehman Brothers Special Financing Inc.in September 2008, the currency swap provider. As a result of the depreciation of GBP vs. EUR since close of MF2008-1, the notes outstanding under MF2008-1 may, absent of an appreciation of sterling, end up under-collateralised. The currency risk exposure of the Underlying Notes is partially hedged under Glacier Series 2011-1 using GBP:EUR cross-currency options. The currency options give a right to the Issuer to convert GBP into EUR at a pre-determined strike rate.

•The credit quality of the mortgages backing the Underlying Notes and ability of the Servicer to perform collection activities on the mortgages.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS applied its UK Re-securitisation Criteria to assess the mortgage loss on the underlying mortgage portfolio for MF2008-1.

Note:
All figures are in EUR unless otherwise noted.

The principal methodologies applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions and Swap Criteria for European Structured Finance Transactions which can be found on www.dbrs.com. Readers should also consider the DBRS commentary The Effect of Sovereign Risk on Securitisations in the Euro Area.

The sources of information used for this rating include data relating to five UK non-conforming mortgage pools, and investor reports on MF2008-1 provided by Investec Bank Plc. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is a newly created financial instrument.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kali Sirugudi, Assistant Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: November 8 2011