DBRS Assigns Provisional Rating to Aggregator of Loans Backed by Assets (A.L.B.A.) 2012-1 Plc Notes
RMBSDBRS Ratings Limited (DBRS) has today assigned a provisional rating to the Class A notes issued under Aggregator of Loans Backed by Assets (A.L.B.A.) 2012-1 Plc (ALBA 2012-1) as shown below:
The Class B, Class XS, notes are junior to the Class A notes and are not rated by DBRS.
ALBA 2012-1 is a securitisation of a portfolio of first ranking UK residential mortgages funded by the issuance of two classes of mortgage-backed notes. The mortgages were originated by GMAC-RFC. The Servicer is Lapithus Servicing LLP (Lapithus), the Delegate Servicer is Crown Mortgage Management Limited (Crown) and the Back-Up Servicer is Target Servicing Limited.
The rating is based upon review by DBRS of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement. Credit Enhancement for the DBRS rated Class A note is 49.03% which is comprised of the subordination of the Class B note (15.75%), over collateralisation (31.50%) and a funded cash reserve fund of 2.6% of the Class A and Class B notes aggregate balance.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•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.
Note:
All figures are in GBP unless otherwise noted.
The principal methodology applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment for European RMBS Servicers and Swap Criteria for European Structured Finance Transactions which can be found on www.dbrs.com.
The sources of information used for this rating include historical performance and repossession data from UK Sub-Prime Lenders, and performance history of publicly rated prime UK RMBS transactions. 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: Alastair Bigley, Senior Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 24th February 2012
Ratings
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