DBRS Takes Rating Actions on UK RMBS and UK RMBS Re-Securitisation Transactions

DBRS Ratings Limited (DBRS) has today taken rating actions on 14 classes from 6 UK RMBS and Re-Securitisation transactions. All the 14 classes were confirmed. The notes of all the transactions listed below have been confirmed.

The rating actions are based upon the following analytical considerations:

• The updates to the UK Residential Mortgage Addendum and Criteria for RMBS Re-Securitisations in UK published in the Master European Residential Mortgage-Backed Securities Rating Methodology on 14 February 2013. There has been an increase in the MVDs across all rating categories in the UK RMBS methodology. Also a regional MVD for Northern Ireland has been introduced. For the Re-Securitisation methodology there has been an increase in the MVDs from the BBB (High) level and below. The assumptions for estimating the probability of default in both methodologies have not changed.
• The transaction counterparties continue to meet the minimum rating thresholds for the given roles in the transaction as described in the DBRS Legal Criteria for European Structured Finance Transactions and Swap Criteria for European Structured Finance Transactions.
• Performance of the transaction since the last rating actions.
• The continued operational effectiveness of counterparties.

The following transactions were reviewed:
• Gemgarto 2012-1 Plc.
• Aggregator of Loans Backed by Assets 2012-1 Plc.
• Aggregator of Loans Backed by Assets 2011-RP1 PL
• Glacier Securities Limited-Series 2011-1
• Glacier Securities Limited-Series 2011-2
• Glacier Securities Limited, Series 2010-2

Notes:
The principal methodologies applicable are:
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional
Addenda
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies.

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please see linking documents.

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Quincy Tang